Final cleanups and added tests
This commit is contained in:
Matthias
parent
d803d86f4d
commit
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@ -56,7 +56,7 @@
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"number_assets": 20,
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"sort_key": "quoteVolume",
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"precision_filter": true,
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"low_price_percent_filter": null
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"low_price_percent_filter": 0
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}
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},
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"exchange": {
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@ -427,7 +427,9 @@ section of the configuration.
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* `VolumePairList` does not consider `pair_whitelist`, but builds this automatically based the pairlist configuration.
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* Pairs in `pair_blacklist` are not considered for VolumePairList, even if all other filters would match.
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* `low_price_percent_filter` allows filtering of pairs where a raise of 1 price unit is below the `low_price_percent_filter` ratio.
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This option is disabled by default, and will only apply if set to <> 0.
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Calculation example: Min price precision is 8 decimals. If price is 0.00000011 - one step would be 0.00000012 - which is almost 10% higher than the previous value.
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Example:
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@ -442,7 +444,7 @@ Example:
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"number_assets": 20,
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"sort_key": "quoteVolume",
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"precision_filter": true,
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"low_price_percent_filter": 0.03
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"low_price_percent_filter": 0.05
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}
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},
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```
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@ -5,11 +5,14 @@ Provides lists as configured in config.json
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"""
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import logging
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from copy import deepcopy
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from typing import List
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from cachetools import TTLCache, cached
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from freqtrade.pairlist.IPairList import IPairList
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from freqtrade import OperationalException
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from freqtrade.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']
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@ -28,7 +31,6 @@ class VolumePairList(IPairList):
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self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
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self._precision_filter = self._whitelistconf.get('precision_filter', True)
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self._low_price_percent_filter = self._whitelistconf.get('low_price_percent_filter', None)
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print(self._whitelistconf)
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if not self._freqtrade.exchange.exchange_has('fetchTickers'):
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raise OperationalException(
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@ -64,10 +66,10 @@ class VolumePairList(IPairList):
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low value pairs.
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:param stoploss: stoploss value as set in the configuration
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(already cleaned to be guaranteed negative)
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(already cleaned to be 1 - stoploss)
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:return: True if the pair can stay, false if it should be removed
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"""
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stop_price = (self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss)
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stop_price = self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss
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# Adjust stop-prices to precision
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sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
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stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
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@ -120,10 +122,11 @@ class VolumePairList(IPairList):
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# Precalculate sanitized stoploss value to avoid recalculation for every pair
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stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
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for t in valid_tickers:
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# Copy list since we're modifying this list
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for t in deepcopy(valid_tickers):
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# Filter out assets which would not allow setting a stoploss
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if (stoploss and self._precision_filter
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and not self._validate_precision_filter(t, stoploss)):
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and not self._validate_precision_filter(t, stoploss)):
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valid_tickers.remove(t)
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continue
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if self._low_price_percent_filter and not self._validate_precision_filter_lowprice(t,):
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@ -606,6 +606,34 @@ def shitcoinmarkets(markets):
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},
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'info': {},
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},
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'FUEL/BTC': {
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'id': 'FUELBTC',
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'symbol': 'FUEL/BTC',
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'base': 'FUEL',
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'quote': 'BTC',
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'active': True,
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'precision': {
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'base': 8,
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'quote': 8,
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'amount': 0,
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'price': 8
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},
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'limits': {
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'amount': {
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'min': 1.0,
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'max': 90000000.0
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},
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'price': {
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'min': 1e-08,
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'max': 1000.0
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},
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'cost': {
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'min': 0.001,
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'max': None
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}
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},
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'info': {},
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},
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})
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return shitmarkets
