adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Extract backtesting order cancelling

Browse Source
This commit is contained in:
Matthias 2022-01-30 17:39:23 +01:00
parent 6637dacd7f
commit 1e603985c5
1 changed files with 27 additions and 14 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

41
freqtrade/optimize/backtesting.py
View File

@ -635,6 +635,28 @@ class Backtesting:
self.protections.stop_per_pair(pair, current_time)
self.protections.global_stop(current_time)
def check_order_cancel(self, trade: LocalTrade, current_time) -> bool:
"""
Check if an order has been canceled.
Returns True if the trade should be Deleted (initial order was canceled).
"""
for order in [o for o in trade.orders if o.ft_is_open]:
timedout = self.strategy.ft_check_timed_out(order.side, trade, {}, current_time)
if timedout:
if order.side == 'buy':
if trade.nr_of_successful_buys == 0:
# Remove trade due to buy timeout expiration.
return True
else:
# Close additional buy order
del trade.orders[trade.orders.index(order)]
if order.side == 'sell':
# Close sell order and retry selling on next signal.
del trade.orders[trade.orders.index(order)]
return False
def backtest(self, processed: Dict,
start_date: datetime, end_date: datetime,
max_open_trades: int = 0, position_stacking: bool = False,
@ -744,20 +766,11 @@ class Backtesting:
self.run_protections(enable_protections, pair, current_time)
# 5. Cancel expired buy/sell orders.
for order in [o for o in trade.orders if o.ft_is_open]:
timeout = self.config['unfilledtimeout'].get(order.side, 0)
if 0 < timeout <= (current_time - order.order_date).seconds / 60:
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(trade)
elif order.side == 'sell':
# Close sell order and retry selling on next signal.
del trade.orders[trade.orders.index(order)]
canceled = self.check_order_cancel(trade, current_time)
if canceled:
# Close trade due to buy timeout expiration.
open_trade_count -= 1
open_trades[pair].remove(trade)
# Move time one configured time_interval ahead.
self.progress.increment()