diff --git a/freqtrade/plugins/pairlist/VolumePairList.py b/freqtrade/plugins/pairlist/VolumePairList.py index af26201a9..ae6be54ba 100644 --- a/freqtrade/plugins/pairlist/VolumePairList.py +++ b/freqtrade/plugins/pairlist/VolumePairList.py @@ -4,16 +4,14 @@ Volume PairList provider Provides dynamic pair list based on trade volumes """ import logging +import arrow from typing import Any, Dict, List from cachetools.ttl import TTLCache from freqtrade.exceptions import OperationalException -from freqtrade.plugins.pairlist.IPairList import IPairList - -import arrow -from copy import deepcopy from freqtrade.exchange import timeframe_to_minutes +from freqtrade.plugins.pairlist.IPairList import IPairList logger = logging.getLogger(__name__) @@ -48,15 +46,16 @@ class VolumePairList(IPairList): self._lookback_timeframe = '1d' self._lookback_period = self._lookback_days + # get timeframe in minutes and seconds self._tf_in_min = timeframe_to_minutes(self._lookback_timeframe) - self._tf_in_secs = self._tf_in_min * 60 + self._tf_in_sec = self._tf_in_min * 60 self._use_range = (self._tf_in_min > 0) & (self._lookback_period > 0) if self._use_range & (self._refresh_period < self._tf_in_secs): raise OperationalException( f'Refresh period of {self._refresh_period} seconds is smaller than one timeframe of {self._lookback_timeframe}. ' - f'Please adjust refresh_period to at least {self._tf_in_secs} and restart the bot.' + f'Please adjust refresh_period to at least {self._tf_in_sec} and restart the bot.' ) if not self._exchange.exchange_has('fetchTickers'): @@ -129,10 +128,10 @@ class VolumePairList(IPairList): :param tickers: Tickers (from exchange.get_tickers()). May be cached. :return: new whitelist """ - # Use the incoming pairlist. filtered_tickers = [v for k, v in tickers.items() if k in pairlist] + # get lookback period in ms, for exchange ohlcv fetch if self._use_range == True: since_ms = int(arrow.utcnow() .floor('minute') @@ -141,31 +140,25 @@ class VolumePairList(IPairList): self.log_once(f"Using volume range of {self._lookback_period} {self._lookback_timeframe} candles from {since_ms}", logger.info) needed_pairs = [(p, self._lookback_timeframe) for p in [s['symbol'] for s in filtered_tickers] if p not in self._pair_cache] + # Get all candles candles = {} if needed_pairs: - candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, - cache=False) + candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False) for i,p in enumerate(filtered_tickers): - # for p in deepcopy([s['symbol'] for s in filtered_tickers]): pair_candles = candles[(p['symbol'], self._lookback_timeframe)] if (p['symbol'], self._lookback_timeframe) in candles else None - #print(p['symbol'], " 24h quote volume = ",filtered_tickers[i]['quoteVolume']) - - #if p['symbol'] == 'BCC/USDT': - #print(pair_candles) - #quit() - - print(p['symbol'], " 24h quote volume = ",filtered_tickers[i]['quoteVolume']) + # print(p['symbol'], " 24h quote volume = ",filtered_tickers[i]['quoteVolume']) + # in case of candle data calculate typical price and quoteVolume for candle if not pair_candles.empty: pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low'] + pair_candles['close']) / 3 pair_candles['quoteVolume'] = pair_candles['volume'] * pair_candles['typical_price'] - # print(p['symbol'], " range quote volume = ", pair_candles['quoteVolume'].sum()) + # replace quoteVolume with range sum filtered_tickers[i]['quoteVolume'] = pair_candles['quoteVolume'].sum() else: filtered_tickers[i]['quoteVolume'] = 0 - print(p['symbol'], " range quote volume = ",filtered_tickers[i]['quoteVolume']) + # print(p['symbol'], " range quote volume = ",filtered_tickers[i]['quoteVolume']) if self._min_value > 0: filtered_tickers = [ @@ -175,13 +168,10 @@ class VolumePairList(IPairList): # Validate whitelist to only have active market pairs pairs = self._whitelist_for_active_markets([s['symbol'] for s in sorted_tickers]) - pairs = self.verify_blacklist(pairs, logger.info) - + pairs = self.verify_blacklist(pairs, logger.info) # Limit pairlist to the requested number of pairs - pairs = pairs[:self._number_pairs] self.log_once(f"Searching {self._number_pairs} pairs: {pairs}", logger.info) - quit() return pairs