67 lines
2.4 KiB
Python
67 lines
2.4 KiB
Python
"""
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Spread pair list filter
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"""
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import logging
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from typing import Any, Dict, Optional
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from freqtrade.constants import Config
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange.types import Ticker
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from freqtrade.plugins.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,
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config: Config, 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._max_spread_ratio = pairlistconfig.get('max_spread_ratio', 0.005)
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self._enabled = self._max_spread_ratio != 0
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if not self._exchange.get_option('tickers_have_bid_ask'):
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raise OperationalException(
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f"{self.name} requires exchange to have bid/ask data for tickers, "
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"which is not available for the selected exchange / trading mode."
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)
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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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return (f"{self.name} - Filtering pairs with ask/bid diff above "
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f"{self._max_spread_ratio:.2%}.")
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def _validate_pair(self, pair: str, ticker: Optional[Ticker]) -> bool:
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"""
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Validate spread for the ticker
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:param pair: Pair that's currently validated
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:param ticker: ticker dict as returned from ccxt.fetch_ticker
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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 and 'bid' in ticker and 'ask' in ticker and ticker['ask'] and ticker['bid']:
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spread = 1 - ticker['bid'] / ticker['ask']
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if spread > self._max_spread_ratio:
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self.log_once(f"Removed {pair} from whitelist, because spread "
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f"{spread:.3%} > {self._max_spread_ratio:.3%}",
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logger.info)
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return False
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else:
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return True
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self.log_once(f"Removed {pair} from whitelist due to invalid ticker data: {ticker}",
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logger.info)
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return False
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