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updating backtest for partial sell

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This commit is contained in:
Kavinkumar
2022-03-02 14:52:53 +05:30
parent aa3aa923bc
commit 8016121035
2 changed files with 1025 additions and 66 deletions
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102
freqtrade/optimize/backtesting.py
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@@ -383,13 +383,13 @@ class Backtesting:
def _get_adjust_trade_entry_for_candle(self, trade: LocalTrade, row: Tuple
) -> LocalTrade:
current_rate = row[OPEN_IDX]
current_profit = trade.calc_profit_ratio(current_rate)
min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, current_rate, -0.1)
current_profit = trade.calc_profit_ratio(row[OPEN_IDX])
min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, row[OPEN_IDX], -0.1)
max_stake = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=current_rate,
trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
current_profit=current_profit, min_stake=min_stake, max_stake=max_stake)
# Check if we should increase our position
@@ -399,17 +399,6 @@ class Backtesting:
self.wallets.update()
return pos_trade
if stake_amount is not None and stake_amount < 0.0:
amount = -stake_amount / current_rate
logger.info("partial_sell_bt")
if amount > trade.amount:
logger.info(f"Amount is higher than available. {amount} > {trade.amount}")
return trade
pos_trade = self._exit_trade(trade, row, current_rate, amount)
if pos_trade is not None:
self.wallets.update()
return pos_trade
return trade
def _get_order_filled(self, rate: float, row: Tuple) -> bool:
@@ -478,42 +467,31 @@ class Backtesting:
):
trade.sell_reason = sell_row[EXIT_TAG_IDX]
return self._exit_trade(trade, sell_row, closerate)
self.order_id_counter += 1
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,
order_date=sell_candle_time,
order_update_date=sell_candle_time,
ft_is_open=True,
ft_pair=trade.pair,
order_id=str(self.order_id_counter),
symbol=trade.pair,
ft_order_side="sell",
side="sell",
order_type=order_type,
status="open",
price=closerate,
average=closerate,
amount=trade.amount,
filled=0,
remaining=trade.amount,
cost=trade.amount * closerate,
)
trade.orders.append(order)
return trade
def _exit_trade(self, trade: LocalTrade,sell_row: Tuple,
closerate: float, amount: float = None) -> Optional[LocalTrade]:
self.order_id_counter += 1
# mdebug
if amount:
a = trade.select_filled_orders('buy')[-1].safe_price
logger.info(f'{closerate}, {amount}, {a}, selling'+'\n'*3)
else:
logger.info(f'{closerate}, {amount}, {trade.open_rate}, selling'+'\n'*3)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
order_type = self.strategy.order_types['sell']
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,
order_date=sell_candle_time,
order_update_date=sell_candle_time,
ft_is_open=False,
ft_pair=trade.pair,
order_id=str(self.order_id_counter),
symbol=trade.pair,
ft_order_side="sell",
side="sell",
order_type=order_type,
status="open",
price=closerate,
average=closerate,
amount=amount or trade.amount,
filled=0,
remaining=trade.amount,
cost=trade.amount * closerate,
)
trade.orders.append(order)
return trade
return None
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
if self.timeframe_detail and trade.pair in self.detail_data:
@@ -816,24 +794,16 @@ class Backtesting:
order = trade.select_order('sell', is_open=True)
if order and self._get_order_filled(order.price, row):
trade.open_order_id = None
sub_trade = order.safe_amount_after_fee != trade.amount
if sub_trade:
# mdebug
logger.info(f'822 {order.safe_amount_after_fee} != {trade.amount}')
order.close_bt_order(current_time)
trade.process_sell_sub_trade(order, is_non_bt = False)
trade.recalc_trade_from_orders()
else:
trade.close_date = current_time
trade.close(order.price, show_msg=False)
trade.close_date = current_time
trade.close(order.price, show_msg=False)
# logger.debug(f"{pair} - Backtesting sell {trade}")
open_trade_count -= 1
open_trades[pair].remove(trade)
LocalTrade.close_bt_trade(trade)
trades.append(trade)
self.run_protections(enable_protections, pair, current_time)
# logger.debug(f"{pair} - Backtesting sell {trade}")
open_trade_count -= 1
open_trades[pair].remove(trade)
LocalTrade.close_bt_trade(trade)
trades.append(trade)
self.wallets.update()
self.run_protections(enable_protections, pair, current_time)
# 5. Cancel expired buy/sell orders.
if self.check_order_cancel(trade, current_time):