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refactor: extract detail/pair loop to separate generator

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Matthias
2025-01-15 07:10:37 +01:00
parent a326af830f
commit 2b4d3b3f15
1 changed files with 62 additions and 62 deletions
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freqtrade/optimize/backtesting.py
+17 -17
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@@ -1451,6 +1451,18 @@ class Backtesting:
i += 1 i += 1
current_time += self.timeframe_detail_td current_time += self.timeframe_detail_td
def time_pair_generator_det(self, current_time: datetime, pairs: list[str]):
for current_time_det, is_first, has_detail, idx in self.time_generator_det(
current_time, current_time + self.timeframe_td
):
# Loop for each detail candle.
# Yields only the start date if no detail timeframe is set.
# Pairs that have open trades should be processed first
new_pairlist = list(dict.fromkeys([t.pair for t in LocalTrade.bt_trades_open] + pairs))
for pair in new_pairlist:
yield current_time_det, is_first, has_detail, idx, pair
def time_pair_generator( def time_pair_generator(
self, self,
start_date: datetime, start_date: datetime,
@@ -1484,17 +1496,13 @@ class Backtesting:
pair_tradedir_cache: dict[str, LongShort | None] = {} pair_tradedir_cache: dict[str, LongShort | None] = {}
pairs_with_open_trades = [t.pair for t in LocalTrade.bt_trades_open] pairs_with_open_trades = [t.pair for t in LocalTrade.bt_trades_open]
for current_time_det, is_first, has_detail, idx in self.time_generator_det( for current_time_det, is_first, has_detail, idx, pair in self.time_pair_generator_det(
current_time, current_time + self.timeframe_td current_time, pairs
): ):
# Loop for each detail candle. # Loop for each detail candle (if necessary) and pair
# Yields only the start date if no detail timeframe is set. # Yields only the start date if no detail timeframe is set.
# Pairs that have open trades should be processed first # Pairs that have open trades should be processed first
new_pairlist = list(
dict.fromkeys([t.pair for t in LocalTrade.bt_trades_open] + pairs)
)
for pair in new_pairlist:
trade_dir: LongShort | None = None trade_dir: LongShort | None = None
if is_first: if is_first:
# Main candle # Main candle
@@ -1506,9 +1514,7 @@ class Backtesting:
row_index += 1 row_index += 1
indexes[pair] = row_index indexes[pair] = row_index
is_last_row = current_time == end_date is_last_row = current_time == end_date
self.dataprovider._set_dataframe_max_index( self.dataprovider._set_dataframe_max_index(self.required_startup + row_index)
self.required_startup + row_index
)
trade_dir = self.check_for_trade_entry(row) trade_dir = self.check_for_trade_entry(row)
pair_tradedir_cache[pair] = trade_dir pair_tradedir_cache[pair] = trade_dir
@@ -1547,13 +1553,7 @@ class Backtesting:
is_last_row = current_time_det == end_date is_last_row = current_time_det == end_date
yield ( yield current_time_det, pair, row, is_last_row, trade_dir
current_time_det,
pair,
row,
is_last_row,
trade_dir,
)
self.progress.increment() self.progress.increment()
def backtest(self, processed: dict, start_date: datetime, end_date: datetime) -> dict[str, Any]: def backtest(self, processed: dict, start_date: datetime, end_date: datetime) -> dict[str, Any]: