Merge pull request #6235 from freqtrade/backtest_order_timeout

Backtest order timeout

docs/backtesting.md

@@ -313,6 +313,7 @@ A backtesting result will look like that:
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Rejected Buy signals  | 3089                |
+| Entry/Exit Timeouts   | 0 / 0               |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -400,6 +401,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Rejected Buy signals  | 3089                |
+| Entry/Exit Timeouts   | 0 / 0               |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -429,6 +431,7 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
 - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
 - `Rejected Buy signals`: Buy 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).
 - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
 - `Drawdown (Account)`: Maximum Account Drawdown experienced. Calculated as $(Absolute Drawdown) / (DrawdownHigh + startingBalance)$.
 - `Drawdown`: Maximum, absolute drawdown experienced. Difference between Drawdown High and Subsequent Low point.

docs/bot-basics.md

@@ -62,6 +62,7 @@ This loop will be repeated again and again until the bot is stopped.
   * Check position adjustments for open trades if enabled and call `adjust_trade_position()` to determine if an additional order is requested.
   * Call `custom_stoploss()` and `custom_sell()` to find custom exit points.
   * For sells based on sell-signal and custom-sell: Call `custom_exit_price()` to determine exit price (Prices are moved to be within the closing candle).
+  * Check for Order timeouts, either via the `unfilledtimeout` configuration, or via `check_buy_timeout()` / `check_sell_timeout()` strategy callbacks.
 * Generate backtest report output
 
 !!! Note

docs/strategy-callbacks.md

@@ -389,8 +389,8 @@ class AwesomeStrategy(IStrategy):
     If the new_entryprice is 97, the proposed_rate is 100 and the `custom_price_max_distance_ratio` is set to 2%, The retained valid custom entry price will be 98, which is 2% below the current (proposed) rate.
 
 !!! Warning "Backtesting"
-    While Custom prices are supported in backtesting (starting with 2021.12), prices will be moved to within the candle's high/low prices.
+    Custom prices are supported in backtesting (starting with 2021.12), and orders will fill if the price falls within the candle's low/high range.
-    This behavior is currently being tested, and might be changed at a later point.
+    Orders that don't fill immediately are subject to regular timeout handling, which happens once per (detail) candle.
     `custom_exit_price()` is only called for sells of type Sell_signal and Custom sell. All other sell-types will use regular backtesting prices.
 
 ## Custom order timeout rules
@@ -400,7 +400,8 @@ Simple, time-based order-timeouts can be configured either via strategy or in th
 However, freqtrade also offers a custom callback for both order types, which allows you to decide based on custom criteria if an order did time out or not.
 
 !!! Note
-    Unfilled order timeouts are not relevant during backtesting or hyperopt, and are only relevant during real (live) trading. Therefore these methods are only called in these circumstances.
+    Backtesting fills orders if their price falls within the candle's low/high range.
+    The below callbacks will be called once per (detail) candle for orders that don't fill immediately (which use custom pricing).
 
 ### Custom order timeout example
 
@@ -467,7 +468,8 @@ class AwesomeStrategy(IStrategy):
         'sell': 60 * 25
     }
 
-    def check_buy_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
+    def check_buy_timeout(self, pair: str, trade: Trade, order: dict,
+                          current_time: datetime, **kwargs) -> bool:
         ob = self.dp.orderbook(pair, 1)
         current_price = ob['bids'][0][0]
         # Cancel buy order if price is more than 2% above the order.
@@ -476,7 +478,8 @@ class AwesomeStrategy(IStrategy):
         return False
 
 
-    def check_sell_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
+    def check_sell_timeout(self, pair: str, trade: Trade, order: dict,
+                           current_time: datetime, **kwargs) -> bool:
         ob = self.dp.orderbook(pair, 1)
         current_price = ob['asks'][0][0]
         # Cancel sell order if price is more than 2% below the order.

freqtrade/constants.py

@@ -456,6 +456,7 @@ SCHEMA_BACKTEST_REQUIRED = [
     'dry_run_wallet',
     'dataformat_ohlcv',
     'dataformat_trades',
+    'unfilledtimeout',
 ]
 
 SCHEMA_MINIMAL_REQUIRED = [

freqtrade/freqtradebot.py

@@ -987,18 +987,20 @@ class FreqtradeBot(LoggingMixin):
 
             fully_cancelled = self.update_trade_state(trade, trade.open_order_id, order)
 
