Track timedout orders

docs/bot-basics.md

@@ -62,6 +62,7 @@ This loop will be repeated again and again until the bot is stopped.
   * Check position adjustments for open trades if enabled and call `adjust_trade_position()` to determine if an additional order is requested.
   * Call `custom_stoploss()` and `custom_sell()` to find custom exit points.
   * For sells based on sell-signal and custom-sell: Call `custom_exit_price()` to determine exit price (Prices are moved to be within the closing candle).
+  * Check for Order timeouts, either via the `unfilledtimeout` configuration, or via `check_buy_timeout()` / `check_sell_timeout()` strategy callbacks.
 * Generate backtest report output
 
 !!! Note

docs/strategy-callbacks.md

@@ -467,7 +467,8 @@ class AwesomeStrategy(IStrategy):
         'sell': 60 * 25
     }
 
-    def check_buy_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
+    def check_buy_timeout(self, pair: str, trade: Trade, order: dict,
+                          current_time: datetime, **kwargs) -> bool:
         ob = self.dp.orderbook(pair, 1)
         current_price = ob['bids'][0][0]
         # Cancel buy order if price is more than 2% above the order.
@@ -476,7 +477,8 @@ class AwesomeStrategy(IStrategy):
         return False
 
 
-    def check_sell_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
+    def check_sell_timeout(self, pair: str, trade: Trade, order: dict,
+                           current_time: datetime, **kwargs) -> bool:
         ob = self.dp.orderbook(pair, 1)
         current_price = ob['asks'][0][0]
         # Cancel sell order if price is more than 2% below the order.

freqtrade/optimize/backtesting.py

@@ -233,6 +233,7 @@ class Backtesting:
         PairLocks.reset_locks()
         Trade.reset_trades()
         self.rejected_trades = 0
+        self.timedout_orders = 0
         self.dataprovider.clear_cache()
         if enable_protections:
             self._load_protections(self.strategy)
@@ -646,6 +647,7 @@ class Backtesting:
 
             timedout = self.strategy.ft_check_timed_out(order.side, trade, order, current_time)
             if timedout:
+                self.timedout_orders += 1
                 if order.side == 'buy':
                     if trade.nr_of_successful_buys == 0:
                         # Remove trade due to buy timeout expiration.
@@ -796,6 +798,8 @@ class Backtesting:
             'config': self.strategy.config,
             'locks': PairLocks.get_all_locks(),
             'rejected_signals': self.rejected_trades,
+            # TODO: timedout_orders should be shown as part of results.
+            # 'timedout_orders': self.timedout_orders,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }