diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index f19c5a181..908eaa459 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -81,13 +81,13 @@ Filtering instances (not the first position in the list) will not apply any cach #### AgeFilter -Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`). +Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`) or more than `max_days_listed` days (defaults `None` mean infinity). When pairs are first listed on an exchange they can suffer huge price drops and volatility in the first few days while the pair goes through its price-discovery period. Bots can often be caught out buying before the pair has finished dropping in price. -This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days. +This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days and listed before `max_days_listed`. #### PerformanceFilter diff --git a/freqtrade/plugins/pairlist/AgeFilter.py b/freqtrade/plugins/pairlist/AgeFilter.py index 4c364bfce..23250e5c1 100644 --- a/freqtrade/plugins/pairlist/AgeFilter.py +++ b/freqtrade/plugins/pairlist/AgeFilter.py @@ -27,6 +27,7 @@ class AgeFilter(IPairList): super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) self._min_days_listed = pairlistconfig.get('min_days_listed', 10) + self._max_days_listed = pairlistconfig.get('max_days_listed', None) if self._min_days_listed < 1: raise OperationalException("AgeFilter requires min_days_listed to be >= 1") @@ -34,6 +35,12 @@ class AgeFilter(IPairList): raise OperationalException("AgeFilter requires min_days_listed to not exceed " "exchange max request size " f"({exchange.ohlcv_candle_limit('1d')})") + if self._max_days_listed and self._max_days_listed <= self._min_days_listed: + raise OperationalException("AgeFilter max_days_listed <= min_days_listed not permitted") + if self._max_days_listed and self._max_days_listed > exchange.ohlcv_candle_limit('1d'): + raise OperationalException("AgeFilter requires max_days_listed to not exceed " + "exchange max request size " + f"({exchange.ohlcv_candle_limit('1d')})") @property def needstickers(self) -> bool: @@ -48,8 +55,13 @@ class AgeFilter(IPairList): """ Short whitelist method description - used for startup-messages """ - return (f"{self.name} - Filtering pairs with age less than " - f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.") + return ( + f"{self.name} - Filtering pairs with age less than " + f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}" + ) + ( + " or more than " + f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}" + ) if self._max_days_listed else '' def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: """ @@ -61,10 +73,13 @@ class AgeFilter(IPairList): if not needed_pairs: return pairlist - since_ms = (arrow.utcnow() - .floor('day') - .shift(days=-self._min_days_listed - 1) - .int_timestamp) * 1000 + since_days = -( + self._max_days_listed if self._max_days_listed else self._min_days_listed + ) - 1 + since_ms = int(arrow.utcnow() + .floor('day') + .shift(days=since_days) + .float_timestamp) * 1000 candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False) if self._enabled: for p in deepcopy(pairlist): @@ -86,14 +101,22 @@ class AgeFilter(IPairList): return True if daily_candles is not None: - if len(daily_candles) >= self._min_days_listed: + if ( + len(daily_candles) >= self._min_days_listed + and (not self._max_days_listed or len(daily_candles) <= self._max_days_listed) + ): # We have fetched at least the minimum required number of daily candles # Add to cache, store the time we last checked this symbol self._symbolsChecked[pair] = arrow.utcnow().int_timestamp * 1000 return True else: - self.log_once(f"Removed {pair} from whitelist, because age " - f"{len(daily_candles)} is less than {self._min_days_listed} " - f"{plural(self._min_days_listed, 'day')}", logger.info) + self.log_once(( + f"Removed {pair} from whitelist, because age " + f"{len(daily_candles)} is less than {self._min_days_listed} " + f"{plural(self._min_days_listed, 'day')}" + ) + (( + " or more than " + f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}" + ) if self._max_days_listed else ''), logger.info) return False return False diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index ae8f6e958..f8c5acba3 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -79,7 +79,8 @@ def whitelist_conf_agefilter(default_conf): }, { "method": "AgeFilter", - "min_days_listed": 2 + "min_days_listed": 2, + "max_days_listed": 100 } ] return default_conf @@ -302,7 +303,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): # No pair for ETH, all handlers ([{"method": "StaticPairList"}, {"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, - {"method": "AgeFilter", "min_days_listed": 2}, + {"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": None}, {"method": "PrecisionFilter"}, {"method": "PriceFilter", "low_price_ratio": 0.03}, {"method": "SpreadFilter", "max_spread_ratio": 0.005}, @@ -310,12 +311,24 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): "ETH", []), # AgeFilter and VolumePairList (require 2 days only, all should pass age test) ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, - {"method": "AgeFilter", "min_days_listed": 2}], + {"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": 100}], "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']), # AgeFilter and VolumePairList (require 10 days, all should fail age test) ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, - {"method": "AgeFilter", "min_days_listed": 10}], + {"method": "AgeFilter", "min_days_listed": 10, "max_days_listed": None}], "BTC", []), + # AgeFilter and VolumePairList (all pair listed > 2, all should fail age test) + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "AgeFilter", "min_days_listed": 1, "max_days_listed": 2}], + "BTC", []), + # AgeFilter and VolumePairList LTC/BTC has 6 candles - removes all + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 5}], + "BTC", []), + # AgeFilter and VolumePairList LTC/BTC has 6 candles - passes + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 10}], + "BTC", ["LTC/BTC"]), # Precisionfilter and quote volume ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, {"method": "PrecisionFilter"}], @@ -431,7 +444,7 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t ohlcv_data = { ('ETH/BTC', '1d'): ohlcv_history, ('TKN/BTC', '1d'): ohlcv_history, - ('LTC/BTC', '1d'): ohlcv_history, + ('LTC/BTC', '1d'): ohlcv_history.append(ohlcv_history), ('XRP/BTC', '1d'): ohlcv_history, ('HOT/BTC', '1d'): ohlcv_history_high_vola, } @@ -480,9 +493,13 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t for pairlist in pairlists: if pairlist['method'] == 'AgeFilter' and pairlist['min_days_listed'] and \ - len(ohlcv_history) <= pairlist['min_days_listed']: + len(ohlcv_history) < pairlist['min_days_listed']: assert log_has_re(r'^Removed .* from whitelist, because age .* is less than ' r'.* day.*', caplog) + if pairlist['method'] == 'AgeFilter' and pairlist['max_days_listed'] and \ + len(ohlcv_history) > pairlist['max_days_listed']: + assert log_has_re(r'^Removed .* from whitelist, because age .* is less than ' + r'.* day.* or more than .* day', caplog) if pairlist['method'] == 'PrecisionFilter' and whitelist_result: assert log_has_re(r'^Removed .* from whitelist, because stop price .* ' r'would be <= stop limit.*', caplog) @@ -650,6 +667,22 @@ def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tick get_patched_freqtradebot(mocker, default_conf) +def test_agefilter_max_days_lower_than_min_days(mocker, default_conf, markets, tickers): + default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}, + {'method': 'AgeFilter', 'min_days_listed': 3, + "max_days_listed": 2}] + + 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 max_days_listed <= min_days_listed not permitted'): + get_patched_freqtradebot(mocker, default_conf) + + def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tickers): default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}, {'method': 'AgeFilter', 'min_days_listed': 99999}]