mohammadian7/freqtrade
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Simplify backtest order closing

Browse Source
This commit is contained in:
Matthias
2023-08-13 16:35:27 +02:00
parent d7e9f87b33
commit bcc2dd9803
1 changed files with 11 additions and 7 deletions
Download Patch File Download Diff File Expand all files Collapse all files
freqtrade/optimize/backtesting.py
+11 -7
View File
@@ -568,7 +568,7 @@ class Backtesting:
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.ft_price, row): if self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_date, trade) self._close_open_order(order, trade, current_date, row)
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()
self.wallets.update() self.wallets.update()
return pos_trade return pos_trade
@@ -579,6 +579,12 @@ class Backtesting:
""" Rate is within candle, therefore filled""" """ Rate is within candle, therefore filled"""
return row[LOW_IDX] <= rate <= row[HIGH_IDX] return row[LOW_IDX] <= rate <= row[HIGH_IDX]
def _close_open_order(
self, order: Order, trade: LocalTrade, current_date: datetime, row: Tuple) -> None:
""" Close an open order, and update trade accordingly"""
order.close_bt_order(current_date, trade)
trade.open_order_id = None
def _get_exit_for_signal( def _get_exit_for_signal(
self, trade: LocalTrade, row: Tuple, exit_: ExitCheckTuple, self, trade: LocalTrade, row: Tuple, exit_: ExitCheckTuple,
amount: Optional[float] = None) -> Optional[LocalTrade]: amount: Optional[float] = None) -> Optional[LocalTrade]:
@@ -903,8 +909,8 @@ class Backtesting:
) )
order._trade_bt = trade order._trade_bt = trade
trade.orders.append(order) trade.orders.append(order)
if pos_adjust and self._get_order_filled(order.ft_price, row): if self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_time, trade) self._close_open_order(order, trade, current_time, row)
else: else:
trade.open_order_id = str(self.order_id_counter) trade.open_order_id = str(self.order_id_counter)
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()
@@ -1122,8 +1128,7 @@ class Backtesting:
# 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.ft_price, row): if order and self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_time, trade) self._close_open_order(order, trade, current_time, row)
trade.open_order_id = None
self.wallets.update() self.wallets.update()
# 4. Create exit orders (if any) # 4. Create exit orders (if any)
@@ -1133,8 +1138,7 @@ 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.ft_price, row): if order and self._get_order_filled(order.ft_price, row):
order.close_bt_order(current_time, trade) self._close_open_order(order, trade, current_time, row)
trade.open_order_id = None
sub_trade = order.safe_amount_after_fee != trade.amount sub_trade = order.safe_amount_after_fee != trade.amount
if sub_trade: if sub_trade:
trade.recalc_trade_from_orders() trade.recalc_trade_from_orders()