Merge pull request #1596 from iuvbio/feature/volume-precision-pairlist

Feature/volume precision pairlist
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Matthias 2019-03-03 15:38:31 +01:00 committed by GitHub
commit b7a558b951
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8 changed files with 150 additions and 18 deletions

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@ -49,7 +49,8 @@
"method": "VolumePairList",
"config": {
"number_assets": 20,
"sort_key": "quoteVolume"
"sort_key": "quoteVolume",
"precision_filter": false
}
},
"exchange": {

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@ -280,13 +280,15 @@ By default, a Static Pairlist is used (configured as `"pair_whitelist"` under th
* `"VolumePairList"`
* Formerly available as `--dynamic-whitelist [<number_assets>]`
* Selects `number_assets` top pairs based on `sort_key`, which can be one of `askVolume`, `bidVolume` and `quoteVolume`, defaults to `quoteVolume`.
* Possibility to filter low-value coins that would not allow setting a stop loss
```json
"pairlist": {
"method": "VolumePairList",
"config": {
"number_assets": 20,
"sort_key": "quoteVolume"
"sort_key": "quoteVolume",
"precision_filter": false
}
},
```

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@ -214,7 +214,7 @@ class FreqtradeBot(object):
"""
return [(pair, self.config['ticker_interval']) for pair in pairs]
def get_target_bid(self, pair: str) -> float:
def get_target_bid(self, pair: str, tick: Dict = None) -> float:
"""
Calculates bid target between current ask price and last price
:return: float: Price
@ -231,8 +231,11 @@ class FreqtradeBot(object):
logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
used_rate = order_book_rate
else:
if not tick:
logger.info('Using Last Ask / Last Price')
ticker = self.exchange.get_ticker(pair)
else:
ticker = tick
if ticker['ask'] < ticker['last']:
ticker_rate = ticker['ask']
else:

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@ -74,7 +74,7 @@ class IPairList(ABC):
for market in markets:
pair = market['symbol']
# pair is not int the generated dynamic market, or in the blacklist ... ignore it
# pair is not in the generated dynamic market, or in the blacklist ... ignore it
if pair not in whitelist or pair in self.blacklist:
continue
# else the pair is valid

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@ -1,5 +1,5 @@
"""
Static List provider
Volume PairList provider
Provides lists as configured in config.json
@ -26,6 +26,7 @@ class VolumePairList(IPairList):
'for "pairlist.config.number_assets"')
self._number_pairs = self._whitelistconf['number_assets']
self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
self._precision_filter = self._whitelistconf.get('precision_filter', False)
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
raise OperationalException(
@ -52,9 +53,9 @@ class VolumePairList(IPairList):
-> Please overwrite in subclasses
"""
# Generate dynamic whitelist
pairs = self._gen_pair_whitelist(self._config['stake_currency'], self._sort_key)
# Validate whitelist to only have active market pairs
self._whitelist = self._validate_whitelist(pairs)[:self._number_pairs]
self._whitelist = self._gen_pair_whitelist(
self._config['stake_currency'], self._sort_key)[:self._number_pairs]
logger.info(f"Searching pairs: {self._whitelist}")
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
@ -69,7 +70,25 @@ class VolumePairList(IPairList):
# check length so that we make sure that '/' is actually in the string
tickers = [v for k, v in tickers.items()
if len(k.split('/')) == 2 and k.split('/')[1] == base_currency]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
pairs = [s['symbol'] for s in sorted_tickers]
# Validate whitelist to only have active market pairs
valid_pairs = self._validate_whitelist([s['symbol'] for s in sorted_tickers])
valid_tickers = [t for t in sorted_tickers if t["symbol"] in valid_pairs]
if self._freqtrade.strategy.stoploss is not None and self._precision_filter:
stop_prices = [self._freqtrade.get_target_bid(t["symbol"], t)
* (1 - abs(self._freqtrade.strategy.stoploss)) for t in valid_tickers]
rates = [sp * 0.99 for sp in stop_prices]
logger.debug("\n".join([f"{sp} : {r}" for sp, r in zip(stop_prices[:10], rates[:10])]))
for i, t in enumerate(valid_tickers):
sp = self._freqtrade.exchange.symbol_price_prec(t["symbol"], stop_prices[i])
r = self._freqtrade.exchange.symbol_price_prec(t["symbol"], rates[i])
logger.debug(f"{t['symbol']} - {sp} : {r}")
if sp <= r:
logger.info(f"Removed {t['symbol']} from whitelist, "
f"because stop price {sp} would be <= stop limit {r}")
valid_tickers.remove(t)
pairs = [s['symbol'] for s in valid_tickers]
return pairs

