237 lines
11 KiB
Python
237 lines
11 KiB
Python
"""
|
|
Volume PairList provider
|
|
|
|
Provides dynamic pair list based on trade volumes
|
|
"""
|
|
import logging
|
|
from datetime import datetime, timedelta, timezone
|
|
from typing import Any, Dict, List, Literal
|
|
|
|
from cachetools import TTLCache
|
|
|
|
from freqtrade.constants import Config, ListPairsWithTimeframes
|
|
from freqtrade.exceptions import OperationalException
|
|
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
|
|
from freqtrade.exchange.types import Tickers
|
|
from freqtrade.misc import format_ms_time
|
|
from freqtrade.plugins.pairlist.IPairList import IPairList
|
|
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
SORT_VALUES = ['quoteVolume']
|
|
|
|
|
|
class VolumePairList(IPairList):
|
|
|
|
def __init__(self, exchange, pairlistmanager,
|
|
config: Config, pairlistconfig: Dict[str, Any],
|
|
pairlist_pos: int) -> None:
|
|
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
|
|
|
|
if 'number_assets' not in self._pairlistconfig:
|
|
raise OperationalException(
|
|
'`number_assets` not specified. Please check your configuration '
|
|
'for "pairlist.config.number_assets"')
|
|
|
|
self._stake_currency = config['stake_currency']
|
|
self._number_pairs = self._pairlistconfig['number_assets']
|
|
self._sort_key: Literal['quoteVolume'] = self._pairlistconfig.get('sort_key', 'quoteVolume')
|
|
self._min_value = self._pairlistconfig.get('min_value', 0)
|
|
self._refresh_period = self._pairlistconfig.get('refresh_period', 1800)
|
|
self._pair_cache: TTLCache = TTLCache(maxsize=1, ttl=self._refresh_period)
|
|
self._lookback_days = self._pairlistconfig.get('lookback_days', 0)
|
|
self._lookback_timeframe = self._pairlistconfig.get('lookback_timeframe', '1d')
|
|
self._lookback_period = self._pairlistconfig.get('lookback_period', 0)
|
|
self._def_candletype = self._config['candle_type_def']
|
|
|
|
if (self._lookback_days > 0) & (self._lookback_period > 0):
|
|
raise OperationalException(
|
|
'Ambigous configuration: lookback_days and lookback_period both set in pairlist '
|
|
'config. Please set lookback_days only or lookback_period and lookback_timeframe '
|
|
'and restart the bot.'
|
|
)
|
|
|
|
# overwrite lookback timeframe and days when lookback_days is set
|
|
if self._lookback_days > 0:
|
|
self._lookback_timeframe = '1d'
|
|
self._lookback_period = self._lookback_days
|
|
|
|
# get timeframe in minutes and seconds
|
|
self._tf_in_min = timeframe_to_minutes(self._lookback_timeframe)
|
|
self._tf_in_sec = self._tf_in_min * 60
|
|
|
|
# wether to use range lookback or not
|
|
self._use_range = (self._tf_in_min > 0) & (self._lookback_period > 0)
|
|
|
|
if self._use_range & (self._refresh_period < self._tf_in_sec):
|
|
raise OperationalException(
|
|
f'Refresh period of {self._refresh_period} seconds is smaller than one '
|
|
f'timeframe of {self._lookback_timeframe}. Please adjust refresh_period '
|
|
f'to at least {self._tf_in_sec} and restart the bot.'
|
|
)
|
|
|
|
if (not self._use_range and not (
|
|
self._exchange.exchange_has('fetchTickers')
|
|
and self._exchange.get_option("tickers_have_quoteVolume"))):
|
|
raise OperationalException(
|
|
"Exchange does not support dynamic whitelist in this configuration. "
|
|
"Please edit your config and either remove Volumepairlist, "
|
|
"or switch to using candles. and restart the bot."
|
|
)
|
|
|
|
if not self._validate_keys(self._sort_key):
|
|
raise OperationalException(
|
|
f'key {self._sort_key} not in {SORT_VALUES}')
|
|
|
|
candle_limit = exchange.ohlcv_candle_limit(
|
|
self._lookback_timeframe, self._config['candle_type_def'])
|
|
if self._lookback_period < 0:
|
|
raise OperationalException("VolumeFilter requires lookback_period to be >= 0")
|
|
if self._lookback_period > candle_limit:
|
|
raise OperationalException("VolumeFilter requires lookback_period to not "
|
|
f"exceed exchange max request size ({candle_limit})")
|
|
|
|
@property
|
|
def needstickers(self) -> bool:
|
|
"""
|
|
Boolean property defining if tickers are necessary.
|
|
If no Pairlist requires tickers, an empty Dict is passed
|
|
as tickers argument to filter_pairlist
|
|
"""
|
|
return not self._use_range
|
|
|
|
def _validate_keys(self, key):
|
|
return key in SORT_VALUES
|
|
|
|
def short_desc(self) -> str:
|
|
"""
|
|
Short whitelist method description - used for startup-messages
|
|
"""
|
|
return f"{self.name} - top {self._pairlistconfig['number_assets']} volume pairs."
|
|
|
|
def gen_pairlist(self, tickers: Tickers) -> List[str]:
|
|
"""
|
|
Generate the pairlist
|
|
:param tickers: Tickers (from exchange.get_tickers). May be cached.
|
|
:return: List of pairs
|
|
"""
|
|
# Generate dynamic whitelist
|
|
# Must always run if this pairlist is not the first in the list.
|
|
pairlist = self._pair_cache.get('pairlist')
|
|
if pairlist:
|
|
# Item found - no refresh necessary
|
|
return pairlist.copy()
|
|
else:
|
|
# Use fresh pairlist
|
|
# Check if pair quote currency equals to the stake currency.
|
|
_pairlist = [k for k in self._exchange.get_markets(
|
|
quote_currencies=[self._stake_currency],
|
|
tradable_only=True, active_only=True).keys()]
|
|
# No point in testing for blacklisted pairs...
|
|
_pairlist = self.verify_blacklist(_pairlist, logger.info)
|
|
if not self._use_range:
|
|
filtered_tickers = [
|
|
v for k, v in tickers.items()
|
|
if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
|
|
and (self._use_range or v.get(self._sort_key) is not None)
|
|
and v['symbol'] in _pairlist)]
|
|
pairlist = [s['symbol'] for s in filtered_tickers]
|
|
else:
|
|
pairlist = _pairlist
|
|
|
|
pairlist = self.filter_pairlist(pairlist, tickers)
|
|
self._pair_cache['pairlist'] = pairlist.copy()
|
|
|
|
return pairlist
|
|
|
|
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
|
|
"""
|
|
Filters and sorts pairlist and returns the whitelist again.
|
|
Called on each bot iteration - please use internal caching if necessary
|
|
:param pairlist: pairlist to filter or sort
|
|
:param tickers: Tickers (from exchange.get_tickers). May be cached.
|
|
:return: new whitelist
|
|
"""
|
|
if self._use_range:
|
|
# Create bare minimum from tickers structure.
|
|
filtered_tickers: List[Dict[str, Any]] = [{'symbol': k} for k in pairlist]
|
|
|
|
# get lookback period in ms, for exchange ohlcv fetch
|
|
since_ms = int(timeframe_to_prev_date(
|
|
self._lookback_timeframe,
|
|
datetime.now(timezone.utc) + timedelta(
|
|
minutes=-(self._lookback_period * self._tf_in_min) - self._tf_in_min)
|
|
).timestamp()) * 1000
|
|
|
|
to_ms = int(timeframe_to_prev_date(
|
|
self._lookback_timeframe,
|
|
datetime.now(timezone.utc) - timedelta(minutes=self._tf_in_min)
|
|
).timestamp()) * 1000
|
|
|
|
# todo: utc date output for starting date
|
|
self.log_once(f"Using volume range of {self._lookback_period} candles, timeframe: "
|
|
f"{self._lookback_timeframe}, starting from {format_ms_time(since_ms)} "
|
|
f"till {format_ms_time(to_ms)}", logger.info)
|
|
needed_pairs: ListPairsWithTimeframes = [
|
|
(p, self._lookback_timeframe, self._def_candletype) for p in
|
|
[s['symbol'] for s in filtered_tickers]
|
|
if p not in self._pair_cache
|
|
]
|
|
|
|
# Get all candles
|
|
candles = {}
|
|
if needed_pairs:
|
|
candles = self._exchange.refresh_latest_ohlcv(
|
|
needed_pairs, since_ms=since_ms, cache=False
|
|
)
|
|
for i, p in enumerate(filtered_tickers):
|
|
contract_size = self._exchange.markets[p['symbol']].get('contractSize', 1.0) or 1.0
|
|
pair_candles = candles[
|
|
(p['symbol'], self._lookback_timeframe, self._def_candletype)
|
|
] if (
|
|
p['symbol'], self._lookback_timeframe, self._def_candletype
|
|
) in candles else None
|
|
# in case of candle data calculate typical price and quoteVolume for candle
|
|
if pair_candles is not None and not pair_candles.empty:
|
|
if self._exchange.get_option("ohlcv_volume_currency") == "base":
|
|
pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']
|
|
+ pair_candles['close']) / 3
|
|
|
|
pair_candles['quoteVolume'] = (
|
|
pair_candles['volume'] * pair_candles['typical_price']
|
|
* contract_size
|
|
)
|
|
else:
|
|
# Exchange ohlcv data is in quote volume already.
|
|
pair_candles['quoteVolume'] = pair_candles['volume']
|
|
# ensure that a rolling sum over the lookback_period is built
|
|
# if pair_candles contains more candles than lookback_period
|
|
quoteVolume = (pair_candles['quoteVolume']
|
|
.rolling(self._lookback_period)
|
|
.sum()
|
|
.iloc[-1])
|
|
|
|
# replace quoteVolume with range quoteVolume sum calculated above
|
|
filtered_tickers[i]['quoteVolume'] = quoteVolume
|
|
else:
|
|
filtered_tickers[i]['quoteVolume'] = 0
|
|
else:
|
|
# Tickers mode - filter based on incoming pairlist.
|
|
filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
|
|
|
|
if self._min_value > 0:
|
|
filtered_tickers = [
|
|
v for v in filtered_tickers if v[self._sort_key] > self._min_value]
|
|
|
|
sorted_tickers = sorted(filtered_tickers, reverse=True, key=lambda t: t[self._sort_key])
|
|
|
|
# Validate whitelist to only have active market pairs
|
|
pairs = self._whitelist_for_active_markets([s['symbol'] for s in sorted_tickers])
|
|
pairs = self.verify_blacklist(pairs, logmethod=logger.info)
|
|
# Limit pairlist to the requested number of pairs
|
|
pairs = pairs[:self._number_pairs]
|
|
|
|
return pairs
|