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Fix slight backtesting bug in edge-case scenarios

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This commit is contained in:
Matthias 2022-05-31 20:08:34 +02:00
parent 3549176370
commit 66edbcd3d5
1 changed files with 12 additions and 7 deletions
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19
freqtrade/optimize/backtesting.py
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@ -895,26 +895,30 @@ class Backtesting:
self.protections.stop_per_pair(pair, current_time, side) self.protections.stop_per_pair(pair, current_time, side)
self.protections.global_stop(current_time, side) self.protections.global_stop(current_time, side)
def manage_open_orders(self, trade: LocalTrade, current_time, row: Tuple) -> bool: def manage_open_orders(self, trade: LocalTrade, current_time: datetime, row: Tuple) -> bool:
""" """
Check if any open order needs to be cancelled or replaced. Check if any open order needs to be cancelled or replaced.
Returns True if the trade should be deleted. Returns True if the trade should be deleted.
""" """
for order in [o for o in trade.orders if o.ft_is_open]: for order in [o for o in trade.orders if o.ft_is_open]:
if self.check_order_cancel(trade, order, current_time): oc = self.check_order_cancel(trade, order, current_time)
if oc:
# delete trade due to order timeout # delete trade due to order timeout
return True return True
elif self.check_order_replace(trade, order, current_time, row): elif oc is None and self.check_order_replace(trade, order, current_time, row):
# delete trade due to user request # delete trade due to user request
self.canceled_trade_entries += 1 self.canceled_trade_entries += 1
return True return True
# default maintain trade # default maintain trade
return False return False
def check_order_cancel(self, trade: LocalTrade, order: Order, current_time) -> bool: def check_order_cancel(
self, trade: LocalTrade, order: Order, current_time: datetime) -> Optional[bool]:
""" """
Check if current analyzed order has to be canceled. Check if current analyzed order has to be canceled.
Returns True if the trade should be Deleted (initial order was canceled). Returns True if the trade should be Deleted (initial order was canceled),
False if it's Canceled
None if the order is still active.
""" """
timedout = self.strategy.ft_check_timed_out( timedout = self.strategy.ft_check_timed_out(
trade, # type: ignore[arg-type] trade, # type: ignore[arg-type]
@ -928,12 +932,13 @@ class Backtesting:
else: else:
# Close additional entry order # Close additional entry order
del trade.orders[trade.orders.index(order)] del trade.orders[trade.orders.index(order)]
return False
if order.side == trade.exit_side: if order.side == trade.exit_side:
self.timedout_exit_orders += 1 self.timedout_exit_orders += 1
# Close exit order and retry exiting on next signal. # Close exit order and retry exiting on next signal.
del trade.orders[trade.orders.index(order)] del trade.orders[trade.orders.index(order)]
return False
return False return None
def check_order_replace(self, trade: LocalTrade, order: Order, current_time, def check_order_replace(self, trade: LocalTrade, order: Order, current_time,
row: Tuple) -> bool: row: Tuple) -> bool: