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https://github.com/freqtrade/freqtrade.git
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refactor: extract detail/pair loop to separate generator
This commit is contained in:
Matthias
@@ -1451,6 +1451,18 @@ class Backtesting:
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i += 1
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current_time += self.timeframe_detail_td
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def time_pair_generator_det(self, current_time: datetime, pairs: list[str]):
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for current_time_det, is_first, has_detail, idx in self.time_generator_det(
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current_time, current_time + self.timeframe_td
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):
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# Loop for each detail candle.
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# Yields only the start date if no detail timeframe is set.
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# Pairs that have open trades should be processed first
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new_pairlist = list(dict.fromkeys([t.pair for t in LocalTrade.bt_trades_open] + pairs))
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for pair in new_pairlist:
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yield current_time_det, is_first, has_detail, idx, pair
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def time_pair_generator(
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self,
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start_date: datetime,
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@@ -1484,76 +1496,64 @@ class Backtesting:
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pair_tradedir_cache: dict[str, LongShort | None] = {}
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pairs_with_open_trades = [t.pair for t in LocalTrade.bt_trades_open]
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for current_time_det, is_first, has_detail, idx in self.time_generator_det(
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current_time, current_time + self.timeframe_td
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for current_time_det, is_first, has_detail, idx, pair in self.time_pair_generator_det(
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current_time, pairs
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):
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# Loop for each detail candle.
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# Loop for each detail candle (if necessary) and pair
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# Yields only the start date if no detail timeframe is set.
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# Pairs that have open trades should be processed first
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new_pairlist = list(
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dict.fromkeys([t.pair for t in LocalTrade.bt_trades_open] + pairs)
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)
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for pair in new_pairlist:
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trade_dir: LongShort | None = None
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if is_first:
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# Main candle
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row_index = indexes[pair]
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row = self.validate_row(data, pair, row_index, current_time)
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if not row:
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continue
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row_index += 1
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indexes[pair] = row_index
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is_last_row = current_time == end_date
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self.dataprovider._set_dataframe_max_index(
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self.required_startup + row_index
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)
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trade_dir = self.check_for_trade_entry(row)
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pair_tradedir_cache[pair] = trade_dir
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else:
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# Detail candle - from cache.
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detail_data = pair_detail_cache.get(pair)
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if detail_data is None or len(detail_data) <= idx:
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# logger.info(f"skipping {pair}, {current_time_det}, {trade_dir}")
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continue
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row = detail_data[idx]
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trade_dir = pair_tradedir_cache.get(pair)
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self.dataprovider._set_dataframe_max_date(current_time_det)
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pair_has_open_trades = len(LocalTrade.bt_trades_open_pp[pair]) > 0
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if pair in pairs_with_open_trades and not pair_has_open_trades:
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# Pair has had open trades which closed in the current main candle.
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# Skip this pair for this timeframe
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trade_dir: LongShort | None = None
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if is_first:
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# Main candle
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row_index = indexes[pair]
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row = self.validate_row(data, pair, row_index, current_time)
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if not row:
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continue
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if (
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is_first
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and (trade_dir is not None or pair_has_open_trades)
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and has_detail
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and pair not in pair_detail_cache
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and pair in self.detail_data
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and row
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):
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# Spread candle into detail timeframe and cache that -
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# only once per main candle
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# and only if we can expect activity.
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pair_detail = self.get_detail_data(pair, row)
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if pair_detail is not None:
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pair_detail_cache[pair] = pair_detail
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row = pair_detail_cache[pair][idx]
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row_index += 1
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indexes[pair] = row_index
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is_last_row = current_time == end_date
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self.dataprovider._set_dataframe_max_index(self.required_startup + row_index)
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trade_dir = self.check_for_trade_entry(row)
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pair_tradedir_cache[pair] = trade_dir
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is_last_row = current_time_det == end_date
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else:
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# Detail candle - from cache.
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detail_data = pair_detail_cache.get(pair)
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if detail_data is None or len(detail_data) <= idx:
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# logger.info(f"skipping {pair}, {current_time_det}, {trade_dir}")
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continue
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row = detail_data[idx]
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trade_dir = pair_tradedir_cache.get(pair)
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yield (
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current_time_det,
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pair,
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row,
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is_last_row,
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trade_dir,
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)
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self.dataprovider._set_dataframe_max_date(current_time_det)
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pair_has_open_trades = len(LocalTrade.bt_trades_open_pp[pair]) > 0
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if pair in pairs_with_open_trades and not pair_has_open_trades:
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# Pair has had open trades which closed in the current main candle.
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# Skip this pair for this timeframe
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continue
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if (
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is_first
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and (trade_dir is not None or pair_has_open_trades)
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and has_detail
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and pair not in pair_detail_cache
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and pair in self.detail_data
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and row
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):
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# Spread candle into detail timeframe and cache that -
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# only once per main candle
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# and only if we can expect activity.
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pair_detail = self.get_detail_data(pair, row)
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if pair_detail is not None:
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pair_detail_cache[pair] = pair_detail
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row = pair_detail_cache[pair][idx]
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is_last_row = current_time_det == end_date
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yield current_time_det, pair, row, is_last_row, trade_dir
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self.progress.increment()
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def backtest(self, processed: dict, start_date: datetime, end_date: datetime) -> dict[str, Any]:
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