+            order_obj = trade.select_order_by_order_id(trade.open_order_id)
+
             if (order['side'] == 'buy' and (order['status'] == 'open' or fully_cancelled) and (
                     fully_cancelled
-                    or self.strategy.ft_check_timed_out(
+                    or (order_obj and self.strategy.ft_check_timed_out(
-                        'buy', trade, order, datetime.now(timezone.utc))
+                        'buy', trade, order_obj, datetime.now(timezone.utc))
-                        )):
+                        ))):
                 self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT'])
 
             elif (order['side'] == 'sell' and (order['status'] == 'open' or fully_cancelled) and (
                   fully_cancelled
-                  or self.strategy.ft_check_timed_out(
+                  or (order_obj and self.strategy.ft_check_timed_out(
-                      'sell', trade, order, datetime.now(timezone.utc)))
+                      'sell', trade, order_obj, datetime.now(timezone.utc))
-                  ):
+                      ))):
                 self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['TIMEOUT'])
                 canceled_count = trade.get_exit_order_count()
                 max_timeouts = self.config.get('unfilledtimeout', {}).get('exit_timeout_count', 0)

freqtrade/optimize/backtesting.py

@@ -63,6 +63,8 @@ class Backtesting:
         LoggingMixin.show_output = False
         self.config = config
         self.results: Dict[str, Any] = {}
+        self.trade_id_counter: int = 0
+        self.order_id_counter: int = 0
 
         config['dry_run'] = True
         self.run_ids: Dict[str, str] = {}
@@ -231,6 +233,8 @@ class Backtesting:
         PairLocks.reset_locks()
         Trade.reset_trades()
         self.rejected_trades = 0
+        self.timedout_entry_orders = 0
+        self.timedout_exit_orders = 0
         self.dataprovider.clear_cache()
         if enable_protections:
             self._load_protections(self.strategy)
@@ -353,7 +357,10 @@ class Backtesting:
                     # use Open rate if open_rate > calculated sell rate
                     return sell_row[OPEN_IDX]
 
-                return close_rate
+                # Use the maximum between close_rate and low as we
+                # cannot sell outside of a candle.
+                # Applies when a new ROI setting comes in place and the whole candle is above that.
+                return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
 
             else:
                 # This should not be reached...
@@ -376,10 +383,15 @@ class Backtesting:
         if stake_amount is not None and stake_amount > 0.0:
             pos_trade = self._enter_trade(trade.pair, row, stake_amount, trade)
             if pos_trade is not None:
+                self.wallets.update()
                 return pos_trade
 
         return trade
 
+    def _get_order_filled(self, rate: float, row: Tuple) -> bool:
+        """ Rate is within candle, therefore filled"""
+        return row[LOW_IDX] <= rate <= row[HIGH_IDX]
+
     def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
                                          sell_row: Tuple) -> Optional[LocalTrade]:
 
@@ -405,18 +417,21 @@ class Backtesting:
             closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
             # call the custom exit price,with default value as previous closerate
             current_profit = trade.calc_profit_ratio(closerate)
+            order_type = self.strategy.order_types['sell']
             if sell.sell_type in (SellType.SELL_SIGNAL, SellType.CUSTOM_SELL):
                 # Custom exit pricing only for sell-signals
-                closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
+                if order_type == 'limit':
-                                                  default_retval=closerate)(
+                    closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
-                    pair=trade.pair, trade=trade,
+                                                      default_retval=closerate)(
-                    current_time=sell_row[DATE_IDX],
+                        pair=trade.pair, trade=trade,
-                    proposed_rate=closerate, current_profit=current_profit)
+                        current_time=sell_candle_time,
-            # Use the maximum between close_rate and low as we cannot sell outside of a candle.
+                        proposed_rate=closerate, current_profit=current_profit)
-            closerate = min(max(closerate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
+                    # We can't place orders lower than current low.
-
+                    # freqtrade does not support this in live, and the order would fill immediately
+                    closerate = max(closerate, sell_row[LOW_IDX])
             # Confirm trade exit:
             time_in_force = self.strategy.order_time_in_force['sell']
+
             if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
                     pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
                     rate=closerate,
@@ -436,7 +451,28 @@ class Backtesting:
             ):
                 trade.sell_reason = sell_row[EXIT_TAG_IDX]
 