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@ -926,6 +954,28 @@ def tickers():
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'quoteVolume': 143.78311994,
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'info': {}
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},
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'FUEL/BTC': {
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'symbol': 'FUEL/BTC',
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'timestamp': 1572340250771,
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'datetime': '2019-10-29T09:10:50.771Z',
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'high': 0.00000040,
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'low': 0.00000035,
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'bid': 0.00000036,
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'bidVolume': 8932318.0,
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'ask': 0.00000037,
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'askVolume': 10140774.0,
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'vwap': 0.00000037,
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'open': 0.00000039,
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'close': 0.00000037,
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'last': 0.00000037,
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'previousClose': 0.00000038,
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'change': -0.00000002,
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'percentage': -5.128,
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'average': None,
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'baseVolume': 168927742.0,
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'quoteVolume': 62.68220262,
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'info': {}
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},
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'ETH/USDT': {
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'symbol': 'ETH/USDT',
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'timestamp': 1522014804118,
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@ -26,7 +26,7 @@ def whitelist_conf(default_conf):
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'BLK/BTC'
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]
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default_conf['pairlist'] = {'method': 'StaticPairList',
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'config': {'number_assets': 3}
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'config': {'number_assets': 5}
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}
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return default_conf
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@ -86,7 +86,7 @@ def test_refresh_pairlist_dynamic(mocker, shitcoinmarkets, tickers, whitelist_co
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markets=PropertyMock(return_value=shitcoinmarkets),
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)
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# argument: use the whitelist dynamically by exchange-volume
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whitelist = ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC']
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whitelist = ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']
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freqtradebot.pairlists.refresh_pairlist()
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assert whitelist == freqtradebot.pairlists.whitelist
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@ -113,30 +113,38 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
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assert set(whitelist) == set(pairslist)
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@pytest.mark.parametrize("precision_filter,base_currency,key,whitelist_result", [
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(False, "BTC", "quoteVolume", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC']),
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(False, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'HOT/BTC']),
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(False, "USDT", "quoteVolume", ['ETH/USDT']),
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(False, "ETH", "quoteVolume", []), # this replaces tests that were removed from test_exchange
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(True, "BTC", "quoteVolume", ["LTC/BTC", "ETH/BTC", "TKN/BTC"]),
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(True, "BTC", "bidVolume", ["LTC/BTC", "TKN/BTC", "ETH/BTC"])
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@pytest.mark.parametrize("precision_filter,low_price_filter,base_currency,key,whitelist_result", [
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(False, 0, "BTC", "quoteVolume", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
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(False, 0, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'HOT/BTC', 'FUEL/BTC']),
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(False, 0, "USDT", "quoteVolume", ['ETH/USDT']),
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(False, 0, "ETH", "quoteVolume", []),
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(True, 0, "BTC", "quoteVolume", ["LTC/BTC", "ETH/BTC", "TKN/BTC", 'FUEL/BTC']),
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(True, 0, "BTC", "bidVolume", ["LTC/BTC", "TKN/BTC", "ETH/BTC", 'FUEL/BTC']),
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(False, 0.03, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'FUEL/BTC']),
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# Hot is removed by precision_filter, Fuel by low_price_filter.
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(True, 0.02, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC']),
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])
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def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
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precision_filter, base_currency, key, whitelist_result,
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caplog) -> None:
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precision_filter, low_price_filter, base_currency, key,
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whitelist_result, caplog) -> None:
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whitelist_conf['pairlist']['method'] = 'VolumePairList'
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whitelist_conf['pairlist']['config']['precision_filter'] = precision_filter
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whitelist_conf['pairlist']['config']['low_price_percent_filter'] = low_price_filter
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mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
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freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
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mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=shitcoinmarkets))
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mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
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mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, p, r: round(r, 8))
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freqtrade.pairlists._precision_filter = precision_filter
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freqtrade.config['stake_currency'] = base_currency
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whitelist = freqtrade.pairlists._gen_pair_whitelist(base_currency=base_currency, key=key)
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assert sorted(whitelist) == sorted(whitelist_result)
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if precision_filter:
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assert log_has_re(r'^Removed .* from whitelist, because stop price .* would be <= stop limit.*', caplog)
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assert log_has_re(r'^Removed .* from whitelist, because stop price .* '
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r'would be <= stop limit.*', caplog)
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if low_price_filter:
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assert log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog)
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def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
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