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Extract precision_filter to seperate function

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This commit is contained in:
Matthias 2019-10-28 16:25:01 +01:00
parent 4ff035537b
commit d706571e6f
1 changed files with 29 additions and 13 deletions
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42
freqtrade/pairlist/VolumePairList.py
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@ -56,6 +56,27 @@ class VolumePairList(IPairList):
self._whitelist = self._gen_pair_whitelist(
self._config['stake_currency'], self._sort_key)
def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
"""
Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
low value pairs.
:param ticker: ticker dict as returned from ccxt.load_markets()
:param stoploss: stoploss value as set in the configuration
(already cleaned to be guaranteed negative)
:return: True if the pair can stay, false if it should be removed
"""
stop_price = (self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss)
# Adjust stop-prices to precision
sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
stop_price * 0.99)
logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}")
if sp <= stop_gap_price:
logger.info(f"Removed {ticker['symbol']} from whitelist, "
f"because stop price {sp} would be <= stop limit {stop_gap_price}")
return False
return True
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
"""
@ -75,21 +96,16 @@ class VolumePairList(IPairList):
valid_pairs = self._validate_whitelist([s['symbol'] for s in sorted_tickers])
valid_tickers = [t for t in sorted_tickers if t["symbol"] in valid_pairs]
if self._freqtrade.strategy.stoploss is not None and self._precision_filter:
# Precalculate correct stoploss value
stoploss = None
if self._freqtrade.strategy.stoploss is not None:
# Precalculate sanitized stoploss value to avoid recalculation for every pair
stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
for i, t in enumerate(valid_tickers):
stop_price = (self._freqtrade.get_target_bid(t["symbol"], t) * stoploss)
# Adjust stop-prices to precision
sp = self._freqtrade.exchange.symbol_price_prec(t["symbol"], stop_price)
stop_gap_price = self._freqtrade.exchange.symbol_price_prec(t["symbol"],
stop_price * 0.99)
logger.debug(f"{t['symbol']} - {sp} : {stop_gap_price}")
if sp <= stop_gap_price:
logger.info(f"Removed {t['symbol']} from whitelist, "
f"because stop price {sp} would be <= stop limit {stop_gap_price}")
valid_tickers.remove(t)
for t in valid_tickers:
# Filter out assets which would not allow setting a stoploss
if (stoploss and self._precision_filter
and not self._validate_precision_filter(t, stoploss)):
valid_tickers.remove(t)
pairs = [s['symbol'] for s in valid_tickers]
logger.info(f"Searching pairs: {pairs[:self._number_pairs]}")