adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #3570 from gambcl/develop

Browse Source 
Added range checks to min_days_listed in AgeFilter
This commit is contained in:
Matthias 2020-07-19 09:37:17 +02:00 committed by GitHub
commit ea1ddeb87d
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
6 changed files with 141 additions and 16 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
config_full.json.example
View File

@ -66,7 +66,7 @@
},
{"method": "AgeFilter", "min_days_listed": 10},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.01},
{"method": "PriceFilter", "low_price_ratio": 0.01, "min_price": 0.00000010},
{"method": "SpreadFilter", "max_spread_ratio": 0.005}
],
"exchange": {

15
docs/configuration.md
View File

@ -662,16 +662,25 @@ Filters low-value coins which would not allow setting stoplosses.
#### PriceFilter
The `PriceFilter` allows filtering of pairs by price.
The `PriceFilter` allows filtering of pairs by price. Currently the following price filters are supported:
* `min_price`
* `max_price`
* `low_price_ratio`
Currently, only `low_price_ratio` setting is implemented, where a raise of 1 price unit (pip) is below the `low_price_ratio` ratio.
The `min_price` setting removes pairs where the price is below the specified price. This is useful if you wish to avoid trading very low-priced pairs.
This option is disabled by default, and will only apply if set to <> 0.
The `max_price` setting removes pairs where the price is above the specified price. This is useful if you wish to trade only low-priced pairs.
This option is disabled by default, and will only apply if set to <> 0.
The `low_price_ratio` setting removes pairs where a raise of 1 price unit (pip) is above the `low_price_ratio` 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.
These pairs are dangerous since it may be impossible to place the desired stoploss - and often result in high losses. Here is what the PriceFilters takes over.
These pairs are dangerous since it may be impossible to place the desired stoploss - and often result in high losses.
#### ShuffleFilter

5
freqtrade/exchange/exchange.py
View File

@ -187,6 +187,11 @@ class Exchange:
def timeframes(self) -> List[str]:
return list((self._api.timeframes or {}).keys())
@property
def ohlcv_candle_limit(self) -> int:
"""exchange ohlcv candle limit"""
return int(self._ohlcv_candle_limit)
@property
def markets(self) -> Dict:
"""exchange ccxt markets"""

8
freqtrade/pairlist/AgeFilter.py
View File

@ -5,6 +5,7 @@ import logging
import arrow
from typing import Any, Dict
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.pairlist.IPairList import IPairList
@ -23,6 +24,13 @@ class AgeFilter(IPairList):
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._min_days_listed = pairlistconfig.get('min_days_listed', 10)
if self._min_days_listed < 1:
raise OperationalException("AgeFilter requires min_days_listed must be >= 1")
if self._min_days_listed > exchange.ohlcv_candle_limit:
raise OperationalException("AgeFilter requires min_days_listed must not exceed "
"exchange max request size "
f"({exchange.ohlcv_candle_limit})")
self._enabled = self._min_days_listed >= 1
@property

49
freqtrade/pairlist/PriceFilter.py
View File

@ -18,7 +18,11 @@ class PriceFilter(IPairList):
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._low_price_ratio = pairlistconfig.get('low_price_ratio', 0)
self._enabled = self._low_price_ratio != 0
self._min_price = pairlistconfig.get('min_price', 0)
self._max_price = pairlistconfig.get('max_price', 0)
self._enabled = ((self._low_price_ratio != 0) or
(self._min_price != 0) or
(self._max_price != 0))
@property
def needstickers(self) -> bool:
@ -33,7 +37,18 @@ class PriceFilter(IPairList):
"""
Short whitelist method description - used for startup-messages
"""
return f"{self.name} - Filtering pairs priced below {self._low_price_ratio * 100}%."
active_price_filters = []
if self._low_price_ratio != 0:
active_price_filters.append(f"below {self._low_price_ratio * 100}%")
if self._min_price != 0:
active_price_filters.append(f"below {self._min_price:.8f}")
if self._max_price != 0:
active_price_filters.append(f"above {self._max_price:.8f}")
if len(active_price_filters):
return f"{self.name} - Filtering pairs priced {' or '.join(active_price_filters)}."
return f"{self.name} - No price filters configured."
def _validate_pair(self, ticker) -> bool:
"""
@ -46,10 +61,28 @@ class PriceFilter(IPairList):
f"Removed {ticker['symbol']} from whitelist, because "
"ticker['last'] is empty (Usually no trade in the last 24h).")
return False
compare = self._exchange.price_get_one_pip(ticker['symbol'], ticker['last'])
changeperc = compare / ticker['last']
if changeperc > self._low_price_ratio:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because 1 unit is {changeperc * 100:.3f}%")
return False
# Perform low_price_ratio check.
if self._low_price_ratio != 0:
compare = self._exchange.price_get_one_pip(ticker['symbol'], ticker['last'])
changeperc = compare / ticker['last']
if changeperc > self._low_price_ratio:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because 1 unit is {changeperc * 100:.3f}%")
return False
# Perform min_price check.
if self._min_price != 0:
if ticker['last'] < self._min_price:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because last price < {self._min_price:.8f}")
return False
# Perform max_price check.
if self._max_price != 0:
if ticker['last'] > self._max_price:
self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
f"because last price > {self._max_price:.8f}")
return False
return True

