diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml index 3e4ef2faa..bb3ea2221 100644 --- a/.github/workflows/ci.yml +++ b/.github/workflows/ci.yml @@ -55,7 +55,7 @@ jobs: - name: Installation - *nix run: | - python -m pip install --upgrade "pip<=24.0" wheel + python -m pip install --upgrade pip wheel export LD_LIBRARY_PATH=${HOME}/dependencies/lib:$LD_LIBRARY_PATH export TA_LIBRARY_PATH=${HOME}/dependencies/lib export TA_INCLUDE_PATH=${HOME}/dependencies/include @@ -197,7 +197,7 @@ jobs: - name: Installation (python) run: | - python -m pip install --upgrade "pip<=24.0" wheel + python -m pip install --upgrade pip wheel export LD_LIBRARY_PATH=${HOME}/dependencies/lib:$LD_LIBRARY_PATH export TA_LIBRARY_PATH=${HOME}/dependencies/lib export TA_INCLUDE_PATH=${HOME}/dependencies/include @@ -427,7 +427,7 @@ jobs: - name: Installation - *nix run: | - python -m pip install --upgrade "pip<=24.0" wheel + python -m pip install --upgrade pip wheel export LD_LIBRARY_PATH=${HOME}/dependencies/lib:$LD_LIBRARY_PATH export TA_LIBRARY_PATH=${HOME}/dependencies/lib export TA_INCLUDE_PATH=${HOME}/dependencies/include diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml index c78811f30..58c43d454 100644 --- a/.pre-commit-config.yaml +++ b/.pre-commit-config.yaml @@ -31,7 +31,7 @@ repos: - repo: https://github.com/charliermarsh/ruff-pre-commit # Ruff version. - rev: 'v0.5.4' + rev: 'v0.5.5' hooks: - id: ruff diff --git a/Dockerfile b/Dockerfile index cedeafbe6..e435f7f1e 100644 --- a/Dockerfile +++ b/Dockerfile @@ -25,7 +25,7 @@ FROM base as python-deps RUN apt-get update \ && apt-get -y install build-essential libssl-dev git libffi-dev libgfortran5 pkg-config cmake gcc \ && apt-get clean \ - && pip install --upgrade "pip<=24.0" wheel + && pip install --upgrade pip wheel # Install TA-lib COPY build_helpers/* /tmp/ diff --git a/build_helpers/install_windows.ps1 b/build_helpers/install_windows.ps1 index 5f0c643ac..4aa070992 100644 --- a/build_helpers/install_windows.ps1 +++ b/build_helpers/install_windows.ps1 @@ -1,6 +1,6 @@ # vendored Wheels compiled via https://github.com/xmatthias/ta-lib-python/tree/ta_bundled_040 -python -m pip install --upgrade "pip<=24.0" wheel +python -m pip install --upgrade pip wheel $pyv = python -c "import sys; print(f'{sys.version_info.major}.{sys.version_info.minor}')" diff --git a/build_helpers/schema.json b/build_helpers/schema.json index c0933d9f8..3c37896b1 100644 --- a/build_helpers/schema.json +++ b/build_helpers/schema.json @@ -9,11 +9,6 @@ ], "minimum": -1 }, - "new_pairs_days": { - "description": "Download data of new pairs for given number of days", - "type": "integer", - "default": 30 - }, "timeframe": { "description": "The timeframe to use (e.g `1m`, `5m`, `15m`, `30m`, `1h` ...). \nUsually specified in the strategy and missing in the configuration.", "type": "string" @@ -562,6 +557,7 @@ "enum": [ "StaticPairList", "VolumePairList", + "PercentChangePairList", "ProducerPairList", "RemotePairList", "MarketCapPairList", @@ -1064,7 +1060,7 @@ "default": {}, "properties": { "process_throttle_secs": { - "description": "Throttle time in seconds for processing.", + "description": "Minimum loop duration for one bot iteration in seconds.", "type": "integer" }, "interval": { @@ -1105,6 +1101,15 @@ "description": "Enable position adjustment. \nUsually specified in the strategy and missing in the configuration.", "type": "boolean" }, + "new_pairs_days": { + "description": "Download data of new pairs for given number of days", + "type": "integer", + "default": 30 + }, + "download_trades": { + "description": "Download trades data by default (instead of ohlcv data).", + "type": "boolean" + }, "max_entry_position_adjustment": { "description": "Maximum entry position adjustment allowed. \nUsually specified in the strategy and missing in the configuration.", "type": [ diff --git a/config_examples/config_binance.example.json b/config_examples/config_binance.example.json index 3a2cea530..6c513f064 100644 --- a/config_examples/config_binance.example.json +++ b/config_examples/config_binance.example.json @@ -1,4 +1,5 @@ { + "$schema": "https://schema.freqtrade.io/schema.json", "max_open_trades": 3, "stake_currency": "USDT", "stake_amount": 0.05, diff --git a/config_examples/config_freqai.example.json b/config_examples/config_freqai.example.json index 27bc4532c..6751002e4 100644 --- a/config_examples/config_freqai.example.json +++ b/config_examples/config_freqai.example.json @@ -1,4 +1,5 @@ { + "$schema": "https://schema.freqtrade.io/schema.json", "trading_mode": "futures", "margin_mode": "isolated", "max_open_trades": 5, diff --git a/config_examples/config_full.example.json b/config_examples/config_full.example.json index cb2d4797e..04137ed80 100644 --- a/config_examples/config_full.example.json +++ b/config_examples/config_full.example.json @@ -1,4 +1,5 @@ { + "$schema": "https://schema.freqtrade.io/schema.json", "max_open_trades": 3, "stake_currency": "BTC", "stake_amount": 0.05, diff --git a/config_examples/config_kraken.example.json b/config_examples/config_kraken.example.json index 420047627..72f5e6b5f 100644 --- a/config_examples/config_kraken.example.json +++ b/config_examples/config_kraken.example.json @@ -1,4 +1,5 @@ { + "$schema": "https://schema.freqtrade.io/schema.json", "max_open_trades": 5, "stake_currency": "EUR", "stake_amount": 10, diff --git a/docker/Dockerfile.armhf b/docker/Dockerfile.armhf index fbd952111..688254122 100644 --- a/docker/Dockerfile.armhf +++ b/docker/Dockerfile.armhf @@ -17,7 +17,7 @@ RUN mkdir /freqtrade \ && chown ftuser:ftuser /freqtrade \ # Allow sudoers && echo "ftuser ALL=(ALL) NOPASSWD: /bin/chown" >> /etc/sudoers \ - && pip install --upgrade "pip<=24.0" + && pip install --upgrade pip WORKDIR /freqtrade diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index fbf8f4be0..b3b69f996 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -2,11 +2,11 @@ Pairlist Handlers define the list of pairs (pairlist) that the bot should trade. They are configured in the `pairlists` section of the configuration settings. -In your configuration, you can use Static Pairlist (defined by the [`StaticPairList`](#static-pair-list) Pairlist Handler) and Dynamic Pairlist (defined by the [`VolumePairList`](#volume-pair-list) Pairlist Handler). +In your configuration, you can use Static Pairlist (defined by the [`StaticPairList`](#static-pair-list) Pairlist Handler) and Dynamic Pairlist (defined by the [`VolumePairList`](#volume-pair-list) and [`PercentChangePairList`](#percent-change-pair-list) Pairlist