Merge pull request #6854 from eSeR1805/feat_bt_cancel_entry_reporting

BT: Reporting canceled/replaced entry orders

docs/backtesting.md

@@ -320,7 +320,9 @@ 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                 |
+| Canceled Trade Entries      | 34                  |
+| Canceled Entry Orders       | 123                 |
+| Replaced Entry Orders       | 89                  |
 |                             |                     |
 | Min balance                 | 0.00945123 BTC      |
 | Max balance                 | 0.01846651 BTC      |
@@ -417,7 +419,9 @@ 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                 |
+| Canceled Trade Entries      | 34                  |
+| Canceled Entry Orders       | 123                 |
+| Replaced Entry Orders       | 89                  |
 |                             |                     |
 | Min balance                 | 0.00945123 BTC      |
 | Max balance                 | 0.01846651 BTC      |
@@ -450,6 +454,8 @@ It contains some useful key metrics about performance of your strategy on backte
 - `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`.
+- `Canceled Entry Orders`: Number of entry orders that have been canceled by user request via `adjust_entry_price`.
+- `Replaced Entry Orders`: Number of entry orders that have been replaced by user request via `adjust_entry_price`.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

@@ -298,6 +298,8 @@ class Backtesting:
         self.timedout_entry_orders = 0
         self.timedout_exit_orders = 0
         self.canceled_trade_entries = 0
+        self.canceled_entry_orders = 0
+        self.replaced_entry_orders = 0
         self.dataprovider.clear_cache()
         if enable_protections:
             self._load_protections(self.strategy)
@@ -935,6 +937,7 @@ class Backtesting:
                 return False
             else:
                 del trade.orders[trade.orders.index(order)]
+                self.canceled_entry_orders += 1
 
             # place new order if result was not None
             if requested_rate:
@@ -942,6 +945,7 @@ class Backtesting:
                                   requested_rate=requested_rate,
                                   requested_stake=(order.remaining * order.price),
                                   direction='short' if trade.is_short else 'long')
+                self.replaced_entry_orders += 1
             else:
                 # assumption: there can't be multiple open entry orders at any given time
                 return (trade.nr_of_successful_entries == 0)
@@ -1090,6 +1094,8 @@ class Backtesting:
             'timedout_entry_orders': self.timedout_entry_orders,
             'timedout_exit_orders': self.timedout_exit_orders,
             'canceled_trade_entries': self.canceled_trade_entries,
+            'canceled_entry_orders': self.canceled_entry_orders,
+            'replaced_entry_orders': self.replaced_entry_orders,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }
 

freqtrade/optimize/optimize_reports.py

@@ -469,6 +469,8 @@ def generate_strategy_stats(pairlist: List[str],
         'timedout_entry_orders': content['timedout_entry_orders'],
         'timedout_exit_orders': content['timedout_exit_orders'],
         'canceled_trade_entries': content['canceled_trade_entries'],
+        'canceled_entry_orders': content['canceled_entry_orders'],
+        'replaced_entry_orders': content['replaced_entry_orders'],
         'max_open_trades': max_open_trades,
         'max_open_trades_setting': (config['max_open_trades']
                                     if config['max_open_trades'] != float('inf') else -1),
@@ -754,6 +756,12 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Drawdown End', strat_results['drawdown_end']),
         ])
 
+        entry_adjustment_metrics = [
+            ('Canceled Trade Entries', strat_results.get('canceled_trade_entries', 'N/A')),
+            ('Canceled Entry Orders', strat_results.get('canceled_entry_orders', 'N/A')),
+            ('Replaced Entry Orders', strat_results.get('replaced_entry_orders', 'N/A')),
+        ] if strat_results.get('canceled_entry_orders', 0) > 0 else []
+
         # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show
         # command stores these results and newer version of freqtrade must be able to handle old
         # results with missing new fields.
@@ -802,7 +810,7 @@ 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')),
+            *entry_adjustment_metrics,
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],

tests/optimize/test_backtesting.py

@@ -1169,6 +1169,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
         'canceled_trade_entries': 0,
+        'canceled_entry_orders': 0,
+        'replaced_entry_orders': 0,
         'final_balance': 1000,
     })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -1282,6 +1284,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
             'canceled_trade_entries': 0,
+            'canceled_entry_orders': 0,
+            'replaced_entry_orders': 0,
             'final_balance': 1000,
         },
         {
@@ -1292,6 +1296,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
             'canceled_trade_entries': 0,
+            'canceled_entry_orders': 0,
+            'replaced_entry_orders': 0,
             'final_balance': 1000,
         }
     ])
@@ -1435,6 +1441,8 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
             'canceled_trade_entries': 0,
+            'canceled_entry_orders': 0,
+            'replaced_entry_orders': 0,
             'final_balance': 1000,
         },
         {
@@ -1445,6 +1453,8 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
             'canceled_trade_entries': 0,
+            'canceled_entry_orders': 0,
+            'replaced_entry_orders': 0,
             'final_balance': 1000,
         }
     ])
@@ -1540,6 +1550,8 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
             'canceled_trade_entries': 0,
+            'canceled_entry_orders': 0,
+            'replaced_entry_orders': 0,
             'final_balance': 1000,
         },
         {
@@ -1550,6 +1562,8 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
             'timedout_entry_orders': 0,
             'timedout_exit_orders': 0,
             'canceled_trade_entries': 0,
+            'canceled_entry_orders': 0,
+            'replaced_entry_orders': 0,
             'final_balance': 1000,
         }
     ])
@@ -1614,6 +1628,8 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
         'canceled_trade_entries': 0,
+        'canceled_entry_orders': 0,
+        'replaced_entry_orders': 0,
         'final_balance': 1000,
     })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',

tests/optimize/test_hyperopt.py

@@ -369,6 +369,8 @@ def test_hyperopt_format_results(hyperopt):
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
         'canceled_trade_entries': 0,
+        'canceled_entry_orders': 0,
+        'replaced_entry_orders': 0,
         'backtest_start_time': 1619718665,
         'backtest_end_time': 1619718665,
     }
@@ -440,6 +442,8 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
         'canceled_trade_entries': 0,
+        'canceled_entry_orders': 0,
+        'replaced_entry_orders': 0,
         'final_balance': 1000,
     }
 

tests/optimize/test_optimize_reports.py

@@ -88,6 +88,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
         'canceled_trade_entries': 0,
+        'canceled_entry_orders': 0,
+        'replaced_entry_orders': 0,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         'run_id': '123',
@@ -141,6 +143,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'timedout_entry_orders': 0,
         'timedout_exit_orders': 0,
         'canceled_trade_entries': 0,
+        'canceled_entry_orders': 0,
+        'replaced_entry_orders': 0,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         'run_id': '124',