Keep trade state in LocalTrade

freqtrade/optimize/backtesting.py

@@ -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)

freqtrade/persistence/trade_model.py

@@ -2,6 +2,7 @@
 This module contains the class to persist trades into SQLite
 """
 import logging
+from collections import defaultdict
 from datetime import datetime, timedelta, timezone
 from math import isclose
 from typing import Any, Dict, List, Optional
@@ -255,6 +256,9 @@ class LocalTrade():
     # Trades container for backtesting
     trades: List['LocalTrade'] = []
     trades_open: List['LocalTrade'] = []
+    # Copy of trades_open - but indexed by pair
+    bt_trades_open_pp: Dict[str, List['LocalTrade']] = defaultdict(list)
+    bt_open_open_trade_count: int = 0
     total_profit: float = 0
     realized_profit: float = 0
 
@@ -538,6 +542,8 @@ class LocalTrade():
         """
         LocalTrade.trades = []
         LocalTrade.trades_open = []
+        LocalTrade.bt_trades_open_pp = defaultdict(list)
+        LocalTrade.bt_open_open_trade_count = 0
         LocalTrade.total_profit = 0
 
     def adjust_min_max_rates(self, current_price: float, current_price_low: float) -> None:
@@ -1067,6 +1073,8 @@ class LocalTrade():
     @staticmethod
     def close_bt_trade(trade):
         LocalTrade.trades_open.remove(trade)
+        LocalTrade.bt_trades_open_pp[trade.pair].remove(trade)
+        LocalTrade.bt_open_open_trade_count -= 1
         LocalTrade.trades.append(trade)
         LocalTrade.total_profit += trade.close_profit_abs
 
@@ -1074,12 +1082,16 @@ class LocalTrade():
     def add_bt_trade(trade):
         if trade.is_open:
             LocalTrade.trades_open.append(trade)
+            LocalTrade.bt_trades_open_pp[trade.pair].append(trade)
+            LocalTrade.bt_open_open_trade_count += 1
         else:
             LocalTrade.trades.append(trade)
 
     @staticmethod
     def remove_bt_trade(trade):
         LocalTrade.trades_open.remove(trade)
+        LocalTrade.bt_trades_open_pp[trade.pair].remove(trade)
+        LocalTrade.bt_open_open_trade_count -= 1
 
     @staticmethod
     def get_open_trades() -> List[Any]:
@@ -1096,7 +1108,7 @@ class LocalTrade():
         if Trade.use_db:
             return Trade.query.filter(Trade.is_open.is_(True)).count()
         else:
-            return len(LocalTrade.trades_open)
+            return LocalTrade.bt_open_open_trade_count
 
     @staticmethod
     def stoploss_reinitialization(desired_stoploss):

tests/test_persistence.py

@@ -2406,6 +2406,8 @@ def test_Trade_object_idem():
         'get_trading_volume',
 
     )
+    EXCLUDES2 = ('trades', 'trades_open', 'bt_trades_open_pp', 'bt_open_open_trade_count',
+                 'total_profit')
 
     # Parent (LocalTrade) should have the same attributes
     for item in trade:
@@ -2416,7 +2418,7 @@ def test_Trade_object_idem():
     # Fails if only a column is added without corresponding parent field
     for item in localtrade:
         if (not item.startswith('__')
-                and item not in ('trades', 'trades_open', 'total_profit')
+                and item not in EXCLUDES2
                 and type(getattr(LocalTrade, item)) not in (property, FunctionType)):
             assert item in trade