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Fix backtesting type incompatibilities

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This commit is contained in:
Matthias 2023-02-19 20:23:04 +01:00
parent 0691bbaad9
commit f6b3998bbd
2 changed files with 14 additions and 10 deletions
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3
freqtrade/freqtradebot.py
View File

@ -1330,7 +1330,8 @@ class FreqtradeBot(LoggingMixin):
# place new order only if new price is supplied # place new order only if new price is supplied
self.execute_entry( self.execute_entry(
pair=trade.pair, pair=trade.pair,
stake_amount=(order_obj.remaining * order_obj.price / trade.leverage), stake_amount=(
order_obj.safe_remaining * order_obj.safe_price / trade.leverage),
price=adjusted_entry_price, price=adjusted_entry_price,
trade=trade, trade=trade,
is_short=trade.is_short, is_short=trade.is_short,

21
freqtrade/optimize/backtesting.py
View File

@ -563,7 +563,7 @@ class Backtesting:
pos_trade = self._get_exit_for_signal(trade, row, exit_, amount) pos_trade = self._get_exit_for_signal(trade, row, exit_, amount)
if pos_trade is not None: if pos_trade is not None:
order = pos_trade.orders[-1] order = pos_trade.orders[-1]
if self._get_order_filled(order.price, row): if self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_date, trade) order.close_bt_order(current_date, trade)
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()
self.wallets.update() self.wallets.update()
@ -664,6 +664,7 @@ class Backtesting:
side=trade.exit_side, side=trade.exit_side,
order_type=order_type, order_type=order_type,
status="open", status="open",
ft_price=close_rate,
price=close_rate, price=close_rate,
average=close_rate, average=close_rate,
amount=amount, amount=amount,
@ -887,6 +888,7 @@ class Backtesting:
order_date=current_time, order_date=current_time,
order_filled_date=current_time, order_filled_date=current_time,
order_update_date=current_time, order_update_date=current_time,
ft_price=propose_rate,
price=propose_rate, price=propose_rate,
average=propose_rate, average=propose_rate,
amount=amount, amount=amount,
@ -895,7 +897,7 @@ class Backtesting:
cost=stake_amount + trade.fee_open, cost=stake_amount + trade.fee_open,
) )
trade.orders.append(order) trade.orders.append(order)
if pos_adjust and self._get_order_filled(order.price, row): if pos_adjust and self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_time, trade) order.close_bt_order(current_time, trade)
else: else:
trade.open_order_id = str(self.order_id_counter) trade.open_order_id = str(self.order_id_counter)
@ -1008,15 +1010,15 @@ class Backtesting:
# only check on new candles for open entry orders # only check on new candles for open entry orders
if order.side == trade.entry_side and current_time > order.order_date_utc: if order.side == trade.entry_side and current_time > order.order_date_utc:
requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price, requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price,
default_retval=order.price)( default_retval=order.ft_price)(
trade=trade, # type: ignore[arg-type] trade=trade, # type: ignore[arg-type]
order=order, pair=trade.pair, current_time=current_time, order=order, pair=trade.pair, current_time=current_time,
proposed_rate=row[OPEN_IDX], current_order_rate=order.price, proposed_rate=row[OPEN_IDX], current_order_rate=order.ft_price,
entry_tag=trade.enter_tag, side=trade.trade_direction entry_tag=trade.enter_tag, side=trade.trade_direction
) # default value is current order price ) # default value is current order price
# cancel existing order whenever a new rate is requested (or None) # cancel existing order whenever a new rate is requested (or None)
if requested_rate == order.price: if requested_rate == order.ft_price:
# assumption: there can't be multiple open entry orders at any given time # assumption: there can't be multiple open entry orders at any given time
return False return False
else: else:
@ -1028,7 +1030,8 @@ class Backtesting:
if requested_rate: if requested_rate:
self._enter_trade(pair=trade.pair, row=row, trade=trade, self._enter_trade(pair=trade.pair, row=row, trade=trade,
requested_rate=requested_rate, requested_rate=requested_rate,
requested_stake=(order.remaining * order.price / trade.leverage), requested_stake=(
order.safe_remaining * order.ft_price / trade.leverage),
direction='short' if trade.is_short else 'long') direction='short' if trade.is_short else 'long')
self.replaced_entry_orders += 1 self.replaced_entry_orders += 1
else: else:
@ -1095,7 +1098,7 @@ class Backtesting:
for trade in list(LocalTrade.bt_trades_open_pp[pair]): for trade in list(LocalTrade.bt_trades_open_pp[pair]):
# 3. Process entry orders. # 3. Process entry orders.
order = trade.select_order(trade.entry_side, is_open=True) order = trade.select_order(trade.entry_side, is_open=True)
if order and self._get_order_filled(order.price, row): if order and self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_time, trade) order.close_bt_order(current_time, trade)
trade.open_order_id = None trade.open_order_id = None
self.wallets.update() self.wallets.update()
@ -1106,7 +1109,7 @@ class Backtesting:
# 5. Process exit orders. # 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True) order = trade.select_order(trade.exit_side, is_open=True)
if order and self._get_order_filled(order.price, row): if order and self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_time, trade) order.close_bt_order(current_time, trade)
trade.open_order_id = None trade.open_order_id = None
sub_trade = order.safe_amount_after_fee != trade.amount sub_trade = order.safe_amount_after_fee != trade.amount
@ -1115,7 +1118,7 @@ class Backtesting:
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()
else: else:
trade.close_date = current_time trade.close_date = current_time
trade.close(order.price, show_msg=False) trade.close(order.ft_price, show_msg=False)
# logger.debug(f"{pair} - Backtesting exit {trade}") # logger.debug(f"{pair} - Backtesting exit {trade}")
LocalTrade.close_bt_trade(trade) LocalTrade.close_bt_trade(trade)