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Backtesting should not allow unrealistic (automatic-filling) orders.

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Matthias
2022-02-08 19:10:29 +01:00
parent b192c82731
commit dcf8ad36f9
2 changed files with 15 additions and 8 deletions
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9
freqtrade/optimize/backtesting.py
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@@ -426,7 +426,9 @@ class Backtesting:
pair=trade.pair, trade=trade,
current_time=sell_candle_time,
proposed_rate=closerate, current_profit=current_profit)
# 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']
@@ -515,7 +517,10 @@ class Backtesting:
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=row[OPEN_IDX])(
pair=pair, current_time=current_time,
proposed_rate=row[OPEN_IDX], entry_tag=entry_tag) # default value is the open rate
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()