Handlers). Additionally, [`AgeFilter`](#agefilter), [`PrecisionFilter`](#precisionfilter), [`PriceFilter`](#pricefilter), [`ShuffleFilter`](#shufflefilter), [`SpreadFilter`](#spreadfilter) and [`VolatilityFilter`](#volatilityfilter) act as Pairlist Filters, removing certain pairs and/or moving their positions in the pairlist. -If multiple Pairlist Handlers are used, they are chained and a combination of all Pairlist Handlers forms the resulting pairlist the bot uses for trading and backtesting. Pairlist Handlers are executed in the sequence they are configured. You can define either `StaticPairList`, `VolumePairList`, `ProducerPairList`, `RemotePairList` or `MarketCapPairList` as the starting Pairlist Handler. +If multiple Pairlist Handlers are used, they are chained and a combination of all Pairlist Handlers forms the resulting pairlist the bot uses for trading and backtesting. Pairlist Handlers are executed in the sequence they are configured. You can define either `StaticPairList`, `VolumePairList`, `ProducerPairList`, `RemotePairList`, `MarketCapPairList` or `PercentChangePairList` as the starting Pairlist Handler. Inactive markets are always removed from the resulting pairlist. Explicitly blacklisted pairs (those in the `pair_blacklist` configuration setting) are also always removed from the resulting pairlist. @@ -22,6 +22,7 @@ You may also use something like `.*DOWN/BTC` or `.*UP/BTC` to exclude leveraged * [`StaticPairList`](#static-pair-list) (default, if not configured differently) * [`VolumePairList`](#volume-pair-list) +* [`PercentChangePairList`](#percent-change-pair-list) * [`ProducerPairList`](#producerpairlist) * [`RemotePairList`](#remotepairlist) * [`MarketCapPairList`](#marketcappairlist) @@ -152,6 +153,89 @@ More sophisticated approach can be used, by using `lookback_timeframe` for candl !!! Note `VolumePairList` does not support backtesting mode. +#### Percent Change Pair List + +`PercentChangePairList` filters and sorts pairs based on the percentage change in their price over the last 24 hours or any defined timeframe as part of advanced options. This allows traders to focus on assets that have experienced significant price movements, either positive or negative. + +**Configuration Options** + +* `number_assets`: Specifies the number of top pairs to select based on the 24-hour percentage change. +* `min_value`: Sets a minimum percentage change threshold. Pairs with a percentage change below this value will be filtered out. +* `max_value`: Sets a maximum percentage change threshold. Pairs with a percentage change above this value will be filtered out. +* `sort_direction`: Specifies the order in which pairs are sorted based on their percentage change. Accepts two values: `asc` for ascending order and `desc` for descending order. +* `refresh_period`: Defines the interval (in seconds) at which the pairlist will be refreshed. The default is 1800 seconds (30 minutes). +* `lookback_days`: Number of days to look back. When `lookback_days` is selected, the `lookback_timeframe` is defaulted to 1 day. +* `lookback_timeframe`: Timeframe to use for the lookback period. +* `lookback_period`: Number of periods to look back at. + +When PercentChangePairList is used after other Pairlist Handlers, it will operate on the outputs of those handlers. If it is the leading Pairlist Handler, it will select pairs from all available markets with the specified stake currency. + +`PercentChangePairList` uses ticker data from the exchange, provided via the ccxt library: +The percentage change is calculated as the change in price over the last 24 hours. + +??? Note "Unsupported exchanges" + On some exchanges (like HTX), regular PercentChangePairList does not work as the api does not natively provide 24h percent change in price. This can be worked around by using candle data to calculate the percentage change. To roughly simulate 24h percent change, you can use the following configuration. Please note that these pairlists will only refresh once per day. + ```json + "pairlists": [ + { + "method": "PercentChangePairList", + "number_assets": 20, + "min_value": 0, + "refresh_period": 86400, + "lookback_days": 1 + } + ], + ``` + +**Example Configuration to Read from Ticker** + +```json +"pairlists": [ + { + "method": "PercentChangePairList", + "number_assets": 15, + "min_value": -10, + "max_value": 50 + } +], +``` + +In this configuration: + +1. The top 15 pairs are selected based on the highest percentage change in price over the last 24 hours. +2. Only pairs with a percentage change between -10% and 50% are considered. + +**Example Configuration to Read from Candles** + +```json +"pairlists": [ + { + "method": "PercentChangePairList", + "number_assets": 15, + "sort_key": "percentage", + "min_value": 0, + "refresh_period": 3600, + "lookback_timeframe": "1h", + "lookback_period": 72 + } +], +``` + +This example builds the percent change pairs based on a rolling period of 3 days of 1-hour candles by using `lookback_timeframe` for candle size and `lookback_period` which specifies the number of candles. + +The percent change in price is calculated using the following formula, which expresses the percentage difference between the current candle's close price and the previous candle's close price, as defined by the specified timeframe and lookback period: + +$$ Percent Change = (\frac{Current Close - Previous Close}{Previous Close}) * 100 $$ + +!!! Warning "Range look back and refresh period" + When used in conjunction with `lookback_days` and `lookback_timeframe` the `refresh_period` can not be smaller than the candle size in seconds. As this will result in unnecessary requests to the exchanges API. + +!!! Warning "Performance implications when using lookback range" + If used in first position in combination with lookback, the computation of the range-based percent change can be time and resource consuming, as it downloads candles for all tradable pairs. Hence it's highly advised to use the standard approach with `PercentChangePairList` to narrow the pairlist down for further percent-change calculation. + +!!! Note "Backtesting" + `PercentChangePairList` does not support backtesting mode. + #### ProducerPairList With `ProducerPairList`, you can reuse the pairlist from a [Producer](producer-consumer.md) without explicitly defining the pairlist on each consumer. diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index 20beace35..47fcdaa32 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1,6 +1,6 @@ markdown==3.6 mkdocs==1.6.0 -mkdocs-material==9.5.29 +mkdocs-material==9.5.30 mdx_truly_sane_lists==1.3 -pymdown-extensions==10.8.1 +pymdown-extensions==10.9 