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Track timedout entry/exit orders

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This commit is contained in:
Matthias
2022-02-07 18:49:30 +01:00
parent 7232324eb7
commit 036c2888b4
3 changed files with 14 additions and 4 deletions
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10
freqtrade/optimize/backtesting.py
View File

@@ -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']),
}

5
freqtrade/optimize/optimize_reports.py
View File

@@ -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'],