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support price callback for partial exits in bt

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This will align results to how live works.
closes #7292
This commit is contained in:
Matthias
2022-08-27 08:50:09 +02:00
parent 9204f01312
commit 2b70c3d0c0
3 changed files with 23 additions and 19 deletions
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38
freqtrade/optimize/backtesting.py
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@@ -554,7 +554,8 @@ class Backtesting:
if remaining < min_stake:
# Remaining stake is too low to be sold.
return trade
pos_trade = self._exit_trade(trade, row, current_rate, amount)
exit_ = ExitCheckTuple(ExitType.PARTIAL_EXIT)
pos_trade = self._get_exit_for_signal(trade, row, exit_, amount)
if pos_trade is not None:
order = pos_trade.orders[-1]
if self._get_order_filled(order.price, row):
@@ -589,14 +590,15 @@ class Backtesting:
return t
return None
def _get_exit_for_signal(self, trade: LocalTrade, row: Tuple,
exit_: ExitCheckTuple) -> Optional[LocalTrade]:
def _get_exit_for_signal(
self, trade: LocalTrade, row: Tuple, exit_: ExitCheckTuple,
amount: Optional[float] = None) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if exit_.exit_flag:
trade.close_date = exit_candle_time
exit_reason = exit_.exit_reason
amount_ = amount if amount is not None else trade.amount
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
try:
close_rate = self._get_close_rate(row, trade, exit_, trade_dur)
@@ -605,7 +607,8 @@ class Backtesting:
# call the custom exit price,with default value as previous close_rate
current_profit = trade.calc_profit_ratio(close_rate)
order_type = self.strategy.order_types['exit']
if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT,
ExitType.PARTIAL_EXIT):
# Checks and adds an exit tag, after checking that the length of the
# row has the length for an exit tag column
if (
@@ -633,22 +636,23 @@ class Backtesting:
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['exit']
if (exit_.exit_type != ExitType.LIQUIDATION and not strategy_safe_wrapper(
self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair,
trade=trade, # type: ignore[arg-type]
order_type=order_type,
amount=trade.amount,
rate=close_rate,
time_in_force=time_in_force,
sell_reason=exit_reason, # deprecated
exit_reason=exit_reason,
current_time=exit_candle_time)):
if (exit_.exit_type not in (ExitType.LIQUIDATION, ExitType.PARTIAL_EXIT)
and not strategy_safe_wrapper(
self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair,
trade=trade, # type: ignore[arg-type]
order_type=order_type,
amount=amount_,
rate=close_rate,
time_in_force=time_in_force,
sell_reason=exit_reason, # deprecated
exit_reason=exit_reason,
current_time=exit_candle_time)):
return None
trade.exit_reason = exit_reason
return self._exit_trade(trade, row, close_rate, trade.amount)
return self._exit_trade(trade, row, close_rate, amount_)
return None
def _exit_trade(self, trade: LocalTrade, sell_row: Tuple,