diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index 20883c825..ce0cc6e57 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -112,6 +112,7 @@ The `PriceFilter` allows filtering of pairs by price. Currently the following pr * `min_price` * `max_price` +* `max_value` * `low_price_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. @@ -120,6 +121,11 @@ 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 `max_value` setting removes pairs where the minimum value change is above a specified value. +This is useful when an exchange has unbalanced limits. For example, if step-size = 1 (so you can only buy 1, or 2, or 3, but not 1.1 Coins) - and the price is pretty high (like 20$) as the coin has risen sharply since the last limit adaption. +As a result of the above, you can only buy for 20$, or 40$ - but not for 25$. +On exchanges that deduct fees from the receiving currency (e.g. FTX) - this can result in high value coins / amounts that are unsellable as the amount is slightly below the limit. + 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. diff --git a/freqtrade/plugins/pairlist/IPairList.py b/freqtrade/plugins/pairlist/IPairList.py index 01eec7e90..74348b1a7 100644 --- a/freqtrade/plugins/pairlist/IPairList.py +++ b/freqtrade/plugins/pairlist/IPairList.py @@ -7,7 +7,7 @@ from copy import deepcopy from typing import Any, Dict, List from freqtrade.exceptions import OperationalException -from freqtrade.exchange import market_is_active +from freqtrade.exchange import Exchange, market_is_active from freqtrade.mixins import LoggingMixin @@ -16,7 +16,7 @@ logger = logging.getLogger(__name__) class IPairList(LoggingMixin, ABC): - def __init__(self, exchange, pairlistmanager, + def __init__(self, exchange: Exchange, pairlistmanager, config: Dict[str, Any], pairlistconfig: Dict[str, Any], pairlist_pos: int) -> None: """ @@ -28,7 +28,7 @@ class IPairList(LoggingMixin, ABC): """ self._enabled = True - self._exchange = exchange + self._exchange: Exchange = exchange self._pairlistmanager = pairlistmanager self._config = config self._pairlistconfig = pairlistconfig diff --git a/freqtrade/plugins/pairlist/PriceFilter.py b/freqtrade/plugins/pairlist/PriceFilter.py index 7f2fa4444..f25ab8fd0 100644 --- a/freqtrade/plugins/pairlist/PriceFilter.py +++ b/freqtrade/plugins/pairlist/PriceFilter.py @@ -27,9 +27,13 @@ class PriceFilter(IPairList): self._max_price = pairlistconfig.get('max_price', 0) if self._max_price < 0: raise OperationalException("PriceFilter requires max_price to be >= 0") + self._max_value = pairlistconfig.get('max_value', 0) + if self._max_value < 0: + raise OperationalException("PriceFilter requires max_value to be >= 0") self._enabled = ((self._low_price_ratio > 0) or (self._min_price > 0) or - (self._max_price > 0)) + (self._max_price > 0) or + (self._max_value)) @property def needstickers(self) -> bool: @@ -51,6 +55,8 @@ class PriceFilter(IPairList): 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 self._max_value != 0: + active_price_filters.append(f"Value above {self._max_value:.8f}") if len(active_price_filters): return f"{self.name} - Filtering pairs priced {' or '.join(active_price_filters)}." @@ -79,6 +85,32 @@ class PriceFilter(IPairList): f"because 1 unit is {changeperc * 100:.3f}%", logger.info) return False + # Perform low_amount check + if self._max_value != 0: + price = ticker['last'] + market = self._exchange.markets[pair] + limits = market['limits'] + if ('amount' in limits and 'min' in limits['amount'] + and limits['amount']['min'] is not None): + min_amount = limits['amount']['min'] + min_precision = market['precision']['amount'] + + min_value = min_amount * price + if self._exchange.precisionMode == 4: + # tick size + next_value = (min_amount + min_precision) * price + else: + # Decimal places + min_precision = pow(0.1, min_precision) + next_value = (min_amount + min_precision) * price + diff = next_value - min_value + + if diff > self._max_value: + self.log_once(f"Removed {pair} from whitelist, " + f"because min value change of {diff} > {self._max_value}) ", + logger.info) + return False + # Perform min_price check. if self._min_price != 0: if ticker['last'] < self._min_price: @@ -89,7 +121,7 @@ class PriceFilter(IPairList): # Perform max_price check. if self._max_price != 0: if ticker['last'] > self._max_price: - self.log_once(f"Removed {ticker['symbol']} from whitelist, " + self.log_once(f"Removed {pair} from whitelist, " f"because last price > {self._max_price:.8f}", logger.info) return False diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index 8347687da..552f47679 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -800,6 +800,10 @@ def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplo "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]", None ), + ({"method": "PriceFilter", "max_value": 0.00002000}, + "[{'PriceFilter': 'PriceFilter - Filtering pairs priced Value above 0.00002000.'}]", + None + ), ({"method": "PriceFilter"}, "[{'PriceFilter': 'PriceFilter - No price filters configured.'}]", None @@ -816,6 +820,10 @@ def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplo None, "PriceFilter requires max_price to be >= 0" ), # OperationalException expected + ({"method": "PriceFilter", "max_value": -1.00010000}, + None, + "PriceFilter requires max_value to be >= 0" + ), # OperationalException expected ({"method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01}, "[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below " "0.01 over the last days.'}]",