Fix issue that backtest is broken when stoploss_on_exchange is on

freqtrade/optimize/backtesting.py

@@ -17,11 +17,10 @@ from freqtrade import optimize
 from freqtrade import DependencyException, constants
 from freqtrade.arguments import Arguments
 from freqtrade.configuration import Configuration
-from freqtrade.exchange import Exchange
 from freqtrade.data import history
 from freqtrade.misc import file_dump_json
 from freqtrade.persistence import Trade
-from freqtrade.resolvers import StrategyResolver
+from freqtrade.resolvers import ExchangeResolver, StrategyResolver
 from freqtrade.state import RunMode
 from freqtrade.strategy.interface import SellType, IStrategy
 
@@ -79,8 +78,8 @@ class Backtesting(object):
             self.strategylist.append(StrategyResolver(self.config).strategy)
         # Load one strategy
         self._set_strategy(self.strategylist[0])
-
-        self.exchange = Exchange(self.config)
+        exchange_name = self.config.get('exchange', {}).get('name', 'bittrex').title()
+        self.exchange = ExchangeResolver(exchange_name, self.config).exchange
         self.fee = self.exchange.get_fee()
 
     def _set_strategy(self, strategy):
@@ -93,6 +92,10 @@ class Backtesting(object):
         self.tickerdata_to_dataframe = strategy.tickerdata_to_dataframe
         self.advise_buy = strategy.advise_buy
         self.advise_sell = strategy.advise_sell
+        # Set stoploss_on_exchange to false for backtesting,
+        # since a "perfect" stoploss-sell is assumed anyway
+        # And the regular "stoploss" function would not apply to that case
+        self.strategy.order_types['stoploss_on_exchange'] = False
 
     def _generate_text_table(self, data: Dict[str, Dict], results: DataFrame,
                              skip_nan: bool = False) -> str:

freqtrade/tests/optimize/test_backtesting.py

@@ -315,7 +315,28 @@ def test_start(mocker, fee, default_conf, caplog) -> None:
     assert start_mock.call_count == 1
 
 
-def test_backtesting_init(mocker, default_conf) -> None:
+ORDER_TYPES = [
+    {
+        'buy': 'limit',
+        'sell': 'limit',
+        'stoploss': 'limit',
+        'stoploss_on_exchange': False
+    },
+    {
+        'buy': 'limit',
+        'sell': 'limit',
+        'stoploss': 'limit',
+        'stoploss_on_exchange': True
+    }]
+
+
+@pytest.mark.parametrize("order_types", ORDER_TYPES)
+def test_backtesting_init(mocker, default_conf, order_types) -> None:
+    """
+    Check that stoploss_on_exchange is set to False while backtesting
+    since backtesting assumes a perfect stoploss anyway.
+    """
+    default_conf["order_types"] = order_types
     patch_exchange(mocker)
     get_fee = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
     backtesting = Backtesting(default_conf)
@@ -326,6 +347,7 @@ def test_backtesting_init(mocker, default_conf) -> None:
     assert callable(backtesting.advise_sell)
     get_fee.assert_called()
     assert backtesting.fee == 0.5
+    assert not backtesting.strategy.order_types["stoploss_on_exchange"]
 
 
 def test_tickerdata_to_dataframe_bt(default_conf, mocker) -> None: