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Merge pull request #7615 from freqtrade/price_jump_warn

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Add price jump warning
This commit is contained in:
Matthias
2022-10-24 06:27:53 +02:00
committed by GitHub
parent 10090a36d5 547fd28811
commit 3a40ad87c6
3 changed files with 104 additions and 4 deletions
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21
freqtrade/data/history/idatahandler.py
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@@ -303,7 +303,7 @@ class IDataHandler(ABC):
timerange=timerange_startup,
candle_type=candle_type
)
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data):
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data, True):
return pairdf
else:
enddate = pairdf.iloc[-1]['date']
@@ -323,8 +323,9 @@ class IDataHandler(ABC):
self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data)
return pairdf
def _check_empty_df(self, pairdf: DataFrame, pair: str, timeframe: str,
candle_type: CandleType, warn_no_data: bool):
def _check_empty_df(
self, pairdf: DataFrame, pair: str, timeframe: str, candle_type: CandleType,
warn_no_data: bool, warn_price: bool = False) -> bool:
"""
Warn on empty dataframe
"""
@@ -335,6 +336,20 @@ class IDataHandler(ABC):
"Use `freqtrade download-data` to download the data"
)
return True
elif warn_price:
candle_price_gap = 0
if (candle_type in (CandleType.SPOT, CandleType.FUTURES) and
not pairdf.empty
and 'close' in pairdf.columns and 'open' in pairdf.columns):
# Detect gaps between prior close and open
gaps = ((pairdf['open'] - pairdf['close'].shift(1)) / pairdf['close'].shift(1))
gaps = gaps.dropna()
if len(gaps):
candle_price_gap = max(abs(gaps))
if candle_price_gap > 0.1:
logger.info(f"Price jump in {pair}, {timeframe}, {candle_type} between two candles "
f"of {candle_price_gap:.2%} detected.")
return False
def _validate_pairdata(self, pair, pairdata: DataFrame, timeframe: str,