Final cleanups and added tests
This commit is contained in:
Matthias
parent
d803d86f4d
commit
de2cc58b0c
@ -56,7 +56,7 @@
|
||||
"number_assets": 20,
|
||||
"sort_key": "quoteVolume",
|
||||
"precision_filter": true,
|
||||
"low_price_percent_filter": null
|
||||
"low_price_percent_filter": 0
|
||||
}
|
||||
},
|
||||
"exchange": {
|
||||
|
||||
@ -427,8 +427,10 @@ section of the configuration.
|
||||
* `VolumePairList` does not consider `pair_whitelist`, but builds this automatically based the pairlist configuration.
|
||||
* Pairs in `pair_blacklist` are not considered for VolumePairList, even if all other filters would match.
|
||||
* `low_price_percent_filter` allows filtering of pairs where a raise of 1 price unit is below the `low_price_percent_filter` ratio.
|
||||
This option is disabled by default, and will only apply if set to <> 0.
|
||||
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.
|
||||
|
||||
|
||||
Example:
|
||||
|
||||
```json
|
||||
@ -442,7 +444,7 @@ Example:
|
||||
"number_assets": 20,
|
||||
"sort_key": "quoteVolume",
|
||||
"precision_filter": true,
|
||||
"low_price_percent_filter": 0.03
|
||||
"low_price_percent_filter": 0.05
|
||||
}
|
||||
},
|
||||
```
|
||||
|
||||
@ -5,11 +5,14 @@ Provides lists as configured in config.json
|
||||
|
||||
"""
|
||||
import logging
|
||||
from copy import deepcopy
|
||||
from typing import List
|
||||
|
||||
from cachetools import TTLCache, cached
|
||||
|
||||
from freqtrade.pairlist.IPairList import IPairList
|
||||
from freqtrade import OperationalException
|
||||
from freqtrade.pairlist.IPairList import IPairList
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']
|
||||
@ -28,7 +31,6 @@ class VolumePairList(IPairList):
|
||||
self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
|
||||
self._precision_filter = self._whitelistconf.get('precision_filter', True)
|
||||
self._low_price_percent_filter = self._whitelistconf.get('low_price_percent_filter', None)
|
||||
print(self._whitelistconf)
|
||||
|
||||
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
|
||||
raise OperationalException(
|
||||
@ -64,10 +66,10 @@ class VolumePairList(IPairList):
|
||||
low value pairs.
|
||||
:param ticker: ticker dict as returned from ccxt.load_markets()
|
||||
:param stoploss: stoploss value as set in the configuration
|
||||
(already cleaned to be guaranteed negative)
|
||||
(already cleaned to be 1 - stoploss)
|
||||
:return: True if the pair can stay, false if it should be removed
|
||||
"""
|
||||
stop_price = (self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss)
|
||||
stop_price = self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss
|
||||
# Adjust stop-prices to precision
|
||||
sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
|
||||
stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
|
||||
@ -120,10 +122,11 @@ class VolumePairList(IPairList):
|
||||
# Precalculate sanitized stoploss value to avoid recalculation for every pair
|
||||
stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
|
||||
|
||||
for t in valid_tickers:
|
||||
# Copy list since we're modifying this list
|
||||
for t in deepcopy(valid_tickers):
|
||||
# Filter out assets which would not allow setting a stoploss
|
||||
if (stoploss and self._precision_filter
|
||||
and not self._validate_precision_filter(t, stoploss)):
|
||||
and not self._validate_precision_filter(t, stoploss)):
|
||||
valid_tickers.remove(t)
|
||||
continue
|
||||
if self._low_price_percent_filter and not self._validate_precision_filter_lowprice(t,):
|
||||
|
||||
@ -606,6 +606,34 @@ def shitcoinmarkets(markets):
|
||||
},
|
||||
'info': {},
|
||||
},
|
||||
'FUEL/BTC': {
|
||||
'id': 'FUELBTC',
|
||||
'symbol': 'FUEL/BTC',
|
||||
'base': 'FUEL',
|
||||
'quote': 'BTC',
|
||||
'active': True,
|
||||
'precision': {
|
||||
'base': 8,
|
||||
'quote': 8,
|
||||
'amount': 0,
|
||||
'price': 8
|
||||
},
|
||||
'limits': {
|
||||
'amount': {
|
||||
'min': 1.0,
|
||||
'max': 90000000.0
|
||||
},
|
||||
'price': {
|
||||
'min': 1e-08,
|
||||
'max': 1000.0
|
||||
},
|
||||
'cost': {
|
||||
'min': 0.001,
|
||||
'max': None
|
||||
}
|
||||
},
|
||||
'info': {},
|
||||
},
|
||||
})
|
||||
return shitmarkets
|
||||
|
||||
@ -926,6 +954,28 @@ def tickers():
|
||||
'quoteVolume': 143.78311994,
|
||||
'info': {}
|
||||
},
|
||||
'FUEL/BTC': {
|
||||
'symbol': 'FUEL/BTC',
|
||||
