BT: Refactor open order management.
This commit is contained in:
eSeR1805
parent
9d205132d0
commit
4e43194dfe
|
|
@ -872,64 +872,78 @@ class Backtesting:
|
|||
self.protections.stop_per_pair(pair, current_time)
|
||||
self.protections.global_stop(current_time)
|
||||
|
||||
def check_order_replace(self, trade: LocalTrade, current_time, row: Tuple) -> bool:
|
||||
def manage_open_orders(self, trade: LocalTrade, current_time, row: Tuple) -> bool:
|
||||
"""
|
||||
Check if an entry order has to be replaced and do so. If user requested cancellation
|
||||
and there are no filled orders in the trade will instruct caller to delete the trade.
|
||||
Check if any open order needs to be cancelled or replaced.
|
||||
Returns True if the trade should be deleted.
|
||||
"""
|
||||
for order in [o for o in trade.orders if o.ft_is_open]:
|
||||
# only check on new candles for open entry orders
|
||||
if order.side == trade.entry_side and current_time > order.order_date_utc:
|
||||
requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price,
|
||||
default_retval=order.price)(
|
||||
trade=trade, order=order, pair=trade.pair, current_time=current_time,
|
||||
proposed_rate=row[OPEN_IDX], current_order_rate=order.price,
|
||||
entry_tag=trade.enter_tag, side=trade.trade_direction
|
||||
) # default value is current order price
|
||||
|
||||
# cancel existing order whenever a new rate is requested (or None)
|
||||
if requested_rate == order.price:
|
||||
# assumption: there can't be multiple open entry orders at any given time
|
||||
return False
|
||||
else:
|
||||
del trade.orders[trade.orders.index(order)]
|
||||
|
||||
# place new order if None was not returned
|
||||
if requested_rate:
|
||||
self._enter_trade(pair=trade.pair, row=row, trade=trade,
|
||||
requested_rate=requested_rate,
|
||||
requested_stake=(order.remaining * order.price),
|
||||
direction='short' if trade.is_short else 'long')
|
||||
else:
|
||||
# assumption: there can't be multiple open entry orders at any given time
|
||||
return (trade.nr_of_successful_entries == 0)
|
||||
if self.check_order_cancel(trade, order, current_time):
|
||||
# delete trade due to order timeout
|
||||
return True
|
||||
elif self.check_order_replace(trade, order, current_time, row):
|
||||
# delete trade due to user request
|
||||
return True
|
||||
# default maintain trade
|
||||
return False
|
||||
|
||||
def check_order_cancel(self, trade: LocalTrade, current_time) -> bool:
|
||||
def check_order_cancel(self, trade: LocalTrade, order: Order, current_time) -> bool:
|
||||
"""
|
||||
Check if an order has been canceled.
|
||||
Check if current analyzed order has to be 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(trade, order, current_time)
|
||||
if timedout:
|
||||
if order.side == trade.entry_side:
|
||||
self.timedout_entry_orders += 1
|
||||
if trade.nr_of_successful_entries == 0:
|
||||
# Remove trade due to entry timeout expiration.
|
||||
return True
|
||||
else:
|
||||
# Close additional entry order
|
||||
del trade.orders[trade.orders.index(order)]
|
||||
if order.side == trade.exit_side:
|
||||
self.timedout_exit_orders += 1
|
||||
# Close exit order and retry exiting on next signal.
|
||||
timedout = self.strategy.ft_check_timed_out(trade, order, current_time)
|
||||
if timedout:
|
||||
if order.side == trade.entry_side:
|
||||
self.timedout_entry_orders += 1
|
||||
if trade.nr_of_successful_entries == 0:
|
||||
# Remove trade due to entry timeout expiration.
|
||||
return True
|
||||
else:
|
||||
# Close additional entry order
|
||||
del trade.orders[trade.orders.index(order)]
|
||||
if order.side == trade.exit_side:
|
||||
self.timedout_exit_orders += 1
|
||||
# Close exit order and retry exiting on next signal.
|
||||
del trade.orders[trade.orders.index(order)]
|
||||
|
||||
return False
|
||||
|
||||
def check_order_replace(self, trade: LocalTrade, order: Order, current_time,
|
||||
row: Tuple) -> bool:
|
||||
"""
|
||||
Check if current analyzed entry order has to be replaced and do so.
