mirror of
https://github.com/freqtrade/freqtrade.git
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123 lines
4.7 KiB
Python
123 lines
4.7 KiB
Python
"""
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Volume PairList provider
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Provides dynamic pair list based on trade volumes
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"""
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import logging
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from datetime import datetime
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from typing import Any, Dict, List
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from freqtrade.exceptions import OperationalException
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from freqtrade.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']
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class VolumePairList(IPairList):
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def __init__(self, exchange, pairlistmanager, config: Dict[str, Any], pairlistconfig: dict,
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pairlist_pos: int) -> None:
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super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
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if 'number_assets' not in self._pairlistconfig:
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raise OperationalException(
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'`number_assets` not specified. Please check your configuration '
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'for "pairlist.config.number_assets"')
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self._stake_currency = config['stake_currency']
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self._number_pairs = self._pairlistconfig['number_assets']
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self._sort_key = self._pairlistconfig.get('sort_key', 'quoteVolume')
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self._min_value = self._pairlistconfig.get('min_value', 0)
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self.refresh_period = self._pairlistconfig.get('refresh_period', 1800)
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if not self._exchange.exchange_has('fetchTickers'):
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raise OperationalException(
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'Exchange does not support dynamic whitelist.'
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'Please edit your config and restart the bot'
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)
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if not self._validate_keys(self._sort_key):
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raise OperationalException(
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f'key {self._sort_key} not in {SORT_VALUES}')
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if self._sort_key != 'quoteVolume':
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logger.warning(
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"DEPRECATED: using any key other than quoteVolume for VolumePairList is deprecated."
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)
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@property
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def needstickers(self) -> bool:
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"""
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Boolean property defining if tickers are necessary.
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If no Pairlist requries tickers, an empty List is passed
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as tickers argument to filter_pairlist
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"""
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return True
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def _validate_keys(self, key):
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return key in SORT_VALUES
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def short_desc(self) -> str:
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"""
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Short whitelist method description - used for startup-messages
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"""
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return f"{self.name} - top {self._pairlistconfig['number_assets']} volume pairs."
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def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Filters and sorts pairlist and returns the whitelist again.
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Called on each bot iteration - please use internal caching if necessary
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:param pairlist: pairlist to filter or sort
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:param tickers: Tickers (from exchange.get_tickers()). May be cached.
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:return: new whitelist
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"""
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# Generate dynamic whitelist
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# Must always run if this pairlist is not the first in the list.
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if (self._pairlist_pos != 0 or
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(self._last_refresh + self.refresh_period < datetime.now().timestamp())):
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self._last_refresh = int(datetime.now().timestamp())
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pairs = self._gen_pair_whitelist(pairlist, tickers)
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else:
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pairs = pairlist
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self.log_on_refresh(logger.info, f"Searching {self._number_pairs} pairs: {pairs}")
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return pairs
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def _gen_pair_whitelist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Updates the whitelist with with a dynamically generated list
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:param pairlist: pairlist to filter or sort
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:param tickers: Tickers (from exchange.get_tickers()).
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:return: List of pairs
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"""
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if self._pairlist_pos == 0:
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# If VolumePairList is the first in the list, use fresh pairlist
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# Check if pair quote currency equals to the stake currency.
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filtered_tickers = [
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v for k, v in tickers.items()
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if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
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and v[self._sort_key] is not None)]
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else:
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# If other pairlist is in front, use the incoming pairlist.
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filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
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if self._min_value > 0:
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filtered_tickers = [
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v for v in filtered_tickers if v[self._sort_key] > self._min_value]
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sorted_tickers = sorted(filtered_tickers, reverse=True, key=lambda t: t[self._sort_key])
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# Validate whitelist to only have active market pairs
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pairs = self._whitelist_for_active_markets([s['symbol'] for s in sorted_tickers])
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pairs = self.verify_blacklist(pairs, logger.info)
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# Limit pairlist to the requested number of pairs
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pairs = pairs[:self._number_pairs]
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return pairs
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