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Add price jump warning

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This commit is contained in:
Matthias 2022-10-20 19:36:28 +02:00
parent 7192ed7be6
commit 60cb11a44d
3 changed files with 19 additions and 4 deletions
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6
docs/faq.md
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@ -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. 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### I'm getting "Outdated history for pair xxx" in the log ### I'm getting "Outdated history for pair xxx" in the log
The bot is trying to tell you that it got an outdated last candle (not the last complete candle). The bot is trying to tell you that it got an outdated last candle (not the last complete candle).

8
freqtrade/data/converter.py
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@ -119,6 +119,14 @@ def ohlcv_fill_up_missing_data(dataframe: DataFrame, timeframe: str, pair: str)
else: else:
# Don't be verbose if only a small amount is missing # Don't be verbose if only a small amount is missing
logger.debug(message) 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 return df

9
tests/data/test_converter.py
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@ -80,10 +80,10 @@ def test_ohlcv_fill_up_missing_data2(caplog):
ticks = [ ticks = [
[ [
1511686200000, # 8:50:00 1511686200000, # 8:50:00
8.794e-05, # open 8.794e-07, # open
8.948e-05, # high 8.948e-07, # high
8.794e-05, # low 8.794e-07, # low
8.88e-05, # close 8.88e-07, # close
2255, # volume (in quote currency) 2255, # volume (in quote currency)
], ],
[ [
@ -118,6 +118,7 @@ def test_ohlcv_fill_up_missing_data2(caplog):
assert len(data) == 3 assert len(data) == 3
caplog.set_level(logging.DEBUG) caplog.set_level(logging.DEBUG)
data2 = ohlcv_fill_up_missing_data(data, timeframe, "UNITTEST/BTC") 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 assert len(data2) == 4
# 3rd candle has been filled # 3rd candle has been filled
row = data2.loc[2, :] row = data2.loc[2, :]