Merge pull request #1596 from iuvbio/feature/volume-precision-pairlist
Feature/volume precision pairlist
This commit is contained in:
Matthias
GitHub
commit
b7a558b951
@ -49,7 +49,8 @@
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"method": "VolumePairList",
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"config": {
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"number_assets": 20,
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"sort_key": "quoteVolume"
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"sort_key": "quoteVolume",
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"precision_filter": false
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}
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},
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"exchange": {
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@ -280,13 +280,15 @@ By default, a Static Pairlist is used (configured as `"pair_whitelist"` under th
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* `"VolumePairList"`
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* Formerly available as `--dynamic-whitelist [<number_assets>]`
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* Selects `number_assets` top pairs based on `sort_key`, which can be one of `askVolume`, `bidVolume` and `quoteVolume`, defaults to `quoteVolume`.
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* Possibility to filter low-value coins that would not allow setting a stop loss
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```json
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"pairlist": {
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"method": "VolumePairList",
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"config": {
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"number_assets": 20,
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"sort_key": "quoteVolume"
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"sort_key": "quoteVolume",
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"precision_filter": false
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}
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},
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```
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@ -214,7 +214,7 @@ class FreqtradeBot(object):
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"""
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return [(pair, self.config['ticker_interval']) for pair in pairs]
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def get_target_bid(self, pair: str) -> float:
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def get_target_bid(self, pair: str, tick: Dict = None) -> float:
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"""
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Calculates bid target between current ask price and last price
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:return: float: Price
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@ -231,8 +231,11 @@ class FreqtradeBot(object):
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logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
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used_rate = order_book_rate
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else:
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if not tick:
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logger.info('Using Last Ask / Last Price')
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ticker = self.exchange.get_ticker(pair)
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else:
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ticker = tick
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if ticker['ask'] < ticker['last']:
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ticker_rate = ticker['ask']
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else:
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@ -74,7 +74,7 @@ class IPairList(ABC):
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for market in markets:
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pair = market['symbol']
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# pair is not int the generated dynamic market, or in the blacklist ... ignore it
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# pair is not in the generated dynamic market, or in the blacklist ... ignore it
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if pair not in whitelist or pair in self.blacklist:
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continue
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# else the pair is valid
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@ -1,5 +1,5 @@
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"""
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Static List provider
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Volume PairList provider
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Provides lists as configured in config.json
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@ -26,6 +26,7 @@ class VolumePairList(IPairList):
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'for "pairlist.config.number_assets"')
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self._number_pairs = self._whitelistconf['number_assets']
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self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
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self._precision_filter = self._whitelistconf.get('precision_filter', False)
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if not self._freqtrade.exchange.exchange_has('fetchTickers'):
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raise OperationalException(
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@ -52,9 +53,9 @@ class VolumePairList(IPairList):
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-> Please overwrite in subclasses
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"""
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# Generate dynamic whitelist
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pairs = self._gen_pair_whitelist(self._config['stake_currency'], self._sort_key)
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# Validate whitelist to only have active market pairs
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self._whitelist = self._validate_whitelist(pairs)[:self._number_pairs]
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self._whitelist = self._gen_pair_whitelist(
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self._config['stake_currency'], self._sort_key)[:self._number_pairs]
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logger.info(f"Searching pairs: {self._whitelist}")
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@cached(TTLCache(maxsize=1, ttl=1800))
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def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
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@ -69,7 +70,25 @@ class VolumePairList(IPairList):
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# check length so that we make sure that '/' is actually in the string
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tickers = [v for k, v in tickers.items()
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if len(k.split('/')) == 2 and k.split('/')[1] == base_currency]
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sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
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pairs = [s['symbol'] for s in sorted_tickers]
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# Validate whitelist to only have active market pairs
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valid_pairs = self._validate_whitelist([s['symbol'] for s in sorted_tickers])
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valid_tickers = [t for t in sorted_tickers if t["symbol"] in valid_pairs]
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if self._freqtrade.strategy.stoploss is not None and self._precision_filter:
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stop_prices = [self._freqtrade.get_target_bid(t["symbol"], t)
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* (1 - abs(self._freqtrade.strategy.stoploss)) for t in valid_tickers]
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rates = [sp * 0.99 for sp in stop_prices]
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logger.debug("\n".join([f"{sp} : {r}" for sp, r in zip(stop_prices[:10], rates[:10])]))
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for i, t in enumerate(valid_tickers):
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sp = self._freqtrade.exchange.symbol_price_prec(t["symbol"], stop_prices[i])
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r = self._freqtrade.exchange.symbol_price_prec(t["symbol"], rates[i])
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logger.debug(f"{t['symbol']} - {sp} : {r}")
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if sp <= r:
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logger.info(f"Removed {t['symbol']} from whitelist, "
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f"because stop price {sp} would be <= stop limit {r}")
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valid_tickers.remove(t)
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pairs = [s['symbol'] for s in valid_tickers]
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return pairs
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@ -375,6 +375,78 @@ def markets():
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},
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},
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'info': '',
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},
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{
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'id': 'BTTBTC',
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'symbol': 'BTT/BTC',
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'base': 'BTT',
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'quote': 'BTC',
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'active': True,
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'precision': {
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'base': 8,
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'quote': 8,
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'amount': 0,
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'price': 8
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},
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'limits': {
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'amount': {
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'min': 1.0,
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'max': 90000000.0
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},
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'price': {
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'min': None,
