Merge pull request #6940 from freqtrade/bt_orders
Open orders should also be shown in the UI
This commit is contained in:
commit
5007024f63
@ -26,7 +26,7 @@ BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
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'profit_ratio', 'profit_abs', 'exit_reason',
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'profit_ratio', 'profit_abs', 'exit_reason',
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'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
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'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
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'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'enter_tag',
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'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'enter_tag',
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'is_short'
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'is_short', 'open_timestamp', 'close_timestamp', 'orders'
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]
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]
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@ -283,6 +283,8 @@ def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = Non
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if 'enter_tag' not in df.columns:
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if 'enter_tag' not in df.columns:
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df['enter_tag'] = df['buy_tag']
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df['enter_tag'] = df['buy_tag']
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df = df.drop(['buy_tag'], axis=1)
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df = df.drop(['buy_tag'], axis=1)
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if 'orders' not in df.columns:
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df.loc[:, 'orders'] = None
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else:
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else:
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# old format - only with lists.
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# old format - only with lists.
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@ -337,7 +339,7 @@ def trade_list_to_dataframe(trades: List[LocalTrade]) -> pd.DataFrame:
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:param trades: List of trade objects
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:param trades: List of trade objects
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:return: Dataframe with BT_DATA_COLUMNS
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:return: Dataframe with BT_DATA_COLUMNS
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"""
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"""
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df = pd.DataFrame.from_records([t.to_json() for t in trades], columns=BT_DATA_COLUMNS)
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df = pd.DataFrame.from_records([t.to_json(True) for t in trades], columns=BT_DATA_COLUMNS)
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if len(df) > 0:
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if len(df) > 0:
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df.loc[:, 'close_date'] = pd.to_datetime(df['close_date'], utc=True)
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df.loc[:, 'close_date'] = pd.to_datetime(df['close_date'], utc=True)
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df.loc[:, 'open_date'] = pd.to_datetime(df['open_date'], utc=True)
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df.loc[:, 'open_date'] = pd.to_datetime(df['open_date'], utc=True)
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@ -1094,6 +1094,7 @@ class Backtesting:
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# 5. Process exit orders.
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# 5. Process exit orders.
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order = trade.select_order(trade.exit_side, is_open=True)
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order = trade.select_order(trade.exit_side, is_open=True)
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if order and self._get_order_filled(order.price, row):
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if order and self._get_order_filled(order.price, row):
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order.close_bt_order(current_time, trade)
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trade.open_order_id = None
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trade.open_order_id = None
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trade.close_date = current_time
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trade.close_date = current_time
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trade.close(order.price, show_msg=False)
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trade.close(order.price, show_msg=False)
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@ -4,7 +4,6 @@ from datetime import datetime, timedelta, timezone
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from pathlib import Path
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from pathlib import Path
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from typing import Any, Dict, List, Union
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from typing import Any, Dict, List, Union
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from numpy import int64
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from pandas import DataFrame, to_datetime
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from pandas import DataFrame, to_datetime
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from tabulate import tabulate
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from tabulate import tabulate
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@ -417,9 +416,6 @@ def generate_strategy_stats(pairlist: List[str],
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key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
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key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
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worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
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worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
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key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
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key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
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if not results.empty:
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results['open_timestamp'] = results['open_date'].view(int64) // 1e6
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results['close_timestamp'] = results['close_date'].view(int64) // 1e6
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backtest_days = (max_date - min_date).days or 1
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backtest_days = (max_date - min_date).days or 1
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strat_stats = {
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strat_stats = {
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@ -247,6 +247,35 @@ def set_sqlite_to_wal(engine):
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connection.execute(text("PRAGMA journal_mode=wal"))
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connection.execute(text("PRAGMA journal_mode=wal"))
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def fix_old_dry_orders(engine):
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with engine.begin() as connection:
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connection.execute(
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text(
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"""
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update orders
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set ft_is_open = 0
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where ft_is_open = 1 and (ft_trade_id, order_id) not in (
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select id, stoploss_order_id from trades where stoploss_order_id is not null
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) and ft_order_side = 'stoploss'
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and order_id like 'dry_%'
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"""
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)
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)
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connection.execute(
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text(
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"""
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update orders
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set ft_is_open = 0
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where ft_is_open = 1
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and (ft_trade_id, order_id) not in (
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select id, open_order_id from trades where open_order_id is not null
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) and ft_order_side != 'stoploss'
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and order_id like 'dry_%'
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"""
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)
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)
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def check_migrate(engine, decl_base, previous_tables) -> None:
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def check_migrate(engine, decl_base, previous_tables) -> None:
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"""
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"""
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Checks if migration is necessary and migrates if necessary
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Checks if migration is necessary and migrates if necessary
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@ -288,3 +317,4 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
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"start with a fresh database.")
