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Add new functionality to backtesting.

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eSeR1805 2022-04-16 15:07:18 +03:00
parent f8a7fdd5ed
commit bf5799ef9e
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1 changed files with 31 additions and 5 deletions
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36
freqtrade/optimize/backtesting.py
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@ -635,7 +635,7 @@ class Backtesting:
def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
direction: LongShort, current_time: datetime, entry_tag: Optional[str],
trade: Optional[LocalTrade], order_type: str
trade: Optional[LocalTrade], order_type: str, readjust_req: Optional[bool] = False
) -> Tuple[float, float, float, float]:
if order_type == 'limit':
@ -645,6 +645,14 @@ class Backtesting:
proposed_rate=propose_rate, entry_tag=entry_tag,
side=direction,
) # default value is the open rate
if readjust_req:
propose_rate = strategy_safe_wrapper(self.strategy.readjust_entry_price,
default_retval=propose_rate)(
pair=pair, current_time=current_time,
proposed_rate=propose_rate, entry_tag=entry_tag,
side=direction
) # default value is open rate or custom rate from before
# We can't place orders higher than current high (otherwise it'd be a stop limit buy)
# which freqtrade does not support in live.
if direction == "short":
@ -652,7 +660,7 @@ class Backtesting:
else:
propose_rate = min(propose_rate, row[HIGH_IDX])
pos_adjust = trade is not None
pos_adjust = trade is not None and readjust_req is False
leverage = trade.leverage if trade else 1.0
if not pos_adjust:
try:
@ -697,17 +705,18 @@ class Backtesting:
def _enter_trade(self, pair: str, row: Tuple, direction: LongShort,
stake_amount: Optional[float] = None,
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
trade: Optional[LocalTrade] = None,
readjust_req: Optional[bool] = False) -> Optional[LocalTrade]:
current_time = row[DATE_IDX].to_pydatetime()
entry_tag = row[ENTER_TAG_IDX] if len(row) >= ENTER_TAG_IDX + 1 else None
# let's call the custom entry price, using the open price as default price
order_type = self.strategy.order_types['entry']
pos_adjust = trade is not None
pos_adjust = trade is not None and readjust_req is False
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,
order_type
order_type, readjust_req
)
if not stake_amount:
@ -850,6 +859,21 @@ class Backtesting:
self.protections.stop_per_pair(pair, current_time)
self.protections.global_stop(current_time)
def check_order_replace(self, trade: LocalTrade, current_time, row: Tuple) -> None:
"""
Check if an entry order has to be replaced and do so.
Returns None.
"""
for order in [o for o in trade.orders if o.ft_is_open]:
if order.side == trade.entry_side and current_time > order.order_date_utc:
# cancel existing order
del trade.orders[trade.orders.index(order)]
# place new order
self._enter_trade(pair=trade.pair, row=row, trade=trade,
direction='short' if trade.is_short else 'long',
readjust_req=True)
def check_order_cancel(self, trade: LocalTrade, current_time) -> bool:
"""
Check if an order has been canceled.
@ -949,6 +973,8 @@ class Backtesting:
open_trade_count -= 1
open_trades[pair].remove(t)
self.wallets.update()
else:
self.check_order_replace(t, current_time, row)
# 2. Process buys.
# without positionstacking, we can only have one open trade per pair.