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Added min_price, max_price to PriceFilter

This commit is contained in:
gambcl 2020-07-08 22:02:04 +01:00
parent 091285ba43
commit 14eab9be04
4 changed files with 67 additions and 16 deletions
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2
config_full.json.example
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@ -66,7 +66,7 @@
},
{"method": "AgeFilter", "min_days_listed": 10},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.01},
{"method": "PriceFilter", "low_price_ratio": 0.01, "min_price": 0.00000010},
{"method": "SpreadFilter", "max_spread_ratio": 0.005}
],
"exchange": {

15
docs/configuration.md
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@ -662,16 +662,25 @@ Filters low-value coins which would not allow setting stoplosses.
#### PriceFilter
The `PriceFilter` allows filtering of pairs by price.
The `PriceFilter` allows filtering of pairs by price. Currently the following price filters are supported:
* `min_price`
* `max_price`
* `low_price_ratio`
Currently, only `low_price_ratio` setting is implemented, where a raise of 1 price unit (pip) is below the `low_price_ratio` ratio.
The `min_price` setting removes pairs where the price is below the specified price. This is useful if you wish to avoid trading very low-priced pairs.
This option is disabled by default, and will only apply if set to <> 0.
The `max_price` setting removes pairs where the price is above the specified price. This is useful if you wish to trade only low-priced pairs.
This option is disabled by default, and will only apply if set to <> 0.
The `low_price_ratio` setting removes pairs where a raise of 1 price unit (pip) is above the `low_price_ratio` ratio.
This option is disabled by default, and will only apply if set to <> 0.
Calculation example:
Min price precision is 8 decimals. If price is 0.00000011 - one step would be 0.00000012 - which is almost 10% higher than the previous value.
These pairs are dangerous since it may be impossible to place the desired stoploss - and often result in high losses. Here is what the PriceFilters takes over.
These pairs are dangerous since it may be impossible to place the desired stoploss - and often result in high losses.
#### ShuffleFilter

49
freqtrade/pairlist/PriceFilter.py
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@ -18,7 +18,11 @@ class PriceFilter(IPairList):
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._low_price_ratio = pairlistconfig.get('low_price_ratio', 0)
self._enabled = self._low_price_ratio != 0
self._min_price = pairlistconfig.get('min_price', 0)
self._max_price = pairlistconfig.get('max_price', 0)
self._enabled = (self._low_price_ratio != 0) or \
(self._min_price != 0) or \
(self._max_price != 0)
@property
def needstickers(self) -> bool:
@ -33,7 +37,18 @@ class PriceFilter(IPairList):
"""
Short whitelist method description - used for startup-messages
"""
return f"{self.name} - Filtering pairs priced below {self._low_price_ratio * 100}%."
active_price_filters = []
if self._low_price_ratio != 0:
active_price_filters.append(f"below {self._low_price_ratio * 100}%")
if self._min_price != 0:
active_price_filters.append(f"below {self._min_price:.8f}")
if self._max_price != 0:
active_price_filters.append(f"above {self._max_price:.8f}")
if len(active_price_filters):
return f"{self.name} - Filtering pairs priced {' or '.join(active_price_filters)}."
return f"{self.name} - No price filters configured."
def _validate_pair(self, ticker) -> bool:
"""
@ -46,10 +61,28 @@ class PriceFilter(IPairList):
f"Removed {ticker['symbol']} from whitelist, because "
"ticker['last'] is empty (Usually no trade in the last 24h).")
return False
compare = self._exchange.price_get_one_pip(ticker['symbol'], ticker['last'])
changeperc = compare / ticker['last']
if changeperc > self._low_price_ratio:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because 1 unit is {changeperc * 100:.3f}%")
return False
# Perform low_price_ratio check.
if self._low_price_ratio != 0:
compare = self._exchange.price_get_one_pip(ticker['symbol'], ticker['last'])
changeperc = compare / ticker['last']
if changeperc > self._low_price_ratio:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because 1 unit is {changeperc * 100:.3f}%")
return False
# Perform min_price check.
if self._min_price != 0:
if ticker['last'] < self._min_price:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because last price < {self._min_price:.8f}")
return False
# Perform max_price check.
if self._max_price != 0:
if ticker['last'] > self._max_price:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because last price > {self._max_price:.8f}")
return False
return True

17
tests/pairlist/test_pairlist.py
View File

@ -275,11 +275,16 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "low_price_ratio": 0.03}],
"USDT", ['ETH/USDT', 'NANO/USDT']),
# Hot is removed by precision_filter, Fuel by low_price_filter.
# Hot is removed by precision_filter, Fuel by low_price_ratio, Ripple by min_price.
([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.02}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
{"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.01}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
# Hot is removed by precision_filter, Fuel by low_price_ratio, Ethereum by max_price.
([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.02, "max_price": 0.05}],
"BTC", ['TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
# HOT and XRP are removed because below 1250 quoteVolume
([{"method": "VolumePairList", "number_assets": 5,
"sort_key": "quoteVolume", "min_value": 1250}],
@ -319,7 +324,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
"BTC", 'filter_at_the_beginning'), # OperationalException expected
# PriceFilter after StaticPairList
([{"method": "StaticPairList"},
{"method": "PriceFilter", "low_price_ratio": 0.02}],
{"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.000001, "max_price": 0.1}],
"BTC", ['ETH/BTC', 'TKN/BTC']),
# PriceFilter only
([{"method": "PriceFilter", "low_price_ratio": 0.02}],
@ -396,6 +401,10 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
r'would be <= stop limit.*', caplog)
if pairlist['method'] == 'PriceFilter' and whitelist_result:
assert (log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog) or
log_has_re(r'^Removed .* from whitelist, '
r'because last price < .*%$', caplog) or
log_has_re(r'^Removed .* from whitelist, '
r'because last price > .*%$', caplog) or
log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] "
r"is empty.*", caplog))
if pairlist['method'] == 'VolumePairList':