From 7fbdf36c6481f22eef52e75941c898ce8a3f496b Mon Sep 17 00:00:00 2001
From: hroff-1902 <hroff_raeyd9tzpttf@mail.ru>
Date: Sun, 23 Jun 2019 19:23:51 +0300
Subject: [PATCH] avoid code duplication while selecting min_roi entries

---
 freqtrade/optimize/backtesting.py | 17 +++++++---------
 freqtrade/strategy/interface.py   | 33 ++++++++++++++++++++-----------
 2 files changed, 28 insertions(+), 22 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 6cc78ad2b..e0660eacb 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -253,22 +253,19 @@ class Backtesting(object):
             sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, sell_row.buy,
                                              sell_row.sell, low=sell_row.low, high=sell_row.high)
             if sell.sell_flag:
-
                 trade_dur = int((sell_row.date - buy_row.date).total_seconds() // 60)
                 # Special handling if high or low hit STOP_LOSS or ROI
                 if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
                     # Set close_rate to stoploss
                     closerate = trade.stop_loss
                 elif sell.sell_type == (SellType.ROI):
-                    # get next entry in min_roi > to trade duration
-                    # Interface.py skips on trade_duration <= duration
-                    roi_entry = max(list(filter(lambda x: trade_dur >= x,
-                                                self.strategy.minimal_roi.keys())))
-                    roi = self.strategy.minimal_roi[roi_entry]
-
-                    # - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
-                    closerate = - (trade.open_rate * roi + trade.open_rate *
-                                   (1 + trade.fee_open)) / (trade.fee_close - 1)
+                    roi = self.strategy.min_roi_reached_entry(trade_dur)
+                    if roi is not None:
+                        # - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
+                        closerate = - (trade.open_rate * roi + trade.open_rate *
+                                       (1 + trade.fee_open)) / (trade.fee_close - 1)
+                    else:
+                        closerate = sell_row.open
                 else:
                     closerate = sell_row.open
 
diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py
index 353ae64b4..7ec782b0b 100644
--- a/freqtrade/strategy/interface.py
+++ b/freqtrade/strategy/interface.py
@@ -6,7 +6,7 @@ import logging
 from abc import ABC, abstractmethod
 from datetime import datetime
 from enum import Enum
-from typing import Dict, List, NamedTuple, Tuple
+from typing import Dict, List, NamedTuple, Optional, Tuple
 import warnings
 
 import arrow
@@ -347,23 +347,32 @@ class IStrategy(ABC):
 
         return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
 
-    def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool:
+    def min_roi_reached_entry(self, trade_dur: int) -> Optional[float]:
         """
-        Based an earlier trade and current price and ROI configuration, decides whether bot should
-        sell. Requires current_profit to be in percent!!
-        :return True if bot should sell at current rate
+        Based on trade duration defines the ROI entry that may have been reached.
+        :param trade_dur: trade duration in minutes
+        :return: minimal ROI entry value or None if none proper ROI entry was found.
         """
-
-        # Check if time matches and current rate is above threshold
-        trade_dur = (current_time.timestamp() - trade.open_date.timestamp()) / 60
-
         # Get highest entry in ROI dict where key <= trade-duration
         roi_list = list(filter(lambda x: x <= trade_dur, self.minimal_roi.keys()))
         if not roi_list:
-            return False
+            return None
         roi_entry = max(roi_list)
-        threshold = self.minimal_roi[roi_entry]
-        return current_profit > threshold
+        return self.minimal_roi[roi_entry]
+
+    def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool:
+        """
+        Based on trade duration, current price and ROI configuration, decides whether bot should
+        sell. Requires current_profit to be in percent!!
+        :return: True if bot should sell at current rate
+        """
+        # Check if time matches and current rate is above threshold
+        trade_dur = int((current_time.timestamp() - trade.open_date.timestamp()) // 60)
+        roi = self.min_roi_reached_entry(trade_dur)
+        if roi is None:
+            return False
+        else:
+            return current_profit > roi
 
     def tickerdata_to_dataframe(self, tickerdata: Dict[str, List]) -> Dict[str, DataFrame]:
         """