60 lines
2.1 KiB
Python
60 lines
2.1 KiB
Python
import logging
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from copy import deepcopy
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from typing import Dict, List
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from freqtrade.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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class SpreadFilter(IPairList):
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def __init__(self, exchange, pairlistmanager, config, pairlistconfig: dict,
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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._max_spread_ratio = pairlistconfig.get('max_spread_ratio', 0.005)
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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 requries tickers, an empty List 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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return (f"{self.name} - Filtering pairs with ask/bid diff above "
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f"{self._max_spread_ratio * 100}%.")
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def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Filters and sorts pairlist and returns the whitelist again.
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Called on each bot iteration - please use internal caching if necessary
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:param pairlist: pairlist to filter or sort
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:param tickers: Tickers (from exchange.get_tickers()). May be cached.
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:return: new whitelist
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"""
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# Copy list since we're modifying this list
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spread = None
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for p in deepcopy(pairlist):
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ticker = tickers.get(p)
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assert ticker is not None
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if 'bid' in ticker and 'ask' in ticker:
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spread = 1 - ticker['bid'] / ticker['ask']
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if not ticker or spread > self._max_spread_ratio:
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logger.info(f"Removed {ticker['symbol']} from whitelist, "
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f"because spread {spread * 100:.3f}% >"
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f"{self._max_spread_ratio * 100}%")
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pairlist.remove(p)
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else:
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pairlist.remove(p)
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return pairlist
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