-            trade.close(closerate, show_msg=False)
+            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
 
         return None
@@ -475,13 +511,16 @@ class Backtesting:
         current_time = row[DATE_IDX].to_pydatetime()
         entry_tag = row[BUY_TAG_IDX] if len(row) >= BUY_TAG_IDX + 1 else None
         # let's call the custom entry price, using the open price as default price
-        propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
+        order_type = self.strategy.order_types['buy']
-                                             default_retval=row[OPEN_IDX])(
+        propose_rate = row[OPEN_IDX]
-            pair=pair, current_time=current_time,
+        if order_type == 'limit':
-            proposed_rate=row[OPEN_IDX], entry_tag=entry_tag)  # default value is the open rate
+            propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
-
+                                                 default_retval=row[OPEN_IDX])(
-        # Move rate to within the candle's low/high rate
+                pair=pair, current_time=current_time,
-        propose_rate = min(max(propose_rate, row[LOW_IDX]), row[HIGH_IDX])
+                proposed_rate=propose_rate, entry_tag=entry_tag)  # default value is the open rate
+            # We can't place orders higher than current high (otherwise it'd be a stop limit buy)
+            # which freqtrade does not support in live.
+            propose_rate = min(propose_rate, row[HIGH_IDX])
 
         min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
         max_stake_amount = self.wallets.get_available_stake_amount()
@@ -489,9 +528,9 @@ class Backtesting:
         pos_adjust = trade is not None
         if not pos_adjust:
             try:
-                stake_amount = self.wallets.get_trade_stake_amount(pair, None)
+                stake_amount = self.wallets.get_trade_stake_amount(pair, None, update=False)
             except DependencyException:
-                return trade
+                return None
 
             stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
                                                  default_retval=stake_amount)(
@@ -506,8 +545,7 @@ class Backtesting:
             # If not pos adjust, trade is None
             return trade
 
-        order_type = self.strategy.order_types['buy']
+        time_in_force = self.strategy.order_time_in_force['buy']
-        time_in_force = self.strategy.order_time_in_force['sell']
         # Confirm trade entry:
         if not pos_adjust:
             if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
@@ -517,15 +555,21 @@ class Backtesting:
                 return None
 
         if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
+            self.order_id_counter += 1
             amount = round(stake_amount / propose_rate, 8)
             if trade is None:
                 # Enter trade
+                self.trade_id_counter += 1
                 trade = LocalTrade(
+                    id=self.trade_id_counter,
+                    open_order_id=self.order_id_counter,
                     pair=pair,
                     open_rate=propose_rate,
+                    open_rate_requested=propose_rate,
                     open_date=current_time,
                     stake_amount=stake_amount,
                     amount=amount,
+                    amount_requested=amount,
                     fee_open=self.fee,
                     fee_close=self.fee,
                     is_open=True,
@@ -533,28 +577,36 @@ class Backtesting:
                     exchange='backtesting',
                     orders=[]
                 )
+
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
 
             order = Order(
-                ft_is_open=False,
+                id=self.order_id_counter,
+                ft_trade_id=trade.id,
+                ft_is_open=True,
                 ft_pair=trade.pair,
+                order_id=str(self.order_id_counter),
                 symbol=trade.pair,
                 ft_order_side="buy",
                 side="buy",
-                order_type="market",
+                order_type=order_type,
-                status="closed",
+                status="open",
                 order_date=current_time,
                 order_filled_date=current_time,
                 order_update_date=current_time,
                 price=propose_rate,
                 average=propose_rate,
                 amount=amount,
-                filled=amount,
+                filled=0,
-                cost=stake_amount + trade.fee_open
+                remaining=amount,
+                cost=stake_amount + trade.fee_open,
             )
+            if pos_adjust and self._get_order_filled(order.price, row):
+                order.close_bt_order(current_time)
+            else:
+                trade.open_order_id = str(self.order_id_counter)
             trade.orders.append(order)
-            if pos_adjust:
+            trade.recalc_trade_from_orders()
-                trade.recalc_trade_from_orders()
 
         return trade
 
@@ -567,6 +619,9 @@ class Backtesting:
         for pair in open_trades.keys():
             if len(open_trades[pair]) > 0:
                 for trade in open_trades[pair]:
+                    if trade.open_order_id and trade.nr_of_successful_buys == 0:
+                        # Ignore trade if buy-order did not fill yet
+                        continue
                     sell_row = data[pair][-1]
 
                     trade.close_date = sell_row[DATE_IDX].to_pydatetime()
@@ -587,6 +642,51 @@ class Backtesting:
         self.rejected_trades += 1
         return False
 
