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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
+62 -62
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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,
@@ -1484,76 +1496,64 @@ 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( trade_dir: LongShort | None = None
dict.fromkeys([t.pair for t in LocalTrade.bt_trades_open] + pairs) if is_first:
) # Main candle
for pair in new_pairlist: row_index = indexes[pair]
trade_dir: LongShort | None = None row = self.validate_row(data, pair, row_index, current_time)
if is_first: if not row:
# Main candle
row_index = indexes[pair]
row = self.validate_row(data, pair, row_index, current_time)
if not row:
continue
row_index += 1
indexes[pair] = row_index
is_last_row = current_time == end_date
self.dataprovider._set_dataframe_max_index(
self.required_startup + row_index
)
trade_dir = self.check_for_trade_entry(row)
pair_tradedir_cache[pair] = trade_dir
else:
# Detail candle - from cache.
detail_data = pair_detail_cache.get(pair)
if detail_data is None or len(detail_data) <= idx:
# logger.info(f"skipping {pair}, {current_time_det}, {trade_dir}")
continue
row = detail_data[idx]
trade_dir = pair_tradedir_cache.get(pair)
self.dataprovider._set_dataframe_max_date(current_time_det)
pair_has_open_trades = len(LocalTrade.bt_trades_open_pp[pair]) > 0
if pair in pairs_with_open_trades and not pair_has_open_trades:
# Pair has had open trades which closed in the current main candle.
# Skip this pair for this timeframe
continue continue
if ( row_index += 1
is_first indexes[pair] = row_index
and (trade_dir is not None or pair_has_open_trades) is_last_row = current_time == end_date
and has_detail self.dataprovider._set_dataframe_max_index(self.required_startup + row_index)
and pair not in pair_detail_cache trade_dir = self.check_for_trade_entry(row)
and pair in self.detail_data pair_tradedir_cache[pair] = trade_dir
and row
):
# Spread candle into detail timeframe and cache that -
# only once per main candle
# and only if we can expect activity.
pair_detail = self.get_detail_data(pair, row)
if pair_detail is not None:
pair_detail_cache[pair] = pair_detail
row = pair_detail_cache[pair][idx]
is_last_row = current_time_det == end_date else:
# Detail candle - from cache.
detail_data = pair_detail_cache.get(pair)
if detail_data is None or len(detail_data) <= idx:
# logger.info(f"skipping {pair}, {current_time_det}, {trade_dir}")
continue
row = detail_data[idx]
trade_dir = pair_tradedir_cache.get(pair)
yield ( self.dataprovider._set_dataframe_max_date(current_time_det)
current_time_det,
pair, pair_has_open_trades = len(LocalTrade.bt_trades_open_pp[pair]) > 0
row, if pair in pairs_with_open_trades and not pair_has_open_trades:
is_last_row, # Pair has had open trades which closed in the current main candle.
trade_dir, # Skip this pair for this timeframe
) continue
if (
is_first
and (trade_dir is not None or pair_has_open_trades)
and has_detail
and pair not in pair_detail_cache
and pair in self.detail_data
and row
):
# Spread candle into detail timeframe and cache that -
# only once per main candle
# and only if we can expect activity.
pair_detail = self.get_detail_data(pair, row)
if pair_detail is not None:
pair_detail_cache[pair] = pair_detail
row = pair_detail_cache[pair][idx]
is_last_row = current_time_det == end_date
yield 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]: