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feat(agefilter): add max_days_listed

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This commit is contained in:
kevinjulian 2021-07-03 23:58:04 +07:00
parent 9d6860337f
commit 3d9f3eeb07
4 changed files with 47 additions and 13 deletions
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2
config_full.json.example
View File

@ -67,7 +67,7 @@
"sort_key": "quoteVolume",
"refresh_period": 1800
},
{"method": "AgeFilter", "min_days_listed": 10},
{"method": "AgeFilter", "min_days_listed": 10, "max_days_listed": 7300},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.01, "min_price": 0.00000010},
{"method": "SpreadFilter", "max_spread_ratio": 0.005},

4
docs/includes/pairlists.md
View File

@ -87,7 +87,7 @@ When pairs are first listed on an exchange they can suffer huge price drops and
in the first few days while the pair goes through its price-discovery period. Bots can often
be caught out buying before the pair has finished dropping in price.
This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days.
This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days and listed before `max_days_listed`.
#### PerformanceFilter
@ -212,7 +212,7 @@ The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets,
"number_assets": 20,
"sort_key": "quoteVolume"
},
{"method": "AgeFilter", "min_days_listed": 10},
{"method": "AgeFilter", "min_days_listed": 10, "max_days_listed": 7300},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.01},
{"method": "SpreadFilter", "max_spread_ratio": 0.005},

17
freqtrade/plugins/pairlist/AgeFilter.py
View File

@ -27,6 +27,7 @@ class AgeFilter(IPairList):
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._min_days_listed = pairlistconfig.get('min_days_listed', 10)
self._max_days_listed = pairlistconfig.get('max_days_listed', None)
if self._min_days_listed < 1:
raise OperationalException("AgeFilter requires min_days_listed to be >= 1")
@ -34,6 +35,8 @@ class AgeFilter(IPairList):
raise OperationalException("AgeFilter requires min_days_listed to not exceed "
"exchange max request size "
f"({exchange.ohlcv_candle_limit('1d')})")
if self._max_days_listed and self._max_days_listed <= self._min_days_listed:
raise OperationalException("AgeFilter max_days_listed <= min_days_listed not permitted")
@property
def needstickers(self) -> bool:
@ -49,7 +52,9 @@ class AgeFilter(IPairList):
Short whitelist method description - used for startup-messages
"""
return (f"{self.name} - Filtering pairs with age less than "
f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.")
f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}"
" or more than "
f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}")
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
@ -61,9 +66,10 @@ class AgeFilter(IPairList):
if not needed_pairs:
return pairlist
since_days = -(self._max_days_listed if self._max_days_listed else self._min_days_listed) - 1
since_ms = int(arrow.utcnow()
.floor('day')
.shift(days=-self._min_days_listed - 1)
.shift(days=since_days)
.float_timestamp) * 1000
candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False)
if self._enabled:
@ -86,7 +92,8 @@ class AgeFilter(IPairList):
return True
if daily_candles is not None:
if len(daily_candles) >= self._min_days_listed:
if len(daily_candles) >= self._min_days_listed and \
len(daily_candles) <= self._max_days_listed:
# We have fetched at least the minimum required number of daily candles
# Add to cache, store the time we last checked this symbol
self._symbolsChecked[pair] = int(arrow.utcnow().float_timestamp) * 1000
@ -94,6 +101,8 @@ class AgeFilter(IPairList):
else:
self.log_once(f"Removed {pair} from whitelist, because age "
f"{len(daily_candles)} is less than {self._min_days_listed} "
f"{plural(self._min_days_listed, 'day')}", logger.info)
f"{plural(self._min_days_listed, 'day')} or more than "
f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}",
logger.info)
return False
return False

37
tests/plugins/test_pairlist.py
View File

@ -79,7 +79,8 @@ def whitelist_conf_agefilter(default_conf):
},
{
"method": "AgeFilter",
"min_days_listed": 2
"min_days_listed": 2,
"max_days_listed": 100
}
]
return default_conf
@ -302,7 +303,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
# No pair for ETH, all handlers
([{"method": "StaticPairList"},
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 2},
{"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": None},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.03},
{"method": "SpreadFilter", "max_spread_ratio": 0.005},
@ -310,11 +311,15 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
"ETH", []),
# AgeFilter and VolumePairList (require 2 days only, all should pass age test)
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 2}],
{"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": 100}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']),
# AgeFilter and VolumePairList (require 10 days, all should fail age test)
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 10}],
{"method": "AgeFilter", "min_days_listed": 10, "max_days_listed": None}],
"BTC", []),
# AgeFilter and VolumePairList (all pair listed > 2, all should fail age test)
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "AgeFilter", "min_days_listed": 1, "max_days_listed": 2}],
"BTC", []),
# Precisionfilter and quote volume
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
@ -480,9 +485,13 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
for pairlist in pairlists:
if pairlist['method'] == 'AgeFilter' and pairlist['min_days_listed'] and \
len(ohlcv_history) <= pairlist['min_days_listed']:
len(ohlcv_history) < pairlist['min_days_listed']:
assert log_has_re(r'^Removed .* from whitelist, because age .* is less than '
r'.* day.*', caplog)
r'.* day.* or more than .* day', caplog)
if pairlist['method'] == 'AgeFilter' and pairlist['max_days_listed'] and \
len(ohlcv_history) > pairlist['max_days_listed']:
assert log_has_re(r'^Removed .* from whitelist, because age .* is less than '
r'.* day.* or more than .* day', caplog)
if pairlist['method'] == 'PrecisionFilter' and whitelist_result:
assert log_has_re(r'^Removed .* from whitelist, because stop price .* '
r'would be <= stop limit.*', caplog)
@ -650,6 +659,22 @@ def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tick
get_patched_freqtradebot(mocker, default_conf)
def test_agefilter_max_days_lower_than_min_days(mocker, default_conf, markets, tickers):
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
{'method': 'AgeFilter', 'min_days_listed': 3,
"max_days_listed": 2}]
mocker.patch.multiple('freqtrade.exchange.Exchange',
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers
)
with pytest.raises(OperationalException,
match=r'AgeFilter max_days_listed <= min_days_listed not permitted'):
get_patched_freqtradebot(mocker, default_conf)
def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tickers):
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
{'method': 'AgeFilter', 'min_days_listed': 99999}]