jinja2==3.1.4 diff --git a/freqtrade/__init__.py b/freqtrade/__init__.py index 0cb8dd961..be9980671 100644 --- a/freqtrade/__init__.py +++ b/freqtrade/__init__.py @@ -1,6 +1,6 @@ """Freqtrade bot""" -__version__ = "2024.7-dev" +__version__ = "2024.8-dev" if "dev" in __version__: from pathlib import Path diff --git a/freqtrade/configuration/config_schema.py b/freqtrade/configuration/config_schema.py index 7beed69e6..89e7f8b3b 100644 --- a/freqtrade/configuration/config_schema.py +++ b/freqtrade/configuration/config_schema.py @@ -36,11 +36,6 @@ CONF_SCHEMA = { "type": ["integer", "number"], "minimum": -1, }, - "new_pairs_days": { - "description": "Download data of new pairs for given number of days", - "type": "integer", - "default": 30, - }, "timeframe": { "description": ( f"The timeframe to use (e.g `1m`, `5m`, `15m`, `30m`, `1h` ...). {__IN_STRATEGY}" @@ -185,6 +180,7 @@ CONF_SCHEMA = { "type": "boolean", "default": False, }, + # Lookahead analysis section "minimum_trade_amount": { "description": "Minimum amount for a trade - only used for lookahead-analysis", "type": "number", @@ -501,6 +497,7 @@ CONF_SCHEMA = { "required": ["method"], }, }, + # RPC section "telegram": { "description": "Telegram settings.", "type": "object", @@ -701,6 +698,7 @@ CONF_SCHEMA = { }, "required": ["enabled", "listen_ip_address", "listen_port", "username", "password"], }, + # end of RPC section "db_url": { "description": "Database connection URL.", "type": "string", @@ -734,7 +732,7 @@ CONF_SCHEMA = { "default": {}, "properties": { "process_throttle_secs": { - "description": "Throttle time in seconds for processing.", + "description": "Minimum loop duration for one bot iteration in seconds.", "type": "integer", }, "interval": { @@ -763,6 +761,16 @@ CONF_SCHEMA = { "description": f"Enable position adjustment. {__IN_STRATEGY}", "type": "boolean", }, + # Download data section + "new_pairs_days": { + "description": "Download data of new pairs for given number of days", + "type": "integer", + "default": 30, + }, + "download_trades": { + "description": "Download trades data by default (instead of ohlcv data).", + "type": "boolean", + }, "max_entry_position_adjustment": { "description": f"Maximum entry position adjustment allowed. {__IN_STRATEGY}", "type": ["integer", "number"], diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 8c2329fc1..120f463f3 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -42,7 +42,7 @@ HYPEROPT_LOSS_BUILTIN = [ AVAILABLE_PAIRLISTS = [ "StaticPairList", "VolumePairList", - "PercentVolumeChangePairList", + "PercentChangePairList", "ProducerPairList", "RemotePairList", "MarketCapPairList", diff --git a/freqtrade/exchange/binance_leverage_tiers.json b/freqtrade/exchange/binance_leverage_tiers.json index 91775fede..ceaa4e486 100644 --- a/freqtrade/exchange/binance_leverage_tiers.json +++ b/freqtrade/exchange/binance_leverage_tiers.json @@ -15819,104 +15819,6 @@ } } ], - "GAL/USDT:USDT": [ - { - "tier": 1.0, - "currency": "USDT", - "minNotional": 0.0, - "maxNotional": 5000.0, - "maintenanceMarginRate": 0.02, - "maxLeverage": 11.0, - "info": { - "bracket": "1", - "initialLeverage": "11", - "notionalCap": "5000", - "notionalFloor": "0", - "maintMarginRatio": "0.02", - "cum": "0.0" - } - }, - { - "tier": 2.0, - "currency": "USDT", - "minNotional": 5000.0, - "maxNotional": 25000.0, - "maintenanceMarginRate": 0.025, - "maxLeverage": 10.0, - "info": { - "bracket": "2", - "initialLeverage": "10", - "notionalCap": "25000", - "notionalFloor": "5000", - "maintMarginRatio": "0.025", - "cum": "25.0" - } - }, - { - "tier": 3.0, - "currency": "USDT", - "minNotional": 25000.0, - "maxNotional": 100000.0, - "maintenanceMarginRate": 0.05, - "maxLeverage": 8.0, - "info": { - "bracket": "3", - "initialLeverage": "8", - "notionalCap": "100000", - "notionalFloor": "25000", - "maintMarginRatio": "0.05", - "cum": "650.0" - } - }, - { - "tier": 4.0, - "currency": "USDT", - "minNotional": 100000.0, - "maxNotional": 250000.0, - "maintenanceMarginRate": 0.1, - "maxLeverage": 5.0, - "info": { - "bracket": "4", - "initialLeverage": "5", - "notionalCap": "250000", - "notionalFloor": "100000", - "maintMarginRatio": "0.1", - "cum": "5650.0" - } - }, - { - "tier": 5.0, - "currency": "USDT", - "minNotional": 250000.0, - "maxNotional": 1000000.0, - "maintenanceMarginRate": 0.125, - "maxLeverage": 2.0, - "info": { - "bracket": "5", - "initialLeverage": "2", - "notionalCap": "1000000", - "notionalFloor": "250000", - "maintMarginRatio": "0.125", - "cum": "11900.0" - } - }, - { - "tier": 6.0, - "currency": "USDT", - "minNotional": 1000000.0, - "maxNotional": 3000000.0, - "maintenanceMarginRate": 0.5, - "maxLeverage": 1.0, - "info": { - "bracket": "6", - "initialLeverage": "1", - "notionalCap": "3000000", - "notionalFloor": "1000000", - "maintMarginRatio": "0.5", - "cum": "386900.0" - } - } - ], "GALA/USDT:USDT": [ { "tier": 1.0, @@ -28526,6 +28428,250 @@ } ], "REEF/USDT:USDT": [ + { + "tier": 1.0, + "currency": "USDT", + "minNotional": 0.0, + "maxNotional": 5000.0, + "maintenanceMarginRate": 0.015, + "maxLeverage": 26.0, + "info": { + "bracket": "1", + "initialLeverage": "26", + "notionalCap": "5000", + "notionalFloor": "0", + "maintMarginRatio": "0.015", + "cum": "0.0" + } + }, + { + "tier": 2.0, + "currency": "USDT", + "minNotional": 5000.0, + "maxNotional": 20000.0, + "maintenanceMarginRate": 0.02, + "maxLeverage": 25.0, + "info": { + "bracket": "2", + "initialLeverage": "25", + "notionalCap": "20000", + "notionalFloor": "5000", + "maintMarginRatio": "0.02", + "cum": "25.0" + } + }, + { + "tier": 3.0, + "currency": "USDT", + "minNotional": 20000.0, + "maxNotional": 25000.0, + "maintenanceMarginRate": 0.025, + "maxLeverage": 20.0, + "info": { + "bracket": "3", + "initialLeverage": "20", + "notionalCap": "25000", + "notionalFloor": "20000", + "maintMarginRatio": "0.025", + "cum": "125.0" + } + }, + { + "tier": 4.0, + "currency": "USDT", + "minNotional": 25000.0, + "maxNotional": 200000.0, + "maintenanceMarginRate": 0.05, + "maxLeverage": 10.0, + "info": { + "bracket": "4", + "initialLeverage": "10", + "notionalCap": "200000", + "notionalFloor": "25000", + "maintMarginRatio": "0.05", + "cum": "750.0" + } + }, + { + "tier": 5.0, + "currency": "USDT", + "minNotional": 200000.0, + "maxNotional": 400000.0, + "maintenanceMarginRate": 0.1, + "maxLeverage": 5.0, + "info": { + "bracket": "5", + "initialLeverage": "5", + "notionalCap": "400000", + "notionalFloor": "200000", + "maintMarginRatio": "0.1", + "cum": "10750.0" + } + }, + { + "tier": 6.0, + "currency": "USDT", + "minNotional": 400000.0, + "maxNotional": 