Add price jump warning

docs/faq.md

@@ -102,6 +102,12 @@ If this happens for all pairs in the pairlist, this might indicate a recent exch
 
 Irrespectively of the reason, Freqtrade will fill up these candles with "empty" candles, where open, high, low and close are set to the previous candle close - and volume is empty. In a chart, this will look like a `_` - and is aligned with how exchanges usually represent 0 volume candles.
 
+### I'm getting "Price jump between 2 candles detected"
+
+This message is a warning that the candles had a price jump of > 30%.
+This might be a sign that the pair stopped trading, and some token exchange took place (e.g. COCOS in 2021 - where price jumped from 0.0000154 to 0.01621).
+This message is often accompanied by ["Missing data fillup"](#im-getting-missing-data-fillup-messages-in-the-log) - as trading on such pairs is often stopped for some time.
+
 ### I'm getting "Outdated history for pair xxx" in the log
 
 The bot is trying to tell you that it got an outdated last candle (not the last complete candle).

freqtrade/data/converter.py

@@ -119,6 +119,14 @@ def ohlcv_fill_up_missing_data(dataframe: DataFrame, timeframe: str, pair: str)
         else:
             # Don't be verbose if only a small amount is missing
             logger.debug(message)
+    candle_price_gap = 0
+    if not df.empty and 'close' in df.columns:
+        returns = df['close'].pct_change().dropna()
+        if len(returns):
+            candle_price_gap = max(abs(returns))
+    if candle_price_gap > 0.3:
+        logger.info(f"Price jump in {pair} between two candles of {candle_price_gap:.2%} detected.")
+
     return df
 
 

tests/data/test_converter.py

@@ -80,10 +80,10 @@ def test_ohlcv_fill_up_missing_data2(caplog):
     ticks = [
         [
             1511686200000,  # 8:50:00
-            8.794e-05,  # open
-            8.948e-05,  # high
-            8.794e-05,  # low
-            8.88e-05,  # close
+            8.794e-07,  # open
+            8.948e-07,  # high
+            8.794e-07,  # low
+            8.88e-07,  # close
             2255,  # volume (in quote currency)
         ],
         [
@@ -118,6 +118,7 @@ def test_ohlcv_fill_up_missing_data2(caplog):
     assert len(data) == 3
     caplog.set_level(logging.DEBUG)
     data2 = ohlcv_fill_up_missing_data(data, timeframe, "UNITTEST/BTC")
+    assert log_has_re(r"Price jump in .* between two candles .* detected\.", caplog)
     assert len(data2) == 4
     # 3rd candle has been filled
     row = data2.loc[2, :]