CTYPTO/freqtrade
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2025-11-29 08:33:07 +00:00
Code Issues Packages Projects Releases Wiki Activity

Further simplify backtest order handling

Browse Source
This commit is contained in:
Matthias
2023-08-13 16:47:26 +02:00
parent bcc2dd9803
commit 08bc615826
1 changed files with 16 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files

30
freqtrade/optimize/backtesting.py
View File

@@ -567,8 +567,7 @@ class Backtesting:
pos_trade = self._get_exit_for_signal(trade, row, exit_, amount) pos_trade = self._get_exit_for_signal(trade, row, exit_, amount)
if pos_trade is not None: if pos_trade is not None:
order = pos_trade.orders[-1] order = pos_trade.orders[-1]
if self._get_order_filled(order.ft_price, row): if self._try_close_open_order(order, trade, current_date, row):
self._close_open_order(order, trade, current_date, row)
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()
self.wallets.update() self.wallets.update()
return pos_trade return pos_trade
@@ -579,11 +578,18 @@ class Backtesting:
""" Rate is within candle, therefore filled""" """ Rate is within candle, therefore filled"""
return row[LOW_IDX] <= rate <= row[HIGH_IDX] return row[LOW_IDX] <= rate <= row[HIGH_IDX]
def _close_open_order( def _try_close_open_order(
self, order: Order, trade: LocalTrade, current_date: datetime, row: Tuple) -> None: self, order: Optional[Order], trade: LocalTrade, current_date: datetime,
""" Close an open order, and update trade accordingly""" row: Tuple) -> bool:
order.close_bt_order(current_date, trade) """
trade.open_order_id = None Check if an order is open and if it should've filled.
:return: True if the order filled.
"""
if order and self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_date, trade)
trade.open_order_id = None
return True
return False
def _get_exit_for_signal( def _get_exit_for_signal(
self, trade: LocalTrade, row: Tuple, exit_: ExitCheckTuple, self, trade: LocalTrade, row: Tuple, exit_: ExitCheckTuple,
@@ -909,9 +915,7 @@ class Backtesting:
) )
order._trade_bt = trade order._trade_bt = trade
trade.orders.append(order) trade.orders.append(order)
if self._get_order_filled(order.ft_price, row): if not self._try_close_open_order(order, trade, current_time, row):
self._close_open_order(order, trade, current_time, row)
else:
trade.open_order_id = str(self.order_id_counter) trade.open_order_id = str(self.order_id_counter)
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()
@@ -1127,8 +1131,7 @@ class Backtesting:
for trade in list(LocalTrade.bt_trades_open_pp[pair]): for trade in list(LocalTrade.bt_trades_open_pp[pair]):
# 3. Process entry orders. # 3. Process entry orders.
order = trade.select_order(trade.entry_side, is_open=True) order = trade.select_order(trade.entry_side, is_open=True)
if order and self._get_order_filled(order.ft_price, row): if self._try_close_open_order(order, trade, current_time, row):
self._close_open_order(order, trade, current_time, row)
self.wallets.update() self.wallets.update()
# 4. Create exit orders (if any) # 4. Create exit orders (if any)
@@ -1137,8 +1140,7 @@ class Backtesting:
# 5. Process exit orders. # 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True) order = trade.select_order(trade.exit_side, is_open=True)
if order and self._get_order_filled(order.ft_price, row): if self._try_close_open_order(order, trade, current_time, row):
self._close_open_order(order, trade, current_time, row)
sub_trade = order.safe_amount_after_fee != trade.amount sub_trade = order.safe_amount_after_fee != trade.amount
if sub_trade: if sub_trade:
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()