stable/freqtrade/pairlist/VolumePairList.py

"""
Volume PairList provider

Provides lists as configured in config.json

 """
import logging
from copy import deepcopy
from typing import List

from cachetools import TTLCache, cached

from freqtrade import OperationalException
from freqtrade.pairlist.IPairList import IPairList

logger = logging.getLogger(__name__)

SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']


class VolumePairList(IPairList):

    def __init__(self, freqtrade, config: dict) -> None:
        super().__init__(freqtrade, config)
        self._whitelistconf = self._config.get('pairlist', {}).get('config')
        if 'number_assets' not in self._whitelistconf:
            raise OperationalException(
                f'`number_assets` not specified. Please check your configuration '
                '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', True)
        self._low_price_percent_filter = self._whitelistconf.get('low_price_percent_filter', None)

        if not self._freqtrade.exchange.exchange_has('fetchTickers'):
            raise OperationalException(
                'Exchange does not support dynamic whitelist.'
                'Please edit your config and restart the bot'
            )
        if not self._validate_keys(self._sort_key):
            raise OperationalException(
                f'key {self._sort_key} not in {SORT_VALUES}')

    def _validate_keys(self, key):
        return key in SORT_VALUES

    def short_desc(self) -> str:
        """
        Short whitelist method description - used for startup-messages
        -> Please overwrite in subclasses
        """
        return f"{self.name} - top {self._whitelistconf['number_assets']} volume pairs."

    def refresh_pairlist(self) -> None:
        """
        Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
        -> Please overwrite in subclasses
        """
        # Generate dynamic whitelist
        self._whitelist = self._gen_pair_whitelist(
            self._config['stake_currency'], self._sort_key)

    def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
        """
        Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
        low value pairs.
        :param ticker: ticker dict as returned from ccxt.load_markets()
        :param stoploss: stoploss value as set in the configuration
                        (already cleaned to be 1 - stoploss)
        :return: True if the pair can stay, false if it should be removed
        """
        stop_price = self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss
        # Adjust stop-prices to precision
        sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
        stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
                                                                    stop_price * 0.99)
        logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}")
        if sp <= stop_gap_price:
            logger.info(f"Removed {ticker['symbol']} from whitelist, "
                        f"because stop price {sp} would be <= stop limit {stop_gap_price}")
            return False
        return True

    def _validate_precision_filter_lowprice(self, ticker) -> bool:
        """
        Check if if one price-step is > than a certain barrier.
        :param ticker: ticker dict as returned from ccxt.load_markets()
        :param precision: Precision
        :return: True if the pair can stay, false if it should be removed
        """
        precision = self._freqtrade.exchange.markets[ticker['symbol']]['precision']['price']

        compare = ticker['last'] + 1 / pow(10, precision)
        changeperc = (compare - ticker['last']) / ticker['last']
        if changeperc > self._low_price_percent_filter:
            logger.info(f"Removed {ticker['symbol']} from whitelist, "
                        f"because 1 unit is {changeperc * 100:.3f}%")
            return False
        return True

    @cached(TTLCache(maxsize=1, ttl=1800))
    def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
        """
        Updates the whitelist with with a dynamically generated list
        :param base_currency: base currency as str
        :param key: sort key (defaults to 'quoteVolume')
        :return: List of pairs
        """

        tickers = self._freqtrade.exchange.get_tickers()
        # 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
                       and v[key] is not None)]
        sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
        # 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]

        stoploss = None
        if self._freqtrade.strategy.stoploss is not None:
            # Precalculate sanitized stoploss value to avoid recalculation for every pair
            stoploss = 1 - abs(self._freqtrade.strategy.stoploss)

        # Copy list since we're modifying this list
        for t in deepcopy(valid_tickers):
            # Filter out assets which would not allow setting a stoploss
            if (stoploss and self._precision_filter
               and not self._validate_precision_filter(t, stoploss)):
                valid_tickers.remove(t)
                continue
            if self._low_price_percent_filter and not self._validate_precision_filter_lowprice(t,):
                valid_tickers.remove(t)
                continue

        pairs = [s['symbol'] for s in valid_tickers]
        logger.info(f"Searching pairs: {pairs[:self._number_pairs]}")

        return pairs