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Keep trade state in LocalTrade

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This commit is contained in:
Matthias
2022-10-16 13:34:58 +02:00
parent 49426a924d
commit 0e8cf366f5
3 changed files with 22 additions and 17 deletions
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21
freqtrade/optimize/backtesting.py
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@@ -924,7 +924,7 @@ class Backtesting:
Handling of left open trades at the end of backtesting
"""
for pair in open_trades.keys():
for trade in open_trades[pair]:
for trade in list(open_trades[pair]):
if trade.open_order_id and trade.nr_of_successful_entries == 0:
# Ignore trade if entry-order did not fill yet
continue
@@ -1098,15 +1098,12 @@ class Backtesting:
indexes: Dict = defaultdict(int)
current_time = start_date + timedelta(minutes=self.timeframe_min)
open_trades: Dict[str, List[LocalTrade]] = defaultdict(list)
open_trade_count = 0
self.progress.init_step(BacktestState.BACKTEST, int(
(end_date - start_date) / timedelta(minutes=self.timeframe_min)))
# Loop timerange and get candle for each pair at that point in time
while current_time <= end_date:
open_trade_count_start = open_trade_count
open_trade_count_start = LocalTrade.bt_open_open_trade_count
self.check_abort()
for i, pair in enumerate(data):
row_index = indexes[pair]
@@ -1118,13 +1115,11 @@ class Backtesting:
indexes[pair] = row_index
self.dataprovider._set_dataframe_max_index(row_index)
for t in list(open_trades[pair]):
for t in list(LocalTrade.bt_trades_open_pp[pair]):
# 1. Manage currently open orders of active trades
if self.manage_open_orders(t, current_time, row):
# Close trade
open_trade_count -= 1
open_trade_count_start -= 1
open_trades[pair].remove(t)
LocalTrade.remove_bt_trade(t)
self.wallets.update()
@@ -1134,7 +1129,7 @@ class Backtesting:
# don't open on the last row
trade_dir = self.check_for_trade_entry(row)
if (
(position_stacking or len(open_trades[pair]) == 0)
(position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
and self.trade_slot_available(max_open_trades, open_trade_count_start)
and current_time != end_date
and trade_dir is not None
@@ -1146,13 +1141,11 @@ class Backtesting:
# This emulates previous behavior - not sure if this is correct
# Prevents entering if the trade-slot was freed in this candle
open_trade_count_start += 1
open_trade_count += 1
# logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
open_trades[pair].append(trade)
LocalTrade.add_bt_trade(trade)
self.wallets.update()
for trade in list(open_trades[pair]):
for trade in list(LocalTrade.bt_trades_open_pp[pair]):
# 3. Process entry orders.
order = trade.select_order(trade.entry_side, is_open=True)
if order and self._get_order_filled(order.price, row):
@@ -1178,8 +1171,6 @@ class Backtesting:
trade.close(order.price, show_msg=False)
# logger.debug(f"{pair} - Backtesting exit {trade}")
open_trade_count -= 1
open_trades[pair].remove(trade)
LocalTrade.close_bt_trade(trade)
self.wallets.update()
self.run_protections(
@@ -1189,7 +1180,7 @@ class Backtesting:
self.progress.increment()
current_time += timedelta(minutes=self.timeframe_min)
self.handle_left_open(open_trades, data=data)
self.handle_left_open(LocalTrade.bt_trades_open_pp, data=data)
self.wallets.update()
results = trade_list_to_dataframe(LocalTrade.trades)