Merge pull request #6940 from freqtrade/bt_orders

Open orders should also be shown in the UI

freqtrade/data/btanalysis.py

@@ -26,7 +26,7 @@ BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
                    'profit_ratio', 'profit_abs', 'exit_reason',
                    'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
                    'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'enter_tag',
-                   'is_short'
+                   'is_short', 'open_timestamp', 'close_timestamp', 'orders'
                    ]
 
 
@@ -283,6 +283,8 @@ def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = Non
             if 'enter_tag' not in df.columns:
                 df['enter_tag'] = df['buy_tag']
                 df = df.drop(['buy_tag'], axis=1)
+            if 'orders' not in df.columns:
+                df.loc[:, 'orders'] = None
 
     else:
         # old format - only with lists.
@@ -337,7 +339,7 @@ def trade_list_to_dataframe(trades: List[LocalTrade]) -> pd.DataFrame:
     :param trades: List of trade objects
     :return: Dataframe with BT_DATA_COLUMNS
     """
-    df = pd.DataFrame.from_records([t.to_json() for t in trades], columns=BT_DATA_COLUMNS)
+    df = pd.DataFrame.from_records([t.to_json(True) for t in trades], columns=BT_DATA_COLUMNS)
     if len(df) > 0:
         df.loc[:, 'close_date'] = pd.to_datetime(df['close_date'], utc=True)
         df.loc[:, 'open_date'] = pd.to_datetime(df['open_date'], utc=True)

freqtrade/optimize/backtesting.py

@@ -1094,6 +1094,7 @@ class Backtesting:
                     # 5. Process exit orders.
                     order = trade.select_order(trade.exit_side, is_open=True)
                     if order and self._get_order_filled(order.price, row):
+                        order.close_bt_order(current_time, trade)
                         trade.open_order_id = None
                         trade.close_date = current_time
                         trade.close(order.price, show_msg=False)

freqtrade/optimize/optimize_reports.py

@@ -4,7 +4,6 @@ from datetime import datetime, timedelta, timezone
 from pathlib import Path
 from typing import Any, Dict, List, Union
 
-from numpy import int64
 from pandas import DataFrame, to_datetime
 from tabulate import tabulate
 
@@ -417,9 +416,6 @@ def generate_strategy_stats(pairlist: List[str],
                     key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
     worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
                      key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
-    if not results.empty:
-        results['open_timestamp'] = results['open_date'].view(int64) // 1e6
-        results['close_timestamp'] = results['close_date'].view(int64) // 1e6
 
     backtest_days = (max_date - min_date).days or 1
     strat_stats = {

freqtrade/persistence/migrations.py

@@ -247,6 +247,35 @@ def set_sqlite_to_wal(engine):
             connection.execute(text("PRAGMA journal_mode=wal"))
 
 
+def fix_old_dry_orders(engine):
+    with engine.begin() as connection:
+        connection.execute(
+            text(
+                """
+                update orders
+                set ft_is_open = 0
+                where ft_is_open = 1 and (ft_trade_id, order_id) not in (
+                    select id, stoploss_order_id from trades where stoploss_order_id is not null
+                ) and ft_order_side = 'stoploss'
+                and order_id like 'dry_%'
+                """
+            )
+        )
+        connection.execute(
+            text(
+                """
+                update orders
+                set ft_is_open = 0
+                where ft_is_open = 1
+                and (ft_trade_id, order_id) not in (
+                    select id, open_order_id from trades where open_order_id is not null
+                ) and ft_order_side != 'stoploss'
+                and order_id like 'dry_%'
+                """
+            )
+        )
+
+
 def check_migrate(engine, decl_base, previous_tables) -> None:
     """
     Checks if migration is necessary and migrates if necessary
@@ -288,3 +317,4 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
             "start with a fresh database.")
 
     set_sqlite_to_wal(engine)
+    fix_old_dry_orders(engine)

freqtrade/persistence/trade_model.py

@@ -137,17 +137,23 @@ class Order(_DECL_BASE):
             'info': {},
         }
 
-    def to_json(self, entry_side: str) -> Dict[str, Any]:
+    def to_json(self, entry_side: str, minified: bool = False) -> Dict[str, Any]:
-        return {
+        resp = {
+            'amount': self.amount,
+            'safe_price': self.safe_price,
+            'ft_order_side': self.ft_order_side,
+            'order_filled_timestamp': int(self.order_filled_date.replace(
+                tzinfo=timezone.utc).timestamp() * 1000) if self.order_filled_date else None,
+            'ft_is_entry': self.ft_order_side == entry_side,
+        }
+        if not minified:
+            resp.update({
                 'pair': self.ft_pair,
                 'order_id': self.order_id,
                 'status': self.status,
-            'amount': self.amount,
                 'average': round(self.average, 8) if self.average else 0,
-            'safe_price': self.safe_price,
                 'cost': self.cost if self.cost else 0,
                 'filled': self.filled,
-            'ft_order_side': self.ft_order_side,
                 'is_open': self.ft_is_open,
                 'order_date': self.order_date.strftime(DATETIME_PRINT_FORMAT)
                 if self.order_date else None,
@@ -155,17 +161,16 @@ class Order(_DECL_BASE):
                     tzinfo=timezone.utc).timestamp() * 1000) if self.order_date else None,
                 'order_filled_date': self.order_filled_date.strftime(DATETIME_PRINT_FORMAT)
                 if self.order_filled_date else None,
-            'order_filled_timestamp': int(self.order_filled_date.replace(
-                tzinfo=timezone.utc).timestamp() * 1000) if self.order_filled_date else None,
                 'order_type': self.order_type,
                 'price': self.price,
-            'ft_is_entry': self.ft_order_side == entry_side,
                 'remaining': self.remaining,
-        }
+            })
+        return resp
 
     def close_bt_order(self, close_date: datetime, trade: 'LocalTrade'):
         self.order_filled_date = close_date
         self.filled = self.amount
+        self.remaining = 0
         self.status = 'closed'
         self.ft_is_open = False
         if (self.ft_order_side == trade.entry_side
@@ -393,9 +398,9 @@ class LocalTrade():
             f'open_rate={self.open_rate:.8f}, open_since={open_since})'
         )
 