+    def run_protections(self, enable_protections, pair: str, current_time: datetime):
+        if enable_protections:
+            self.protections.stop_per_pair(pair, current_time)
+            self.protections.global_stop(current_time)
+
+    def check_order_cancel(self, trade: LocalTrade, current_time) -> bool:
+        """
+        Check if an order has been canceled.
+        Returns True if the trade should be Deleted (initial order was canceled).
+        """
+        for order in [o for o in trade.orders if o.ft_is_open]:
+
+            timedout = self.strategy.ft_check_timed_out(order.side, trade, order, current_time)
+            if timedout:
+                if order.side == 'buy':
+                    self.timedout_entry_orders += 1
+                    if trade.nr_of_successful_buys == 0:
+                        # Remove trade due to buy timeout expiration.
+                        return True
+                    else:
+                        # Close additional buy order
+                        del trade.orders[trade.orders.index(order)]
+                if order.side == 'sell':
+                    self.timedout_exit_orders += 1
+                    # Close sell order and retry selling on next signal.
+                    del trade.orders[trade.orders.index(order)]
+
+        return False
+
+    def validate_row(
+            self, data: Dict, pair: str, row_index: int, current_time: datetime) -> Optional[Tuple]:
+        try:
+            # Row is treated as "current incomplete candle".
+            # Buy / sell signals are shifted by 1 to compensate for this.
+            row = data[pair][row_index]
+        except IndexError:
+            # missing Data for one pair at the end.
+            # Warnings for this are shown during data loading
+            return None
+
+        # Waits until the time-counter reaches the start of the data for this pair.
+        if row[DATE_IDX] > current_time:
+            return None
+        return row
+
     def backtest(self, processed: Dict,
                  start_date: datetime, end_date: datetime,
                  max_open_trades: int = 0, position_stacking: bool = False,
@@ -616,7 +716,7 @@ class Backtesting:
 
         # Indexes per pair, so some pairs are allowed to have a missing start.
         indexes: Dict = defaultdict(int)
-        tmp = start_date + timedelta(minutes=self.timeframe_min)
+        current_time = start_date + timedelta(minutes=self.timeframe_min)
 
         open_trades: Dict[str, List[LocalTrade]] = defaultdict(list)
         open_trade_count = 0
@@ -625,35 +725,27 @@ class Backtesting:
             (end_date - start_date) / timedelta(minutes=self.timeframe_min)))
 
         # Loop timerange and get candle for each pair at that point in time
-        while tmp <= end_date:
+        while current_time <= end_date:
             open_trade_count_start = open_trade_count
             self.check_abort()
             for i, pair in enumerate(data):
                 row_index = indexes[pair]
-                try:
+                row = self.validate_row(data, pair, row_index, current_time)
-                    # Row is treated as "current incomplete candle".
+                if not row:
-                    # Buy / sell signals are shifted by 1 to compensate for this.
-                    row = data[pair][row_index]
-                except IndexError:
-                    # missing Data for one pair at the end.
-                    # Warnings for this are shown during data loading
-                    continue
-
-                # Waits until the time-counter reaches the start of the data for this pair.
-                if row[DATE_IDX] > tmp:
                     continue
 
                 row_index += 1
                 indexes[pair] = row_index
                 self.dataprovider._set_dataframe_max_index(row_index)
 
+                # 1. Process buys.
                 # without positionstacking, we can only have one open trade per pair.
                 # max_open_trades must be respected
                 # don't open on the last row
                 if (
                     (position_stacking or len(open_trades[pair]) == 0)
                     and self.trade_slot_available(max_open_trades, open_trade_count_start)
-                    and tmp != end_date
+                    and current_time != end_date
                     and row[BUY_IDX] == 1
                     and row[SELL_IDX] != 1
                     and not PairLocks.is_pair_locked(pair, row[DATE_IDX])
@@ -661,32 +753,51 @@ class Backtesting:
                     trade = self._enter_trade(pair, row)
                     if trade:
                         # TODO: hacky workaround to avoid opening > max_open_trades
-                        # This emulates previous behaviour - not sure if this is correct
+                        # This emulates previous behavior - not sure if this is correct
                         # Prevents buying if the trade-slot was freed in this candle
                         open_trade_count_start += 1
                         open_trade_count += 1
                         # logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
                         open_trades[pair].append(trade)
-                        LocalTrade.add_bt_trade(trade)
 
                 for trade in list(open_trades[pair]):
-                    # also check the buying candle for sell conditions.
+                    # 2. Process buy orders.
-                    trade_entry = self._get_sell_trade_entry(trade, row)
+                    order = trade.select_order('buy', is_open=True)
-                    # Sell occurred
+                    if order and self._get_order_filled(order.price, row):
-                    if trade_entry:
+                        order.close_bt_order(current_time)
+                        trade.open_order_id = None
+                        LocalTrade.add_bt_trade(trade)
+                        self.wallets.update()
+
+                    # 3. Create sell orders (if any)
+                    if not trade.open_order_id:
+                        self._get_sell_trade_entry(trade, row)  # Place sell order if necessary
+
+                    # 4. Process sell orders.
+                    order = trade.select_order('sell', is_open=True)
+                    if order and self._get_order_filled(order.price, row):
+                        trade.open_order_id = None
+                        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_entry)
+                        trades.append(trade)
-                        if enable_protections:
+                        self.wallets.update()
-                            self.protections.stop_per_pair(pair, row[DATE_IDX])
+                        self.run_protections(enable_protections, pair, current_time)
-                            self.protections.global_stop(tmp)
+
+                    # 5. Cancel expired buy/sell orders.
+                    if self.check_order_cancel(trade, current_time):
+                        # Close trade due to buy timeout expiration.
+                        open_trade_count -= 1
+                        open_trades[pair].remove(trade)
+                        self.wallets.update()
 