500000.0, + "maintenanceMarginRate": 0.125, + "maxLeverage": 4.0, + "info": { + "bracket": "6", + "initialLeverage": "4", + "notionalCap": "500000", + "notionalFloor": "400000", + "maintMarginRatio": "0.125", + "cum": "20750.0" + } + }, + { + "tier": 7.0, + "currency": "USDT", + "minNotional": 500000.0, + "maxNotional": 1000000.0, + "maintenanceMarginRate": 0.25, + "maxLeverage": 2.0, + "info": { + "bracket": "7", + "initialLeverage": "2", + "notionalCap": "1000000", + "notionalFloor": "500000", + "maintMarginRatio": "0.25", + "cum": "83250.0" + } + }, + { + "tier": 8.0, + "currency": "USDT", + "minNotional": 1000000.0, + "maxNotional": 1500000.0, + "maintenanceMarginRate": 0.5, + "maxLeverage": 1.0, + "info": { + "bracket": "8", + "initialLeverage": "1", + "notionalCap": "1500000", + "notionalFloor": "1000000", + "maintMarginRatio": "0.5", + "cum": "333250.0" + } + } + ], + "REN/USDT:USDT": [ + { + "tier": 1.0, + "currency": "USDT", + "minNotional": 0.0, + "maxNotional": 5000.0, + "maintenanceMarginRate": 0.015, + "maxLeverage": 50.0, + "info": { + "bracket": "1", + "initialLeverage": "50", + "notionalCap": "5000", + "notionalFloor": "0", + "maintMarginRatio": "0.015", + "cum": "0.0" + } + }, + { + "tier": 2.0, + "currency": "USDT", + "minNotional": 5000.0, + "maxNotional": 50000.0, + "maintenanceMarginRate": 0.025, + "maxLeverage": 20.0, + "info": { + "bracket": "2", + "initialLeverage": "20", + "notionalCap": "50000", + "notionalFloor": "5000", + "maintMarginRatio": "0.025", + "cum": "50.0" + } + }, + { + "tier": 3.0, + "currency": "USDT", + "minNotional": 50000.0, + "maxNotional": 600000.0, + "maintenanceMarginRate": 0.05, + "maxLeverage": 10.0, + "info": { + "bracket": "3", + "initialLeverage": "10", + "notionalCap": "600000", + "notionalFloor": "50000", + "maintMarginRatio": "0.05", + "cum": "1300.0" + } + }, + { + "tier": 4.0, + "currency": "USDT", + "minNotional": 600000.0, + "maxNotional": 1600000.0, + "maintenanceMarginRate": 0.1, + "maxLeverage": 5.0, + "info": { + "bracket": "4", + "initialLeverage": "5", + "notionalCap": "1600000", + "notionalFloor": "600000", + "maintMarginRatio": "0.1", + "cum": "31300.0" + } + }, + { + "tier": 5.0, + "currency": "USDT", + "minNotional": 1600000.0, + "maxNotional": 2000000.0, + "maintenanceMarginRate": 0.125, + "maxLeverage": 4.0, + "info": { + "bracket": "5", + "initialLeverage": "4", + "notionalCap": "2000000", + "notionalFloor": "1600000", + "maintMarginRatio": "0.125", + "cum": "71300.0" + } + }, + { + "tier": 6.0, + "currency": "USDT", + "minNotional": 2000000.0, + "maxNotional": 6000000.0, + "maintenanceMarginRate": 0.25, + "maxLeverage": 2.0, + "info": { + "bracket": "6", + "initialLeverage": "2", + "notionalCap": "6000000", + "notionalFloor": "2000000", + "maintMarginRatio": "0.25", + "cum": "321300.0" + } + }, + { + "tier": 7.0, + "currency": "USDT", + "minNotional": 6000000.0, + "maxNotional": 10000000.0, + "maintenanceMarginRate": 0.5, + "maxLeverage": 1.0, + "info": { + "bracket": "7", + "initialLeverage": "1", + "notionalCap": "10000000", + "notionalFloor": "6000000", + "maintMarginRatio": "0.5", + "cum": "1821300.0" + } + } + ], + "RENDER/USDT:USDT": [ { "tier": 1.0, "currency": "USDT", @@ -28655,120 +28801,6 @@ } } ], - "REN/USDT:USDT": [ - { - "tier": 1.0, - "currency": "USDT", - "minNotional": 0.0, - "maxNotional": 5000.0, - "maintenanceMarginRate": 0.015, - "maxLeverage": 50.0, - "info": { - "bracket": "1", - "initialLeverage": "50", - "notionalCap": "5000", - "notionalFloor": "0", - "maintMarginRatio": "0.015", - "cum": "0.0" - } - }, - { - "tier": 2.0, - "currency": "USDT", - "minNotional": 5000.0, - "maxNotional": 50000.0, - "maintenanceMarginRate": 0.025, - "maxLeverage": 20.0, - "info": { - "bracket": "2", - "initialLeverage": "20", - "notionalCap": "50000", - "notionalFloor": "5000", - "maintMarginRatio": "0.025", - "cum": "50.0" - } - }, - { - "tier": 3.0, - "currency": "USDT", - "minNotional": 50000.0, - "maxNotional": 600000.0, - "maintenanceMarginRate": 0.05, - "maxLeverage": 10.0, - "info": { - "bracket": "3", - "initialLeverage": "10", - "notionalCap": "600000", - "notionalFloor": "50000", - "maintMarginRatio": "0.05", - "cum": "1300.0" - } - }, - { - "tier": 4.0, - "currency": "USDT", - "minNotional": 600000.0, - "maxNotional": 1600000.0, - "maintenanceMarginRate": 0.1, - "maxLeverage": 5.0, - "info": { - "bracket": "4", - "initialLeverage": "5", - "notionalCap": "1600000", - "notionalFloor": "600000", - "maintMarginRatio": "0.1", - "cum": "31300.0" - } - }, - { - "tier": 5.0, - "currency": "USDT", - "minNotional": 1600000.0, - "maxNotional": 2000000.0, - "maintenanceMarginRate": 0.125, - "maxLeverage": 4.0, - "info": { - "bracket": "5", - "initialLeverage": "4", - "notionalCap": "2000000", - "notionalFloor": "1600000", - "maintMarginRatio": "0.125", - "cum": "71300.0" - } - }, - { - "tier": 6.0, - "currency": "USDT", - "minNotional": 2000000.0, - "maxNotional": 6000000.0, - "maintenanceMarginRate": 0.25, - "maxLeverage": 2.0, - "info": { - "bracket": "6", - "initialLeverage": "2", - "notionalCap": "6000000", - "notionalFloor": "2000000", - "maintMarginRatio": "0.25", - "cum": "321300.0" - } - }, - { - "tier": 7.0, - "currency": "USDT", - "minNotional": 6000000.0, - "maxNotional": 10000000.0, - "maintenanceMarginRate": 0.5, - "maxLeverage": 1.0, - "info": { - "bracket": "7", - "initialLeverage": "1", - "notionalCap": "10000000", - "notionalFloor": "6000000", - "maintMarginRatio": "0.5", - "cum": "1821300.0" - } - } - ], "REZ/USDT:USDT": [ { "tier": 1.0, @@ -29127,136 +29159,6 @@ } } ], - "RNDR/USDT:USDT": [ - { - "tier": 1.0, - "currency": "USDT", - "minNotional": 0.0, - "maxNotional": 5000.0, - "maintenanceMarginRate": 0.015, - "maxLeverage": 26.0, - "info": { - "bracket": "1", - "initialLeverage": "26", - "notionalCap": "5000", - "notionalFloor": "0", - "maintMarginRatio": "0.015", - "cum": "0.0" - } - }, - { - "tier": 2.0, - "currency": "USDT", - "minNotional": 5000.0, - "maxNotional": 50000.0, - "maintenanceMarginRate": 0.02, - "maxLeverage": 25.0, - "info": { - "bracket": "2", - "initialLeverage": "25", - "notionalCap": "50000", - "notionalFloor": "5000", - "maintMarginRatio": "0.02", - "cum": "25.0" - } - }, - { - "tier": 3.0, - "currency": "USDT", - "minNotional": 50000.0, - "maxNotional": 100000.0, - "maintenanceMarginRate": 0.025, - "maxLeverage": 20.0, - "info": { - "bracket": "3", - "initialLeverage": "20", - "notionalCap": "100000", - "notionalFloor": "50000", - "maintMarginRatio": "0.025", - "cum": "275.0" - } - }, - { - "tier": 4.0, - "currency": "USDT", - "minNotional": 100000.0, - "maxNotional": 