Merge branch 'develop' into pr/mkavinkumar1/6545
This commit is contained in:
Matthias
@@ -187,7 +187,7 @@ class Backtesting:
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# since a "perfect" stoploss-exit is assumed anyway
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# And the regular "stoploss" function would not apply to that case
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self.strategy.order_types['stoploss_on_exchange'] = False
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self.strategy.bot_start()
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self.strategy.ft_bot_start()
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def _load_protections(self, strategy: IStrategy):
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if self.config.get('enable_protections', False):
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@@ -275,8 +275,12 @@ class Backtesting:
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if pair not in self.exchange._leverage_tiers:
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unavailable_pairs.append(pair)
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continue
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self.futures_data[pair] = funding_rates_dict[pair].merge(
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mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
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self.futures_data[pair] = self.exchange.combine_funding_and_mark(
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funding_rates=funding_rates_dict[pair],
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mark_rates=mark_rates_dict[pair],
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futures_funding_rate=self.config.get('futures_funding_rate', None),
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)
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if unavailable_pairs:
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raise OperationalException(
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@@ -497,7 +501,8 @@ class Backtesting:
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stake_available = self.wallets.get_available_stake_amount()
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stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
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default_retval=None)(
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trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=current_rate,
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trade=trade, # type: ignore[arg-type]
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current_time=row[DATE_IDX].to_pydatetime(), current_rate=current_rate,
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current_profit=current_profit, min_stake=min_stake,
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max_stake=min(max_stake, stake_available),
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current_entry_rate=current_rate, current_exit_rate=current_rate,
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@@ -540,15 +545,23 @@ class Backtesting:
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if check_adjust_entry:
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trade = self._get_adjust_trade_entry_for_candle(trade, row)
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exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
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enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
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exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
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exit_ = self.strategy.should_exit(
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trade, row[OPEN_IDX], exit_candle_time, # type: ignore
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exits = self.strategy.should_exit(
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trade, row[OPEN_IDX], row[DATE_IDX].to_pydatetime(), # type: ignore
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enter=enter, exit_=exit_sig,
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low=row[LOW_IDX], high=row[HIGH_IDX]
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)
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for exit_ in exits:
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t = self._get_exit_for_signal(trade, row, exit_)
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if t:
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return t
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return None
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def _get_exit_for_signal(self, trade: LocalTrade, row: Tuple,
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exit_: ExitCheckTuple) -> Optional[LocalTrade]:
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exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
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if exit_.exit_flag:
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trade.close_date = exit_candle_time
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exit_reason = exit_.exit_reason
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@@ -575,7 +588,8 @@ class Backtesting:
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if order_type == 'limit':
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close_rate = strategy_safe_wrapper(self.strategy.custom_exit_price,
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default_retval=close_rate)(
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pair=trade.pair, trade=trade,
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pair=trade.pair,
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trade=trade, # type: ignore[arg-type]
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current_time=exit_candle_time,
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proposed_rate=close_rate, current_profit=current_profit,
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exit_tag=exit_reason)
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@@ -589,7 +603,10 @@ class Backtesting:
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time_in_force = self.strategy.order_time_in_force['exit']
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if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
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pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
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pair=trade.pair,
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trade=trade, # type: ignore[arg-type]
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order_type='limit',
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amount=trade.amount,
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rate=close_rate,
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time_in_force=time_in_force,
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sell_reason=exit_reason, # deprecated
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@@ -694,7 +711,7 @@ class Backtesting:
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return self._get_exit_trade_entry_for_candle(trade, row)
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def get_valid_price_and_stake(
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self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
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self, pair: str, row: Tuple, propose_rate: float, stake_amount: float,
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direction: LongShort, current_time: datetime, entry_tag: Optional[str],
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trade: Optional[LocalTrade], order_type: str
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) -> Tuple[float, float, float, float]:
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@@ -768,8 +785,9 @@ class Backtesting:
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order_type = self.strategy.order_types['entry']
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pos_adjust = trade is not None and requested_rate is None
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stake_amount_ = stake_amount or (trade.stake_amount if trade else 0.0)
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propose_rate, stake_amount, leverage, min_stake_amount = self.get_valid_price_and_stake(
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pair, row, row[OPEN_IDX], stake_amount, direction, current_time, entry_tag, trade,
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pair, row, row[OPEN_IDX], stake_amount_, direction, current_time, entry_tag, trade,
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order_type
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)
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@@ -939,7 +957,9 @@ class Backtesting:
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Check if current analyzed order has to be canceled.
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Returns True if the trade should be Deleted (initial order was canceled).
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"""
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timedout = self.strategy.ft_check_timed_out(trade, order, current_time)
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timedout = self.strategy.ft_check_timed_out(
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trade, # type: ignore[arg-type]
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order, current_time)
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if timedout:
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if order.side == trade.entry_side:
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self.timedout_entry_orders += 1
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@@ -968,7 +988,8 @@ class Backtesting:
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if order.side == trade.entry_side and current_time > order.order_date_utc:
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requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price,
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default_retval=order.price)(
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trade=trade, order=order, pair=trade.pair, current_time=current_time,
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trade=trade, # type: ignore[arg-type]
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order=order, pair=trade.pair, current_time=current_time,
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proposed_rate=row[OPEN_IDX], current_order_rate=order.price,
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entry_tag=trade.enter_tag, side=trade.trade_direction
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) # default value is current order price
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