123 lines
5.1 KiB
Python
123 lines
5.1 KiB
Python
"""
|
|
Minimum age (days listed) pair list filter
|
|
"""
|
|
import logging
|
|
from copy import deepcopy
|
|
from typing import Any, Dict, List, Optional
|
|
|
|
import arrow
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.exceptions import OperationalException
|
|
from freqtrade.misc import plural
|
|
from freqtrade.plugins.pairlist.IPairList import IPairList
|
|
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class AgeFilter(IPairList):
|
|
|
|
# Checked symbols cache (dictionary of ticker symbol => timestamp)
|
|
_symbolsChecked: Dict[str, int] = {}
|
|
|
|
def __init__(self, exchange, pairlistmanager,
|
|
config: Dict[str, Any], pairlistconfig: Dict[str, Any],
|
|
pairlist_pos: int) -> None:
|
|
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
|
|
|
|
self._min_days_listed = pairlistconfig.get('min_days_listed', 10)
|
|
self._max_days_listed = pairlistconfig.get('max_days_listed', None)
|
|
|
|
if self._min_days_listed < 1:
|
|
raise OperationalException("AgeFilter requires min_days_listed to be >= 1")
|
|
if self._min_days_listed > exchange.ohlcv_candle_limit('1d'):
|
|
raise OperationalException("AgeFilter requires min_days_listed to not exceed "
|
|
"exchange max request size "
|
|
f"({exchange.ohlcv_candle_limit('1d')})")
|
|
if self._max_days_listed and self._max_days_listed <= self._min_days_listed:
|
|
raise OperationalException("AgeFilter max_days_listed <= min_days_listed not permitted")
|
|
if self._max_days_listed and self._max_days_listed > exchange.ohlcv_candle_limit('1d'):
|
|
raise OperationalException("AgeFilter requires max_days_listed to not exceed "
|
|
"exchange max request size "
|
|
f"({exchange.ohlcv_candle_limit('1d')})")
|
|
|
|
@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 False
|
|
|
|
def short_desc(self) -> str:
|
|
"""
|
|
Short whitelist method description - used for startup-messages
|
|
"""
|
|
return (
|
|
f"{self.name} - Filtering pairs with age less than "
|
|
f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}"
|
|
) + ((
|
|
" or more than "
|
|
f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}"
|
|
) if self._max_days_listed else '')
|
|
|
|
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
|
|
"""
|
|
:param pairlist: pairlist to filter or sort
|
|
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
|
|
:return: new allowlist
|
|
"""
|
|
needed_pairs = [(p, '1d') for p in pairlist if p not in self._symbolsChecked]
|
|
if not needed_pairs:
|
|
return pairlist
|
|
|
|
since_days = -(
|
|
self._max_days_listed if self._max_days_listed else self._min_days_listed
|
|
) - 1
|
|
since_ms = int(arrow.utcnow()
|
|
.floor('day')
|
|
.shift(days=since_days)
|
|
.float_timestamp) * 1000
|
|
candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False)
|
|
if self._enabled:
|
|
for p in deepcopy(pairlist):
|
|
daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
|
|
if not self._validate_pair_loc(p, daily_candles):
|
|
pairlist.remove(p)
|
|
self.log_once(f"Validated {len(pairlist)} pairs.", logger.info)
|
|
return pairlist
|
|
|
|
def _validate_pair_loc(self, pair: str, daily_candles: Optional[DataFrame]) -> bool:
|
|
"""
|
|
Validate age for the ticker
|
|
:param pair: Pair that's currently validated
|
|
:param ticker: ticker dict as returned from ccxt.fetch_tickers()
|
|
:return: True if the pair can stay, false if it should be removed
|
|
"""
|
|
# Check symbol in cache
|
|
if pair in self._symbolsChecked:
|
|
return True
|
|
|
|
if daily_candles is not None:
|
|
if (
|
|
len(daily_candles) >= self._min_days_listed
|
|
and (not self._max_days_listed or len(daily_candles) <= self._max_days_listed)
|
|
):
|
|
# We have fetched at least the minimum required number of daily candles
|
|
# Add to cache, store the time we last checked this symbol
|
|
self._symbolsChecked[pair] = arrow.utcnow().int_timestamp * 1000
|
|
return True
|
|
else:
|
|
self.log_once((
|
|
f"Removed {pair} from whitelist, because age "
|
|
f"{len(daily_candles)} is less than {self._min_days_listed} "
|
|
f"{plural(self._min_days_listed, 'day')}"
|
|
) + ((
|
|
" or more than "
|
|
f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}"
|
|
) if self._max_days_listed else ''), logger.info)
|
|
return False
|
|
return False
|