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feat: remove "open_trade_count_start" workaround

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Due to the updated pair ordering logic, we can open trades on
different pairs during the same candle without
superating the max_open_trades limit
This commit is contained in:
Matthias
2024-08-12 13:19:53 +02:00
parent 08c10c1f9b
commit 70f3018e67
1 changed files with 5 additions and 18 deletions
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freqtrade/optimize/backtesting.py
+5 -18
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@@ -1332,10 +1332,9 @@ class Backtesting:
pair: str, pair: str,
current_time: datetime, current_time: datetime,
end_date: datetime, end_date: datetime,
open_trade_count_start: int,
trade_dir: Optional[LongShort], trade_dir: Optional[LongShort],
is_first: bool = True, is_first: bool = True,
) -> int: ) -> None:
""" """
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized. NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@@ -1345,7 +1344,6 @@ class Backtesting:
# 1. Manage currently open orders of active trades # 1. Manage currently open orders of active trades
if self.manage_open_orders(t, current_time, row): if self.manage_open_orders(t, current_time, row):
# Close trade # Close trade
open_trade_count_start -= 1
LocalTrade.remove_bt_trade(t) LocalTrade.remove_bt_trade(t)
self.wallets.update() self.wallets.update()
@@ -1361,13 +1359,9 @@ class Backtesting:
and trade_dir is not None and trade_dir is not None
and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir) and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir)
): ):
if self.trade_slot_available(open_trade_count_start): if self.trade_slot_available(LocalTrade.bt_open_open_trade_count):
trade = self._enter_trade(pair, row, trade_dir) trade = self._enter_trade(pair, row, trade_dir)
if trade: if trade:
# TODO: hacky workaround to avoid opening > max_open_trades
# This emulates previous behavior - not sure if this is correct
# Prevents entering if the trade-slot was freed in this candle
open_trade_count_start += 1
self.wallets.update() self.wallets.update()
else: else:
self._collate_rejected(pair, row) self._collate_rejected(pair, row)
@@ -1386,7 +1380,6 @@ class Backtesting:
order = trade.select_order(trade.exit_side, is_open=True) order = trade.select_order(trade.exit_side, is_open=True)
if order: if order:
self._process_exit_order(order, trade, current_time, row, pair) self._process_exit_order(order, trade, current_time, row, pair)
return open_trade_count_start
def time_pair_generator( def time_pair_generator(
self, start_date: datetime, end_date: datetime, increment: timedelta, pairs: List[str] self, start_date: datetime, end_date: datetime, increment: timedelta, pairs: List[str]
@@ -1439,7 +1432,6 @@ class Backtesting:
start_date, end_date, self.timeframe_td, list(data.keys()) start_date, end_date, self.timeframe_td, list(data.keys())
): ):
if is_first: if is_first:
open_trade_count_start = LocalTrade.bt_open_open_trade_count
self.check_abort() self.check_abort()
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)( strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
current_time=current_time current_time=current_time
@@ -1473,9 +1465,7 @@ class Backtesting:
].copy() ].copy()
if len(detail_data) == 0: if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle # Fall back to "regular" data if no detail data was found for this candle
open_trade_count_start = self.backtest_loop( self.backtest_loop(row, pair, current_time, end_date, trade_dir)
row, pair, current_time, end_date, open_trade_count_start, trade_dir
)
continue continue
detail_data.loc[:, "enter_long"] = row[LONG_IDX] detail_data.loc[:, "enter_long"] = row[LONG_IDX]
detail_data.loc[:, "exit_long"] = row[ELONG_IDX] detail_data.loc[:, "exit_long"] = row[ELONG_IDX]
@@ -1487,12 +1477,11 @@ class Backtesting:
current_time_det = current_time current_time_det = current_time
for det_row in detail_data[HEADERS].values.tolist(): for det_row in detail_data[HEADERS].values.tolist():
self.dataprovider._set_dataframe_max_date(current_time_det) self.dataprovider._set_dataframe_max_date(current_time_det)
open_trade_count_start = self.backtest_loop( self.backtest_loop(
det_row, det_row,
pair, pair,
current_time_det, current_time_det,
end_date, end_date,
open_trade_count_start,
trade_dir, trade_dir,
is_first, is_first,
) )
@@ -1500,9 +1489,7 @@ class Backtesting:
is_first = False is_first = False
else: else:
self.dataprovider._set_dataframe_max_date(current_time) self.dataprovider._set_dataframe_max_date(current_time)
open_trade_count_start = self.backtest_loop( self.backtest_loop(row, pair, current_time, end_date, trade_dir)
row, pair, current_time, end_date, open_trade_count_start, trade_dir
)
self.handle_left_open(LocalTrade.bt_trades_open_pp, data=data) self.handle_left_open(LocalTrade.bt_trades_open_pp, data=data)
self.wallets.update() self.wallets.update()