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Introduce chainable PairlistFilters

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This commit is contained in:
Matthias
2019-10-30 15:59:52 +01:00
parent 44289e4c58
commit fd9c02603c
7 changed files with 203 additions and 67 deletions
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62
freqtrade/pairlist/VolumePairList.py
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@@ -5,7 +5,6 @@ Provides lists as configured in config.json
"""
import logging
from copy import deepcopy
from typing import List
from cachetools import TTLCache, cached
@@ -30,7 +29,6 @@ class VolumePairList(IPairList):
self._number_pairs = self._whitelistconf['number_assets']
self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
self._precision_filter = self._whitelistconf.get('precision_filter', True)
self._low_price_percent_filter = self._whitelistconf.get('low_price_percent_filter', None)
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
raise OperationalException(
@@ -60,44 +58,6 @@ 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 1 - stoploss)
: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
def _validate_precision_filter_lowprice(self, ticker) -> bool:
"""
Check if if one price-step is > than a certain barrier.
:param ticker: ticker dict as returned from ccxt.load_markets()
:param precision: Precision
:return: True if the pair can stay, false if it should be removed
"""
precision = self._freqtrade.exchange.markets[ticker['symbol']]['precision']['price']
compare = ticker['last'] + 1 / pow(10, precision)
changeperc = (compare - ticker['last']) / ticker['last']
if changeperc > self._low_price_percent_filter:
logger.info(f"Removed {ticker['symbol']} from whitelist, "
f"because 1 unit is {changeperc * 100:.3f}%")
return False
return True
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
"""
@@ -114,26 +74,8 @@ class VolumePairList(IPairList):
and v[key] is not None)]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
# Validate whitelist to only have active market pairs
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]
pairs = self.validate_whitelist([s['symbol'] for s in sorted_tickers], tickers)
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)
# Copy list since we're modifying this list
for t in deepcopy(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)
continue
if self._low_price_percent_filter and not self._validate_precision_filter_lowprice(t,):
valid_tickers.remove(t)
continue
pairs = [s['symbol'] for s in valid_tickers]
logger.info(f"Searching pairs: {pairs[:self._number_pairs]}")
logger.info(f"Searching {self._number_pairs} pairs: {pairs[:self._number_pairs]}")
return pairs