Merge pull request #2830 from orehunt/spreadfilter

- added spread filter

config_full.json.example

@@ -62,8 +62,8 @@
             "refresh_period": 1800
         },
         {"method": "PrecisionFilter"},
-        {"method": "PriceFilter", "low_price_ratio": 0.01
+        {"method": "PriceFilter", "low_price_ratio": 0.01},
-        }
+        {"method": "SpreadFilter", "max_spread_ratio": 0.005}
     ],
     "exchange": {
         "name": "bittrex",

docs/configuration.md

@@ -503,6 +503,7 @@ Inactive markets and blacklisted pairs are always removed from the resulting `pa
 * [`VolumePairList`](#volume-pair-list)
 * [`PrecisionFilter`](#precision-filter)
 * [`PriceFilter`](#price-pair-filter)
+* [`SpreadFilter`](#spread-filter)
 
 !!! Tip "Testing pairlists"
     Pairlist configurations can be quite tricky to get right. Best use the [`test-pairlist`](utils.md#test-pairlist) subcommand to test your configuration quickly.
@@ -551,6 +552,11 @@ Min price precision is 8 decimals. If price is 0.00000011 - one step would be 0.
 
 These pairs are dangerous since it may be impossible to place the desired stoploss - and often result in high losses.
 
+#### Spread Filter
+Removes pairs that have a difference between asks and bids above the specified ratio (default `0.005`).
+Example:
+If `DOGE/BTC` maximum bid is 0.00000026 and minimum ask is 0.00000027 the ratio is calculated as: `1 - bid/ask ~= 0.037` which is `> 0.005` 
+
 ### Full Pairlist example
 
 The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, sorting by `quoteVolume` and applies both [`PrecisionFilter`](#precision-filter) and [`PriceFilter`](#price-pair-filter), filtering all assets where 1 priceunit is > 1%.

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'):
@@ -73,12 +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: List[str], tickers: Dict,
-                            base_currency: str, key: str) -> List[str]:
+                            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
@@ -97,6 +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

tests/conftest.py

@@ -640,6 +640,31 @@ def shitcoinmarkets(markets):
             },
             'info': {},
         },
+        'NANO/USDT': {
+            "percentage": True,
+            "tierBased": False,
+            "taker": 0.001,
+            "maker": 0.001,
+            "precision": {
+                "base": 8,
+                "quote": 8,
+                "amount": 2,
+                "price": 4
+            },
+            "limits": {
+            },
+            "id": "NANOUSDT",
+            "symbol": "NANO/USDT",
+            "base": "NANO",
+            "quote": "USDT",
+            "baseId": "NANO",
+            "quoteId": "USDT",
+            "info": {},
+            "type": "spot",
+            "spot": True,
+            "future": False,
+            "active": True
+        },
         })
     return shitmarkets
 
@@ -1114,6 +1139,28 @@ def tickers():
             'quoteVolume': 1154.19266394,
             'info': {}
         },
+        "NANO/USDT": {
+            "symbol": "NANO/USDT",
+            "timestamp": 1580469388244,
+            "datetime": "2020-01-31T11:16:28.244Z",
+            "high": 0.7519,
+            "low": 0.7154,
+            "bid": 0.7305,
+            "bidVolume": 300.3,
+            "ask": 0.7342,
+            "askVolume": 15.14,
+            "vwap": 0.73645591,
+            "open": 0.7154,
+            "close": 0.7342,
+            "last": 0.7342,
+            "previousClose": 0.7189,
+            "change": 0.0188,
+            "percentage": 2.628,
+            "average": None,
+            "baseVolume": 439472.44,
+            "quoteVolume": 323652.075405,
+            "info": {}
+        },
     })
 
 

tests/pairlist/test_pairlist.py

@@ -141,7 +141,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"}],
         "BTC",  ['HOT/BTC', 'FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC']),
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
-        "USDT", ['ETH/USDT']),
+        "USDT", ['ETH/USDT', 'NANO/USDT']),
     # No pair for ETH ...
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
      "ETH", []),
@@ -160,6 +160,10 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
       {"method": "PrecisionFilter"},
       {"method": "PriceFilter", "low_price_ratio": 0.02}
       ], "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
+    # HOT and XRP are removed because below 1250 quoteVolume
+    ([{"method": "VolumePairList", "number_assets": 5,
+       "sort_key": "quoteVolume", "min_value": 1250}],
+        "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
     # StaticPairlist Only
     ([{"method": "StaticPairList"},
       ], "BTC", ['ETH/BTC', 'TKN/BTC']),
@@ -167,6 +171,10 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
     ([{"method": "StaticPairList"},
       {"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"},
       ], "BTC", ['TKN/BTC', 'ETH/BTC']),
+    # SpreadFilter
+    ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
+      {"method": "SpreadFilter", "max_spread": 0.005}
+      ], "USDT", ['ETH/USDT']),
 ])
 def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
                                       pairlists, base_currency, whitelist_result,