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https://github.com/freqtrade/freqtrade.git
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Verify order fills on "detail" timeframe
This commit is contained in:
Matthias
parent
25b8d34fe2
commit
a11d579bc2
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@ -688,10 +688,11 @@ class Backtesting:
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trade.orders.append(order)
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return trade
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def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
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def _get_exit_trade_entry(
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self, trade: LocalTrade, row: Tuple, is_first: bool) -> Optional[LocalTrade]:
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exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
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if self.trading_mode == TradingMode.FUTURES:
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if is_first and self.trading_mode == TradingMode.FUTURES:
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trade.funding_fees = self.exchange.calculate_funding_fees(
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self.futures_data[trade.pair],
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amount=trade.amount,
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@ -700,32 +701,7 @@ class Backtesting:
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close_date=exit_candle_time,
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)
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if self.timeframe_detail and trade.pair in self.detail_data:
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exit_candle_end = exit_candle_time + timedelta(minutes=self.timeframe_min)
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detail_data = self.detail_data[trade.pair]
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detail_data = detail_data.loc[
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(detail_data['date'] >= exit_candle_time) &
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(detail_data['date'] < exit_candle_end)
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].copy()
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if len(detail_data) == 0:
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# Fall back to "regular" data if no detail data was found for this candle
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return self._get_exit_trade_entry_for_candle(trade, row)
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detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
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detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
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detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]
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detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
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detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
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detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
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for det_row in detail_data[HEADERS].values.tolist():
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res = self._get_exit_trade_entry_for_candle(trade, det_row)
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if res:
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return res
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return None
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else:
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return self._get_exit_trade_entry_for_candle(trade, row)
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return self._get_exit_trade_entry_for_candle(trade, row)
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def get_valid_price_and_stake(
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self, pair: str, row: Tuple, propose_rate: float, stake_amount: float,
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@ -1070,7 +1046,7 @@ class Backtesting:
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def backtest_loop(
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self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
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max_open_trades: int, open_trade_count_start: int) -> int:
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max_open_trades: int, open_trade_count_start: int, is_first: bool = True) -> int:
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"""
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NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
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@ -1088,9 +1064,11 @@ class Backtesting:
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# without positionstacking, we can only have one open trade per pair.
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# max_open_trades must be respected
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# don't open on the last row
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# We only open trades on the initial candle.
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trade_dir = self.check_for_trade_entry(row)
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if (
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(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
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and is_first
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and self.trade_slot_available(max_open_trades, open_trade_count_start)
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and current_time != end_date
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and trade_dir is not None
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@ -1116,7 +1094,7 @@ class Backtesting:
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# 4. Create exit orders (if any)
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if not trade.open_order_id:
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self._get_exit_trade_entry(trade, row) # Place exit order if necessary
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self._get_exit_trade_entry(trade, row, is_first) # Place exit order if necessary
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# 5. Process exit orders.
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order = trade.select_order(trade.exit_side, is_open=True)
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@ -1167,7 +1145,6 @@ class Backtesting:
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self.progress.init_step(BacktestState.BACKTEST, int(
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(end_date - start_date) / timedelta(minutes=self.timeframe_min)))
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# Loop timerange and get candle for each pair at that point in time
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while current_time <= end_date:
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open_trade_count_start = LocalTrade.bt_open_open_trade_count
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@ -1181,9 +1158,35 @@ class Backtesting:
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row_index += 1
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indexes[pair] = row_index
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self.dataprovider._set_dataframe_max_index(row_index)
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current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
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if self.timeframe_detail and pair in self.detail_data:
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exit_candle_end = current_detail_time + timedelta(minutes=self.timeframe_min)
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, max_open_trades, open_trade_count_start)
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detail_data = self.detail_data[pair]
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detail_data = detail_data.loc[
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(detail_data['date'] >= current_detail_time) &
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(detail_data['date'] < exit_candle_end)
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].copy()
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if len(detail_data) == 0:
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# Fall back to "regular" data if no detail data was found for this candle
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, max_open_trades,
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open_trade_count_start)
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detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
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detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
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detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]
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detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
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detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
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detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
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is_first = True
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for det_row in detail_data[HEADERS].values.tolist():
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open_trade_count_start = self.backtest_loop(
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det_row, pair, current_time, end_date, max_open_trades,
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open_trade_count_start, is_first)
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is_first = False
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else:
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, max_open_trades, open_trade_count_start)
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# Move time one configured time_interval ahead.
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self.progress.increment()
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