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fix using future data to fill when use timeout

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This commit is contained in:
adriance 2022-03-28 21:00:05 +08:00
parent cb48071f1f
commit a0971a3e2c
1 changed files with 12 additions and 11 deletions
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23
freqtrade/optimize/backtesting.py
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@ -938,7 +938,15 @@ class Backtesting:
indexes[pair] = row_index
self.dataprovider._set_dataframe_max_index(row_index)
# 1. Process buys.
for trade in list(open_trades[pair]):
# 1. Cancel expired buy/sell orders.
if self.check_order_cancel(trade, current_time):
# Close trade due to buy timeout expiration.
open_trade_count -= 1
open_trades[pair].remove(trade)
self.wallets.update()
# 2. Process buys.
# without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected
# don't open on the last row
@ -961,7 +969,7 @@ class Backtesting:
open_trades[pair].append(trade)
for trade in list(open_trades[pair]):
# 2. Process entry orders.
# 3. Process entry orders.
order = trade.select_order(trade.enter_side, is_open=True)
if order and self._get_order_filled(order.price, row):
order.close_bt_order(current_time)
@ -969,11 +977,11 @@ class Backtesting:
LocalTrade.add_bt_trade(trade)
self.wallets.update()
# 3. Create sell orders (if any)
# 4. Create sell orders (if any)
if not trade.open_order_id:
self._get_sell_trade_entry(trade, row) # Place sell order if necessary
# 4. Process sell orders.
# 5. Process sell orders.
order = trade.select_order(trade.exit_side, is_open=True)
if order and self._get_order_filled(order.price, row):
trade.open_order_id = None
@ -988,13 +996,6 @@ class Backtesting:
self.wallets.update()
self.run_protections(enable_protections, pair, current_time)
# 5. Cancel expired buy/sell orders.
if self.check_order_cancel(trade, current_time):
# Close trade due to buy timeout expiration.
open_trade_count -= 1
open_trades[pair].remove(trade)
self.wallets.update()
# Move time one configured time_interval ahead.
self.progress.increment()
current_time += timedelta(minutes=self.timeframe_min)