stable/freqtrade/plugins/pairlist/PriceFilter.py

"""
Price pair list filter
"""
import logging
from typing import Any, Dict, Optional

from freqtrade.constants import Config
from freqtrade.exceptions import OperationalException
from freqtrade.exchange.types import Ticker
from freqtrade.plugins.pairlist.IPairList import IPairList


logger = logging.getLogger(__name__)


class PriceFilter(IPairList):

    def __init__(self, exchange, pairlistmanager,
                 config: Config, pairlistconfig: Dict[str, Any],
                 pairlist_pos: int) -> None:
        super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)

        self._low_price_ratio = pairlistconfig.get('low_price_ratio', 0)
        if self._low_price_ratio < 0:
            raise OperationalException("PriceFilter requires low_price_ratio to be >= 0")
        self._min_price = pairlistconfig.get('min_price', 0)
        if self._min_price < 0:
            raise OperationalException("PriceFilter requires min_price to be >= 0")
        self._max_price = pairlistconfig.get('max_price', 0)
        if self._max_price < 0:
            raise OperationalException("PriceFilter requires max_price to be >= 0")
        self._max_value = pairlistconfig.get('max_value', 0)
        if self._max_value < 0:
            raise OperationalException("PriceFilter requires max_value to be >= 0")
        self._enabled = ((self._low_price_ratio > 0) or
                         (self._min_price > 0) or
                         (self._max_price > 0) or
                         (self._max_value > 0))

    @property
    def needstickers(self) -> bool:
        """
        Boolean property defining if tickers are necessary.
        If no Pairlist requires tickers, an empty Dict is passed
        as tickers argument to filter_pairlist
        """
        return True

    def short_desc(self) -> str:
        """
        Short whitelist method description - used for startup-messages
        """
        active_price_filters = []
        if self._low_price_ratio != 0:
            active_price_filters.append(f"below {self._low_price_ratio:.1%}")
        if self._min_price != 0:
            active_price_filters.append(f"below {self._min_price:.8f}")
        if self._max_price != 0:
            active_price_filters.append(f"above {self._max_price:.8f}")
        if self._max_value != 0:
            active_price_filters.append(f"Value above {self._max_value:.8f}")

        if len(active_price_filters):
            return f"{self.name} - Filtering pairs priced {' or '.join(active_price_filters)}."

        return f"{self.name} - No price filters configured."

    def _validate_pair(self, pair: str, ticker: Optional[Ticker]) -> bool:
        """
        Check if if one price-step (pip) is > than a certain barrier.
        :param pair: Pair that's currently validated
        :param ticker: ticker dict as returned from ccxt.fetch_ticker
        :return: True if the pair can stay, false if it should be removed
        """
        if ticker and 'last' in ticker and ticker['last'] is not None and ticker.get('last') != 0:
            price: float = ticker['last']
        else:
            self.log_once(f"Removed {pair} from whitelist, because "
                          "ticker['last'] is empty (Usually no trade in the last 24h).",
                          logger.info)
            return False

        # Perform low_price_ratio check.
        if self._low_price_ratio != 0:
            compare = self._exchange.price_get_one_pip(pair, price)
            changeperc = compare / price
            if changeperc > self._low_price_ratio:
                self.log_once(f"Removed {pair} from whitelist, "
                              f"because 1 unit is {changeperc:.3%}", logger.info)
                return False

        # Perform low_amount check
        if self._max_value != 0:
            market = self._exchange.markets[pair]
            limits = market['limits']
            if (limits['amount']['min'] is not None):
                min_amount = limits['amount']['min']
                min_precision = market['precision']['amount']

                min_value = min_amount * price
                if self._exchange.precisionMode == 4:
                    # tick size
                    next_value = (min_amount + min_precision) * price
                else:
                    # Decimal places
                    min_precision = pow(0.1, min_precision)
                    next_value = (min_amount + min_precision) * price
                diff = next_value - min_value

                if diff > self._max_value:
                    self.log_once(f"Removed {pair} from whitelist, "
                                  f"because min value change of {diff} > {self._max_value}.",
                                  logger.info)
                    return False

        # Perform min_price check.
        if self._min_price != 0:
            if price < self._min_price:
                self.log_once(f"Removed {pair} from whitelist, "
                              f"because last price < {self._min_price:.8f}", logger.info)
                return False

        # Perform max_price check.
        if self._max_price != 0:
            if price > self._max_price:
                self.log_once(f"Removed {pair} from whitelist, "
                              f"because last price > {self._max_price:.8f}", logger.info)
                return False

        return True