Track timedout entry/exit orders

docs/backtesting.md

@@ -313,6 +313,7 @@ A backtesting result will look like that:
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Rejected Buy signals  | 3089                |
+| Entry/Exit Timeouts   | 0 / 0               |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -400,6 +401,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Rejected Buy signals  | 3089                |
+| Entry/Exit Timeouts   | 0 / 0               |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -429,6 +431,7 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
 - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
 - `Rejected Buy signals`: Buy signals that could not be acted upon due to max_open_trades being reached.
+- `Entry/Exit Timeouts`: Entry/exit orders which did not fill (only applicable if custom pricing is used).
 - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
 - `Drawdown (Account)`: Maximum Account Drawdown experienced. Calculated as $(Absolute Drawdown) / (DrawdownHigh + startingBalance)$.
 - `Drawdown`: Maximum, absolute drawdown experienced. Difference between Drawdown High and Subsequent Low point.

freqtrade/optimize/backtesting.py

@@ -233,7 +233,8 @@ class Backtesting:
         PairLocks.reset_locks()
         Trade.reset_trades()
         self.rejected_trades = 0
-        self.timedout_orders = 0
+        self.timedout_entry_orders = 0
+        self.timedout_exit_orders = 0
         self.dataprovider.clear_cache()
         if enable_protections:
             self._load_protections(self.strategy)
@@ -647,8 +648,8 @@ class Backtesting:
 
             timedout = self.strategy.ft_check_timed_out(order.side, trade, order, current_time)
             if timedout:
-                self.timedout_orders += 1
                 if order.side == 'buy':
+                    self.timedout_entry_orders += 1
                     if trade.nr_of_successful_buys == 0:
                         # Remove trade due to buy timeout expiration.
                         return True
@@ -656,6 +657,7 @@ class Backtesting:
                         # Close additional buy order
                         del trade.orders[trade.orders.index(order)]
                 if order.side == 'sell':
+                    self.timedout_exit_orders += 1
                     # Close sell order and retry selling on next signal.
                     del trade.orders[trade.orders.index(order)]
 
@@ -798,8 +800,8 @@ class Backtesting:
             'config': self.strategy.config,
             'locks': PairLocks.get_all_locks(),
             'rejected_signals': self.rejected_trades,
-            # TODO: timedout_orders should be shown as part of results.
-            # 'timedout_orders': self.timedout_orders,
+            'timedout_entry_orders': self.timedout_entry_orders,
+            'timedout_exit_orders': self.timedout_exit_orders,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }
 

freqtrade/optimize/optimize_reports.py

@@ -436,6 +436,8 @@ def generate_strategy_stats(pairlist: List[str],
         'dry_run_wallet': starting_balance,
         'final_balance': content['final_balance'],
         'rejected_signals': content['rejected_signals'],
+        'timedout_entry_orders': content['timedout_entry_orders'],
+        'timedout_exit_orders': content['timedout_exit_orders'],
         'max_open_trades': max_open_trades,
         'max_open_trades_setting': (config['max_open_trades']
                                     if config['max_open_trades'] != float('inf') else -1),
@@ -726,6 +728,9 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
             ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
             ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
+            ('Entry/Exit Timeouts',
+             f"{strat_results.get('timedout_entry_orders', 'N/A')} / "
+             f"{strat_results.get('timedout_exit_orders', 'N/A')}"),
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],