add VolumePrecisionPairList

This commit is contained in:
iuvbio 2019-02-16 22:56:04 +01:00
parent e0c420b93f
commit b7afcf3416
4 changed files with 91 additions and 5 deletions

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@ -1,5 +1,5 @@
""" FreqTrade bot """
__version__ = '0.18.1-dev'
__version__ = '0.18.2-dev'
class DependencyException(BaseException):

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@ -17,7 +17,7 @@ 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']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'VolumePrecisionPairList']
TICKER_INTERVAL_MINUTES = {
'1m': 1,

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@ -229,7 +229,7 @@ def download_pair_history(datadir: Optional[Path],
misc.file_dump_json(filename, data)
return True
except BaseException:
logger.info('Failed to download the pair: "%s", Interval: %s',
pair, tick_interval)
except BaseException as e:
logger.info('Failed to download the pair: "%s", Interval: %s\n'
'Error message: %s', pair, tick_interval, e)
return False

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@ -0,0 +1,86 @@
"""
Static List provider
Provides lists as configured in config.json
"""
import logging
from typing import List
from cachetools import TTLCache, cached
from freqtrade.pairlist.IPairList import IPairList
from freqtrade import OperationalException
logger = logging.getLogger(__name__)
SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']
class VolumePrecisionPairList(IPairList):
def __init__(self, freqtrade, config: dict) -> None:
super().__init__(freqtrade, config)
self._whitelistconf = self._config.get('pairlist', {}).get('config')
if 'number_assets' not in self._whitelistconf:
raise OperationalException(
f'`number_assets` not specified. Please check your configuration '
'for "pairlist.config.number_assets"')
self._number_pairs = self._whitelistconf['number_assets']
self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
raise OperationalException(
'Exchange does not support dynamic whitelist.'
'Please edit your config and restart the bot'
)
if not self._validate_keys(self._sort_key):
raise OperationalException(
f'key {self._sort_key} not in {SORT_VALUES}')
def _validate_keys(self, key):
return key in SORT_VALUES
def short_desc(self) -> str:
"""
Short whitelist method description - used for startup-messages
-> Please overwrite in subclasses
"""
return f"{self.name} - top {self._whitelistconf['number_assets']} volume pairs."
def refresh_pairlist(self) -> None:
"""
Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
-> Please overwrite in subclasses
"""
# Generate dynamic whitelist
pairs = self._gen_pair_whitelist(self._config['stake_currency'], self._sort_key)
# Validate whitelist to only have active market pairs
self._whitelist = self._validate_whitelist(pairs)[:self._number_pairs]
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
"""
Updates the whitelist with with a dynamically generated list
:param base_currency: base currency as str
:param key: sort key (defaults to 'quoteVolume')
:return: List of pairs
"""
tickers = self._freqtrade.exchange.get_tickers()
# check length so that we make sure that '/' is actually in the string
tickers = [v for k, v in tickers.items()
if len(k.split('/')) == 2 and k.split('/')[1] == base_currency]
if self._freqtrade.strategy.stoploss is not None:
precisions = [self._freqtrade.exchange.markets[
t["symbol"]]["precision"].get("price") for t in tickers]
tickers = [t for t, p in zip(tickers, precisions) if (
self._freqtrade.exchange.symbol_price_prec(
t["symbol"],
self._freqtrade.get_target_bid(
t["symbol"], t) * (1 + self._freqtrade.strategy.stoploss)
) < self._freqtrade.get_target_bid(t["symbol"], t)
)]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
pairs = [s['symbol'] for s in sorted_tickers]
return pairs