|
||||
If user requested cancellation and there are no filled orders in the trade will
|
||||
instruct caller to delete the trade.
|
||||
Returns True if the trade should be deleted.
|
||||
"""
|
||||
# only check on new candles for open entry orders
|
||||
if order.side == trade.entry_side and current_time > order.order_date_utc:
|
||||
requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price,
|
||||
default_retval=order.price)(
|
||||
trade=trade, order=order, pair=trade.pair, current_time=current_time,
|
||||
proposed_rate=row[OPEN_IDX], current_order_rate=order.price,
|
||||
entry_tag=trade.enter_tag, side=trade.trade_direction
|
||||
) # default value is current order price
|
||||
|
||||
# cancel existing order whenever a new rate is requested (or None)
|
||||
if requested_rate == order.price:
|
||||
# assumption: there can't be multiple open entry orders at any given time
|
||||
return False
|
||||
else:
|
||||
del trade.orders[trade.orders.index(order)]
|
||||
|
||||
# place new order if None was not returned
|
||||
if requested_rate:
|
||||
self._enter_trade(pair=trade.pair, row=row, trade=trade,
|
||||
requested_rate=requested_rate,
|
||||
requested_stake=(order.remaining * order.price),
|
||||
direction='short' if trade.is_short else 'long')
|
||||
else:
|
||||
# assumption: there can't be multiple open entry orders at any given time
|
||||
return (trade.nr_of_successful_entries == 0)
|
||||
return False
|
||||
|
||||
def validate_row(
|
||||
self, data: Dict, pair: str, row_index: int, current_time: datetime) -> Optional[Tuple]:
|
||||
try:
|
||||
|
|
@ -999,17 +1013,14 @@ class Backtesting:
|
|||
self.dataprovider._set_dataframe_max_index(row_index)
|
||||
|
||||
for t in list(open_trades[pair]):
|
||||
# 1. Cancel expired entry/exit orders.
|
||||
order_cancel = self.check_order_cancel(t, current_time)
|
||||
# 2. Replace/cancel (user requested) entry orders.
|
||||
order_replace = self.check_order_replace(t, current_time, row)
|
||||
if order_cancel or order_replace:
|
||||
# Close trade due to entry timeout expiration or cancellation.
|
||||
# 1. Manage currently open orders of active trades
|
||||
if self.manage_open_orders(t, current_time, row):
|
||||
# Close trade
|
||||
open_trade_count -= 1
|
||||
open_trades[pair].remove(t)
|
||||
self.wallets.update()
|
||||
|
||||
# 3. Process entries.
|
||||
# 2. Process entries.
|
||||
# without positionstacking, we can only have one open trade per pair.
|
||||
# max_open_trades must be respected
|
||||
# don't open on the last row
|
||||
|
|
@ -1032,7 +1043,7 @@ class Backtesting:
|
|||
open_trades[pair].append(trade)
|
||||
|
||||
for trade in list(open_trades[pair]):
|
||||
# 4. Process entry orders.
|
||||
# 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)
|
||||
|
|
@ -1040,11 +1051,11 @@ class Backtesting:
|
|||
LocalTrade.add_bt_trade(trade)
|
||||
self.wallets.update()
|
||||
|
||||
# 5. Create exit orders (if any)
|
||||
# 4. Create exit orders (if any)
|
||||
if not trade.open_order_id:
|
||||
self._get_exit_trade_entry(trade, row) # Place exit order if necessary
|
||||
|
||||
# 6. Process exit orders.
|
||||
# 5. Process exit orders.
|
||||
order = trade.select_order(trade.exit_side, is_open=True)
|
||||
if order and self._get_order_filled(order.price, row):
|
||||
trade.open_order_id = None
|
||||
|
|
|
|||
Loading…
Reference in New Issue