stable/freqtrade/pairlist/VolumePairList.py

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"""
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Volume PairList provider
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Provides dynamic pair list based on trade volumes
"""
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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[str, Any],
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
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if 'number_assets' not in self._pairlistconfig:
raise OperationalException(
'`number_assets` not specified. Please check your configuration '
'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']
self._sort_key = self._pairlistconfig.get('sort_key', 'quoteVolume')
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'):
raise OperationalException(
'Exchange does not support dynamic whitelist.'
'Please edit your config and restart the bot'
)
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if not self._validate_keys(self._sort_key):
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raise OperationalException(
f'key {self._sort_key} not in {SORT_VALUES}')
if self._sort_key != 'quoteVolume':
logger.warning(
"DEPRECATED: using any key other than quoteVolume for VolumePairList is deprecated."
)
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@property
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requries tickers, an empty List is passed
as tickers argument to filter_pairlist
"""
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:
"""
Short whitelist method description - used for startup-messages
"""
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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.
Called on each bot iteration - please use internal caching if necessary
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
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"""
# Generate dynamic whitelist
# Must always run if this pairlist is not the first in the list.
if (self._pairlist_pos != 0 or
(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:
pairs = pairlist
self.log_on_refresh(logger.info, f"Searching {self._number_pairs} pairs: {pairs}")
return pairs
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def _gen_pair_whitelist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
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()).
:return: List of pairs
"""
if self._pairlist_pos == 0:
# If VolumePairList is the first in the list, use fresh pairlist
# Check if pair quote currency equals to the stake currency.
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filtered_tickers = [
v for k, v in tickers.items()
if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
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and v[self._sort_key] is not None)]
else:
# If other pairlist is in front, use the incoming pairlist.
filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
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if self._min_value > 0:
filtered_tickers = [
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])
pairs = self.verify_blacklist(pairs, logger.info)
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# Limit pairlist to the requested number of pairs
pairs = pairs[:self._number_pairs]
return pairs