mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-16 05:03:55 +00:00
209 lines
8.4 KiB
Python
209 lines
8.4 KiB
Python
"""
|
|
PairList manager class
|
|
"""
|
|
|
|
import logging
|
|
from functools import partial
|
|
from typing import Dict, List, Optional
|
|
|
|
from cachetools import TTLCache, cached
|
|
|
|
from freqtrade.constants import Config, ListPairsWithTimeframes
|
|
from freqtrade.data.dataprovider import DataProvider
|
|
from freqtrade.enums import CandleType
|
|
from freqtrade.enums.runmode import RunMode
|
|
from freqtrade.exceptions import OperationalException
|
|
from freqtrade.exchange.types import Tickers
|
|
from freqtrade.mixins import LoggingMixin
|
|
from freqtrade.plugins.pairlist.IPairList import IPairList, SupportsBacktesting
|
|
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
|
|
from freqtrade.resolvers import PairListResolver
|
|
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class PairListManager(LoggingMixin):
|
|
def __init__(
|
|
self, exchange, config: Config, dataprovider: Optional[DataProvider] = None
|
|
) -> None:
|
|
self._exchange = exchange
|
|
self._config = config
|
|
self._whitelist = self._config["exchange"].get("pair_whitelist")
|
|
self._blacklist = self._config["exchange"].get("pair_blacklist", [])
|
|
self._pairlist_handlers: List[IPairList] = []
|
|
self._tickers_needed = False
|
|
self._dataprovider: Optional[DataProvider] = dataprovider
|
|
for pairlist_handler_config in self._config.get("pairlists", []):
|
|
pairlist_handler = PairListResolver.load_pairlist(
|
|
pairlist_handler_config["method"],
|
|
exchange=exchange,
|
|
pairlistmanager=self,
|
|
config=config,
|
|
pairlistconfig=pairlist_handler_config,
|
|
pairlist_pos=len(self._pairlist_handlers),
|
|
)
|
|
self._tickers_needed |= pairlist_handler.needstickers
|
|
self._pairlist_handlers.append(pairlist_handler)
|
|
|
|
if not self._pairlist_handlers:
|
|
raise OperationalException("No Pairlist Handlers defined")
|
|
|
|
if self._tickers_needed and not self._exchange.exchange_has("fetchTickers"):
|
|
invalid = ". ".join([p.name for p in self._pairlist_handlers if p.needstickers])
|
|
|
|
raise OperationalException(
|
|
"Exchange does not support fetchTickers, therefore the following pairlists "
|
|
"cannot be used. Please edit your config and restart the bot.\n"
|
|
f"{invalid}."
|
|
)
|
|
|
|
self._check_backtest()
|
|
|
|
refresh_period = config.get("pairlist_refresh_period", 3600)
|
|
LoggingMixin.__init__(self, logger, refresh_period)
|
|
|
|
def _check_backtest(self) -> None:
|
|
if self._config["runmode"] not in (RunMode.BACKTEST, RunMode.EDGE, RunMode.HYPEROPT):
|
|
return
|
|
|
|
pairlist_errors: List[str] = []
|
|
noaction_pairlists: List[str] = []
|
|
biased_pairlists: List[str] = []
|
|
for pairlist_handler in self._pairlist_handlers:
|
|
if pairlist_handler.supports_backtesting == SupportsBacktesting.NO:
|
|
pairlist_errors.append(pairlist_handler.name)
|
|
if pairlist_handler.supports_backtesting == SupportsBacktesting.NO_ACTION:
|
|
noaction_pairlists.append(pairlist_handler.name)
|
|
if pairlist_handler.supports_backtesting == SupportsBacktesting.BIASED:
|
|
biased_pairlists.append(pairlist_handler.name)
|
|
|
|
if noaction_pairlists:
|
|
logger.warning(
|
|
f"Pairlist Handlers {', '.join(noaction_pairlists)} do not generate "
|
|
"any changes during backtesting. While it's safe to leave them enabled, they will "
|
|
"not behave like in dry/live modes. "
|
|
)
|
|
|
|
if biased_pairlists:
|
|
logger.warning(
|
|
f"Pairlist Handlers {', '.join(biased_pairlists)} will introduce a lookahead bias "
|
|
"to your backtest results, as they use today's data - which inheritly suffers from "
|
|
"'winner bias'."
|
|
)
|
|
if pairlist_errors:
|
|
raise OperationalException(
|
|
f"Pairlist Handlers {', '.join(pairlist_errors)} do not support backtesting."