1000000.0, - "maintenanceMarginRate": 0.05, - "maxLeverage": 10.0, - "info": { - "bracket": "4", - "initialLeverage": "10", - "notionalCap": "1000000", - "notionalFloor": "100000", - "maintMarginRatio": "0.05", - "cum": "2775.0" - } - }, - { - "tier": 5.0, - "currency": "USDT", - "minNotional": 1000000.0, - "maxNotional": 2000000.0, - "maintenanceMarginRate": 0.1, - "maxLeverage": 5.0, - "info": { - "bracket": "5", - "initialLeverage": "5", - "notionalCap": "2000000", - "notionalFloor": "1000000", - "maintMarginRatio": "0.1", - "cum": "52775.0" - } - }, - { - "tier": 6.0, - "currency": "USDT", - "minNotional": 2000000.0, - "maxNotional": 2500000.0, - "maintenanceMarginRate": 0.125, - "maxLeverage": 4.0, - "info": { - "bracket": "6", - "initialLeverage": "4", - "notionalCap": "2500000", - "notionalFloor": "2000000", - "maintMarginRatio": "0.125", - "cum": "102775.0" - } - }, - { - "tier": 7.0, - "currency": "USDT", - "minNotional": 2500000.0, - "maxNotional": 5000000.0, - "maintenanceMarginRate": 0.25, - "maxLeverage": 2.0, - "info": { - "bracket": "7", - "initialLeverage": "2", - "notionalCap": "5000000", - "notionalFloor": "2500000", - "maintMarginRatio": "0.25", - "cum": "415275.0" - } - }, - { - "tier": 8.0, - "currency": "USDT", - "minNotional": 5000000.0, - "maxNotional": 6000000.0, - "maintenanceMarginRate": 0.5, - "maxLeverage": 1.0, - "info": { - "bracket": "8", - "initialLeverage": "1", - "notionalCap": "6000000", - "notionalFloor": "5000000", - "maintMarginRatio": "0.5", - "cum": "1665275.0" - } - } - ], "RONIN/USDT:USDT": [ { "tier": 1.0, diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 2b6373ab8..3ed35b03d 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -128,6 +128,7 @@ class Exchange: # Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency "ohlcv_volume_currency": "base", # "base" or "quote" "tickers_have_quoteVolume": True, + "tickers_have_percentage": True, "tickers_have_bid_ask": True, # bid / ask empty for fetch_tickers "tickers_have_price": True, "trades_limit": 1000, # Limit for 1 call to fetch_trades diff --git a/freqtrade/exchange/hyperliquid.py b/freqtrade/exchange/hyperliquid.py index d2b1e1482..9b8598432 100644 --- a/freqtrade/exchange/hyperliquid.py +++ b/freqtrade/exchange/hyperliquid.py @@ -17,7 +17,7 @@ class Hyperliquid(Exchange): _ft_has: Dict = { # Only the most recent 5000 candles are available according to the # exchange's API documentation. - "ohlcv_has_history": True, + "ohlcv_has_history": False, "ohlcv_candle_limit": 5000, "trades_has_history": False, # Trades endpoint doesn't seem available. "exchange_has_overrides": {"fetchTrades": False}, diff --git a/freqtrade/exchange/types.py b/freqtrade/exchange/types.py index 5568e4336..a0d315c78 100644 --- a/freqtrade/exchange/types.py +++ b/freqtrade/exchange/types.py @@ -12,6 +12,7 @@ class Ticker(TypedDict): last: Optional[float] quoteVolume: Optional[float] baseVolume: Optional[float] + percentage: Optional[float] # Several more - only listing required. diff --git a/freqtrade/plugins/pairlist/PercentVolumeChangePairList.py b/freqtrade/plugins/pairlist/PercentChangePairList.py similarity index 59% rename from freqtrade/plugins/pairlist/PercentVolumeChangePairList.py rename to freqtrade/plugins/pairlist/PercentChangePairList.py index 0aee37959..b22891b98 100644 --- a/freqtrade/plugins/pairlist/PercentVolumeChangePairList.py +++ b/freqtrade/plugins/pairlist/PercentChangePairList.py @@ -1,30 +1,30 @@ """ -Change PairList provider +Percent Change PairList provider Provides dynamic pair list based on trade change -sorted based on percentage change in volume over a -defined period +sorted based on percentage change in price over a +defined period or as coming from ticker """ + import logging from datetime import timedelta -from typing import Any, Dict, List, Literal +from typing import Any, Dict, List, Optional from cachetools import TTLCache +from pandas import DataFrame -from freqtrade.constants import ListPairsWithTimeframes +from freqtrade.constants import ListPairsWithTimeframes, PairWithTimeframe from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date -from freqtrade.exchange.types import Tickers +from freqtrade.exchange.types import Ticker, Tickers from freqtrade.plugins.pairlist.IPairList import IPairList, PairlistParameter, SupportsBacktesting from freqtrade.util import dt_now, format_ms_time logger = logging.getLogger(__name__) -SORT_VALUES = ["rolling_volume_change"] - -class PercentVolumeChangePairList(IPairList): +class PercentChangePairList(IPairList): is_pairlist_generator = True supports_backtesting = SupportsBacktesting.NO @@ -39,16 +39,14 @@ class PercentVolumeChangePairList(IPairList): self._stake_currency = self._config["stake_currency"] self._number_pairs = self._pairlistconfig["number_assets"] - self._sort_key: Literal["rolling_volume_change"] = self._pairlistconfig.get( - "sort_key", "rolling_volume_change" - ) - self._min_value = self._pairlistconfig.get("min_value", 0) + self._min_value = self._pairlistconfig.get("min_value", None) self._max_value = self._pairlistconfig.get("max_value", None) 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._sort_direction: Optional[str] = self._pairlistconfig.get("sort_direction", "desc") self._def_candletype = self._config["candle_type_def"] if (self._lookback_days > 0) & (self._lookback_period > 0): @@ -79,23 +77,18 @@ class PercentVolumeChangePairList(IPairList): if not self._use_range and not ( self._exchange.exchange_has("fetchTickers") - and self._exchange.get_option("tickers_have_change") + and self._exchange.get_option("tickers_have_percentage") ): raise OperationalException( "Exchange does not support dynamic whitelist in this configuration. " - "Please edit your config and either remove PercentVolumeChangePairList, " + "Please edit your config and either remove PercentChangePairList, " "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 = self._exchange.ohlcv_candle_limit( self._lookback_timeframe, self._config["candle_type_def"] ) - if self._lookback_period < 4: - raise OperationalException("ChangeFilter requires lookback_period to be >= 4") - self.log_once(f"Candle limit is {candle_limit}", logger.info) + if self._lookback_period > candle_limit: raise OperationalException( "ChangeFilter requires lookback_period to not " @@ -111,19 +104,15 @@ class PercentVolumeChangePairList(IPairList): """ 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']} percent " - f"volume change pairs.") + return f"{self.name} - top {self._pairlistconfig['number_assets']} percent change pairs." @staticmethod def