'timestamp': 1572340250771,
|
||||
'datetime': '2019-10-29T09:10:50.771Z',
|
||||
'high': 0.00000040,
|
||||
'low': 0.00000035,
|
||||
'bid': 0.00000036,
|
||||
'bidVolume': 8932318.0,
|
||||
'ask': 0.00000037,
|
||||
'askVolume': 10140774.0,
|
||||
'vwap': 0.00000037,
|
||||
'open': 0.00000039,
|
||||
'close': 0.00000037,
|
||||
'last': 0.00000037,
|
||||
'previousClose': 0.00000038,
|
||||
'change': -0.00000002,
|
||||
'percentage': -5.128,
|
||||
'average': None,
|
||||
'baseVolume': 168927742.0,
|
||||
'quoteVolume': 62.68220262,
|
||||
'info': {}
|
||||
},
|
||||
'ETH/USDT': {
|
||||
'symbol': 'ETH/USDT',
|
||||
'timestamp': 1522014804118,
|
||||
|
||||
@ -26,7 +26,7 @@ def whitelist_conf(default_conf):
|
||||
'BLK/BTC'
|
||||
]
|
||||
default_conf['pairlist'] = {'method': 'StaticPairList',
|
||||
'config': {'number_assets': 3}
|
||||
'config': {'number_assets': 5}
|
||||
}
|
||||
|
||||
return default_conf
|
||||
@ -86,7 +86,7 @@ def test_refresh_pairlist_dynamic(mocker, shitcoinmarkets, tickers, whitelist_co
|
||||
markets=PropertyMock(return_value=shitcoinmarkets),
|
||||
)
|
||||
# argument: use the whitelist dynamically by exchange-volume
|
||||
whitelist = ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC']
|
||||
whitelist = ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']
|
||||
freqtradebot.pairlists.refresh_pairlist()
|
||||
|
||||
assert whitelist == freqtradebot.pairlists.whitelist
|
||||
@ -113,30 +113,38 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
|
||||
assert set(whitelist) == set(pairslist)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("precision_filter,base_currency,key,whitelist_result", [
|
||||
(False, "BTC", "quoteVolume", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC']),
|
||||
(False, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'HOT/BTC']),
|
||||
(False, "USDT", "quoteVolume", ['ETH/USDT']),
|
||||
(False, "ETH", "quoteVolume", []), # this replaces tests that were removed from test_exchange
|
||||
(True, "BTC", "quoteVolume", ["LTC/BTC", "ETH/BTC", "TKN/BTC"]),
|
||||
(True, "BTC", "bidVolume", ["LTC/BTC", "TKN/BTC", "ETH/BTC"])
|
||||
@pytest.mark.parametrize("precision_filter,low_price_filter,base_currency,key,whitelist_result", [
|
||||
(False, 0, "BTC", "quoteVolume", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
|
||||
(False, 0, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'HOT/BTC', 'FUEL/BTC']),
|
||||
(False, 0, "USDT", "quoteVolume", ['ETH/USDT']),
|
||||
(False, 0, "ETH", "quoteVolume", []),
|
||||
(True, 0, "BTC", "quoteVolume", ["LTC/BTC", "ETH/BTC", "TKN/BTC", 'FUEL/BTC']),
|
||||
(True, 0, "BTC", "bidVolume", ["LTC/BTC", "TKN/BTC", "ETH/BTC", 'FUEL/BTC']),
|
||||
(False, 0.03, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'FUEL/BTC']),
|
||||
# Hot is removed by precision_filter, Fuel by low_price_filter.
|
||||
(True, 0.02, "BTC", "bidVolume", ['LTC/BTC', 'TKN/BTC', 'ETH/BTC']),
|
||||
])
|
||||
def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
|
||||
precision_filter, base_currency, key, whitelist_result,
|
||||
caplog) -> None:
|
||||
precision_filter, low_price_filter, base_currency, key,
|
||||
whitelist_result, caplog) -> None:
|
||||
whitelist_conf['pairlist']['method'] = 'VolumePairList'
|
||||
whitelist_conf['pairlist']['config']['precision_filter'] = precision_filter
|
||||
whitelist_conf['pairlist']['config']['low_price_percent_filter'] = low_price_filter
|
||||
|
||||
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
|
||||
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
|
||||
mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=shitcoinmarkets))
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
|
||||
mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, p, r: round(r, 8))
|
||||
|
||||
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 sorted(whitelist) == sorted(whitelist_result)
|
||||
if precision_filter:
|
||||
assert log_has_re(r'^Removed .* from whitelist, because stop price .* would be <= stop limit.*', caplog)
|
||||
assert log_has_re(r'^Removed .* from whitelist, because stop price .* '
|
||||
r'would be <= stop limit.*', caplog)
|
||||
|
||||
if low_price_filter:
|
||||
assert log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog)
|
||||
|
||||
|
||||
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
|
||||
|
||||
Loading…
Reference in New Issue
Block a user