""" Volume PairList provider Provides dynamic pair list based on trade volumes """ import logging import arrow from typing import Any, Dict, List from cachetools.ttl import TTLCache from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes from freqtrade.plugins.pairlist.IPairList import IPairList from freqtrade.misc import format_ms_time logger = logging.getLogger(__name__) SORT_VALUES = ['quoteVolume'] class VolumePairList(IPairList): 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) 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 = 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) if (self._lookback_days > 0) & (self._lookback_period > 0): raise OperationalException( f'Ambigous configuration: lookback_days and lookback_period both set in pairlist config. ' f'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 timeframe of {self._lookback_timeframe}. ' f'Please adjust refresh_period to at least {self._tf_in_sec} and restart the bot.' ) if not self._exchange.exchange_has('fetchTickers'): raise OperationalException( 'Exchange does not support dynamic whitelist. ' 'Please edit your config and restart the bot.' ) if not self._validate_keys(self._sort_key): raise OperationalException( f'key {self._sort_key} not in {SORT_VALUES}') if self._lookback_period < 0: raise OperationalException("VolumeFilter requires lookback_period to be >= 0") if self._lookback_period > exchange.ohlcv_candle_limit(self._lookback_timeframe): raise OperationalException("VolumeFilter requires lookback_period to not " "exceed exchange max request size " f"({exchange.ohlcv_candle_limit(self._lookback_timeframe)})") @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 True 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: Dict) -> 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 else: # Use fresh pairlist # Check if pair quote currency equals to the stake currency. filtered_tickers = [ v for k, v in tickers.items() if (self._exchange.get_pair_quote_currency(k) == self._stake_currency and v[self._sort_key] is not None)] pairlist = [s['symbol'] for s in filtered_tickers] pairlist = self.filter_pairlist(pairlist, tickers) self._pair_cache['pairlist'] = pairlist 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 """ # Use the incoming pairlist. filtered_tickers = [v for k, v in tickers.items() if k in pairlist] # get lookback period in ms, for exchange ohlcv fetch if self._use_range == True: since_ms = int(arrow.utcnow() .floor('minute') .shift(minutes=-(self._lookback_period * self._tf_in_min) - self._tf_in_min) .float_timestamp) * 1000 to_ms = int(arrow.utcnow() .floor('minute') .shift(minutes=-self._tf_in_min) .float_timestamp) * 1000 # todo: utc date output for starting date self.log_once(f"Using volume range of {self._lookback_period} candles, timeframe: {self._lookback_timeframe}, starting from {format_ms_time(since_ms)} till {format_ms_time(to_ms)}", logger.info) needed_pairs = [(p, self._lookback_timeframe) 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): pair_candles = candles[(p['symbol'], self._lookback_timeframe)] if (p['symbol'], self._lookback_timeframe) in candles else None # in case of candle data calculate typical price and quoteVolume for candle if not pair_candles.empty: pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low'] + pair_candles['close']) / 3 pair_candles['quoteVolume'] = pair_candles['volume'] * pair_candles['typical_price'] # replace quoteVolume with range quoteVolume sum calculated above filtered_tickers[i]['quoteVolume'] = pair_candles['quoteVolume'].sum() else: filtered_tickers[i]['quoteVolume'] = 0 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, logger.info) # Limit pairlist to the requested number of pairs pairs = pairs[:self._number_pairs] self.log_once(f"Searching {self._number_pairs} pairs: {pairs}", logger.info) return pairs