description() -> str: - return "Provides dynamic pair list based on percentage volume change." + return "Provides dynamic pair list based on percentage change." @staticmethod def available_parameters() -> Dict[str, PairlistParameter]: @@ -134,16 +123,9 @@ class PercentVolumeChangePairList(IPairList): "description": "Number of assets", "help": "Number of assets to use from the pairlist", }, - "sort_key": { - "type": "option", - "default": "rolling_volume_change", - "options": SORT_VALUES, - "description": "Sort key", - "help": "Sort key to use for sorting the pairlist.", - }, "min_value": { "type": "number", - "default": 0, + "default": None, "description": "Minimum value", "help": "Minimum value to use for filtering the pairlist.", }, @@ -153,12 +135,14 @@ class PercentVolumeChangePairList(IPairList): "description": "Maximum value", "help": "Maximum value to use for filtering the pairlist.", }, - "refresh_period": { - "type": "number", - "default": 1800, - "description": "Refresh period", - "help": "Refresh period in seconds", + "sort_direction": { + "type": "option", + "default": "desc", + "options": ["", "asc", "desc"], + "description": "Sort pairlist", + "help": "Sort Pairlist ascending or descending by rate of change.", }, + **IPairList.refresh_period_parameter(), "lookback_days": { "type": "number", "default": 0, @@ -185,8 +169,6 @@ class PercentVolumeChangePairList(IPairList): :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 @@ -209,7 +191,7 @@ class PercentVolumeChangePairList(IPairList): 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 (self._use_range or v.get("percentage") is not None) and v["symbol"] in _pairlist ) ] @@ -230,83 +212,25 @@ class PercentVolumeChangePairList(IPairList): :param tickers: Tickers (from exchange.get_tickers). May be cached. :return: new whitelist """ - self.log_once(f"Filter ticker is self use range {pairlist}", logger.warning) + filtered_tickers: List[Dict[str, Any]] = [{"symbol": k} for k in pairlist] if self._use_range: - 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, - dt_now() - + 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, dt_now() - timedelta(minutes=self._tf_in_min) - ).timestamp() - ) - * 1000 - ) - - # todo: utc date output for starting date - self.log_once( - f"Using change 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 - ] - - candles = self._exchange.refresh_ohlcv_with_cache(needed_pairs, since_ms) - - for i, p in enumerate(filtered_tickers): - 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 change for candle - if pair_candles is not None and not pair_candles.empty: - pair_candles["rolling_volume_sum"] = ( - pair_candles["volume"].rolling(window=self._lookback_period).sum() - ) - pair_candles["rolling_volume_change"] = ( - pair_candles["rolling_volume_sum"].pct_change() * 100 - ) - - # ensure that a rolling sum over the lookback_period is built - # if pair_candles contains more candles than lookback_period - rolling_volume_change = pair_candles["rolling_volume_change"].fillna(0).iloc[-1] - - # replace change with a range change sum calculated above - filtered_tickers[i]["rolling_volume_change"] = rolling_volume_change - self.log_once(f"ticker {filtered_tickers[i]}", logger.info) - else: - filtered_tickers[i]["rolling_volume_change"] = 0 + # calculating using lookback_period + self.fetch_percent_change_from_lookback_period(filtered_tickers) else: - filtered_tickers = [v for k, v in tickers.items() if k in pairlist] + # Fetching 24h change by default from supported exchange tickers + self.fetch_percent_change_from_tickers(filtered_tickers, tickers) - filtered_tickers = [v for v in filtered_tickers if v[self._sort_key] > self._min_value] + if self._min_value is not None: + filtered_tickers = [v for v in filtered_tickers if v["percentage"] > self._min_value] if self._max_value is not None: - filtered_tickers = [v for v in filtered_tickers if v[self._sort_key] < self._max_value] + filtered_tickers = [v for v in filtered_tickers if v["percentage"] < self._max_value] - sorted_tickers = sorted(filtered_tickers, reverse=True, key=lambda t: t[self._sort_key]) + sorted_tickers = sorted( + filtered_tickers, + reverse=self._sort_direction == "desc", + key=lambda t: t["percentage"], + ) - self.log_once(f"Sorted Tickers {sorted_tickers}", logger.info) # 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) @@ -314,3 +238,92 @@ class PercentVolumeChangePairList(IPairList): pairs = pairs[: self._number_pairs] return pairs + + def fetch_candles_for_lookback_period( + self, filtered_tickers: List[Dict[str, str]] + ) -> Dict[PairWithTimeframe, DataFrame]: + since_ms = ( + int( + timeframe_to_prev_date( + self._lookback_timeframe, + dt_now() + + 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, dt_now() - timedelta(minutes=self._tf_in_min) + ).timestamp() + ) + * 1000 + ) + # todo: utc date output for starting date + self.log_once( + f"Using change 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 + ] + candles = self._exchange.refresh_ohlcv_with_cache(needed_pairs, since_ms) + return candles + + def fetch_percent_change_from_lookback_period(self, filtered_tickers: List[Dict[str, Any]]): + # get lookback period in ms, for exchange ohlcv fetch + candles = self.fetch_candles_for_lookback_period(filtered_tickers) + + for i, p in enumerate(filtered_tickers): + 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 change for candle + if pair_candles is not None and not pair_candles.empty: + current_close = pair_candles["close"].iloc[-1] + previous_close = pair_candles["close"].shift(self._lookback_period).iloc[-1] + pct_change = ( + ((current_close - previous_close) / previous_close) if previous_close > 0 else 0 + ) + + # replace change with a range change sum calculated above + filtered_tickers[i]["percentage"] = pct_change + else: + filtered_tickers[i]["percentage"] = 0 + + def fetch_percent_change_from_tickers(self, filtered_tickers: List[Dict[str, Any]], tickers): + for i, p in enumerate(filtered_tickers): + # Filter out assets + if not self._validate_pair( + p["symbol"], tickers[p["symbol"]] if p["symbol"] in tickers else None + ): + filtered_tickers.remove(p) + else: + filtered_tickers[i]["percentage"] = tickers[p["symbol"]]["percentage"] + + def _validate_pair(self, pair: str, ticker: Optional[Ticker]) -> bool: + """ + Check if one price-step (pip) is > than a certain barrier. + :param pair: Pair that's currently validated + :param ticker: ticker dict as returned from ccxt.fetch_ticker + :return: True if the pair can stay, false if it should be removed + """ + if not ticker or "percentage" not in ticker