Merge pull request #7596 from iprogger/fix/backtest-counting-available-slots

Fix counting available trade slots in backtesting.

freqtrade/optimize/backtesting.py

@@ -1123,6 +1123,7 @@ class Backtesting:
                     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.trades_open.remove(t)
                         self.wallets.update()

tests/optimize/test_backtesting.py

@@ -799,6 +799,35 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
                 t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))
 
 
+def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir) -> None:
+    # This strategy intentionally places unfillable orders.
+    default_conf['strategy'] = 'StrategyTestV3CustomEntryPrice'
+    default_conf['startup_candle_count'] = 0
+    # Cancel unfilled order after 4 minutes on 5m timeframe.
+    default_conf["unfilledtimeout"] = {"entry": 4}
+    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
+    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
+    mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
+    patch_exchange(mocker)
+    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
+    # Testing dataframe contains 11 candles. Expecting 10 timed out orders.
+    timerange = TimeRange('date', 'date', 1517227800, 1517231100)
+    data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
+                             timerange=timerange)
+    min_date, max_date = get_timerange(data)
+
+    result = backtesting.backtest(
+        processed=deepcopy(data),
+        start_date=min_date,
+        end_date=max_date,
+        max_open_trades=1,
+        position_stacking=False,
+    )
+
+    assert result['timedout_entry_orders'] == 10
+
+
 def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None:
     default_conf['use_exit_signal'] = False
     mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)

tests/rpc/test_rpc_apiserver.py

@@ -1457,6 +1457,7 @@ def test_api_strategies(botclient, tmpdir):
         'InformativeDecoratorTest',
         'StrategyTestV2',
         'StrategyTestV3',
+        'StrategyTestV3CustomEntryPrice',
         'StrategyTestV3Futures',
         'freqai_test_classifier',
         'freqai_test_multimodel_strat',

tests/strategy/strats/strategy_test_v3_custom_entry_price.py

@@ -0,0 +1,37 @@
+# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
+
+from datetime import datetime
+from typing import Optional
+
+from pandas import DataFrame
+from strategy_test_v3 import StrategyTestV3
+
+
+class StrategyTestV3CustomEntryPrice(StrategyTestV3):
+    """
+    Strategy used by tests freqtrade bot.
+    Please do not modify this strategy, it's  intended for internal use only.
+    Please look at the SampleStrategy in the user_data/strategy directory
+    or strategy repository https://github.com/freqtrade/freqtrade-strategies
+    for samples and inspiration.
+    """
+    new_entry_price: float = 0.001
+
+    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        return dataframe
+
+    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+
+        dataframe.loc[
+            dataframe['volume'] > 0,
+            'enter_long'] = 1
+
+        return dataframe
+
+    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        return dataframe
+
+    def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float,
+                           entry_tag: Optional[str], side: str, **kwargs) -> float:
+
+        return self.new_entry_price

tests/strategy/test_strategy_loading.py

@@ -34,7 +34,7 @@ def test_search_all_strategies_no_failed():
     directory = Path(__file__).parent / "strats"
     strategies = StrategyResolver._search_all_objects(directory, enum_failed=False)
     assert isinstance(strategies, list)
-    assert len(strategies) == 9
+    assert len(strategies) == 10
     assert isinstance(strategies[0], dict)
 
 
@@ -42,10 +42,11 @@ def test_search_all_strategies_with_failed():
     directory = Path(__file__).parent / "strats"
     strategies = StrategyResolver._search_all_objects(directory, enum_failed=True)
     assert isinstance(strategies, list)
-    assert len(strategies) == 10
+    assert len(strategies) == 11
     # with enum_failed=True search_all_objects() shall find 2 good strategies
     # and 1 which fails to load
-    assert len([x for x in strategies if x['class'] is not None]) == 9
+    assert len([x for x in strategies if x['class'] is not None]) == 10
+
     assert len([x for x in strategies if x['class'] is None]) == 1
 
     directory = Path(__file__).parent / "strats_nonexistingdir"