             # Move time one configured time_interval ahead.
             self.progress.increment()
-            tmp += timedelta(minutes=self.timeframe_min)
+            current_time += timedelta(minutes=self.timeframe_min)
 
         trades += self.handle_left_open(open_trades, data=data)
         self.wallets.update()
@@ -697,6 +808,8 @@ class Backtesting:
             'config': self.strategy.config,
             'locks': PairLocks.get_all_locks(),
             'rejected_signals': self.rejected_trades,
+            'timedout_entry_orders': self.timedout_entry_orders,
+            'timedout_exit_orders': self.timedout_exit_orders,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }
 

freqtrade/optimize/optimize_reports.py

@@ -436,6 +436,8 @@ def generate_strategy_stats(pairlist: List[str],
         'dry_run_wallet': starting_balance,
         'final_balance': content['final_balance'],
         'rejected_signals': content['rejected_signals'],
+        'timedout_entry_orders': content['timedout_entry_orders'],
+        'timedout_exit_orders': content['timedout_exit_orders'],
         'max_open_trades': max_open_trades,
         'max_open_trades_setting': (config['max_open_trades']
                                     if config['max_open_trades'] != float('inf') else -1),
@@ -726,6 +728,9 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
             ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
             ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
+            ('Entry/Exit Timeouts',
+             f"{strat_results.get('timedout_entry_orders', 'N/A')} / "
+             f"{strat_results.get('timedout_exit_orders', 'N/A')}"),
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],

freqtrade/persistence/models.py

@@ -132,6 +132,10 @@ class Order(_DECL_BASE):
     order_filled_date = Column(DateTime, nullable=True)
     order_update_date = Column(DateTime, nullable=True)
 
+    @property
+    def order_date_utc(self):
+        return self.order_date.replace(tzinfo=timezone.utc)
+
     def __repr__(self):
 
         return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
@@ -188,6 +192,12 @@ class Order(_DECL_BASE):
             'status': self.status,
         }
 
+    def close_bt_order(self, close_date: datetime):
+        self.order_filled_date = close_date
+        self.filled = self.amount
+        self.status = 'closed'
+        self.ft_is_open = False
+
     @staticmethod
     def update_orders(orders: List['Order'], order: Dict[str, Any]):
         """
@@ -635,14 +645,27 @@ class LocalTrade():
             if self.stop_loss_pct is not None and self.open_rate is not None:
                 self.adjust_stop_loss(self.open_rate, self.stop_loss_pct)
 
-    def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]:
+    def select_order_by_order_id(self, order_id: str) -> Optional[Order]:
+        """
+        Finds order object by Order id.
+        :param order_id: Exchange order id
+        """
+        for o in self.orders:
+            if o.order_id == order_id:
+                return o
+        return None
+
+    def select_order(
+            self, order_side: str = None, is_open: Optional[bool] = None) -> Optional[Order]:
         """
         Finds latest order for this orderside and status
         :param order_side: Side of the order (either 'buy' or 'sell')
         :param is_open: Only search for open orders?
         :return: latest Order object if it exists, else None
         """
-        orders = [o for o in self.orders if o.side == order_side]
+        orders = self.orders
+        if order_side:
+            orders = [o for o in self.orders if o.side == order_side]
         if is_open is not None:
             orders = [o for o in orders if o.ft_is_open == is_open]
         if len(orders) > 0:

freqtrade/strategy/interface.py

@@ -18,6 +18,7 @@ from freqtrade.exceptions import OperationalException, StrategyError
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
 from freqtrade.exchange.exchange import timeframe_to_next_date
 from freqtrade.persistence import PairLocks, Trade
+from freqtrade.persistence.models import LocalTrade, Order
 from freqtrade.strategy.hyper import HyperStrategyMixin
 from freqtrade.strategy.informative_decorator import (InformativeData, PopulateIndicators,
                                                       _create_and_merge_informative_pair,
@@ -862,23 +863,22 @@ class IStrategy(ABC, HyperStrategyMixin):
         else:
             return current_profit > roi
 