or ticker["percentage"] is None: + self.log_once( + f"Removed {pair} from whitelist, because " + "ticker['percentage'] is empty (Usually no trade in the last 24h).", + logger.info, + ) + return False + + return True diff --git a/freqtrade/templates/base_config.json.j2 b/freqtrade/templates/base_config.json.j2 index 4956cf056..86a717a40 100644 --- a/freqtrade/templates/base_config.json.j2 +++ b/freqtrade/templates/base_config.json.j2 @@ -6,6 +6,7 @@ "refresh_period": 1800 }' %} { + "$schema": "https://schema.freqtrade.io/schema.json", "max_open_trades": {{ max_open_trades }}, "stake_currency": "{{ stake_currency }}", "stake_amount": {{ stake_amount }}, diff --git a/ft_client/freqtrade_client/__init__.py b/ft_client/freqtrade_client/__init__.py index 9311fc85d..68ef44422 100644 --- a/ft_client/freqtrade_client/__init__.py +++ b/ft_client/freqtrade_client/__init__.py @@ -1,7 +1,7 @@ from freqtrade_client.ft_rest_client import FtRestClient -__version__ = "2024.7-dev" +__version__ = "2024.8-dev" if "dev" in __version__: from pathlib import Path diff --git a/ft_client/requirements.txt b/ft_client/requirements.txt index 5e6856e92..c0d627247 100644 --- a/ft_client/requirements.txt +++ b/ft_client/requirements.txt @@ -1,3 +1,3 @@ # Requirements for freqtrade client library requests==2.32.3 -python-rapidjson==1.18 +python-rapidjson==1.19 diff --git a/requirements-dev.txt b/requirements-dev.txt index a89604996..554cf7778 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -7,10 +7,10 @@ -r docs/requirements-docs.txt coveralls==4.0.1 -ruff==0.5.4 +ruff==0.5.5 mypy==1.11.0 -pre-commit==3.7.1 -pytest==8.3.1 +pre-commit==3.8.0 +pytest==8.3.2 pytest-asyncio==0.23.8 pytest-cov==5.0.0 pytest-mock==3.14.0 diff --git a/requirements-freqai.txt b/requirements-freqai.txt index c57e66d2d..f2d6bd5f5 100644 --- a/requirements-freqai.txt +++ b/requirements-freqai.txt @@ -6,7 +6,7 @@ scikit-learn==1.5.1 joblib==1.4.2 catboost==1.2.5; 'arm' not in platform_machine -lightgbm==4.4.0 +lightgbm==4.5.0 xgboost==2.0.3 tensorboard==2.17.0 datasieve==0.1.7 diff --git a/requirements-plot.txt b/requirements-plot.txt index b4dc2e46c..6641fe524 100644 --- a/requirements-plot.txt +++ b/requirements-plot.txt @@ -1,4 +1,4 @@ # Include all requirements to run the bot. -r requirements.txt -plotly==5.22.0 +plotly==5.23.0 diff --git a/requirements.txt b/requirements.txt index 570459975..fc2272fdf 100644 --- a/requirements.txt +++ b/requirements.txt @@ -4,7 +4,7 @@ bottleneck==1.4.0 numexpr==2.10.1 pandas-ta==0.3.14b -ccxt==4.3.65 +ccxt==4.3.68 cryptography==43.0.0 aiohttp==3.9.5 SQLAlchemy==2.0.31 @@ -30,7 +30,7 @@ pyarrow==17.0.0; platform_machine != 'armv7l' py_find_1st==1.1.6 # Load ticker files 30% faster -python-rapidjson==1.18 +python-rapidjson==1.19 # Properly format api responses orjson==3.10.6 diff --git a/setup.sh b/setup.sh index f1317c02c..18f7682d8 100755 --- a/setup.sh +++ b/setup.sh @@ -49,7 +49,7 @@ function updateenv() { source .venv/bin/activate SYS_ARCH=$(uname -m) echo "pip install in-progress. Please wait..." - ${PYTHON} -m pip install --upgrade "pip<=24.0" wheel setuptools + ${PYTHON} -m pip install --upgrade pip wheel setuptools REQUIREMENTS_HYPEROPT="" REQUIREMENTS_PLOT="" REQUIREMENTS_FREQAI="" diff --git a/tests/conftest.py b/tests/conftest.py index 2d56d9d9e..c0a9f2485 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -2188,7 +2188,7 @@ def tickers(): "first": None, "last": 530.21, "change": 0.558, - "percentage": None, + "percentage": 2.349, "average": None, "baseVolume": 72300.0659, "quoteVolume": 37670097.3022171, diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index e5a19ea74..37ebdc58b 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -31,11 +31,9 @@ from tests.conftest import ( ) -# Exclude RemotePairList and PercentVolumeChangePairList from tests. -# They have mandatory parameters, and requires special handling, -# which happens in test_remotepairlist and test_percentvolumechangepairlist. -TESTABLE_PAIRLISTS = [p for p in AVAILABLE_PAIRLISTS - if p not in ["RemotePairList", "PercentVolumeChangePairList"]] +# Exclude RemotePairList from tests. +# It has a mandatory parameter, and requires special handling, which happens in test_remotepairlist. +TESTABLE_PAIRLISTS = [p for p in AVAILABLE_PAIRLISTS if p not in ["RemotePairList"]] @pytest.fixture(scope="function") diff --git a/tests/plugins/test_percentvolumechangepairlist.py b/tests/plugins/test_percentchangepairlist.py similarity index 81% rename from tests/plugins/test_percentvolumechangepairlist.py rename to tests/plugins/test_percentchangepairlist.py index b09307151..df165cf98 100644 --- a/tests/plugins/test_percentvolumechangepairlist.py +++ b/tests/plugins/test_percentchangepairlist.py @@ -7,7 +7,7 @@ import pytest from freqtrade.data.converter import ohlcv_to_dataframe from freqtrade.enums import CandleType from freqtrade.exceptions import OperationalException -from freqtrade.plugins.pairlist.PercentVolumeChangePairList import PercentVolumeChangePairList +from freqtrade.plugins.pairlist.PercentChangePairList import PercentChangePairList from freqtrade.plugins.pairlistmanager import PairListManager from tests.conftest import ( EXMS, @@ -33,9 +33,9 @@ def rpl_config(default_conf): def test_volume_change_pair_list_init_exchange_support(mocker, rpl_config): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", + "method": "PercentChangePairList", "number_assets": 2, - "sort_key": "rolling_volume_change", + "sort_key": "percentage", "min_value": 0, "refresh_period": 86400, } @@ -44,7 +44,7 @@ def test_volume_change_pair_list_init_exchange_support(mocker, rpl_config): with pytest.raises( OperationalException, match=r"Exchange does not support dynamic whitelist in this configuration. " - r"Please edit your config and either remove PercentVolumeChangePairList, " + r"Please edit your config and either remove PercentChangePairList, " r"or switch to using candles. and restart the bot.", ): get_patched_freqtradebot(mocker, rpl_config) @@ -53,9 +53,9 @@ def test_volume_change_pair_list_init_exchange_support(mocker, rpl_config): def test_volume_change_pair_list_init_wrong_refresh_period(mocker, rpl_config): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", + "method": "PercentChangePairList", "number_assets": 2, - "sort_key": "rolling_volume_change", + "sort_key": "percentage", "min_value": 0, "refresh_period": 1800, "lookback_days": 4, @@ -74,9 +74,9 @@ def test_volume_change_pair_list_init_wrong_refresh_period(mocker, rpl_config): def test_volume_change_pair_list_init_wrong_lookback_period(mocker, rpl_config): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", + "method": "PercentChangePairList", "number_assets": 