Merge pull request #6851 from eSeR1805/feat_bt_cancel_entry_reporting

BT: Reporting canceled trade entries

docs/backtesting.md

@@ -320,6 +320,7 @@ A backtesting result will look like that:
 | Avg. Duration Loser         | 6:55:00             |
 | Rejected Entry signals      | 3089                |
 | Entry/Exit Timeouts         | 0 / 0               |
+| Canceled Trade Entries      | 123                 |
 |                             |                     |
 | Min balance                 | 0.00945123 BTC      |
 | Max balance                 | 0.01846651 BTC      |
@@ -416,6 +417,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Avg. Duration Loser         | 6:55:00             |
 | Rejected Entry signals      | 3089                |
 | Entry/Exit Timeouts         | 0 / 0               |
+| Canceled Trade Entries      | 123                 |
 |                             |                     |
 | Min balance                 | 0.00945123 BTC      |
 | Max balance                 | 0.01846651 BTC      |
@@ -447,6 +449,7 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
 - `Rejected Entry signals`: Trade entry signals that could not be acted upon due to `max_open_trades` being reached.
 - `Entry/Exit Timeouts`: Entry/exit orders which did not fill (only applicable if custom pricing is used).
+- `Canceled Trade Entries`: Number of trades that have been canceled by user request via `adjust_entry_price`.
 - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
 - `Max % of account underwater`: Maximum percentage your account has decreased from the top since the simulation started.
 Calculated as the maximum of `(Max Balance - Current Balance) / (Max Balance)`.

freqtrade/optimize/backtesting.py

@@ -297,6 +297,7 @@ class Backtesting:
         self.rejected_trades = 0
         self.timedout_entry_orders = 0
         self.timedout_exit_orders = 0
+        self.canceled_trade_entries = 0
         self.dataprovider.clear_cache()
         if enable_protections:
             self._load_protections(self.strategy)
@@ -884,6 +885,7 @@ class Backtesting:
                 return True
             elif self.check_order_replace(trade, order, current_time, row):
                 # delete trade due to user request
+                self.canceled_trade_entries += 1
                 return True
         # default maintain trade
         return False
@@ -1087,6 +1089,7 @@ class Backtesting:
             'rejected_signals': self.rejected_trades,
             'timedout_entry_orders': self.timedout_entry_orders,
             'timedout_exit_orders': self.timedout_exit_orders,
+            'canceled_trade_entries': self.canceled_trade_entries,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }
 

freqtrade/optimize/optimize_reports.py

@@ -468,6 +468,7 @@ def generate_strategy_stats(pairlist: List[str],
         'rejected_signals': content['rejected_signals'],
         'timedout_entry_orders': content['timedout_entry_orders'],
         'timedout_exit_orders': content['timedout_exit_orders'],
+        'canceled_trade_entries': content['canceled_trade_entries'],
         'max_open_trades': max_open_trades,
         'max_open_trades_setting': (config['max_open_trades']
                                     if config['max_open_trades'] != float('inf') else -1),
@@ -801,6 +802,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Entry/Exit Timeouts',
              f"{strat_results.get('timedout_entry_orders', 'N/A')} / "
              f"{strat_results.get('timedout_exit_orders', 'N/A')}"),
+            ('Canceled Trade Entries', strat_results.get('canceled_trade_entries', 'N/A')),
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],

tests/optimize/test_backtesting.py

@@ -1168,6 +1168,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
         'rejected_signals': 20,
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
+        'canceled_trade_entries': 0,
         'final_balance': 1000,
     })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -1280,6 +1281,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'rejected_signals': 20,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
+            'canceled_trade_entries': 0,
             'final_balance': 1000,
         },
         {
@@ -1289,6 +1291,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'rejected_signals': 20,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
+            'canceled_trade_entries': 0,
             'final_balance': 1000,
         }
     ])
@@ -1431,6 +1434,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
             'rejected_signals': 20,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
+            'canceled_trade_entries': 0,
             'final_balance': 1000,
         },
         {
@@ -1440,6 +1444,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
             'rejected_signals': 20,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
+            'canceled_trade_entries': 0,
             'final_balance': 1000,
         }
     ])
@@ -1534,6 +1539,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
             'rejected_signals': 20,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
+            'canceled_trade_entries': 0,
             'final_balance': 1000,
         },
         {
@@ -1543,6 +1549,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
             'rejected_signals': 20,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
+            'canceled_trade_entries': 0,
             'final_balance': 1000,
         }
     ])
@@ -1606,6 +1613,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
         'rejected_signals': 20,
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
+        'canceled_trade_entries': 0,
         'final_balance': 1000,
     })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',

tests/optimize/test_hyperopt.py

@@ -368,6 +368,7 @@ def test_hyperopt_format_results(hyperopt):
         'rejected_signals': 2,
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
+        'canceled_trade_entries': 0,
         'backtest_start_time': 1619718665,
         'backtest_end_time': 1619718665,
     }
@@ -438,6 +439,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
         'rejected_signals': 20,
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
+        'canceled_trade_entries': 0,
         'final_balance': 1000,
     }
 

tests/optimize/test_optimize_reports.py

@@ -87,6 +87,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'rejected_signals': 20,
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
+        'canceled_trade_entries': 0,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         'run_id': '123',
@@ -139,6 +140,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'rejected_signals': 20,
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
+        'canceled_trade_entries': 0,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         'run_id': '124',