-    def to_json(self) -> Dict[str, Any]:
+    def to_json(self, minified: bool = False) -> Dict[str, Any]:
-        filled_orders = self.select_filled_orders()
+        filled_orders = self.select_filled_or_open_orders()
-        orders = [order.to_json(self.entry_side) for order in filled_orders]
+        orders = [order.to_json(self.entry_side, minified) for order in filled_orders]
 
         return {
             'trade_id': self.id,
@@ -897,6 +902,21 @@ class LocalTrade():
                 (o.filled or 0) > 0 and
                 o.status in NON_OPEN_EXCHANGE_STATES]
 
+    def select_filled_or_open_orders(self) -> List['Order']:
+        """
+        Finds filled or open orders
+        :param order_side: Side of the order (either 'buy', 'sell', or None)
+        :return: array of Order objects
+        """
+        return [o for o in self.orders if
+                (
+                    o.ft_is_open is False
+                    and (o.filled or 0) > 0
+                    and o.status in NON_OPEN_EXCHANGE_STATES
+                    )
+                or (o.ft_is_open is True and o.status is not None)
+                ]
+
     @property
     def nr_of_successful_entries(self) -> int:
         """

freqtrade/rpc/telegram.py

@@ -396,7 +396,7 @@ class Telegram(RPCHandler):
             first_avg = filled_orders[0]["safe_price"]
 
         for x, order in enumerate(filled_orders):
-            if not order['ft_is_entry']:
+            if not order['ft_is_entry'] or order['is_open'] is True:
                 continue
             cur_entry_datetime = arrow.get(order["order_filled_date"])
             cur_entry_amount = order["amount"]

tests/data/test_btanalysis.py

@@ -85,7 +85,7 @@ def test_load_backtest_data_new_format(testdatadir):
     filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     assert isinstance(bt_data, DataFrame)
-    assert set(bt_data.columns) == set(BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
+    assert set(bt_data.columns) == set(BT_DATA_COLUMNS)
     assert len(bt_data) == 179
 
     # Test loading from string (must yield same result)
@@ -110,7 +110,7 @@ def test_load_backtest_data_multi(testdatadir):
         bt_data = load_backtest_data(filename, strategy=strategy)
         assert isinstance(bt_data, DataFrame)
         assert set(bt_data.columns) == set(
-            BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
+            BT_DATA_COLUMNS)
         assert len(bt_data) == 179
 
         # Test loading from string (must yield same result)

tests/optimize/test_backtesting.py

@@ -795,10 +795,27 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
          'is_open': [False, False],
          'enter_tag': [None, None],
          "is_short": [False, False],
+         'open_timestamp': [1517251200000, 1517283000000],
+         'close_timestamp': [1517265300000, 1517285400000],
+         'orders': [
+            [
+                {'amount': 0.00957442, 'safe_price': 0.104445, 'ft_order_side': 'buy',
+                 'order_filled_timestamp': 1517251200000, 'ft_is_entry': True},
+                {'amount': 0.00957442, 'safe_price': 0.10496853383458644, 'ft_order_side': 'sell',
+                 'order_filled_timestamp': 1517265300000, 'ft_is_entry': False}
+            ], [
+                {'amount': 0.0097064, 'safe_price': 0.10302485, 'ft_order_side': 'buy',
+                 'order_filled_timestamp': 1517283000000, 'ft_is_entry': True},
+                {'amount': 0.0097064, 'safe_price': 0.10354126528822055, 'ft_order_side': 'sell',
+                 'order_filled_timestamp': 1517285400000, 'ft_is_entry': False}
+            ]
+         ]
          })
     pd.testing.assert_frame_equal(results, expected)
+    assert 'orders' in results.columns
     data_pair = processed[pair]
     for _, t in results.iterrows():
+        assert len(t['orders']) == 2
         ln = data_pair.loc[data_pair["date"] == t["open_date"]]
         # Check open trade rate alignes to open rate
         assert ln is not None

tests/optimize/test_backtesting_adjust_position.py

@@ -70,9 +70,14 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
          'is_open': [False, False],
          'enter_tag': [None, None],
          'is_short': [False, False],
+         'open_timestamp': [1517251200000, 1517283000000],
+         'close_timestamp': [1517265300000, 1517285400000],
          })
-    pd.testing.assert_frame_equal(results, expected)
+    pd.testing.assert_frame_equal(results.drop(columns=['orders']), expected)
     data_pair = processed[pair]
+    assert len(results.iloc[0]['orders']) == 6
+    assert len(results.iloc[1]['orders']) == 2
+
     for _, t in results.iterrows():
         ln = data_pair.loc[data_pair["date"] == t["open_date"]]
         # Check open trade rate alignes to open rate