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Track timedout orders

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This commit is contained in:
Matthias 2022-02-06 13:37:31 +01:00
parent 17d748dd4c
commit 644442e2f9
3 changed files with 9 additions and 2 deletions
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1
docs/bot-basics.md
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@ -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. * 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. * 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). * 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 * Generate backtest report output
!!! Note !!! Note

6
docs/strategy-callbacks.md
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@ -467,7 +467,8 @@ class AwesomeStrategy(IStrategy):
'sell': 60 * 25 '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) ob = self.dp.orderbook(pair, 1)
current_price = ob['bids'][0][0] current_price = ob['bids'][0][0]
# Cancel buy order if price is more than 2% above the order. # Cancel buy order if price is more than 2% above the order.
@ -476,7 +477,8 @@ class AwesomeStrategy(IStrategy):
return False 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) ob = self.dp.orderbook(pair, 1)
current_price = ob['asks'][0][0] current_price = ob['asks'][0][0]
# Cancel sell order if price is more than 2% below the order. # Cancel sell order if price is more than 2% below the order.

4
freqtrade/optimize/backtesting.py
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@ -233,6 +233,7 @@ class Backtesting:
PairLocks.reset_locks() PairLocks.reset_locks()
Trade.reset_trades() Trade.reset_trades()
self.rejected_trades = 0 self.rejected_trades = 0
self.timedout_orders = 0
self.dataprovider.clear_cache() self.dataprovider.clear_cache()
if enable_protections: if enable_protections:
self._load_protections(self.strategy) self._load_protections(self.strategy)
@ -646,6 +647,7 @@ class Backtesting:
timedout = self.strategy.ft_check_timed_out(order.side, trade, order, current_time) timedout = self.strategy.ft_check_timed_out(order.side, trade, order, current_time)
if timedout: if timedout:
self.timedout_orders += 1
if order.side == 'buy': if order.side == 'buy':
if trade.nr_of_successful_buys == 0: if trade.nr_of_successful_buys == 0:
# Remove trade due to buy timeout expiration. # Remove trade due to buy timeout expiration.
@ -796,6 +798,8 @@ class Backtesting:
'config': self.strategy.config, 'config': self.strategy.config,
'locks': PairLocks.get_all_locks(), 'locks': PairLocks.get_all_locks(),
'rejected_signals': self.rejected_trades, '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']), 'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
} }