|
|
)
|
|
|
|
@property
|
|
def whitelist(self) -> List[str]:
|
|
"""The current whitelist"""
|
|
return self._whitelist
|
|
|
|
@property
|
|
def blacklist(self) -> List[str]:
|
|
"""
|
|
The current blacklist
|
|
-> no need to overwrite in subclasses
|
|
"""
|
|
return self._blacklist
|
|
|
|
@property
|
|
def expanded_blacklist(self) -> List[str]:
|
|
"""The expanded blacklist (including wildcard expansion)"""
|
|
return expand_pairlist(self._blacklist, self._exchange.get_markets().keys())
|
|
|
|
@property
|
|
def name_list(self) -> List[str]:
|
|
"""Get list of loaded Pairlist Handler names"""
|
|
return [p.name for p in self._pairlist_handlers]
|
|
|
|
def short_desc(self) -> List[Dict]:
|
|
"""List of short_desc for each Pairlist Handler"""
|
|
return [{p.name: p.short_desc()} for p in self._pairlist_handlers]
|
|
|
|
@cached(TTLCache(maxsize=1, ttl=1800))
|
|
def _get_cached_tickers(self) -> Tickers:
|
|
return self._exchange.get_tickers()
|
|
|
|
def refresh_pairlist(self) -> None:
|
|
"""Run pairlist through all configured Pairlist Handlers."""
|
|
# Tickers should be cached to avoid calling the exchange on each call.
|
|
tickers: Dict = {}
|
|
if self._tickers_needed:
|
|
tickers = self._get_cached_tickers()
|
|
|
|
# Generate the pairlist with first Pairlist Handler in the chain
|
|
pairlist = self._pairlist_handlers[0].gen_pairlist(tickers)
|
|
|
|
# Process all Pairlist Handlers in the chain
|
|
# except for the first one, which is the generator.
|
|
for pairlist_handler in self._pairlist_handlers[1:]:
|
|
pairlist = pairlist_handler.filter_pairlist(pairlist, tickers)
|
|
|
|
# Validation against blacklist happens after the chain of Pairlist Handlers
|
|
# to ensure blacklist is respected.
|
|
pairlist = self.verify_blacklist(pairlist, logger.warning)
|
|
|
|
self.log_once(f"Whitelist with {len(pairlist)} pairs: {pairlist}", logger.info)
|
|
|
|
self._whitelist = pairlist
|
|
|
|
def verify_blacklist(self, pairlist: List[str], logmethod) -> List[str]:
|
|
"""
|
|
Verify and remove items from pairlist - returning a filtered pairlist.
|
|
Logs a warning or info depending on `aswarning`.
|
|
Pairlist Handlers explicitly using this method shall use
|
|
`logmethod=logger.info` to avoid spamming with warning messages
|
|
:param pairlist: Pairlist to validate
|
|
:param logmethod: Function that'll be called, `logger.info` or `logger.warning`.
|
|
:return: pairlist - blacklisted pairs
|
|
"""
|
|
try:
|
|
blacklist = self.expanded_blacklist
|
|
except ValueError as err:
|
|
logger.error(f"Pair blacklist contains an invalid Wildcard: {err}")
|
|
return []
|
|
log_once = partial(self.log_once, logmethod=logmethod)
|
|
for pair in pairlist.copy():
|
|
if pair in blacklist:
|
|
log_once(f"Pair {pair} in your blacklist. Removing it from whitelist...")
|
|
pairlist.remove(pair)
|
|
return pairlist
|
|
|
|
def verify_whitelist(
|
|
self, pairlist: List[str], logmethod, keep_invalid: bool = False
|
|
) -> List[str]:
|
|
"""
|
|
Verify and remove items from pairlist - returning a filtered pairlist.
|
|
Logs a warning or info depending on `aswarning`.
|
|
Pairlist Handlers explicitly using this method shall use
|
|
`logmethod=logger.info` to avoid spamming with warning messages
|
|
:param pairlist: Pairlist to validate
|
|
:param logmethod: Function that'll be called, `logger.info` or `logger.warning`
|
|
:param keep_invalid: If sets to True, drops invalid pairs silently while expanding regexes.
|
|
:return: pairlist - whitelisted pairs
|
|
"""
|
|
try:
|
|
whitelist = expand_pairlist(pairlist, self._exchange.get_markets().keys(), keep_invalid)
|
|
except ValueError as err:
|
|
logger.error(f"Pair whitelist contains an invalid Wildcard: {err}")
|
|
return []
|
|
return whitelist
|
|
|
|
def create_pair_list(
|
|
self, pairs: List[str], timeframe: Optional[str] = None
|
|
) -> ListPairsWithTimeframes:
|
|
"""
|
|
Create list of pair tuples with (pair, timeframe)
|
|
"""
|
|
return [
|
|
(
|
|
pair,
|
|
timeframe or self._config["timeframe"],
|
|
self._config.get("candle_type_def", CandleType.SPOT),
|
|
)
|
|
for pair in pairs
|
|
]
|