From 24c587518ad60775f5fa3b69ba52c438034b42b6 Mon Sep 17 00:00:00 2001
From: iuvbio <lyndonbjohn@gmail.com>
Date: Sat, 2 Mar 2019 17:24:28 +0100
Subject: [PATCH] add precision_filter

---
 config_full.json.example             |  3 ++-
 freqtrade/pairlist/IPairList.py      |  3 ++-
 freqtrade/pairlist/VolumePairList.py | 32 ++++++++++++++++++++++------
 3 files changed, 30 insertions(+), 8 deletions(-)

diff --git a/config_full.json.example b/config_full.json.example
index 23a36dd4c..0f46a62e3 100644
--- a/config_full.json.example
+++ b/config_full.json.example
@@ -49,7 +49,8 @@
         "method": "VolumePairList",
         "config": {
             "number_assets": 20,
-            "sort_key": "quoteVolume"
+            "sort_key": "quoteVolume",
+            "precision_filter": false
         }
     },
     "exchange": {
diff --git a/freqtrade/pairlist/IPairList.py b/freqtrade/pairlist/IPairList.py
index 6b5b0db4b..4e9e28b3d 100644
--- a/freqtrade/pairlist/IPairList.py
+++ b/freqtrade/pairlist/IPairList.py
@@ -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']]
diff --git a/freqtrade/pairlist/VolumePairList.py b/freqtrade/pairlist/VolumePairList.py
index 262e4bf59..7f1985d43 100644
--- a/freqtrade/pairlist/VolumePairList.py
+++ b/freqtrade/pairlist/VolumePairList.py
@@ -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