-    def ft_check_timed_out(self, side: str, trade: Trade, order: Dict,
+    def ft_check_timed_out(self, side: str, trade: LocalTrade, order: Order,
                            current_time: datetime) -> bool:
         """
         FT Internal method.
         Check if timeout is active, and if the order is still open and timed out
         """
         timeout = self.config.get('unfilledtimeout', {}).get(side)
-        ordertime = arrow.get(order['datetime']).datetime
         if timeout is not None:
             timeout_unit = self.config.get('unfilledtimeout', {}).get('unit', 'minutes')
             timeout_kwargs = {timeout_unit: -timeout}
             timeout_threshold = current_time + timedelta(**timeout_kwargs)
-            timedout = (order['status'] == 'open' and order['side'] == side
+            timedout = (order.status == 'open' and order.side == side
-                        and ordertime < timeout_threshold)
+                        and order.order_date_utc < timeout_threshold)
             if timedout:
                 return True
-        time_method = self.check_sell_timeout if order['side'] == 'sell' else self.check_buy_timeout
+        time_method = self.check_sell_timeout if order.side == 'sell' else self.check_buy_timeout
 
         return strategy_safe_wrapper(time_method,
                                      default_retval=False)(

freqtrade/wallets.py

@@ -211,7 +211,7 @@ class Wallets:
 
         return stake_amount
 
-    def get_trade_stake_amount(self, pair: str, edge=None) -> float:
+    def get_trade_stake_amount(self, pair: str, edge=None, update: bool = True) -> float:
         """
         Calculate stake amount for the trade
         :return: float: Stake amount
@@ -219,7 +219,8 @@ class Wallets:
         """
         stake_amount: float
         # Ensure wallets are uptodate.
-        self.update()
+        if update:
+            self.update()
         val_tied_up = Trade.total_open_trades_stakes()
         available_amount = self.get_available_stake_amount()
 

tests/conftest.py

@@ -19,7 +19,7 @@ from freqtrade.edge import PairInfo
 from freqtrade.enums import RunMode
 from freqtrade.exchange import Exchange
 from freqtrade.freqtradebot import FreqtradeBot
-from freqtrade.persistence import LocalTrade, Trade, init_db
+from freqtrade.persistence import LocalTrade, Order, Trade, init_db
 from freqtrade.resolvers import ExchangeResolver
 from freqtrade.worker import Worker
 from tests.conftest_trades import (mock_trade_1, mock_trade_2, mock_trade_3, mock_trade_4,
@@ -1985,7 +1985,7 @@ def import_fails() -> None:
 
 @pytest.fixture(scope="function")
 def open_trade():
-    return Trade(
+    trade = Trade(
         pair='ETH/BTC',
         open_rate=0.00001099,
         exchange='binance',
@@ -1997,6 +1997,26 @@ def open_trade():
         open_date=arrow.utcnow().shift(minutes=-601).datetime,
         is_open=True
     )
+    trade.orders = [
+        Order(
+            ft_order_side='buy',
+            ft_pair=trade.pair,
+            ft_is_open=False,
+            order_id='123456789',
+            status="closed",
+            symbol=trade.pair,
+            order_type="market",
+            side="buy",
+            price=trade.open_rate,
+            average=trade.open_rate,
+            filled=trade.amount,
+            remaining=0,
+            cost=trade.open_rate * trade.amount,
+            order_date=trade.open_date,
+            order_filled_date=trade.open_date,
+        )
+    ]
+    return trade
 
 
 @pytest.fixture(scope="function")

tests/optimize/__init__.py

@@ -36,6 +36,8 @@ class BTContainer(NamedTuple):
     trailing_stop_positive_offset: float = 0.0
     use_sell_signal: bool = False
     use_custom_stoploss: bool = False
+    custom_entry_price: Optional[float] = None
+    custom_exit_price: Optional[float] = None
 
 
 def _get_frame_time_from_offset(offset):

tests/optimize/test_backtest_detail.py

@@ -1,5 +1,6 @@
 # pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument
 import logging
+from unittest.mock import MagicMock
 
 import pytest
 
@@ -534,6 +535,80 @@ tc33 = BTContainer(data=[
     )]
 )
 
