move open_rate updating to close_bt_order
This commit is contained in:
parent
29f1edbde7
commit
2d9be6dace
@ -816,9 +816,7 @@ class Backtesting:
|
||||
# Update trade open_rate on first filled order
|
||||
# this is for cases where adjust_entry_order might have replaced the
|
||||
# initial order from trade opening
|
||||
if len(trade.select_filled_orders(trade.entry_side)) == 1:
|
||||
trade.open_rate = order.price
|
||||
order.close_bt_order(current_time)
|
||||
order.close_bt_order(current_time, trade)
|
||||
else:
|
||||
trade.open_order_id = str(self.order_id_counter)
|
||||
trade.orders.append(order)
|
||||
@ -1052,7 +1050,7 @@ class Backtesting:
|
||||
# 3. Process entry orders.
|
||||
order = trade.select_order(trade.entry_side, is_open=True)
|
||||
if order and self._get_order_filled(order.price, row):
|
||||
order.close_bt_order(current_time)
|
||||
order.close_bt_order(current_time, trade)
|
||||
trade.open_order_id = None
|
||||
LocalTrade.add_bt_trade(trade)
|
||||
self.wallets.update()
|
||||
|
@ -219,11 +219,15 @@ class Order(_DECL_BASE):
|
||||
'remaining': self.remaining,
|
||||
}
|
||||
|
||||
def close_bt_order(self, close_date: datetime):
|
||||
def close_bt_order(self, close_date: datetime, trade: 'LocalTrade'):
|
||||
self.order_filled_date = close_date
|
||||
self.filled = self.amount
|
||||
self.status = 'closed'
|
||||
self.ft_is_open = False
|
||||
if (self.ft_order_side == trade.entry_side
|
||||
and len(trade.select_filled_orders(trade.entry_side)) == 1):
|
||||
trade.open_rate = self.price
|
||||
trade.recalc_open_trade_value()
|
||||
|
||||
@staticmethod
|
||||
def update_orders(orders: List['Order'], order: Dict[str, Any]):
|
||||
|
@ -760,16 +760,29 @@ tc48 = BTContainer(data=[
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # timeout
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 1],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.1,
|
||||
timeout=1000,
|
||||
custom_entry_price=4200,
|
||||
adjust_entry_price=5200,
|
||||
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2, is_short=False)]
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.087,
|
||||
use_exit_signal=True, timeout=1000,
|
||||
custom_entry_price=4200, adjust_entry_price=5200,
|
||||
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)]
|
||||
)
|
||||
|
||||
|
||||
# Test 49: Custom-entry-price short above all candles - readjust order
|
||||
tc49 = BTContainer(data=[
|
||||
# D O H L C V EL XL ES Xs BT
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
|
||||
[1, 5000, 5200, 4951, 5000, 6172, 0, 0, 0, 0], # timeout
|
||||
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.05,
|
||||
use_exit_signal=True, timeout=1000,
|
||||
custom_entry_price=5300, adjust_entry_price=5000,
|
||||
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
|
||||
)
|
||||
|
||||
TESTS = [
|
||||
tc0,
|
||||
tc1,
|
||||
@ -820,6 +833,7 @@ TESTS = [
|
||||
tc46,
|
||||
tc47,
|
||||
tc48,
|
||||
tc49,
|
||||
]
|
||||
|
||||
|
||||
|
Loading…
Reference in New Issue
Block a user