- added spread filter

- minimum value to volume pairlist

freqtrade/constants.py

@@ -17,7 +17,8 @@ REQUIRED_ORDERTIF = ['buy', 'sell']
 REQUIRED_ORDERTYPES = ['buy', 'sell', 'stoploss', 'stoploss_on_exchange']
 ORDERTYPE_POSSIBILITIES = ['limit', 'market']
 ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
-AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'PrecisionFilter', 'PriceFilter']
+AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
+                       'PrecisionFilter', 'PriceFilter', 'SpreadFilter']
 DRY_RUN_WALLET = 1000
 MATH_CLOSE_PREC = 1e-14  # Precision used for float comparisons
 

freqtrade/pairlist/SpreadFilter.py

@@ -0,0 +1,59 @@
+import logging
+from copy import deepcopy
+from typing import Dict, List
+
+from freqtrade.pairlist.IPairList import IPairList
+
+logger = logging.getLogger(__name__)
+
+
+class SpreadFilter(IPairList):
+
+    def __init__(self, exchange, pairlistmanager, config, pairlistconfig: dict,
+                 pairlist_pos: int) -> None:
+        super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
+
+        self._max_spread_ratio = pairlistconfig.get('max_spread_ratio', 0.005)
+
+    @property
+    def needstickers(self) -> bool:
+        """
+        Boolean property defining if tickers are necessary.
+        If no Pairlist requries tickers, an empty List is passed
+        as tickers argument to filter_pairlist
+        """
+        return True
+
+    def short_desc(self) -> str:
+        """
+        Short whitelist method description - used for startup-messages
+        """
+        return (f"{self.name} - Filtering pairs with ask/bid diff above "
+                f"{self._max_spread_ratio * 100}%.")
+
+    def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
+
+        """
+        Filters and sorts pairlist and returns the whitelist again.
+        Called on each bot iteration - please use internal caching if necessary
+        :param pairlist: pairlist to filter or sort
+        :param tickers: Tickers (from exchange.get_tickers()). May be cached.
+        :return: new whitelist
+        """
+        # Copy list since we're modifying this list
+
+        spread = None
+        for p in deepcopy(pairlist):
+            ticker = tickers.get(p)
+            assert ticker is not None
+            if 'bid' in ticker and 'ask' in ticker:
+                spread = 1 - ticker['bid'] / ticker['ask']
+                if not ticker or spread > self._max_spread_ratio:
+                    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)
+
+        return pairlist

freqtrade/pairlist/VolumePairList.py

@@ -28,6 +28,7 @@ class VolumePairList(IPairList):
                 'for "pairlist.config.number_assets"')
         self._number_pairs = self._pairlistconfig['number_assets']
         self._sort_key = self._pairlistconfig.get('sort_key', 'quoteVolume')
+        self._min_value = self._pairlistconfig.get('min_value', 0)
         self.refresh_period = self._pairlistconfig.get('refresh_period', 1800)
 
         if not self._exchange.exchange_has('fetchTickers'):
@@ -73,11 +74,13 @@ class VolumePairList(IPairList):
                                             tickers,
                                             self._config['stake_currency'],
                                             self._sort_key,
+                                            self._min_value
                                             )
         else:
             return pairlist
 
-    def _gen_pair_whitelist(self, pairlist, tickers, base_currency: str, key: str) -> List[str]:
+    def _gen_pair_whitelist(self, pairlist, tickers, base_currency: str,
+                            key: str, min_val: int) -> List[str]:
         """
         Updates the whitelist with with a dynamically generated list
         :param base_currency: base currency as str
@@ -96,6 +99,9 @@ class VolumePairList(IPairList):
             # If other pairlist is in front, use the incomming pairlist.
             filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
 
+        if min_val > 0:
+            filtered_tickers = list(filter(lambda t: t[key] > min_val, filtered_tickers))
+
         sorted_tickers = sorted(filtered_tickers, reverse=True, key=lambda t: t[key])
 
         # Validate whitelist to only have active market pairs