+# Test 34: Custom-entry-price below all candles should timeout - so no trade happens.
+tc34 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],    # timeout
+    [2, 4900, 5250, 4500, 5100, 6172, 0, 0],
+    [3, 5100, 5100, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.0,
+    custom_entry_price=4200, trades=[]
+)
+
+# Test 35: Custom-entry-price above all candles should have rate adjusted to "entry candle high"
+tc35 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],    # Timeout
+    [2, 4900, 5250, 4500, 5100, 6172, 0, 0],
+    [3, 5100, 5100, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
+    custom_entry_price=7200, trades=[
+        BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)
+    ]
+)
+
+# Test 36: Custom-entry-price around candle low
+# Causes immediate ROI exit. This is currently expected behavior (#6261)
+# https://github.com/freqtrade/freqtrade/issues/6261
+# But may change at a later point.
+tc36 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S   BT
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],    # Enter and immediate ROI
+    [2, 4900, 5250, 4500, 5100, 6172, 0, 0],
+    [3, 5100, 5100, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.1,
+    custom_entry_price=4952,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
+)
+
+
+# Test 37: Custom exit price below all candles
+# Price adjusted to candle Low.
+tc37 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S   BT
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],
+    [2, 4900, 5250, 4900, 5100, 6172, 0, 1],  # exit - but timeout
+    [3, 5100, 5100, 4950, 4950, 6172, 0, 0],
+    [4, 5000, 5100, 4950, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01,
+    use_sell_signal=True,
+    custom_exit_price=4552,
+    trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=3)]
+)
+
+# Test 38: Custom exit price above all candles
+# causes sell signal timeout
+tc38 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S   BT
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],
+    [2, 4900, 5250, 4900, 5100, 6172, 0, 1],  # exit - but timeout
+    [3, 5100, 5100, 4950, 4950, 6172, 0, 0],
+    [4, 5000, 5100, 4950, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
+    use_sell_signal=True,
+    custom_exit_price=6052,
+    trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4)]
+)
+
+
 TESTS = [
     tc0,
     tc1,
@@ -569,6 +644,11 @@ TESTS = [
     tc31,
     tc32,
     tc33,
+    tc34,
+    tc35,
+    tc36,
+    tc37,
+    tc38,
 ]
 
 
@@ -597,6 +677,10 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
     backtesting.required_startup = 0
     backtesting.strategy.advise_buy = lambda a, m: frame
     backtesting.strategy.advise_sell = lambda a, m: frame
+    if data.custom_entry_price:
+        backtesting.strategy.custom_entry_price = MagicMock(return_value=data.custom_entry_price)
+    if data.custom_exit_price:
+        backtesting.strategy.custom_exit_price = MagicMock(return_value=data.custom_exit_price)
     backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
     caplog.set_level(logging.DEBUG)
 

tests/optimize/test_backtesting.py

@@ -521,6 +521,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
     # Fake 2 trades, so there's not enough amount for the next trade left.
     LocalTrade.trades_open.append(trade)
     LocalTrade.trades_open.append(trade)
+    backtesting.wallets.update()
     trade = backtesting._enter_trade(pair, row=row)
     assert trade is None
     LocalTrade.trades_open.pop()
@@ -528,6 +529,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
     assert trade is not None
 
     backtesting.strategy.custom_stake_amount = lambda **kwargs: 123.5
+    backtesting.wallets.update()
     trade = backtesting._enter_trade(pair, row=row)
     assert trade
     assert trade.stake_amount == 123.5
@@ -635,7 +637,8 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
     assert res.sell_reason == SellType.ROI.value
     # Sell at minute 3 (not available above!)
     assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
-    assert round(res.close_rate, 3) == round(209.0225, 3)
+    sell_order = res.select_order('sell', True)
+    assert sell_order is not None
 
 
 def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
@@ -1020,6 +1023,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
         'config': default_conf,
         'locks': [],
         'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
         'final_balance': 1000,
     })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -1128,6 +1133,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'config': default_conf,
             'locks': [],
             'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
             'final_balance': 1000,
         },
         {
@@ -1135,6 +1142,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'config': default_conf,
             'locks': [],
             'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
             'final_balance': 1000,
         }
     ])
@@ -1237,6 +1246,8 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
             'config': default_conf,
             'locks': [],
             'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
             'final_balance': 1000,
         },
         {
@@ -1244,6 +1255,8 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
             'config': default_conf,
             'locks': [],
             'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
             'final_balance': 1000,
         }
     ])
@@ -1305,6 +1318,8 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
         'config': default_conf,
         'locks': [],
         'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
         'final_balance': 1000,
     })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',

tests/optimize/test_hyperopt.py

@@ -364,6 +364,8 @@ def test_hyperopt_format_results(hyperopt):
         'locks': [],
         'final_balance': 0.02,
         'rejected_signals': 2,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
         'backtest_start_time': 1619718665,
         'backtest_end_time': 1619718665,
     }
@@ -431,6 +433,8 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
         'config': hyperopt_conf,
         'locks': [],
         'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
         'final_balance': 1000,
     }
 