78
tests/pairlist/test_pairlist.py
View File

@ -275,11 +275,16 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "low_price_ratio": 0.03}],
"USDT", ['ETH/USDT', 'NANO/USDT']),
# Hot is removed by precision_filter, Fuel by low_price_filter.
# Hot is removed by precision_filter, Fuel by low_price_ratio, Ripple by min_price.
([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.02}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
{"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.01}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
# Hot is removed by precision_filter, Fuel by low_price_ratio, Ethereum by max_price.
([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.02, "max_price": 0.05}],
"BTC", ['TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
# HOT and XRP are removed because below 1250 quoteVolume
([{"method": "VolumePairList", "number_assets": 5,
"sort_key": "quoteVolume", "min_value": 1250}],
@ -319,7 +324,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
"BTC", 'filter_at_the_beginning'), # OperationalException expected
# PriceFilter after StaticPairList
([{"method": "StaticPairList"},
{"method": "PriceFilter", "low_price_ratio": 0.02}],
{"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.000001, "max_price": 0.1}],
"BTC", ['ETH/BTC', 'TKN/BTC']),
# PriceFilter only
([{"method": "PriceFilter", "low_price_ratio": 0.02}],
@ -396,6 +401,10 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
r'would be <= stop limit.*', caplog)
if pairlist['method'] == 'PriceFilter' and whitelist_result:
assert (log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog) or
log_has_re(r'^Removed .* from whitelist, '
r'because last price < .*%$', caplog) or
log_has_re(r'^Removed .* from whitelist, '
r'because last price > .*%$', caplog) or
log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] "
r"is empty.*", caplog))
if pairlist['method'] == 'VolumePairList':
@ -524,6 +533,37 @@ def test_volumepairlist_caching(mocker, markets, whitelist_conf, tickers):
assert freqtrade.pairlists._pairlist_handlers[0]._last_refresh == lrf
def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tickers, caplog):
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
{'method': 'AgeFilter', 'min_days_listed': -1}]
mocker.patch.multiple('freqtrade.exchange.Exchange',
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers
)
with pytest.raises(OperationalException,
match=r'AgeFilter requires min_days_listed must be >= 1'):
get_patched_freqtradebot(mocker, default_conf)
def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tickers, caplog):
default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
{'method': 'AgeFilter', 'min_days_listed': 99999}]
mocker.patch.multiple('freqtrade.exchange.Exchange',
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True),
get_tickers=tickers
)
with pytest.raises(OperationalException,
match=r'AgeFilter requires min_days_listed must not exceed '
r'exchange max request size \([0-9]+\)'):
get_patched_freqtradebot(mocker, default_conf)
def test_agefilter_caching(mocker, markets, whitelist_conf_3, tickers, ohlcv_history_list):
mocker.patch.multiple('freqtrade.exchange.Exchange',
@ -547,6 +587,36 @@ def test_agefilter_caching(mocker, markets, whitelist_conf_3, tickers, ohlcv_his
assert freqtrade.exchange.get_historic_ohlcv.call_count == previous_call_count
@pytest.mark.parametrize("pairlistconfig,expected", [
({"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010,
"max_price": 1.0}, "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below "
"0.1% or below 0.00000010 or above 1.00000000.'}]"
),
({"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or below 0.00000010.'}]"
),
({"method": "PriceFilter", "low_price_ratio": 0.001, "max_price": 1.00010000},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or above 1.00010000.'}]"
),
({"method": "PriceFilter", "min_price": 0.00002000},
"[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]"
),
({"method": "PriceFilter"},
"[{'PriceFilter': 'PriceFilter - No price filters configured.'}]"
),
])
def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig, expected):
mocker.patch.multiple('freqtrade.exchange.Exchange',
markets=PropertyMock(return_value=markets),
exchange_has=MagicMock(return_value=True)
)
whitelist_conf['pairlists'] = [pairlistconfig]
freqtrade = get_patched_freqtradebot(mocker, whitelist_conf)
short_desc = str(freqtrade.pairlists.short_desc())
assert short_desc == expected
def test_pairlistmanager_no_pairlist(mocker, markets, whitelist_conf, caplog):
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))