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'max': None
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},
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'cost': {
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'min': 0.001,
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'max': None
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}
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},
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'info': "",
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},
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{
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'id': 'USDT-ETH',
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'symbol': 'ETH/USDT',
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'base': 'ETH',
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'quote': 'USDT',
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'precision': {
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'amount': 8,
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'price': 8
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},
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'limits': {
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'amount': {
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'min': 0.02214286,
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'max': None
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},
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'price': {
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'min': 1e-08,
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'max': None
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}
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},
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'active': True,
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'info': ""
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},
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{
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'id': 'USDT-LTC',
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'symbol': 'LTC/USDT',
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'base': 'LTC',
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'quote': 'USDT',
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'active': True,
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'precision': {
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'amount': 8,
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'price': 8
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},
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'limits': {
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'amount': {
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'min': 0.06646786,
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'max': None
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},
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'price': {
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'min': 1e-08,
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'max': None
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}
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},
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'info': ""
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}
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])
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@ -595,6 +667,7 @@ def tickers():
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'vwap': 0.01869197,
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'open': 0.018585,
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'close': 0.018573,
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'last': 0.018799,
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'baseVolume': 81058.66,
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'quoteVolume': 2247.48374509,
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},
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@ -642,6 +715,28 @@ def tickers():
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'quoteVolume': 1401.65697943,
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'info': {}
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},
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'BTT/BTC': {
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'symbol': 'BTT/BTC',
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'timestamp': 1550936557206,
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'datetime': '2019-02-23T15:42:37.206Z',
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'high': 0.00000026,
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'low': 0.00000024,
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'bid': 0.00000024,
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'bidVolume': 2446894197.0,
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'ask': 0.00000025,
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'askVolume': 2447913837.0,
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'vwap': 0.00000025,
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'open': 0.00000026,
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'close': 0.00000024,
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'last': 0.00000024,
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'previousClose': 0.00000026,
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'change': -0.00000002,
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'percentage': -7.692,
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'average': None,
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'baseVolume': 4886464537.0,
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'quoteVolume': 1215.14489611,
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'info': {}
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},
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'ETH/USDT': {
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'symbol': 'ETH/USDT',
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'timestamp': 1522014804118,
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@ -1309,7 +1309,7 @@ def test_get_markets(default_conf, mocker, markets, exchange_name):
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
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ret = exchange.get_markets()
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assert isinstance(ret, list)
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assert len(ret) == 6
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assert len(ret) == 9
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assert ret[0]["id"] == "ethbtc"
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assert ret[0]["symbol"] == "ETH/BTC"
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@ -80,7 +80,7 @@ def test_refresh_pairlist_dynamic(mocker, markets, tickers, whitelist_conf):
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freqtradebot = get_patched_freqtradebot(mocker, whitelist_conf)
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# argument: use the whitelist dynamically by exchange-volume
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whitelist = ['ETH/BTC', 'TKN/BTC']
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whitelist = ['ETH/BTC', 'TKN/BTC', 'BTT/BTC']
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freqtradebot.pairlists.refresh_pairlist()
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assert whitelist == freqtradebot.pairlists.whitelist
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@ -113,23 +113,35 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, markets, tickers)
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freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
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mocker.patch('freqtrade.exchange.Exchange.get_markets', markets)
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mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
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mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, p, r: round(r, 8))
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# Test to retrieved BTC sorted on quoteVolume (default)
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whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='quoteVolume')
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assert whitelist == ['ETH/BTC', 'TKN/BTC', 'BLK/BTC', 'LTC/BTC']
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assert whitelist == ['ETH/BTC', 'TKN/BTC', 'BTT/BTC']
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# Test to retrieve BTC sorted on bidVolume
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whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
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assert whitelist == ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'BLK/BTC']
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assert whitelist == ['BTT/BTC', 'TKN/BTC', 'ETH/BTC']
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# Test with USDT sorted on quoteVolume (default)
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freqtrade.config['stake_currency'] = 'USDT' # this has to be set, otherwise markets are removed
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whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='USDT', key='quoteVolume')
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assert whitelist == ['TKN/USDT', 'ETH/USDT', 'LTC/USDT', 'BLK/USDT']
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assert whitelist == ['ETH/USDT', 'LTC/USDT']
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# Test with ETH (our fixture does not have ETH, so result should be empty)
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freqtrade.config['stake_currency'] = 'ETH'
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whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='ETH', key='quoteVolume')
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assert whitelist == []
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freqtrade.pairlists._precision_filter = True
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freqtrade.config['stake_currency'] = 'BTC'
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# Retest First 2 test-cases to make sure BTT is not in it (too low priced)
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whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='quoteVolume')
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assert whitelist == ['ETH/BTC', 'TKN/BTC']
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whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
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assert whitelist == ['TKN/BTC', 'ETH/BTC']
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def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
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default_conf['pairlist'] = {'method': 'VolumePairList',
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