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"start with a fresh database.")
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set_sqlite_to_wal(engine)
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set_sqlite_to_wal(engine)
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fix_old_dry_orders(engine)
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@ -137,35 +137,40 @@ class Order(_DECL_BASE):
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'info': {},
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'info': {},
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}
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}
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def to_json(self, entry_side: str) -> Dict[str, Any]:
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def to_json(self, entry_side: str, minified: bool = False) -> Dict[str, Any]:
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return {
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resp = {
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'pair': self.ft_pair,
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'order_id': self.order_id,
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'status': self.status,
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'amount': self.amount,
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'amount': self.amount,
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'average': round(self.average, 8) if self.average else 0,
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'safe_price': self.safe_price,
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'safe_price': self.safe_price,
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'cost': self.cost if self.cost else 0,
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'filled': self.filled,
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'ft_order_side': self.ft_order_side,
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'ft_order_side': self.ft_order_side,
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'is_open': self.ft_is_open,
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'order_date': self.order_date.strftime(DATETIME_PRINT_FORMAT)
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if self.order_date else None,
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'order_timestamp': int(self.order_date.replace(
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tzinfo=timezone.utc).timestamp() * 1000) if self.order_date else None,
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'order_filled_date': self.order_filled_date.strftime(DATETIME_PRINT_FORMAT)
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if self.order_filled_date else None,
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'order_filled_timestamp': int(self.order_filled_date.replace(
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'order_filled_timestamp': int(self.order_filled_date.replace(
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tzinfo=timezone.utc).timestamp() * 1000) if self.order_filled_date else None,
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tzinfo=timezone.utc).timestamp() * 1000) if self.order_filled_date else None,
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'order_type': self.order_type,
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'price': self.price,
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'ft_is_entry': self.ft_order_side == entry_side,
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'ft_is_entry': self.ft_order_side == entry_side,
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'remaining': self.remaining,
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}
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}
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if not minified:
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resp.update({
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'pair': self.ft_pair,
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'order_id': self.order_id,
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'status': self.status,
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'average': round(self.average, 8) if self.average else 0,
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'cost': self.cost if self.cost else 0,
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'filled': self.filled,
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'is_open': self.ft_is_open,
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'order_date': self.order_date.strftime(DATETIME_PRINT_FORMAT)
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if self.order_date else None,
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'order_timestamp': int(self.order_date.replace(
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tzinfo=timezone.utc).timestamp() * 1000) if self.order_date else None,
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'order_filled_date': self.order_filled_date.strftime(DATETIME_PRINT_FORMAT)
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if self.order_filled_date else None,
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'order_type': self.order_type,
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'price': self.price,
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'remaining': self.remaining,
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})
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return resp
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def close_bt_order(self, close_date: datetime, trade: 'LocalTrade'):
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def close_bt_order(self, close_date: datetime, trade: 'LocalTrade'):
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self.order_filled_date = close_date
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self.order_filled_date = close_date
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self.filled = self.amount
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self.filled = self.amount
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self.remaining = 0
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self.status = 'closed'
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self.status = 'closed'
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self.ft_is_open = False
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self.ft_is_open = False
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if (self.ft_order_side == trade.entry_side
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if (self.ft_order_side == trade.entry_side
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@ -393,9 +398,9 @@ class LocalTrade():
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f'open_rate={self.open_rate:.8f}, open_since={open_since})'
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f'open_rate={self.open_rate:.8f}, open_since={open_since})'
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)
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)
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def to_json(self) -> Dict[str, Any]:
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def to_json(self, minified: bool = False) -> Dict[str, Any]:
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filled_orders = self.select_filled_orders()
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filled_orders = self.select_filled_or_open_orders()
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orders = [order.to_json(self.entry_side) for order in filled_orders]
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orders = [order.to_json(self.entry_side, minified) for order in filled_orders]
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return {
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return {
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'trade_id': self.id,
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'trade_id': self.id,
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@ -897,6 +902,21 @@ class LocalTrade():
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(o.filled or 0) > 0 and
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(o.filled or 0) > 0 and
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o.status in NON_OPEN_EXCHANGE_STATES]
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o.status in NON_OPEN_EXCHANGE_STATES]
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def select_filled_or_open_orders(self) -> List['Order']:
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"""
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Finds filled or open orders
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:param order_side: Side of the order (either 'buy', 'sell', or None)
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:return: array of Order objects
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"""
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return [o for o in self.orders if
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(
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o.ft_is_open is False
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and (o.filled or 0) > 0
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and o.status in NON_OPEN_EXCHANGE_STATES
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)
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or (o.ft_is_open is True and o.status is not None)
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]
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@property
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@property
