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Fix errors so it runs, implement timeout handling.

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Rokas Kupstys 2022-01-19 11:42:24 +02:00 committed by Matthias
parent f7a1cabe23
commit 15698dd1ca
1 changed files with 25 additions and 4 deletions
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29
freqtrade/optimize/backtesting.py
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@ -539,6 +539,7 @@ class Backtesting:
trade = LocalTrade( trade = LocalTrade(
pair=pair, pair=pair,
open_rate=propose_rate, open_rate=propose_rate,
open_rate_requested=propose_rate,
open_date=current_time, open_date=current_time,
stake_amount=stake_amount, stake_amount=stake_amount,
amount=amount, amount=amount,
@ -553,7 +554,8 @@ class Backtesting:
order_filled = self._get_order_filled(propose_rate, row) order_filled = self._get_order_filled(propose_rate, row)
order = Order( order = Order(
ft_is_open=order_filled, order_date=current_time,
ft_is_open=not order_filled,
ft_pair=trade.pair, ft_pair=trade.pair,
symbol=trade.pair, symbol=trade.pair,
ft_order_side="buy", ft_order_side="buy",
@ -566,7 +568,8 @@ class Backtesting:
price=propose_rate, price=propose_rate,
average=propose_rate, average=propose_rate,
amount=amount, amount=amount,
filled=amount, filled=amount if order_filled else 0,
remaining=0 if order_filled else amount,
cost=stake_amount + trade.fee_open cost=stake_amount + trade.fee_open
) )
if not order_filled: if not order_filled:
@ -671,10 +674,28 @@ class Backtesting:
# TODO: should open orders be stored in a separate list? # TODO: should open orders be stored in a separate list?
if open_trade.open_order_id: if open_trade.open_order_id:
order = open_trade.select_order(is_open=True) order = open_trade.select_order(is_open=True)
# Check for timeout!! if order is None:
if self._get_order_filled(order.price): continue
if self._get_order_filled(order.price, row):
open_trade.open_order_id = None open_trade.open_order_id = None
order.ft_is_open = False order.ft_is_open = False
order.filled = order.price
order.remaining = 0
timeout = self.config['unfilledtimeout'].get(order.side, 0)
if 0 < timeout <= (tmp - order.order_date).seconds / 60:
open_trade.open_order_id = None
order.ft_is_open = False
order.filled = 0
order.remaining = 0
if order.side == 'buy':
# Close trade due to buy timeout expiration.
open_trade_count -= 1
open_trades[pair].remove(open_trade)
LocalTrade.trades_open.remove(open_trade)
# trades.append(trade_entry) # TODO: Needed or not?
elif order.side == 'sell':
# Close sell order and retry selling on next signal.
del open_trade.orders[open_trade.orders.index(order)]
# without positionstacking, we can only have one open trade per pair. # without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected # max_open_trades must be respected