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Don't round prices if no custom prices have been used

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closes #7573
This commit is contained in:
Matthias 2022-10-13 19:30:59 +02:00
parent 7672586de9
commit f019471051
1 changed files with 17 additions and 12 deletions
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29
freqtrade/optimize/backtesting.py
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@ -617,13 +617,16 @@ class Backtesting:
exit_reason = row[EXIT_TAG_IDX] exit_reason = row[EXIT_TAG_IDX]
# Custom exit pricing only for exit-signals # Custom exit pricing only for exit-signals
if order_type == 'limit': if order_type == 'limit':
close_rate = strategy_safe_wrapper(self.strategy.custom_exit_price, rate = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=close_rate)( default_retval=close_rate)(
pair=trade.pair, pair=trade.pair,
trade=trade, # type: ignore[arg-type] trade=trade, # type: ignore[arg-type]
current_time=exit_candle_time, current_time=exit_candle_time,
proposed_rate=close_rate, current_profit=current_profit, proposed_rate=close_rate, current_profit=current_profit,
exit_tag=exit_reason) exit_tag=exit_reason)
if rate != close_rate:
close_rate = price_to_precision(rate, trade.price_precision,
self.precision_mode)
# We can't place orders lower than current low. # We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately # freqtrade does not support this in live, and the order would fill immediately
if trade.is_short: if trade.is_short:
@ -660,7 +663,6 @@ class Backtesting:
# amount = amount or trade.amount # amount = amount or trade.amount
amount = amount_to_contract_precision(amount or trade.amount, trade.amount_precision, amount = amount_to_contract_precision(amount or trade.amount, trade.amount_precision,
self.precision_mode, trade.contract_size) self.precision_mode, trade.contract_size)
rate = price_to_precision(close_rate, trade.price_precision, self.precision_mode)
order = Order( order = Order(
id=self.order_id_counter, id=self.order_id_counter,
ft_trade_id=trade.id, ft_trade_id=trade.id,
@ -674,12 +676,12 @@ class Backtesting:
side=trade.exit_side, side=trade.exit_side,
order_type=order_type, order_type=order_type,
status="open", status="open",
price=rate, price=close_rate,
average=rate, average=close_rate,
amount=amount, amount=amount,
filled=0, filled=0,
remaining=amount, remaining=amount,
cost=amount * rate, cost=amount * close_rate,
) )
trade.orders.append(order) trade.orders.append(order)
return trade return trade
@ -726,18 +728,21 @@ class Backtesting:
def get_valid_price_and_stake( def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: float, self, pair: str, row: Tuple, propose_rate: float, stake_amount: float,
direction: LongShort, current_time: datetime, entry_tag: Optional[str], direction: LongShort, current_time: datetime, entry_tag: Optional[str],
trade: Optional[LocalTrade], order_type: str trade: Optional[LocalTrade], order_type: str, price_precision: Optional[float]
) -> Tuple[float, float, float, float]: ) -> Tuple[float, float, float, float]:
if order_type == 'limit': if order_type == 'limit':
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price, new_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=propose_rate)( default_retval=propose_rate)(
pair=pair, current_time=current_time, pair=pair, current_time=current_time,
proposed_rate=propose_rate, entry_tag=entry_tag, proposed_rate=propose_rate, entry_tag=entry_tag,
side=direction, side=direction,
) # default value is the open rate ) # default value is the open rate
# We can't place orders higher than current high (otherwise it'd be a stop limit entry) # We can't place orders higher than current high (otherwise it'd be a stop limit entry)
# which freqtrade does not support in live. # which freqtrade does not support in live.
if new_rate != propose_rate:
propose_rate = price_to_precision(new_rate, price_precision,
self.precision_mode)
if direction == "short": if direction == "short":
propose_rate = max(propose_rate, row[LOW_IDX]) propose_rate = max(propose_rate, row[LOW_IDX])
else: else:
@ -799,9 +804,11 @@ class Backtesting:
pos_adjust = trade is not None and requested_rate is None pos_adjust = trade is not None and requested_rate is None
stake_amount_ = stake_amount or (trade.stake_amount if trade else 0.0) stake_amount_ = stake_amount or (trade.stake_amount if trade else 0.0)
precision_price = self.exchange.get_precision_price(pair)
propose_rate, stake_amount, leverage, min_stake_amount = self.get_valid_price_and_stake( 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, pair, row, row[OPEN_IDX], stake_amount_, direction, current_time, entry_tag, trade,
order_type order_type, precision_price,
) )
# replace proposed rate if another rate was requested # replace proposed rate if another rate was requested
@ -817,8 +824,6 @@ class Backtesting:
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount): if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
self.order_id_counter += 1 self.order_id_counter += 1
base_currency = self.exchange.get_pair_base_currency(pair) base_currency = self.exchange.get_pair_base_currency(pair)
precision_price = self.exchange.get_precision_price(pair)
propose_rate = price_to_precision(propose_rate, precision_price, self.precision_mode)
amount_p = (stake_amount / propose_rate) * leverage amount_p = (stake_amount / propose_rate) * leverage
contract_size = self.exchange.get_contract_size(pair) contract_size = self.exchange.get_contract_size(pair)