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changed quoteVolume to be built over a

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rolling period using lookback_period
to avoid pair_candles being larger
than requested lookback_period
This commit is contained in:
nightshift2k 2021-07-07 09:46:05 +02:00
parent 1e87225e91
commit 3c3772703b
1 changed files with 8 additions and 1 deletions
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9
freqtrade/plugins/pairlist/VolumePairList.py
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@ -183,8 +183,15 @@ class VolumePairList(IPairList):
pair_candles['volume'] * pair_candles['typical_price'] pair_candles['volume'] * pair_candles['typical_price']
) )
# ensure that a rolling sum over the lookback_period is built
# if pair_candles contains more candles than lookback_period
quoteVolume = (pair_candles['quoteVolume']
.rolling(self._lookback_period)
.sum()
.iloc[-1])
# replace quoteVolume with range quoteVolume sum calculated above # replace quoteVolume with range quoteVolume sum calculated above
filtered_tickers[i]['quoteVolume'] = pair_candles['quoteVolume'].sum() filtered_tickers[i]['quoteVolume'] = quoteVolume
else: else:
filtered_tickers[i]['quoteVolume'] = 0 filtered_tickers[i]['quoteVolume'] = 0