mirror of
https://github.com/freqtrade/freqtrade.git
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114 lines
4.8 KiB
Python
114 lines
4.8 KiB
Python
"""
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Volume PairList provider
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Provides lists as configured in config.json
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"""
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import logging
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from typing import List
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from cachetools import TTLCache, cached
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from freqtrade.pairlist.IPairList import IPairList
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from freqtrade import OperationalException
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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, freqtrade, config: dict) -> None:
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super().__init__(freqtrade, config)
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self._whitelistconf = self._config.get('pairlist', {}).get('config')
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if 'number_assets' not in self._whitelistconf:
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raise OperationalException(
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f'`number_assets` not specified. Please check your configuration '
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'for "pairlist.config.number_assets"')
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self._number_pairs = self._whitelistconf['number_assets']
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self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
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self._precision_filter = self._whitelistconf.get('precision_filter', True)
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if not self._freqtrade.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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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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-> Please overwrite in subclasses
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"""
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return f"{self.name} - top {self._whitelistconf['number_assets']} volume pairs."
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def refresh_pairlist(self) -> None:
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"""
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Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
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-> Please overwrite in subclasses
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"""
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# Generate dynamic whitelist
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self._whitelist = self._gen_pair_whitelist(
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self._config['stake_currency'], self._sort_key)
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def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
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"""
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Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
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low value pairs.
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:param stoploss: stoploss value as set in the configuration
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(already cleaned to be guaranteed negative)
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:return: True if the pair can stay, false if it should be removed
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"""
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stop_price = (self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss)
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# Adjust stop-prices to precision
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sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
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stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
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stop_price * 0.99)
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logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}")
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if sp <= stop_gap_price:
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logger.info(f"Removed {ticker['symbol']} from whitelist, "
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f"because stop price {sp} would be <= stop limit {stop_gap_price}")
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return False
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return True
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@cached(TTLCache(maxsize=1, ttl=1800))
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def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
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"""
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Updates the whitelist with with a dynamically generated list
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:param base_currency: base currency as str
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:param key: sort key (defaults to 'quoteVolume')
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:return: List of pairs
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"""
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tickers = self._freqtrade.exchange.get_tickers()
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# check length so that we make sure that '/' is actually in the string
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tickers = [v for k, v in tickers.items()
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if (len(k.split('/')) == 2 and k.split('/')[1] == base_currency
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and v[key] is not None)]
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sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
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# Validate whitelist to only have active market pairs
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valid_pairs = self._validate_whitelist([s['symbol'] for s in sorted_tickers])
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valid_tickers = [t for t in sorted_tickers if t["symbol"] in valid_pairs]
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stoploss = None
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if self._freqtrade.strategy.stoploss is not None:
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# Precalculate sanitized stoploss value to avoid recalculation for every pair
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stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
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for t in valid_tickers:
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# Filter out assets which would not allow setting a stoploss
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if (stoploss and self._precision_filter
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and not self._validate_precision_filter(t, stoploss)):
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valid_tickers.remove(t)
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pairs = [s['symbol'] for s in valid_tickers]
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logger.info(f"Searching pairs: {pairs[:self._number_pairs]}")
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return pairs
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