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Merge pull request #1661 from iuvbio/validate_whitelist

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validate whitelist vs. validate pairs
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Matthias 2019-03-21 06:34:31 +01:00 committed by GitHub
commit 7744989583
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4 changed files with 48 additions and 94 deletions
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4
freqtrade/exchange/exchange.py
View File

@ -239,13 +239,9 @@ class Exchange(object):
logger.warning('Unable to validate pairs (assuming they are correct).')
# return
stake_cur = self._config['stake_currency']
for pair in pairs:
# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
# TODO: add a support for having coins in BTC/USDT format
if not pair.endswith(stake_cur):
raise OperationalException(
f'Pair {pair} not compatible with stake_currency: {stake_cur}')
if self.markets and pair not in self.markets:
raise OperationalException(
f'Pair {pair} is not available on {self.name}. '

37
freqtrade/pairlist/IPairList.py
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@ -60,34 +60,27 @@ class IPairList(ABC):
def _validate_whitelist(self, whitelist: List[str]) -> List[str]:
"""
Check available markets and remove pair from whitelist if necessary
:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to
trade
:return: the list of pairs the user wants to trade without the one unavailable or
:param whitelist: the sorted list of pairs the user might want to trade
:return: the list of pairs the user wants to trade without those unavailable or
black_listed
"""
sanitized_whitelist = whitelist
markets = self._freqtrade.exchange.markets
# Filter to markets in stake currency
markets = [markets[pair] for pair in markets if
markets[pair]['quote'] == self._config['stake_currency']]
known_pairs = set()
# TODO: we should loop over whitelist instead of all markets
for market in markets:
pair = market['symbol']
sanitized_whitelist = set()
for pair in whitelist:
# pair is not in the generated dynamic market, or in the blacklist ... ignore it
if pair not in whitelist or pair in self.blacklist:
if (pair in self.blacklist or pair not in markets
or not pair.endswith(self._config['stake_currency'])):
logger.warning(f"Pair {pair} is not compatible with exchange "
f"{self._freqtrade.exchange.name} or contained in "
f"your blacklist. Removing it from whitelist..")
continue
# else the pair is valid
known_pairs.add(pair)
# Market is not active
# Check if market is active
market = markets[pair]
if not market['active']:
sanitized_whitelist.remove(pair)
logger.info(
'Ignoring %s from whitelist. Market is not active.',
pair
)
logger.info(f"Ignoring {pair} from whitelist. Market is not active.")
continue
sanitized_whitelist.add(pair)
# We need to remove pairs that are unknown
return [x for x in sanitized_whitelist if x in known_pairs]
return list(sanitized_whitelist)

29
freqtrade/tests/exchange/test_exchange.py
View File

@ -305,19 +305,6 @@ def test_validate_pairs_not_available(default_conf, mocker):
Exchange(default_conf)
def test_validate_pairs_not_compatible(default_conf, mocker):
api_mock = MagicMock()
type(api_mock).markets = PropertyMock(return_value={
'ETH/BTC': '', 'TKN/BTC': '', 'TRST/BTC': '', 'SWT/BTC': '', 'BCC/BTC': ''
})
default_conf['stake_currency'] = 'ETH'
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
mocker.patch('freqtrade.exchange.Exchange._load_async_markets', MagicMock())
with pytest.raises(OperationalException, match=r'not compatible'):
Exchange(default_conf)
def test_validate_pairs_exception(default_conf, mocker, caplog):
caplog.set_level(logging.INFO)
api_mock = MagicMock()
@ -337,22 +324,6 @@ def test_validate_pairs_exception(default_conf, mocker, caplog):
caplog.record_tuples)
def test_validate_pairs_stake_exception(default_conf, mocker, caplog):
caplog.set_level(logging.INFO)
default_conf['stake_currency'] = 'ETH'
api_mock = MagicMock()
api_mock.name = MagicMock(return_value='binance')
mocker.patch('freqtrade.exchange.Exchange._init_ccxt', api_mock)
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
mocker.patch('freqtrade.exchange.Exchange._load_async_markets', MagicMock())
with pytest.raises(
OperationalException,
match=r'Pair ETH/BTC not compatible with stake_currency: ETH'
):
Exchange(default_conf)
def test_validate_timeframes(default_conf, mocker):
default_conf["ticker_interval"] = "5m"
api_mock = MagicMock()

