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Merge pull request #941 from freqtrade/avoid-fee-calls-backtesting

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avoid calling exchange.get_fee inside loop
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Michael Egger 2018-06-23 08:17:25 +02:00 committed by GitHub
commit 168ed91fe1
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2 changed files with 6 additions and 3 deletions
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6
freqtrade/optimize/backtesting.py
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@ -62,6 +62,7 @@ class Backtesting(object):
self.config['exchange']['uid'] = '' self.config['exchange']['uid'] = ''
self.config['dry_run'] = True self.config['dry_run'] = True
self.exchange = Exchange(self.config) self.exchange = Exchange(self.config)
self.fee = self.exchange.get_fee()
@staticmethod @staticmethod
def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
@ -130,14 +131,13 @@ class Backtesting(object):
stake_amount = args['stake_amount'] stake_amount = args['stake_amount']
max_open_trades = args.get('max_open_trades', 0) max_open_trades = args.get('max_open_trades', 0)
fee = self.exchange.get_fee()
trade = Trade( trade = Trade(
open_rate=buy_row.close, open_rate=buy_row.close,
open_date=buy_row.date, open_date=buy_row.date,
stake_amount=stake_amount, stake_amount=stake_amount,
amount=stake_amount / buy_row.open, amount=stake_amount / buy_row.open,
fee_open=fee, fee_open=self.fee,
fee_close=fee fee_close=self.fee
) )
# calculate win/lose forwards from buy point # calculate win/lose forwards from buy point

3
freqtrade/tests/optimize/test_backtesting.py
View File

@ -298,6 +298,7 @@ def test_backtesting_init(mocker, default_conf) -> None:
Test Backtesting._init() method Test Backtesting._init() method
""" """
patch_exchange(mocker) patch_exchange(mocker)
get_fee = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
backtesting = Backtesting(default_conf) backtesting = Backtesting(default_conf)
assert backtesting.config == default_conf assert backtesting.config == default_conf
assert isinstance(backtesting.analyze, Analyze) assert isinstance(backtesting.analyze, Analyze)
@ -305,6 +306,8 @@ def test_backtesting_init(mocker, default_conf) -> None:
assert callable(backtesting.tickerdata_to_dataframe) assert callable(backtesting.tickerdata_to_dataframe)
assert callable(backtesting.populate_buy_trend) assert callable(backtesting.populate_buy_trend)
assert callable(backtesting.populate_sell_trend) assert callable(backtesting.populate_sell_trend)
get_fee.assert_called()
assert backtesting.fee == 0.5
def test_tickerdata_to_dataframe(default_conf, mocker) -> None: def test_tickerdata_to_dataframe(default_conf, mocker) -> None: