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move open_rate updating to close_bt_order

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This commit is contained in:
Matthias 2022-05-05 19:50:16 +02:00
parent 29f1edbde7
commit 2d9be6dace
3 changed files with 27 additions and 11 deletions
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6
freqtrade/optimize/backtesting.py
View File

@ -816,9 +816,7 @@ class Backtesting:
# Update trade open_rate on first filled order
# this is for cases where adjust_entry_order might have replaced the
# initial order from trade opening
if len(trade.select_filled_orders(trade.entry_side)) == 1:
trade.open_rate = order.price
order.close_bt_order(current_time)
order.close_bt_order(current_time, trade)
else:
trade.open_order_id = str(self.order_id_counter)
trade.orders.append(order)
@ -1052,7 +1050,7 @@ class Backtesting:
# 3. Process entry orders.
order = trade.select_order(trade.entry_side, is_open=True)
if order and self._get_order_filled(order.price, row):
order.close_bt_order(current_time)
order.close_bt_order(current_time, trade)
trade.open_order_id = None
LocalTrade.add_bt_trade(trade)
self.wallets.update()

6
freqtrade/persistence/models.py
View File

@ -219,11 +219,15 @@ class Order(_DECL_BASE):
'remaining': self.remaining,
}
def close_bt_order(self, close_date: datetime):
def close_bt_order(self, close_date: datetime, trade: 'LocalTrade'):
self.order_filled_date = close_date
self.filled = self.amount
self.status = 'closed'
self.ft_is_open = False
if (self.ft_order_side == trade.entry_side
and len(trade.select_filled_orders(trade.entry_side)) == 1):
trade.open_rate = self.price
trade.recalc_open_trade_value()
@staticmethod
def update_orders(orders: List['Order'], order: Dict[str, Any]):

26
tests/optimize/test_backtest_detail.py
View File

@ -760,16 +760,29 @@ tc48 = BTContainer(data=[
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # timeout
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
[3, 5100, 5100, 4650, 4750, 6172, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.1,
timeout=1000,
custom_entry_price=4200,
adjust_entry_price=5200,
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2, is_short=False)]
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.087,
use_exit_signal=True, timeout=1000,
custom_entry_price=4200, adjust_entry_price=5200,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)]
)
# Test 49: Custom-entry-price short above all candles - readjust order
tc49 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5200, 4951, 5000, 6172, 0, 0, 0, 0], # timeout
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.05,
use_exit_signal=True, timeout=1000,
custom_entry_price=5300, adjust_entry_price=5000,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
)
TESTS = [
tc0,
tc1,
@ -820,6 +833,7 @@ TESTS = [
tc46,
tc47,
tc48,
tc49,
]