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Merge branch 'develop' into pr/SmartManoj/6859

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Matthias
2022-06-23 20:43:35 +02:00
parent 2b61aa282a ddc355feb6
commit 8bf0bf10c5
116 changed files with 11323 additions and 9511 deletions
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84
freqtrade/optimize/backtesting.py
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@@ -187,7 +187,8 @@ class Backtesting:
# since a "perfect" stoploss-exit is assumed anyway
# And the regular "stoploss" function would not apply to that case
self.strategy.order_types['stoploss_on_exchange'] = False
self.strategy.bot_start()
self.strategy.ft_bot_start()
def _load_protections(self, strategy: IStrategy):
if self.config.get('enable_protections', False):
@@ -275,8 +276,12 @@ class Backtesting:
if pair not in self.exchange._leverage_tiers:
unavailable_pairs.append(pair)
continue
self.futures_data[pair] = funding_rates_dict[pair].merge(
mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
self.futures_data[pair] = self.exchange.combine_funding_and_mark(
funding_rates=funding_rates_dict[pair],
mark_rates=mark_rates_dict[pair],
futures_funding_rate=self.config.get('futures_funding_rate', None),
)
if unavailable_pairs:
raise OperationalException(
@@ -496,7 +501,8 @@ class Backtesting:
stake_available = 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=row[OPEN_IDX],
trade=trade, # type: ignore[arg-type]
current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
current_profit=current_profit, min_stake=min_stake,
max_stake=min(max_stake, stake_available))
@@ -527,15 +533,23 @@ class Backtesting:
if check_adjust_entry:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exit_ = self.strategy.should_exit(
trade, row[OPEN_IDX], exit_candle_time, # type: ignore
exits = self.strategy.should_exit(
trade, row[OPEN_IDX], row[DATE_IDX].to_pydatetime(), # type: ignore
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
for exit_ in exits:
t = self._get_exit_for_signal(trade, row, exit_)
if t:
return t
return None
def _get_exit_for_signal(self, trade: LocalTrade, row: Tuple,
exit_: ExitCheckTuple) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if exit_.exit_flag:
trade.close_date = exit_candle_time
exit_reason = exit_.exit_reason
@@ -562,7 +576,8 @@ class Backtesting:
if order_type == 'limit':
close_rate = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=close_rate)(
pair=trade.pair, trade=trade,
pair=trade.pair,
trade=trade, # type: ignore[arg-type]
current_time=exit_candle_time,
proposed_rate=close_rate, current_profit=current_profit,
exit_tag=exit_reason)
@@ -576,7 +591,10 @@ class Backtesting:
time_in_force = self.strategy.order_time_in_force['exit']
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
pair=trade.pair,
trade=trade, # type: ignore[arg-type]
order_type='limit',
amount=trade.amount,
rate=close_rate,
time_in_force=time_in_force,
sell_reason=exit_reason, # deprecated
@@ -652,7 +670,7 @@ class Backtesting:
return self._get_exit_trade_entry_for_candle(trade, row)
def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
self, pair: str, row: Tuple, propose_rate: float, stake_amount: float,
direction: LongShort, current_time: datetime, entry_tag: Optional[str],
trade: Optional[LocalTrade], order_type: str
) -> Tuple[float, float, float, float]:
@@ -686,7 +704,7 @@ class Backtesting:
current_rate=row[OPEN_IDX],
proposed_leverage=1.0,
max_leverage=max_leverage,
side=direction,
side=direction, entry_tag=entry_tag,
) if self._can_short else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
@@ -726,8 +744,9 @@ class Backtesting:
order_type = self.strategy.order_types['entry']
pos_adjust = trade is not None and requested_rate is None
stake_amount_ = stake_amount or (trade.stake_amount if trade else 0.0)
propose_rate, stake_amount, leverage, min_stake_amount = self.get_valid_price_and_stake(
pair, row, row[OPEN_IDX], stake_amount, direction, current_time, entry_tag, trade,
pair, row, row[OPEN_IDX], stake_amount_, direction, current_time, entry_tag, trade,
order_type
)
@@ -876,28 +895,34 @@ class Backtesting:
self.protections.stop_per_pair(pair, 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.
Returns True if the trade should be deleted.
"""
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
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
self.canceled_trade_entries += 1
return True
# default maintain trade
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.
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(trade, order, current_time)
timedout = self.strategy.ft_check_timed_out(
trade, # type: ignore[arg-type]
order, current_time)
if timedout:
if order.side == trade.entry_side:
self.timedout_entry_orders += 1
@@ -907,12 +932,15 @@ class Backtesting:
else:
# Close additional entry order
del trade.orders[trade.orders.index(order)]
trade.open_order_id = None
return False
if order.side == trade.exit_side:
self.timedout_exit_orders += 1
# Close exit order and retry exiting on next signal.
del trade.orders[trade.orders.index(order)]
return False
trade.open_order_id = None
return False
return None
def check_order_replace(self, trade: LocalTrade, order: Order, current_time,
row: Tuple) -> bool:
@@ -926,7 +954,8 @@ class Backtesting:
if order.side == trade.entry_side and current_time > order.order_date_utc:
requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price,
default_retval=order.price)(
trade=trade, order=order, pair=trade.pair, current_time=current_time,
trade=trade, # type: ignore[arg-type]
order=order, pair=trade.pair, current_time=current_time,
proposed_rate=row[OPEN_IDX], current_order_rate=order.price,
entry_tag=trade.enter_tag, side=trade.trade_direction
) # default value is current order price
@@ -937,6 +966,7 @@ class Backtesting:
return False
else:
del trade.orders[trade.orders.index(order)]
trade.open_order_id = None
self.canceled_entry_orders += 1
# place new order if result was not None
@@ -1025,6 +1055,7 @@ class Backtesting:
# Close trade
open_trade_count -= 1
open_trades[pair].remove(t)
LocalTrade.trades_open.remove(t)
self.wallets.update()
# 2. Process entries.
@@ -1048,6 +1079,8 @@ class Backtesting:
open_trade_count += 1
# logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
open_trades[pair].append(trade)
LocalTrade.add_bt_trade(trade)
self.wallets.update()
for trade in list(open_trades[pair]):
# 3. Process entry orders.
@@ -1055,7 +1088,6 @@ class Backtesting:
if order and self._get_order_filled(order.price, row):
order.close_bt_order(current_time, trade)
trade.open_order_id = None
LocalTrade.add_bt_trade(trade)
self.wallets.update()
# 4. Create exit orders (if any)
@@ -1065,6 +1097,7 @@ class Backtesting:
# 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True)
if order and self._get_order_filled(order.price, row):
order.close_bt_order(current_time, trade)
trade.open_order_id = None
trade.close_date = current_time
trade.close(order.price, show_msg=False)
@@ -1233,13 +1266,14 @@ class Backtesting:
self.results['strategy_comparison'].extend(results['strategy_comparison'])
else:
self.results = results
dt_appendix = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
if self.config.get('export', 'none') in ('trades', 'signals'):
store_backtest_stats(self.config['exportfilename'], self.results)
store_backtest_stats(self.config['exportfilename'], self.results, dt_appendix)
if (self.config.get('export', 'none') == 'signals' and
self.dataprovider.runmode == RunMode.BACKTEST):
store_backtest_signal_candles(self.config['exportfilename'], self.processed_dfs)
store_backtest_signal_candles(
self.config['exportfilename'], self.processed_dfs, dt_appendix)
# Results may be mixed up now. Sort them so they follow --strategy-list order.
if 'strategy_list' in self.config and len(self.results) > 0: