129 lines
5.3 KiB
Python
129 lines
5.3 KiB
Python
"""
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Price pair list filter
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"""
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import logging
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from typing import Any, Dict
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from freqtrade.exceptions import OperationalException
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from freqtrade.plugins.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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class PriceFilter(IPairList):
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def __init__(self, exchange, pairlistmanager,
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config: Dict[str, Any], pairlistconfig: Dict[str, Any],
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pairlist_pos: int) -> None:
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super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
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self._low_price_ratio = pairlistconfig.get('low_price_ratio', 0)
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if self._low_price_ratio < 0:
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raise OperationalException("PriceFilter requires low_price_ratio to be >= 0")
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self._min_price = pairlistconfig.get('min_price', 0)
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if self._min_price < 0:
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raise OperationalException("PriceFilter requires min_price to be >= 0")
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self._max_price = pairlistconfig.get('max_price', 0)
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if self._max_price < 0:
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raise OperationalException("PriceFilter requires max_price to be >= 0")
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self._max_value = pairlistconfig.get('max_value', 0)
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if self._max_value < 0:
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raise OperationalException("PriceFilter requires max_value to be >= 0")
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self._enabled = ((self._low_price_ratio > 0) or
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(self._min_price > 0) or
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(self._max_price > 0) or
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(self._max_value > 0))
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@property
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def needstickers(self) -> bool:
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"""
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Boolean property defining if tickers are necessary.
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If no Pairlist requires tickers, an empty Dict is passed
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as tickers argument to filter_pairlist
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"""
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return True
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def short_desc(self) -> str:
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"""
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Short whitelist method description - used for startup-messages
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"""
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active_price_filters = []
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if self._low_price_ratio != 0:
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active_price_filters.append(f"below {self._low_price_ratio * 100}%")
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if self._min_price != 0:
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active_price_filters.append(f"below {self._min_price:.8f}")
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if self._max_price != 0:
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active_price_filters.append(f"above {self._max_price:.8f}")
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if self._max_value != 0:
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active_price_filters.append(f"Value above {self._max_value:.8f}")
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if len(active_price_filters):
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return f"{self.name} - Filtering pairs priced {' or '.join(active_price_filters)}."
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return f"{self.name} - No price filters configured."
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def _validate_pair(self, pair: str, ticker: Dict[str, Any]) -> bool:
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"""
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Check if if one price-step (pip) is > than a certain barrier.
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:param pair: Pair that's currently validated
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:param ticker: ticker dict as returned from ccxt.fetch_tickers()
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:return: True if the pair can stay, false if it should be removed
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"""
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if ticker.get('last', None) is None or ticker.get('last') == 0:
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self.log_once(f"Removed {pair} from whitelist, because "
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"ticker['last'] is empty (Usually no trade in the last 24h).",
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logger.info)
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return False
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# Perform low_price_ratio check.
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if self._low_price_ratio != 0:
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compare = self._exchange.price_get_one_pip(pair, ticker['last'])
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changeperc = compare / ticker['last']
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if changeperc > self._low_price_ratio:
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self.log_once(f"Removed {pair} from whitelist, "
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f"because 1 unit is {changeperc * 100:.3f}%", logger.info)
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return False
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# Perform low_amount check
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if self._max_value != 0:
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price = ticker['last']
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market = self._exchange.markets[pair]
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limits = market['limits']
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if ('amount' in limits and 'min' in limits['amount']
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and limits['amount']['min'] is not None):
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min_amount = limits['amount']['min']
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min_precision = market['precision']['amount']
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min_value = min_amount * price
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if self._exchange.precisionMode == 4:
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# tick size
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next_value = (min_amount + min_precision) * price
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else:
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# Decimal places
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min_precision = pow(0.1, min_precision)
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next_value = (min_amount + min_precision) * price
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diff = next_value - min_value
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if diff > self._max_value:
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self.log_once(f"Removed {pair} from whitelist, "
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f"because min value change of {diff} > {self._max_value}.",
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logger.info)
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return False
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# Perform min_price check.
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if self._min_price != 0:
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if ticker['last'] < self._min_price:
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self.log_once(f"Removed {pair} from whitelist, "
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f"because last price < {self._min_price:.8f}", logger.info)
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return False
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# Perform max_price check.
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if self._max_price != 0:
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if ticker['last'] > self._max_price:
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self.log_once(f"Removed {pair} from whitelist, "
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f"because last price > {self._max_price:.8f}", logger.info)
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return False
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return True
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