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Verify order fills on "detail" timeframe

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This commit is contained in:
Matthias 2022-10-22 16:22:55 +02:00
parent 25b8d34fe2
commit a11d579bc2
1 changed files with 36 additions and 33 deletions
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63
freqtrade/optimize/backtesting.py
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@ -688,10 +688,11 @@ class Backtesting:
trade.orders.append(order)
return trade
def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
def _get_exit_trade_entry(
self, trade: LocalTrade, row: Tuple, is_first: bool) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if self.trading_mode == TradingMode.FUTURES:
if is_first and self.trading_mode == TradingMode.FUTURES:
trade.funding_fees = self.exchange.calculate_funding_fees(
self.futures_data[trade.pair],
amount=trade.amount,
@ -700,31 +701,6 @@ class Backtesting:
close_date=exit_candle_time,
)
if self.timeframe_detail and trade.pair in self.detail_data:
exit_candle_end = exit_candle_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[trade.pair]
detail_data = detail_data.loc[
(detail_data['date'] >= exit_candle_time) &
(detail_data['date'] < exit_candle_end)
].copy()
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
return self._get_exit_trade_entry_for_candle(trade, row)
detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]
detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
for det_row in detail_data[HEADERS].values.tolist():
res = self._get_exit_trade_entry_for_candle(trade, det_row)
if res:
return res
return None
else:
return self._get_exit_trade_entry_for_candle(trade, row)
def get_valid_price_and_stake(
@ -1070,7 +1046,7 @@ class Backtesting:
def backtest_loop(
self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
max_open_trades: int, open_trade_count_start: int) -> int:
max_open_trades: int, open_trade_count_start: int, is_first: bool = True) -> int:
"""
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@ -1088,9 +1064,11 @@ class Backtesting:
# without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected
# don't open on the last row
# We only open trades on the initial candle.
trade_dir = self.check_for_trade_entry(row)
if (
(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
and is_first
and self.trade_slot_available(max_open_trades, open_trade_count_start)
and current_time != end_date
and trade_dir is not None
@ -1116,7 +1094,7 @@ class Backtesting:
# 4. Create exit orders (if any)
if not trade.open_order_id:
self._get_exit_trade_entry(trade, row) # Place exit order if necessary
self._get_exit_trade_entry(trade, row, is_first) # Place exit order if necessary
# 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True)
@ -1167,7 +1145,6 @@ class Backtesting:
self.progress.init_step(BacktestState.BACKTEST, int(
(end_date - start_date) / timedelta(minutes=self.timeframe_min)))
# Loop timerange and get candle for each pair at that point in time
while current_time <= end_date:
open_trade_count_start = LocalTrade.bt_open_open_trade_count
@ -1181,7 +1158,33 @@ class Backtesting:
row_index += 1
indexes[pair] = row_index
self.dataprovider._set_dataframe_max_index(row_index)
current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
if self.timeframe_detail and pair in self.detail_data:
exit_candle_end = current_detail_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[pair]
detail_data = detail_data.loc[
(detail_data['date'] >= current_detail_time) &
(detail_data['date'] < exit_candle_end)
].copy()
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades,
open_trade_count_start)
detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]
detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
is_first = True
for det_row in detail_data[HEADERS].values.tolist():
open_trade_count_start = self.backtest_loop(
det_row, pair, current_time, end_date, max_open_trades,
open_trade_count_start, is_first)
is_first = False
else:
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades, open_trade_count_start)