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Final cleanups and added tests
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@xmatthias
xmatthias committed Oct 29, 2019
1 parent d803d86 commit de2cc58
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Showing 5 changed files with 85 additions and 22 deletions.
2 changes: 1 addition & 1 deletion config_full.json.example
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Original file line number Diff line number Diff line change
Expand Up @@ -56,7 +56,7 @@
"number_assets": 20,
"sort_key": "quoteVolume",
"precision_filter": true,
"low_price_percent_filter": null
"low_price_percent_filter": 0
}
},
"exchange": {
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4 changes: 3 additions & 1 deletion docs/configuration.md
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Original file line number Diff line number Diff line change
Expand Up @@ -427,7 +427,9 @@ 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:

Expand All @@ -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
}
},
```
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15 changes: 9 additions & 6 deletions freqtrade/pairlist/VolumePairList.py
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Expand Up @@ -5,11 +5,14 @@
"""
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']
Expand All @@ -28,7 +31,6 @@ def __init__(self, freqtrade, config: dict) -> None:
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(
Expand Down Expand Up @@ -64,10 +66,10 @@ def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
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"],
Expand Down Expand Up @@ -120,10 +122,11 @@ def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
# 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,):
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50 changes: 50 additions & 0 deletions tests/conftest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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

Expand Down Expand Up @@ -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,
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36 changes: 22 additions & 14 deletions tests/pairlist/test_pairlist.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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
Expand Down Expand Up @@ -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
Expand All @@ -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:
Expand Down

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