You can specify the list of trading instruments directly in the yaml configuration file through pairs, or you can automatically filter the trading list through the instrument manager.

When you use pairs to specify the instrument list, the instrument filter is not enabled by default. But you can set pairmgr.force_filters to true to enable it and filter the given instrument list.

Runtime

When the robot starts, the instrument filter will be run once by default to get the list of tradable instruments.

You can also specify a cron expression to execute and refresh the tradable list regularly.

When a certain instrument needs to be removed, if there is an open order, it will not be removed temporarily.

The corn expression will also be executed during backtesting to refresh the instrument list regularly to achieve an effect similar to real-time trading.

All supported filters

• VolumePairList
• PriceFilter
• RateOfChangeFilter
• SpreadFilter
• CorrelationFilter
• VolatilityFilter
• AgeFilter
• OffsetFilter
• ShuffleFilter The first of the yaml instrument filter list must be VolumePairList, which can return a list of instruments from all instruments in the market.

VolumePairList

Sort/filter currency pairs by volume. When it is the first, it will calculate the volume of all instruments in the period specified by back_timeframe and back_period and return it in descending order.

- name: VolumePairList # Sort all trading pairs by volume value in descending order
  limit: 100 # Take the first 100
  min_value: 100000 # Minimum volume value
  refresh_secs: 7200 # Cache time
  back_timeframe: 1d # Calculate volume time period, default: day
  back_period: 1 # Calculate volume multiplier, multiply with back_timeframe to get time range

PriceFilter

Allows filtering instrument lists by price.

- name: PriceFilter # Price filter
  max_unit_value: 100 # The value corresponding to the maximum allowed unit price change (for the pricing currency, usually USDT).
  precision: 0.0015 # Filter trading pairs by price precision, the default minimum price change unit is 0.1%
  min: 0.001 # Minimum price
  max: 100000 # Maximum price

RateOfChangeFilter

Volatility filter.

- name: RateOfChangeFilter # Volatility filter
  back_days: 5 # Number of days to review the candle
  min: 0.03 # Minimum price change ratio
  max: 10 # Maximum price change ratio
  refresh_period: 1440 # Cache time, seconds

SpreadFilter

Liquidity filter. Formula: 1-bid/ask, the maximum ratio of bid-ask spread to price

- name: SpreadFilter # Liquidity filter
  max_ratio: 0.005 # Formula: 1-bid/ask, the maximum ratio of bid-ask spread to price

CorrelationFilter

Correlation coefficient filter.

- name: CorrelationFilter # Correlation filter
  min: -1 # Used to filter the average correlation between the current currency and the entire market; the default is 0, which means it is not enabled
  max: 1 # Used to filter the average correlation between the current currency and the entire market; the default is 0, which means it is not enabled
  timeframe: 5m # Data period used to calculate correlation
  back_num: 70 # Length of data for calculating correlation review
  top_n: 50 # Only return the top n currencies with the lowest correlation, the default is 0 and there is no limit

VolatilityFilter

Volatility filter. Formula: std(log(c/c1)) * sqrt(back_days)

- name: VolatilityFilter # Volatility filter, formula: std(log(c/c1)) * sqrt(back_days)
  back_days: 10 # Number of days to review the candle
  max: 1 # Maximum value of the volatility score. The larger the value, the more it allows for some targets that change very drastically at the 1d level
  min: 0.05 # Minimum value of the volatility score. The smaller the value, the more it allows for some targets that change very little at the 1d level
  refresh_period: 1440 # Cache time

AgeFilter

Filter by the listing time of the product.

- name: AgeFilter # Filter by the listing days of the target
  min: 5

OffsetFilter

According to the given offset, take the specified number of products. Usually used at the end

- name: OffsetFilter # Offset limit selection. Usually used at the end
  offset: 10 # Start from the 10th
  limit: 30 # Take up to 30

ShuffleFilter

Random shuffle

- name: ShuffleFilter # Random shuffle
  seed: 42 # Random number seed, optional