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def nr_of_successful_entries(self) -> int:
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def nr_of_successful_entries(self) -> int:
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"""
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"""
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@ -396,7 +396,7 @@ class Telegram(RPCHandler):
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first_avg = filled_orders[0]["safe_price"]
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first_avg = filled_orders[0]["safe_price"]
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for x, order in enumerate(filled_orders):
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for x, order in enumerate(filled_orders):
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if not order['ft_is_entry']:
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if not order['ft_is_entry'] or order['is_open'] is True:
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continue
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continue
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cur_entry_datetime = arrow.get(order["order_filled_date"])
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cur_entry_datetime = arrow.get(order["order_filled_date"])
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cur_entry_amount = order["amount"]
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cur_entry_amount = order["amount"]
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@ -85,7 +85,7 @@ def test_load_backtest_data_new_format(testdatadir):
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filename = testdatadir / "backtest_results/backtest-result_new.json"
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filename = testdatadir / "backtest_results/backtest-result_new.json"
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bt_data = load_backtest_data(filename)
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bt_data = load_backtest_data(filename)
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assert isinstance(bt_data, DataFrame)
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assert isinstance(bt_data, DataFrame)
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assert set(bt_data.columns) == set(BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
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assert set(bt_data.columns) == set(BT_DATA_COLUMNS)
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assert len(bt_data) == 179
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assert len(bt_data) == 179
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# Test loading from string (must yield same result)
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# Test loading from string (must yield same result)
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@ -110,7 +110,7 @@ def test_load_backtest_data_multi(testdatadir):
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bt_data = load_backtest_data(filename, strategy=strategy)
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bt_data = load_backtest_data(filename, strategy=strategy)
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assert isinstance(bt_data, DataFrame)
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assert isinstance(bt_data, DataFrame)
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assert set(bt_data.columns) == set(
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assert set(bt_data.columns) == set(
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BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
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BT_DATA_COLUMNS)
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assert len(bt_data) == 179
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assert len(bt_data) == 179
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# Test loading from string (must yield same result)
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# Test loading from string (must yield same result)
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@ -795,10 +795,27 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
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'is_open': [False, False],
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'is_open': [False, False],
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'enter_tag': [None, None],
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'enter_tag': [None, None],
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"is_short": [False, False],
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"is_short": [False, False],
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'open_timestamp': [1517251200000, 1517283000000],
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'close_timestamp': [1517265300000, 1517285400000],
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'orders': [
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[
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{'amount': 0.00957442, 'safe_price': 0.104445, 'ft_order_side': 'buy',
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'order_filled_timestamp': 1517251200000, 'ft_is_entry': True},
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{'amount': 0.00957442, 'safe_price': 0.10496853383458644, 'ft_order_side': 'sell',
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'order_filled_timestamp': 1517265300000, 'ft_is_entry': False}
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], [
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{'amount': 0.0097064, 'safe_price': 0.10302485, 'ft_order_side': 'buy',
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'order_filled_timestamp': 1517283000000, 'ft_is_entry': True},
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{'amount': 0.0097064, 'safe_price': 0.10354126528822055, 'ft_order_side': 'sell',
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'order_filled_timestamp': 1517285400000, 'ft_is_entry': False}
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]
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]
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})
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})
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pd.testing.assert_frame_equal(results, expected)
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pd.testing.assert_frame_equal(results, expected)
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assert 'orders' in results.columns
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data_pair = processed[pair]
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data_pair = processed[pair]
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for _, t in results.iterrows():
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for _, t in results.iterrows():
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assert len(t['orders']) == 2
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ln = data_pair.loc[data_pair["date"] == t["open_date"]]
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ln = data_pair.loc[data_pair["date"] == t["open_date"]]
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# Check open trade rate alignes to open rate
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# Check open trade rate alignes to open rate
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assert ln is not None
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assert ln is not None
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@ -70,9 +70,14 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
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'is_open': [False, False],
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'is_open': [False, False],
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'enter_tag': [None, None],
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'enter_tag': [None, None],
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'is_short': [False, False],
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'is_short': [False, False],
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'open_timestamp': [1517251200000, 1517283000000],
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'close_timestamp': [1517265300000, 1517285400000],
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})
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})
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pd.testing.assert_frame_equal(results, expected)
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pd.testing.assert_frame_equal(results.drop(columns=['orders']), expected)
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data_pair = processed[pair]
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data_pair = processed[pair]
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assert len(results.iloc[0]['orders']) == 6
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assert len(results.iloc[1]['orders']) == 2
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for _, t in results.iterrows():
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for _, t in results.iterrows():
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ln = data_pair.loc[data_pair["date"] == t["open_date"]]
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ln = data_pair.loc[data_pair["date"] == t["open_date"]]
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# Check open trade rate alignes to open rate
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# Check open trade rate alignes to open rate
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