""" Volume PairList 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 VolumePairList(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') self._precision_filter = self._whitelistconf.get('precision_filter', False) 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 self._whitelist = self._gen_pair_whitelist( self._config['stake_currency'], self._sort_key)[: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 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] if self._freqtrade.strategy.stoploss is not None and self._precision_filter: stop_prices = [self._freqtrade.get_target_bid(t["symbol"], t) * (1 - abs(self._freqtrade.strategy.stoploss)) for t in valid_tickers] rates = [sp * 0.99 for sp in stop_prices] logger.debug("\n".join([f"{sp} : {r}" for sp, r in zip(stop_prices[:10], rates[:10])])) for i, t in enumerate(valid_tickers): sp = self._freqtrade.exchange.symbol_price_prec(t["symbol"], stop_prices[i]) r = self._freqtrade.exchange.symbol_price_prec(t["symbol"], rates[i]) logger.debug(f"{t['symbol']} - {sp} : {r}") if sp <= r: logger.info(f"Removed {t['symbol']} from whitelist, " f"because stop price {sp} would be <= stop limit {r}") valid_tickers.remove(t) pairs = [s['symbol'] for s in valid_tickers] logger.info(f"Searching pairs: {self._whitelist}") return pairs