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Simplify SpreadFilter

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This commit is contained in:
hroff-1902 2020-05-15 05:14:06 +03:00
parent cbb2ce3708
commit 143e6f52af
2 changed files with 28 additions and 22 deletions
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17
freqtrade/pairlist/PrecisionFilter.py
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@ -41,7 +41,7 @@ class PrecisionFilter(IPairList):
:param ticker: ticker dict as returned from ccxt.load_markets() :param ticker: ticker dict as returned from ccxt.load_markets()
:param stoploss: stoploss value as set in the configuration :param stoploss: stoploss value as set in the configuration
(already cleaned to be 1 - stoploss) (already cleaned to be 1 - stoploss)
:return: True if the pair can stay, false if it should be removed :return: True if the pair can stay, False if it should be removed
""" """
stop_price = ticker['ask'] * stoploss stop_price = ticker['ask'] * stoploss
@ -63,13 +63,12 @@ class PrecisionFilter(IPairList):
""" """
Filters and sorts pairlists and assigns and returns them again. Filters and sorts pairlists and assigns and returns them again.
""" """
# Copy list since we're modifying this list if self._stoploss:
for p in deepcopy(pairlist): # Copy list since we're modifying this list
ticker = tickers.get(p) for p in deepcopy(pairlist):
# Filter out assets which would not allow setting a stoploss ticker = tickers[p]
if not ticker or (self._stoploss # Filter out assets which would not allow setting a stoploss
and not self._validate_precision_filter(ticker, self._stoploss)): if not self._validate_precision_filter(ticker, self._stoploss):
pairlist.remove(p) pairlist.remove(p)
continue
return pairlist return pairlist

33
freqtrade/pairlist/SpreadFilter.py
View File

@ -31,8 +31,24 @@ class SpreadFilter(IPairList):
return (f"{self.name} - Filtering pairs with ask/bid diff above " return (f"{self.name} - Filtering pairs with ask/bid diff above "
f"{self._max_spread_ratio * 100}%.") f"{self._max_spread_ratio * 100}%.")
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: def _validate_spread(self, ticker: dict) -> bool:
"""
Validate spread for the ticker
:param ticker: ticker dict as returned from ccxt.load_markets()
:return: True if the pair can stay, False if it should be removed
"""
if 'bid' in ticker and 'ask' in ticker:
spread = 1 - ticker['bid'] / ticker['ask']
if spread > self._max_spread_ratio:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because spread {spread * 100:.3f}% >"
f"{self._max_spread_ratio * 100}%")
return False
else:
return True
return False
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
""" """
Filters and sorts pairlist and returns the whitelist again. Filters and sorts pairlist and returns the whitelist again.
Called on each bot iteration - please use internal caching if necessary Called on each bot iteration - please use internal caching if necessary
@ -41,19 +57,10 @@ class SpreadFilter(IPairList):
:return: new whitelist :return: new whitelist
""" """
# Copy list since we're modifying this list # Copy list since we're modifying this list
spread = None
for p in deepcopy(pairlist): for p in deepcopy(pairlist):
ticker = tickers.get(p) ticker = tickers[p]
assert ticker is not None # Filter out assets
if 'bid' in ticker and 'ask' in ticker: if not self._validate_spread(ticker):
spread = 1 - ticker['bid'] / ticker['ask']
if not ticker or spread > self._max_spread_ratio:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because spread {spread * 100:.3f}% >"
f"{self._max_spread_ratio * 100}%")
pairlist.remove(p)
else:
pairlist.remove(p) pairlist.remove(p)
return pairlist return pairlist