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Merge pull request #6467 from samgermain/backtest-liq

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Liquidation price in backtesting
This commit is contained in:
Matthias
2022-03-03 06:50:32 +01:00
committed by GitHub
parent 761ac6685a 8a9c6e27a5
commit f558d4b132
9 changed files with 277 additions and 190 deletions
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33
freqtrade/optimize/backtesting.py
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@@ -19,7 +19,7 @@ from freqtrade.data import history
from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframe, trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import BacktestState, CandleType, SellType, TradingMode
from freqtrade.enums import BacktestState, CandleType, MarginMode, SellType, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.misc import get_strategy_run_id
@@ -130,6 +130,7 @@ class Backtesting:
# TODO-lev: This should come from the configuration setting or better a
# TODO-lev: combination of config/strategy "use_shorts"(?) and "can_short" from the exchange
self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
self.margin_mode: MarginMode = config.get('margin_mode', MarginMode.NONE)
self._can_short = self.trading_mode != TradingMode.SPOT
self.progress = BTProgress()
@@ -638,6 +639,8 @@ class Backtesting:
# In case of pos adjust, still return the original trade
# If not pos adjust, trade is None
return trade
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['buy']
if not pos_adjust:
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
@@ -651,22 +654,23 @@ class Backtesting:
) if self._can_short else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
else:
leverage = trade.leverage if trade else 1.0
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['buy']
# Confirm trade entry:
if not pos_adjust:
# Confirm trade entry:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
time_in_force=time_in_force, current_time=current_time,
entry_tag=entry_tag, side=direction):
return None
return trade
else:
leverage = trade.leverage if trade else 1.0
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
self.order_id_counter += 1
amount = round((stake_amount / propose_rate) * leverage, 8)
is_short = (direction == 'short')
# Necessary for Margin trading. Disabled until support is enabled.
# interest_rate = self.exchange.get_interest_rate()
if trade is None:
# Enter trade
self.trade_id_counter += 1
@@ -685,14 +689,23 @@ class Backtesting:
is_open=True,
enter_tag=entry_tag,
exchange=self._exchange_name,
is_short=(direction == 'short'),
is_short=is_short,
trading_mode=self.trading_mode,
leverage=leverage,
orders=[]
# interest_rate=interest_rate,
orders=[],
)
trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
trade.set_isolated_liq(self.exchange.get_liquidation_price(
pair=pair,
open_rate=propose_rate,
amount=amount,
leverage=leverage,
is_short=is_short,
))
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,