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Refactor price and stake out of _enter_trade

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This commit is contained in:
Matthias 2022-03-19 15:42:29 +01:00
parent b292f28b35
commit 052758bbac
1 changed files with 30 additions and 19 deletions
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49
freqtrade/optimize/backtesting.py
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@ -635,18 +635,15 @@ class Backtesting:
else:
return self._get_sell_trade_entry_for_candle(trade, sell_row)
def _enter_trade(self, pair: str, row: Tuple, direction: str,
stake_amount: Optional[float] = None,
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
direction: str, current_time: datetime, entry_tag: Optional[str],
trade: Optional[LocalTrade], order_type: str
) -> Tuple[float, float, float, float]:
current_time = row[DATE_IDX].to_pydatetime()
entry_tag = row[ENTER_TAG_IDX] if len(row) >= ENTER_TAG_IDX + 1 else None
# let's call the custom entry price, using the open price as default price
order_type = self.strategy.order_types['entry']
propose_rate = row[OPEN_IDX]
if order_type == 'limit':
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=row[OPEN_IDX])(
default_retval=propose_rate)(
pair=pair, current_time=current_time,
proposed_rate=propose_rate, entry_tag=entry_tag) # default value is the open rate
# We can't place orders higher than current high (otherwise it'd be a stop limit buy)
@ -657,8 +654,13 @@ class Backtesting:
propose_rate = min(propose_rate, row[HIGH_IDX])
pos_adjust = trade is not None
leverage = trade.leverage if trade else 1.0
if not pos_adjust:
try:
stake_amount = self.wallets.get_trade_stake_amount(pair, None, update=False)
except DependencyException:
return 0, 0, 0, 0
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
pair=pair,
@ -678,11 +680,6 @@ class Backtesting:
stake_available = self.wallets.get_available_stake_amount()
if not pos_adjust:
try:
stake_amount = self.wallets.get_trade_stake_amount(pair, None, update=False)
except DependencyException:
return None
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=current_time, current_rate=propose_rate,
@ -690,18 +687,34 @@ class Backtesting:
max_stake=min(stake_available, max_stake_amount),
entry_tag=entry_tag, side=direction)
stake_amount = self.wallets.validate_stake_amount(
stake_amount_val = self.wallets.validate_stake_amount(
pair=pair,
stake_amount=stake_amount,
min_stake_amount=min_stake_amount,
max_stake_amount=max_stake_amount,
)
return propose_rate, stake_amount_val, leverage, min_stake_amount
def _enter_trade(self, pair: str, row: Tuple, direction: str,
stake_amount: Optional[float] = None,
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
current_time = row[DATE_IDX].to_pydatetime()
entry_tag = row[ENTER_TAG_IDX] if len(row) >= ENTER_TAG_IDX + 1 else None
# let's call the custom entry price, using the open price as default price
order_type = self.strategy.order_types['entry']
pos_adjust = trade is not None
propose_rate, stake_amount, leverage, min_stake_amount = self.get_valid_price_and_stake(
pair, row, row[OPEN_IDX], stake_amount, direction, current_time, entry_tag, trade,
order_type
)
if not stake_amount:
# In case of pos adjust, still return the original trade
# If not pos adjust, trade is None
return trade
order_type = self.strategy.order_types['entry']
time_in_force = self.strategy.order_time_in_force['entry']
if not pos_adjust:
@ -711,8 +724,6 @@ class Backtesting:
time_in_force=time_in_force, current_time=current_time,
entry_tag=entry_tag, side=direction):
return trade
else:
leverage = trade.leverage if trade else 1.0
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
self.order_id_counter += 1