2, - "sort_key": "rolling_volume_change", + "sort_key": "percentage", "min_value": 0, "refresh_period": 86400, "lookback_days": 3, @@ -95,41 +95,9 @@ def test_volume_change_pair_list_init_wrong_lookback_period(mocker, rpl_config): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", + "method": "PercentChangePairList", "number_assets": 2, - "sort_key": "rolling_volume_change", - "min_value": 0, - "refresh_period": 86400, - "lookback_days": 3, - } - ] - - with pytest.raises( - OperationalException, match=r"ChangeFilter requires lookback_period to be >= 4" - ): - get_patched_freqtradebot(mocker, rpl_config) - - rpl_config["pairlists"] = [ - { - "method": "PercentVolumeChangePairList", - "number_assets": 2, - "sort_key": "rolling_volume_change", - "min_value": 0, - "refresh_period": 86400, - "lookback_period": 3, - } - ] - - with pytest.raises( - OperationalException, match=r"ChangeFilter requires lookback_period to be >= 4" - ): - get_patched_freqtradebot(mocker, rpl_config) - - rpl_config["pairlists"] = [ - { - "method": "PercentVolumeChangePairList", - "number_assets": 2, - "sort_key": "rolling_volume_change", + "sort_key": "percentage", "min_value": 0, "refresh_period": 86400, "lookback_days": 1001, @@ -147,8 +115,8 @@ def test_volume_change_pair_list_init_wrong_lookback_period(mocker, rpl_config): def test_volume_change_pair_list_init_wrong_config(mocker, rpl_config): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", - "sort_key": "rolling_volume_change", + "method": "PercentChangePairList", + "sort_key": "percentage", "min_value": 0, "refresh_period": 86400, } @@ -165,9 +133,9 @@ def test_volume_change_pair_list_init_wrong_config(mocker, rpl_config): def test_gen_pairlist_with_valid_change_pair_list_config(mocker, rpl_config, tickers, time_machine): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", + "method": "PercentChangePairList", "number_assets": 2, - "sort_key": "rolling_volume_change", + "sort_key": "percentage", "min_value": 0, "refresh_period": 86400, "lookback_days": 4, @@ -210,7 +178,7 @@ def test_gen_pairlist_with_valid_change_pair_list_config(mocker, rpl_config, tic ) ), ("TKN/USDT", "1d", CandleType.SPOT): pd.DataFrame( - # Make sure always have highest rolling_volume_change + # Make sure always have highest percentage { "timestamp": [ "2024-07-01 00:00:00", @@ -234,24 +202,25 @@ def test_gen_pairlist_with_valid_change_pair_list_config(mocker, rpl_config, tic exchange = get_patched_exchange(mocker, rpl_config, exchange="binance") pairlistmanager = PairListManager(exchange, rpl_config) - remote_pairlist = PercentVolumeChangePairList( + remote_pairlist = PercentChangePairList( exchange, pairlistmanager, rpl_config, rpl_config["pairlists"][0], 0 ) result = remote_pairlist.gen_pairlist(tickers) assert len(result) == 2 - assert result == ["TKN/USDT", "BTC/USDT"] + assert result == ["NEO/USDT", "TKN/USDT"] def test_filter_pairlist_with_empty_ticker(mocker, rpl_config, tickers, time_machine): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", + "method": "PercentChangePairList", "number_assets": 2, - "sort_key": "rolling_volume_change", + "sort_key": "percentage", "min_value": 0, "refresh_period": 86400, + "sort_direction": "asc", "lookback_days": 4, } ] @@ -272,7 +241,7 @@ def test_filter_pairlist_with_empty_ticker(mocker, rpl_config, tickers, time_mac "open": [100, 102, 101, 103, 104, 105], "high": [102, 103, 102, 104, 105, 106], "low": [99, 101, 100, 102, 103, 104], - "close": [101, 102, 103, 104, 105, 106], + "close": [101, 102, 103, 104, 105, 105], "volume": [1000, 1500, 2000, 2500, 3000, 3500], } ), @@ -289,8 +258,8 @@ def test_filter_pairlist_with_empty_ticker(mocker, rpl_config, tickers, time_mac "open": [100, 102, 101, 103, 104, 105], "high": [102, 103, 102, 104, 105, 106], "low": [99, 101, 100, 102, 103, 104], - "close": [101, 102, 103, 104, 105, 106], - "volume": [1000, 1500, 2000, 2500, 3000, 3500], + "close": [101, 102, 103, 104, 105, 104], + "volume": [1000, 1500, 2000, 2500, 3000, 3400], } ), } @@ -299,22 +268,22 @@ def test_filter_pairlist_with_empty_ticker(mocker, rpl_config, tickers, time_mac exchange = get_patched_exchange(mocker, rpl_config, exchange="binance") pairlistmanager = PairListManager(exchange, rpl_config) - remote_pairlist = PercentVolumeChangePairList( + remote_pairlist = PercentChangePairList( exchange, pairlistmanager, rpl_config, rpl_config["pairlists"][0], 0 ) result = remote_pairlist.filter_pairlist(rpl_config["exchange"]["pair_whitelist"], {}) assert len(result) == 2 - assert result == ["ETH/USDT", "XRP/USDT"] + assert result == ["XRP/USDT", "ETH/USDT"] def test_filter_pairlist_with_max_value_set(mocker, rpl_config, tickers, time_machine): rpl_config["pairlists"] = [ { - "method": "PercentVolumeChangePairList", + "method": "PercentChangePairList", "number_assets": 2, - "sort_key": "rolling_volume_change", + "sort_key": "percentage", "min_value": 0, "max_value": 15, "refresh_period": 86400, @@ -356,7 +325,7 @@ def test_filter_pairlist_with_max_value_set(mocker, rpl_config, tickers, time_ma "open": [100, 102, 101, 103, 104, 105], "high": [102, 103, 102, 104, 105, 106], "low": [99, 101, 100, 102, 103, 104], - "close": [101, 102, 103, 104, 105, 106], + "close": [101, 102, 103, 104, 105, 101], "volume": [1000, 1500, 2000, 2500, 3000, 3500], } ), @@ -366,7 +335,7 @@ def test_filter_pairlist_with_max_value_set(mocker, rpl_config, tickers, time_ma exchange = get_patched_exchange(mocker, rpl_config, exchange="binance") pairlistmanager = PairListManager(exchange, rpl_config) - remote_pairlist = PercentVolumeChangePairList( + remote_pairlist = PercentChangePairList( exchange, pairlistmanager, rpl_config, rpl_config["pairlists"][0], 0 ) @@ -374,3 +343,28 @@ def test_filter_pairlist_with_max_value_set(mocker, rpl_config, tickers, time_ma assert len(result) == 1 assert result == ["ETH/USDT"] + + +def test_gen_pairlist_from_tickers(mocker, rpl_config, tickers): + rpl_config["pairlists"] = [ + { + "method": "PercentChangePairList", + "number_assets": 2, + "sort_key": "percentage", + "min_value": 0, + } + ] + + mocker.patch(f"{EXMS}.exchange_has", MagicMock(return_value=True)) + + exchange = get_patched_exchange(mocker, rpl_config, exchange="binance") + pairlistmanager = PairListManager(exchange, rpl_config) + + remote_pairlist = PercentChangePairList( + exchange, pairlistmanager, rpl_config, rpl_config["pairlists"][0], 0 + ) + + result = remote_pairlist.gen_pairlist(tickers.return_value) + + assert len(result) == 1 + assert result == ["ETH/USDT"]