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Merge branch 'develop' into pr/mkavinkumar1/6545

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Matthias
2022-06-14 06:36:16 +02:00
parent fe5d74cbc4 01a68e1060
commit 060f12572e
52 changed files with 1053 additions and 1028 deletions
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26
freqtrade/optimize/backtesting.py
View File

@@ -187,6 +187,7 @@ class Backtesting:
# since a "perfect" stoploss-exit is assumed anyway
# And the regular "stoploss" function would not apply to that case
self.strategy.order_types['stoploss_on_exchange'] = False
self.strategy.ft_bot_start()
def _load_protections(self, strategy: IStrategy):
@@ -732,7 +733,7 @@ class Backtesting:
current_rate=row[OPEN_IDX],
proposed_leverage=1.0,
max_leverage=max_leverage,
side=direction,
side=direction, entry_tag=entry_tag,
) if self._can_short else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
@@ -923,26 +924,30 @@ class Backtesting:
self.protections.stop_per_pair(pair, current_time, side)
self.protections.global_stop(current_time, side)
def manage_open_orders(self, trade: LocalTrade, current_time, row: Tuple) -> bool:
def manage_open_orders(self, trade: LocalTrade, current_time: datetime, row: Tuple) -> bool:
"""
Check if any open order needs to be cancelled or replaced.
Returns True if the trade should be deleted.
"""
for order in [o for o in trade.orders if o.ft_is_open]:
if self.check_order_cancel(trade, order, current_time):
oc = self.check_order_cancel(trade, order, current_time)
if oc:
# delete trade due to order timeout
return True
elif self.check_order_replace(trade, order, current_time, row):
elif oc is None and self.check_order_replace(trade, order, current_time, row):
# delete trade due to user request
self.canceled_trade_entries += 1
return True
# default maintain trade
return False
def check_order_cancel(self, trade: LocalTrade, order: Order, current_time) -> bool:
def check_order_cancel(
self, trade: LocalTrade, order: Order, current_time: datetime) -> Optional[bool]:
"""
Check if current analyzed order has to be canceled.
Returns True if the trade should be Deleted (initial order was canceled).
Returns True if the trade should be Deleted (initial order was canceled),
False if it's Canceled
None if the order is still active.
"""
timedout = self.strategy.ft_check_timed_out(
trade, # type: ignore[arg-type]
@@ -956,12 +961,15 @@ class Backtesting:
else:
# Close additional entry order
del trade.orders[trade.orders.index(order)]
trade.open_order_id = None
return False
if order.side == trade.exit_side:
self.timedout_exit_orders += 1
# Close exit order and retry exiting on next signal.
del trade.orders[trade.orders.index(order)]
return False
trade.open_order_id = None
return False
return None
def check_order_replace(self, trade: LocalTrade, order: Order, current_time,
row: Tuple) -> bool:
@@ -987,6 +995,7 @@ class Backtesting:
return False
else:
del trade.orders[trade.orders.index(order)]
trade.open_order_id = None
self.canceled_entry_orders += 1
# place new order if result was not None
@@ -1115,6 +1124,7 @@ class Backtesting:
# 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True)
if order and self._get_order_filled(order.price, row):
order.close_bt_order(current_time, trade)
trade.open_order_id = None
sub_trade = order.safe_amount_after_fee != trade.amount
if sub_trade:

10
freqtrade/optimize/hyperopt.py
View File

@@ -429,7 +429,7 @@ class Hyperopt:
return new_list
i = 0
asked_non_tried: List[List[Any]] = []
is_random: List[bool] = []
is_random_non_tried: List[bool] = []
while i < 5 and len(asked_non_tried) < n_points:
if i < 3:
self.opt.cache_ = {}
@@ -438,9 +438,9 @@ class Hyperopt:
else:
asked = unique_list(self.opt.space.rvs(n_samples=n_points * 5))
is_random = [True for _ in range(len(asked))]
is_random += [rand for x, rand in zip(asked, is_random)
if x not in self.opt.Xi
and x not in asked_non_tried]
is_random_non_tried += [rand for x, rand in zip(asked, is_random)
if x not in self.opt.Xi
and x not in asked_non_tried]
asked_non_tried += [x for x in asked
if x not in self.opt.Xi
and x not in asked_non_tried]
@@ -449,7 +449,7 @@ class Hyperopt:
if asked_non_tried:
return (
asked_non_tried[:min(len(asked_non_tried), n_points)],
is_random[:min(len(asked_non_tried), n_points)]
is_random_non_tried[:min(len(asked_non_tried), n_points)]
)
else:
return self.opt.ask(n_points=n_points), [False for _ in range(n_points)]

4
freqtrade/optimize/optimize_reports.py
View File

@@ -4,7 +4,6 @@ from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Any, Dict, List, Union
from numpy import int64
from pandas import DataFrame, to_datetime
from tabulate import tabulate
@@ -417,9 +416,6 @@ def generate_strategy_stats(pairlist: List[str],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
if not results.empty:
results['open_timestamp'] = results['open_date'].view(int64) // 1e6
results['close_timestamp'] = results['close_date'].view(int64) // 1e6
backtest_days = (max_date - min_date).days or 1
strat_stats = {