Merge pull request #6173 from freqtrade/volume_quote_workaround
Selectively convert quote to base volume in volumepairlist
This commit is contained in:
Matthias
GitHub
commit
b77943af0d
@ -67,6 +67,8 @@ class Exchange:
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"ohlcv_params": {},
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"ohlcv_candle_limit": 500,
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"ohlcv_partial_candle": True,
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# Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency
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"ohlcv_volume_currency": "base", # "base" or "quote"
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"trades_pagination": "time", # Possible are "time" or "id"
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"trades_pagination_arg": "since",
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"l2_limit_range": None,
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@ -19,6 +19,7 @@ class Ftx(Exchange):
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_ft_has: Dict = {
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"stoploss_on_exchange": True,
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"ohlcv_candle_limit": 1500,
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"ohlcv_volume_currency": "quote",
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}
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def market_is_tradable(self, market: Dict[str, Any]) -> bool:
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@ -21,6 +21,7 @@ class Gateio(Exchange):
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_ft_has: Dict = {
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"ohlcv_candle_limit": 1000,
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"ohlcv_volume_currency": "quote",
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}
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_headers = {'X-Gate-Channel-Id': 'freqtrade'}
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@ -184,12 +184,16 @@ class VolumePairList(IPairList):
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] if (p['symbol'], self._lookback_timeframe) in candles else None
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# in case of candle data calculate typical price and quoteVolume for candle
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if pair_candles is not None and not pair_candles.empty:
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pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']
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+ pair_candles['close']) / 3
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pair_candles['quoteVolume'] = (
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pair_candles['volume'] * pair_candles['typical_price']
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)
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if self._exchange._ft_has["ohlcv_volume_currency"] == "base":
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pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']
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+ pair_candles['close']) / 3
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pair_candles['quoteVolume'] = (
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pair_candles['volume'] * pair_candles['typical_price']
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)
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else:
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# Exchange ohlcv data is in quote volume already.
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pair_candles['quoteVolume'] = pair_candles['volume']
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# ensure that a rolling sum over the lookback_period is built
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# if pair_candles contains more candles than lookback_period
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quoteVolume = (pair_candles['quoteVolume']
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@ -565,36 +565,41 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
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assert log_has_re(r'^Removed .* from whitelist, because volatility.*$', caplog)
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@pytest.mark.parametrize("pairlists,base_currency,volumefilter_result", [
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@pytest.mark.parametrize("pairlists,base_currency,exchange,volumefilter_result", [
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# default refresh of 1800 to small for daily candle lookback
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
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"lookback_days": 1}],
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"BTC", "default_refresh_too_short"), # OperationalException expected
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"BTC", "binance", "default_refresh_too_short"), # OperationalException expected
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# ambigous configuration with lookback days and period
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
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"lookback_days": 1, "lookback_period": 1}],
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"BTC", "lookback_days_and_period"), # OperationalException expected
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"BTC", "binance", "lookback_days_and_period"), # OperationalException expected
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# negative lookback period
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
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"lookback_timeframe": "1d", "lookback_period": -1}],
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"BTC", "lookback_period_negative"), # OperationalException expected
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"BTC", "binance", "lookback_period_negative"), # OperationalException expected
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# lookback range exceedes exchange limit
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
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"lookback_timeframe": "1m", "lookback_period": 2000, "refresh_period": 3600}],
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"BTC", 'lookback_exceeds_exchange_request_size'), # OperationalException expected
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"BTC", "binance", "lookback_exceeds_exchange_request_size"), # OperationalException expected
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# expecing pairs as given
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
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"lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
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"BTC", ['HOT/BTC', 'LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC']),
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"BTC", "binance", ['LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC', 'HOT/BTC']),
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# expecting pairs from default tickers, because 1h candles are not available
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
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"lookback_timeframe": "1h", "lookback_period": 2, "refresh_period": 3600}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
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"BTC", "binance", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
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# ftx data is already in Quote currency, therefore won't require conversion
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
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"lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
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"BTC", "ftx", ['HOT/BTC', 'LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC']),
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])
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def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers, ohlcv_history,
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pairlists, base_currency, volumefilter_result, caplog) -> None:
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pairlists, base_currency, exchange, volumefilter_result) -> None:
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whitelist_conf['pairlists'] = pairlists
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whitelist_conf['stake_currency'] = base_currency
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whitelist_conf['exchange']['name'] = exchange
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ohlcv_history_high_vola = ohlcv_history.copy()
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ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, 'close'] = 0.00090
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@ -603,9 +608,14 @@ def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers,
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ohlcv_history_medium_volume = ohlcv_history.copy()
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ohlcv_history_medium_volume.loc[ohlcv_history_medium_volume.index == 2, 'volume'] = 5
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# create candles for high volume with all candles high volume
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# create candles for high volume with all candles high volume, but very low price.
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ohlcv_history_high_volume = ohlcv_history.copy()
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ohlcv_history_high_volume.loc[:, 'volume'] = 10
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ohlcv_history_high_volume.loc[:, 'low'] = ohlcv_history_high_volume.loc[:, 'low'] * 0.01
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ohlcv_history_high_volume.loc[:, 'high'] = ohlcv_history_high_volume.loc[:, 'high'] * 0.01
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ohlcv_history_high_volume.loc[:, 'close'] = ohlcv_history_high_volume.loc[:, 'close'] * 0.01
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mocker.patch('freqtrade.exchange.ftx.Ftx.market_is_tradable', return_value=True)
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ohlcv_data = {
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('ETH/BTC', '1d'): ohlcv_history,
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