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Add first version to fill orders "later" in backtesting

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This commit is contained in:
Matthias 2022-01-16 19:52:08 +01:00
parent c12e5a3b6c
commit f7a1cabe23
2 changed files with 13 additions and 6 deletions
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10
freqtrade/optimize/backtesting.py
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@ -670,10 +670,11 @@ class Backtesting:
for open_trade in list(open_trades[pair]): for open_trade in list(open_trades[pair]):
# TODO: should open orders be stored in a separate list? # TODO: should open orders be stored in a separate list?
if open_trade.open_order_id: if open_trade.open_order_id:
# FIXME: check order filling order = open_trade.select_order(is_open=True)
# * Get open order # Check for timeout!!
# * check if filled if self._get_order_filled(order.price):
open_trade.open_order_id = None open_trade.open_order_id = None
order.ft_is_open = False
# without positionstacking, we can only have one open trade per pair. # without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected # max_open_trades must be respected
@ -698,6 +699,9 @@ class Backtesting:
LocalTrade.add_bt_trade(trade) LocalTrade.add_bt_trade(trade)
for trade in list(open_trades[pair]): for trade in list(open_trades[pair]):
# TODO: This could be avoided with a separate list
if trade.open_order_id:
continue
# also check the buying candle for sell conditions. # also check the buying candle for sell conditions.
trade_entry = self._get_sell_trade_entry(trade, row) trade_entry = self._get_sell_trade_entry(trade, row)
# Sell occurred # Sell occurred

5
freqtrade/persistence/models.py
View File

@ -635,13 +635,16 @@ class LocalTrade():
if self.stop_loss_pct is not None and self.open_rate is not None: if self.stop_loss_pct is not None and self.open_rate is not None:
self.adjust_stop_loss(self.open_rate, self.stop_loss_pct) self.adjust_stop_loss(self.open_rate, self.stop_loss_pct)
def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]: def select_order(
self, order_side: str = None, is_open: Optional[bool] = None) -> Optional[Order]:
""" """
Finds latest order for this orderside and status Finds latest order for this orderside and status
:param order_side: Side of the order (either 'buy' or 'sell') :param order_side: Side of the order (either 'buy' or 'sell')
:param is_open: Only search for open orders? :param is_open: Only search for open orders?
:return: latest Order object if it exists, else None :return: latest Order object if it exists, else None
""" """
orders = self.orders
if order_side:
orders = [o for o in self.orders if o.side == order_side] orders = [o for o in self.orders if o.side == order_side]
if is_open is not None: if is_open is not None:
orders = [o for o in orders if o.ft_is_open == is_open] orders = [o for o in orders if o.ft_is_open == is_open]