Merge pull request #3570 from gambcl/develop

Added range checks to min_days_listed in AgeFilter

config_full.json.example

@@ -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": {

docs/configuration.md

@@ -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
 

freqtrade/exchange/exchange.py

@@ -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"""

freqtrade/pairlist/AgeFilter.py

@@ -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

freqtrade/pairlist/PriceFilter.py

@@ -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']
+        # Perform low_price_ratio check.
-        if changeperc > self._low_price_ratio:
+        if self._low_price_ratio != 0:
-            self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
+            compare = self._exchange.price_get_one_pip(ticker['symbol'], ticker['last'])
-                                             f"because 1 unit is {changeperc * 100:.3f}%")
+            changeperc = compare / ticker['last']
-            return False
+            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

tests/pairlist/test_pairlist.py

@@ -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}],
+      {"method": "PriceFilter", "low_price_ratio": 0.02, "min_price": 0.01}],
-     "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
+     "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))