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@ -375,6 +375,78 @@ def markets():
},
},
'info': '',
},
{
'id': 'BTTBTC',
'symbol': 'BTT/BTC',
'base': 'BTT',
'quote': 'BTC',
'active': True,
'precision': {
'base': 8,
'quote': 8,
'amount': 0,
'price': 8
},
'limits': {
'amount': {
'min': 1.0,
'max': 90000000.0
},
'price': {
'min': None,
'max': None
},
'cost': {
'min': 0.001,
'max': None
}
},
'info': "",
},
{
'id': 'USDT-ETH',
'symbol': 'ETH/USDT',
'base': 'ETH',
'quote': 'USDT',
'precision': {
'amount': 8,
'price': 8
},
'limits': {
'amount': {
'min': 0.02214286,
'max': None
},
'price': {
'min': 1e-08,
'max': None
}
},
'active': True,
'info': ""
},
{
'id': 'USDT-LTC',
'symbol': 'LTC/USDT',
'base': 'LTC',
'quote': 'USDT',
'active': True,
'precision': {
'amount': 8,
'price': 8
},
'limits': {
'amount': {
'min': 0.06646786,
'max': None
},
'price': {
'min': 1e-08,
'max': None
}
},
'info': ""
}
])
@ -595,6 +667,7 @@ def tickers():
'vwap': 0.01869197,
'open': 0.018585,
'close': 0.018573,
'last': 0.018799,
'baseVolume': 81058.66,
'quoteVolume': 2247.48374509,
},
@ -642,6 +715,28 @@ def tickers():
'quoteVolume': 1401.65697943,
'info': {}
},
'BTT/BTC': {
'symbol': 'BTT/BTC',
'timestamp': 1550936557206,
'datetime': '2019-02-23T15:42:37.206Z',
'high': 0.00000026,
'low': 0.00000024,
'bid': 0.00000024,
'bidVolume': 2446894197.0,
'ask': 0.00000025,
'askVolume': 2447913837.0,
'vwap': 0.00000025,
'open': 0.00000026,
'close': 0.00000024,
'last': 0.00000024,
'previousClose': 0.00000026,
'change': -0.00000002,
'percentage': -7.692,
'average': None,
'baseVolume': 4886464537.0,
'quoteVolume': 1215.14489611,
'info': {}
},
'ETH/USDT': {
'symbol': 'ETH/USDT',
'timestamp': 1522014804118,

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@ -1309,7 +1309,7 @@ def test_get_markets(default_conf, mocker, markets, exchange_name):
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
ret = exchange.get_markets()
assert isinstance(ret, list)
assert len(ret) == 6
assert len(ret) == 9
assert ret[0]["id"] == "ethbtc"
assert ret[0]["symbol"] == "ETH/BTC"

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@ -80,7 +80,7 @@ def test_refresh_pairlist_dynamic(mocker, markets, tickers, whitelist_conf):
freqtradebot = get_patched_freqtradebot(mocker, whitelist_conf)
# argument: use the whitelist dynamically by exchange-volume
whitelist = ['ETH/BTC', 'TKN/BTC']
whitelist = ['ETH/BTC', 'TKN/BTC', 'BTT/BTC']
freqtradebot.pairlists.refresh_pairlist()
assert whitelist == freqtradebot.pairlists.whitelist
@ -113,23 +113,35 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, markets, tickers)
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch('freqtrade.exchange.Exchange.get_markets', markets)
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, p, r: round(r, 8))
# Test to retrieved BTC sorted on quoteVolume (default)
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='quoteVolume')
assert whitelist == ['ETH/BTC', 'TKN/BTC', 'BLK/BTC', 'LTC/BTC']
assert whitelist == ['ETH/BTC', 'TKN/BTC', 'BTT/BTC']
# Test to retrieve BTC sorted on bidVolume
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
assert whitelist == ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'BLK/BTC']
assert whitelist == ['BTT/BTC', 'TKN/BTC', 'ETH/BTC']
# Test with USDT sorted on quoteVolume (default)
freqtrade.config['stake_currency'] = 'USDT' # this has to be set, otherwise markets are removed
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='USDT', key='quoteVolume')
assert whitelist == ['TKN/USDT', 'ETH/USDT', 'LTC/USDT', 'BLK/USDT']
assert whitelist == ['ETH/USDT', 'LTC/USDT']
# Test with ETH (our fixture does not have ETH, so result should be empty)
freqtrade.config['stake_currency'] = 'ETH'
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='ETH', key='quoteVolume')
assert whitelist == []
freqtrade.pairlists._precision_filter = True
freqtrade.config['stake_currency'] = 'BTC'
# Retest First 2 test-cases to make sure BTT is not in it (too low priced)
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='quoteVolume')
assert whitelist == ['ETH/BTC', 'TKN/BTC']
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
assert whitelist == ['TKN/BTC', 'ETH/BTC']
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
default_conf['pairlist'] = {'method': 'VolumePairList',