tests/optimize/test_optimize_reports.py

@@ -82,6 +82,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'locks': [],
         'final_balance': 1000.02,
         'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         'run_id': '123',
@@ -131,6 +133,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'locks': [],
         'final_balance': 1000.02,
         'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         'run_id': '124',

tests/test_freqtradebot.py

@@ -2042,6 +2042,7 @@ def test_check_handle_timedout_buy_usercustom(default_conf_usdt, ticker_usdt, li
 def test_check_handle_timedout_buy(default_conf_usdt, ticker_usdt, limit_buy_order_old, open_trade,
                                    fee, mocker) -> None:
     rpc_mock = patch_RPCManager(mocker)
+    limit_buy_order_old['id'] = open_trade.open_order_id
     limit_buy_cancel = deepcopy(limit_buy_order_old)
     limit_buy_cancel['status'] = 'canceled'
     cancel_order_mock = MagicMock(return_value=limit_buy_cancel)
@@ -2126,6 +2127,8 @@ def test_check_handle_timedout_buy_exception(default_conf_usdt, ticker_usdt,
 def test_check_handle_timedout_sell_usercustom(default_conf_usdt, ticker_usdt, limit_sell_order_old,
                                                mocker, open_trade, caplog) -> None:
     default_conf_usdt["unfilledtimeout"] = {"buy": 1440, "sell": 1440, "exit_timeout_count": 1}
+    limit_sell_order_old['id'] = open_trade.open_order_id
+
     rpc_mock = patch_RPCManager(mocker)
     cancel_order_mock = MagicMock()
     patch_exchange(mocker)
@@ -2174,7 +2177,7 @@ def test_check_handle_timedout_sell_usercustom(default_conf_usdt, ticker_usdt, l
 
     # 2nd canceled trade - Fail execute sell
     caplog.clear()
-    open_trade.open_order_id = 'order_id_2'
+    open_trade.open_order_id = limit_sell_order_old['id']
     mocker.patch('freqtrade.persistence.Trade.get_exit_order_count', return_value=1)
     mocker.patch('freqtrade.freqtradebot.FreqtradeBot.execute_trade_exit',
                  side_effect=DependencyException)
@@ -2185,7 +2188,7 @@ def test_check_handle_timedout_sell_usercustom(default_conf_usdt, ticker_usdt, l
     caplog.clear()
 
     # 2nd canceled trade ...
-    open_trade.open_order_id = 'order_id_2'
+    open_trade.open_order_id = limit_sell_order_old['id']
     freqtrade.check_handle_timedout()
     assert log_has_re('Emergencyselling trade.*', caplog)
     assert et_mock.call_count == 1
@@ -2195,6 +2198,7 @@ def test_check_handle_timedout_sell(default_conf_usdt, ticker_usdt, limit_sell_o
                                     open_trade) -> None:
     rpc_mock = patch_RPCManager(mocker)
     cancel_order_mock = MagicMock()
+    limit_sell_order_old['id'] = open_trade.open_order_id
     patch_exchange(mocker)
     mocker.patch.multiple(
         'freqtrade.exchange.Exchange',
@@ -2253,6 +2257,7 @@ def test_check_handle_cancelled_sell(default_conf_usdt, ticker_usdt, limit_sell_
 def test_check_handle_timedout_partial(default_conf_usdt, ticker_usdt, limit_buy_order_old_partial,
                                        open_trade, mocker) -> None:
     rpc_mock = patch_RPCManager(mocker)
+    limit_buy_order_old_partial['id'] = open_trade.open_order_id
     limit_buy_canceled = deepcopy(limit_buy_order_old_partial)
     limit_buy_canceled['status'] = 'canceled'
 
@@ -2283,6 +2288,7 @@ def test_check_handle_timedout_partial_fee(default_conf_usdt, ticker_usdt, open_
                                            limit_buy_order_old_partial, trades_for_order,
                                            limit_buy_order_old_partial_canceled, mocker) -> None:
     rpc_mock = patch_RPCManager(mocker)
+    limit_buy_order_old_partial['id'] = open_trade.open_order_id
     cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled)
     mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=0))
     patch_exchange(mocker)
@@ -2322,6 +2328,8 @@ def test_check_handle_timedout_partial_except(default_conf_usdt, ticker_usdt, op
                                               fee, limit_buy_order_old_partial, trades_for_order,
                                               limit_buy_order_old_partial_canceled, mocker) -> None:
     rpc_mock = patch_RPCManager(mocker)
+    limit_buy_order_old_partial_canceled['id'] = open_trade.open_order_id
+    limit_buy_order_old_partial['id'] = open_trade.open_order_id
     cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled)
     patch_exchange(mocker)
     mocker.patch.multiple(