72
freqtrade/tests/pairlist/test_pairlist.py
View File

@ -107,7 +107,16 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
assert set(whitelist) == set(pairslist)
def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, markets, tickers) -> None:
@pytest.mark.parametrize("precision_filter,base_currency,key,whitelist_result", [
(False, "BTC", "quoteVolume", ['ETH/BTC', 'TKN/BTC', 'BTT/BTC']),
(False, "BTC", "bidVolume", ['BTT/BTC', 'TKN/BTC', 'ETH/BTC']),
(False, "USDT", "quoteVolume", ['ETH/USDT', 'LTC/USDT']),
(False, "ETH", "quoteVolume", []), # this replaces tests that were removed from test_exchange
(True, "BTC", "quoteVolume", ["ETH/BTC", "TKN/BTC"]),
(True, "BTC", "bidVolume", ["TKN/BTC", "ETH/BTC"])
])
def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, markets, tickers, base_currency, key,
whitelist_result, precision_filter) -> None:
whitelist_conf['pairlist']['method'] = 'VolumePairList'
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
@ -115,32 +124,10 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, markets, tickers)
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, p, r: round(r, 8))
# Test to retrieved BTC sorted on quoteVolume (default)
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='quoteVolume')
assert whitelist == ['ETH/BTC', 'TKN/BTC', 'BTT/BTC']
# Test to retrieve BTC sorted on bidVolume
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
assert whitelist == ['BTT/BTC', 'TKN/BTC', 'ETH/BTC']
# Test with USDT sorted on quoteVolume (default)
freqtrade.config['stake_currency'] = 'USDT' # this has to be set, otherwise markets are removed
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='USDT', key='quoteVolume')
assert whitelist == ['ETH/USDT', 'LTC/USDT']
# Test with ETH (our fixture does not have ETH, so result should be empty)
freqtrade.config['stake_currency'] = 'ETH'
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='ETH', key='quoteVolume')
assert whitelist == []
freqtrade.pairlists._precision_filter = True
freqtrade.config['stake_currency'] = 'BTC'
# Retest First 2 test-cases to make sure BTT is not in it (too low priced)
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='quoteVolume')
assert whitelist == ['ETH/BTC', 'TKN/BTC']
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
assert whitelist == ['TKN/BTC', 'ETH/BTC']
freqtrade.pairlists._precision_filter = precision_filter
freqtrade.config['stake_currency'] = base_currency
whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency=base_currency, key=key)
assert whitelist == whitelist_result
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
@ -166,17 +153,24 @@ def test_pairlist_class(mocker, whitelist_conf, markets, pairlist):
assert isinstance(freqtrade.pairlists.whitelist, list)
assert isinstance(freqtrade.pairlists.blacklist, list)
whitelist = ['ETH/BTC', 'TKN/BTC']
@pytest.mark.parametrize("pairlist", AVAILABLE_PAIRLISTS)
@pytest.mark.parametrize("whitelist,log_message", [
(['ETH/BTC', 'TKN/BTC'], ""),
(['ETH/BTC', 'TKN/BTC', 'TRX/ETH'], "is not compatible with exchange"), # TRX/ETH wrong stake
(['ETH/BTC', 'TKN/BTC', 'BCH/BTC'], "is not compatible with exchange"), # BCH/BTC not available
(['ETH/BTC', 'TKN/BTC', 'BLK/BTC'], "is not compatible with exchange"), # BLK/BTC in blacklist
(['ETH/BTC', 'TKN/BTC', 'LTC/BTC'], "Market is not active") # LTC/BTC is inactive
])
def test_validate_whitelist(mocker, whitelist_conf, markets, pairlist, whitelist, caplog,
log_message):
whitelist_conf['pairlist']['method'] = pairlist
mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets))
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
caplog.clear()
new_whitelist = freqtrade.pairlists._validate_whitelist(whitelist)
assert set(whitelist) == set(new_whitelist)
whitelist = ['ETH/BTC', 'TKN/BTC', 'TRX/ETH']
new_whitelist = freqtrade.pairlists._validate_whitelist(whitelist)
# TRX/ETH was removed
assert set(['ETH/BTC', 'TKN/BTC']) == set(new_whitelist)
whitelist = ['ETH/BTC', 'TKN/BTC', 'BLK/BTC']
new_whitelist = freqtrade.pairlists._validate_whitelist(whitelist)
# BLK/BTC is in blacklist ...
assert set(['ETH/BTC', 'TKN/BTC']) == set(new_whitelist)
assert set(new_whitelist) == set(['ETH/BTC', 'TKN/BTC'])
assert log_message in caplog.text