97 lines
4.1 KiB
Python
97 lines
4.1 KiB
Python
"""
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Volume PairList provider
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Provides lists as configured in config.json
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"""
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import logging
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from typing import List
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from cachetools import TTLCache, cached
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from freqtrade.pairlist.IPairList import IPairList
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from freqtrade import OperationalException
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logger = logging.getLogger(__name__)
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SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']
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class VolumePairList(IPairList):
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def __init__(self, freqtrade, config: dict) -> None:
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super().__init__(freqtrade, config)
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self._whitelistconf = self._config.get('pairlist', {}).get('config')
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if 'number_assets' not in self._whitelistconf:
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raise OperationalException(
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f'`number_assets` not specified. Please check your configuration '
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'for "pairlist.config.number_assets"')
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self._number_pairs = self._whitelistconf['number_assets']
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self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
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self._precision_filter = self._whitelistconf.get('precision_filter', False)
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if not self._freqtrade.exchange.exchange_has('fetchTickers'):
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raise OperationalException(
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'Exchange does not support dynamic whitelist.'
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'Please edit your config and restart the bot'
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)
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if not self._validate_keys(self._sort_key):
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raise OperationalException(
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f'key {self._sort_key} not in {SORT_VALUES}')
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def _validate_keys(self, key):
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return key in SORT_VALUES
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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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-> Please overwrite in subclasses
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"""
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return f"{self.name} - top {self._whitelistconf['number_assets']} volume pairs."
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def refresh_pairlist(self) -> None:
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"""
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Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
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-> Please overwrite in subclasses
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"""
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# Generate dynamic whitelist
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self._whitelist = self._gen_pair_whitelist(
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self._config['stake_currency'], self._sort_key)[:self._number_pairs]
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@cached(TTLCache(maxsize=1, ttl=1800))
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def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
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"""
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Updates the whitelist with with a dynamically generated list
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:param base_currency: base currency as str
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:param key: sort key (defaults to 'quoteVolume')
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:return: List of pairs
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"""
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tickers = self._freqtrade.exchange.get_tickers()
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# check length so that we make sure that '/' is actually in the string
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tickers = [v for k, v in tickers.items()
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if (len(k.split('/')) == 2 and k.split('/')[1] == base_currency
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and v[key] is not None)]
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sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
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# Validate whitelist to only have active market pairs
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valid_pairs = self._validate_whitelist([s['symbol'] for s in sorted_tickers])
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valid_tickers = [t for t in sorted_tickers if t["symbol"] in valid_pairs]
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if self._freqtrade.strategy.stoploss is not None and self._precision_filter:
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stop_prices = [self._freqtrade.get_target_bid(t["symbol"], t)
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* (1 - abs(self._freqtrade.strategy.stoploss)) for t in valid_tickers]
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rates = [sp * 0.99 for sp in stop_prices]
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logger.debug("\n".join([f"{sp} : {r}" for sp, r in zip(stop_prices[:10], rates[:10])]))
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for i, t in enumerate(valid_tickers):
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sp = self._freqtrade.exchange.symbol_price_prec(t["symbol"], stop_prices[i])
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r = self._freqtrade.exchange.symbol_price_prec(t["symbol"], rates[i])
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logger.debug(f"{t['symbol']} - {sp} : {r}")
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if sp <= r:
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logger.info(f"Removed {t['symbol']} from whitelist, "
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f"because stop price {sp} would be <= stop limit {r}")
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valid_tickers.remove(t)
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pairs = [s['symbol'] for s in valid_tickers]
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logger.info(f"Searching pairs: {self._whitelist}")
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return pairs
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