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add precision_filter

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This commit is contained in:
iuvbio 2019-03-02 17:24:28 +01:00
parent 3dcf3f8a82
commit 24c587518a
3 changed files with 30 additions and 8 deletions
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3
config_full.json.example
View File

@ -49,7 +49,8 @@
"method": "VolumePairList",
"config": {
"number_assets": 20,
"sort_key": "quoteVolume"
"sort_key": "quoteVolume",
"precision_filter": false
}
},
"exchange": {

3
freqtrade/pairlist/IPairList.py
View File

@ -18,6 +18,7 @@ class IPairList(ABC):
self._config = config
self._whitelist = self._config['exchange']['pair_whitelist']
self._blacklist = self._config['exchange'].get('pair_blacklist', [])
self._markets = self._freqtrade.exchange.markets
@property
def name(self) -> str:
@ -66,7 +67,7 @@ class IPairList(ABC):
black_listed
"""
sanitized_whitelist = whitelist
markets = self._freqtrade.exchange.get_markets()
markets = list(self._markets.values())
# Filter to markets in stake currency
markets = [m for m in markets if m['quote'] == self._config['stake_currency']]

32
freqtrade/pairlist/VolumePairList.py
View File

@ -1,5 +1,5 @@
"""
Static List provider
Volume PairList provider
Provides lists as configured in config.json
@ -26,6 +26,7 @@ class VolumePairList(IPairList):
'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', False)
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
raise OperationalException(
@ -52,9 +53,9 @@ class VolumePairList(IPairList):
-> Please overwrite in subclasses
"""
# Generate dynamic whitelist
pairs = self._gen_pair_whitelist(self._config['stake_currency'], self._sort_key)
# Validate whitelist to only have active market pairs
self._whitelist = self._validate_whitelist(pairs)[:self._number_pairs]
self._whitelist = self._gen_pair_whitelist(
self._config['stake_currency'], self._sort_key)[:self._number_pairs]
logger.info(f"Searching pairs: {self._whitelist}")
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
@ -69,7 +70,26 @@ class VolumePairList(IPairList):
# 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]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
pairs = [s['symbol'] for s in sorted_tickers]
# 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]
if self._freqtrade.strategy.stoploss is not None and self._precision_filter:
logger.debug(f"Markets: {list(self._markets)}")
stop_prices = [self._freqtrade.get_target_bid(t["symbol"], t)
* (1 + self._freqtrade.strategy.stoploss) for t in valid_tickers]
rates = [sp * 0.99 for sp in stop_prices]
logger.debug("\n".join([f"{sp} : {r}" for sp, r in zip(stop_prices[:10], rates[:10])]))
for i, t in enumerate(valid_tickers):
sp = self._freqtrade.exchange.symbol_price_prec(t["symbol"], stop_prices[i])
r = self._freqtrade.exchange.symbol_price_prec(t["symbol"], rates[i])
logger.debug(f"{t['symbol']} - {sp} : {r}")
if sp <= r:
logger.info(f"Removed {t['symbol']} from whitelist, "
f"because stop price {sp} would be <= stop limit {r}")
valid_tickers.remove(t)
pairs = [s['symbol'] for s in valid_tickers]
return pairs