Merge pull request freqtrade#10062 from Axel-CH/feature/proceed-exit-while-open-order

Feature: Proceed exit while having open order, for backtesting and live

Author: xmatthias

docs/strategy-callbacks.md

@@ -758,7 +758,7 @@ For performance reasons, it's disabled by default and freqtrade will show a warn
 
 Additional orders also result in additional fees and those orders don't count towards `max_open_trades`.
 
-This callback is **not** called when there is an open order (either buy or sell) waiting for execution.
+This callback is also called when there is an open order (either buy or sell) waiting for execution - and will cancel the existing open order to place a new order if the amount, price or direction is different.
 
 `adjust_trade_position()` is called very frequently for the duration of a trade, so you must keep your implementation as performant as possible.
 

freqtrade/freqtradebot.py

@@ -730,7 +730,7 @@ def process_open_trade_positions(self):
         for trade in Trade.get_open_trades():
             # If there is any open orders, wait for them to finish.
             # TODO Remove to allow mul open orders
-            if not trade.has_open_orders:
+            if trade.has_open_position or trade.has_open_orders:
                 # Do a wallets update (will be ratelimited to once per hour)
                 self.wallets.update(False)
                 try:
@@ -808,7 +808,10 @@ def check_and_call_adjust_trade_position(self, trade: Trade):
             )
 
             if amount == 0.0:
-                logger.info("Amount to exit is 0.0 due to exchange limits - not exiting.")
+                logger.info(
+                    f"Wanted to exit of {stake_amount} amount, "
+                    "but exit amount is now 0.0 due to exchange limits - not exiting."
+                )
                 return
 
             remaining = (trade.amount - amount) * current_exit_rate
@@ -923,6 +926,10 @@ def execute_entry(
         ):
             logger.info(f"User denied entry for {pair}.")
             return False
+
+        if trade and self.handle_similar_open_order(trade, enter_limit_requested, amount, side):
+            return False
+
         order = self.exchange.create_order(
             pair=pair,
             ordertype=order_type,
@@ -1303,8 +1310,8 @@ def exit_positions(self, trades: list[Trade]) -> int:
                     logger.warning(
                         f"Unable to handle stoploss on exchange for {trade.pair}: {exception}"
                     )
-                # Check if we can exit our current pair
-                if not trade.has_open_orders and trade.is_open and self.handle_trade(trade):
+                # Check if we can exit our current position for this trade
+                if trade.has_open_position and trade.is_open and self.handle_trade(trade):
                     trades_closed += 1
 
             except DependencyException as exception:
@@ -1448,9 +1455,7 @@ def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
                 self.handle_protections(trade.pair, trade.trade_direction)
                 return True
 
-        if trade.has_open_orders or not trade.is_open:
-            # Trade has an open order, Stoploss-handling can't happen in this case
-            # as the Amount on the exchange is tied up in another trade.
+        if not trade.has_open_position or not trade.is_open:
             # The trade can be closed already (sell-order fill confirmation came in this iteration)
             return False
 
@@ -1718,30 +1723,75 @@ def replace_order(self, order: CcxtOrder, order_obj: Order | None, trade: Trade)
                         logger.warning(f"Unable to replace order for {trade.pair}: {exception}")
                         self.replace_order_failed(trade, f"Could not replace order for {trade}.")
 
+    def cancel_open_orders_of_trade(
+        self, trade: Trade, sides: list[str], reason: str, replacing: bool = False
+    ) -> None:
+        """
+        Cancel trade orders of specified sides that are currently open
+        :param trade: Trade object of the trade we're analyzing
+        :param reason: The reason for that cancellation
+        :param sides: The sides where cancellation should take place
+        :return: None
+        """
+
+        for open_order in trade.open_orders:
+            try:
+                order = self.exchange.fetch_order(open_order.order_id, trade.pair)
+            except ExchangeError:
+                logger.info("Can't query order for %s due to %s", trade, traceback.format_exc())
+                continue
+
+            if order["side"] in sides:
+                if order["side"] == trade.entry_side:
+                    self.handle_cancel_enter(trade, order, open_order, reason, replacing)
+
+                elif order["side"] == trade.exit_side:
+                    self.handle_cancel_exit(trade, order, open_order, reason)
+
     def cancel_all_open_orders(self) -> None:
         """
         Cancel all orders that are currently open
         :return: None
         """
 
         for trade in Trade.get_open_trades():
-            for open_order in trade.open_orders:
-                try:
-                    order = self.exchange.fetch_order(open_order.order_id, trade.pair)
-                except ExchangeError:
-                    logger.info("Can't query order for %s due to %s", trade, traceback.format_exc())
-                    continue
+            self.cancel_open_orders_of_trade(
+                trade, [trade.entry_side, trade.exit_side], constants.CANCEL_REASON["ALL_CANCELLED"]
+            )
 
-                if order["side"] == trade.entry_side:
-                    self.handle_cancel_enter(
-                        trade, order, open_order, constants.CANCEL_REASON["ALL_CANCELLED"]
-                    )
+        Trade.commit()
 
-                elif order["side"] == trade.exit_side:
-                    self.handle_cancel_exit(
-                        trade, order, open_order, constants.CANCEL_REASON["ALL_CANCELLED"]
+    def handle_similar_open_order(
+        self, trade: Trade, price: float, amount: float, side: str
+    ) -> bool:
+        """
+        Keep existing open order if same amount and side otherwise cancel
+        :param trade: Trade object of the trade we're analyzing
+        :param price: Limit price of the potential new order
+        :param amount: Quantity of assets of the potential new order
+        :param side: Side of the potential new order
+        :return: True if an existing similar order was found
+        """
+        if trade.has_open_orders:
+            oo = trade.select_order(side, True)
+            if oo is not None:
+                if (price == oo.price) and (side == oo.side) and (amount == oo.amount):
+                    logger.info(
+                        f"A similar open order was found for {trade.pair}. "
+                        f"Keeping existing {trade.exit_side} order. {price=},  {amount=}"
                     )
-        Trade.commit()
+                    return True
+            # cancel open orders of this trade if order is different
+            self.cancel_open_orders_of_trade(
+                trade,
+                [trade.entry_side, trade.exit_side],
+                constants.CANCEL_REASON["REPLACE"],
+                True,
+            )
+            Trade.commit()
+            return False
+
+        return False
 
     def handle_cancel_enter(
         self,
@@ -1924,7 +1974,11 @@ def _safe_exit_amount(self, trade: Trade, pair: str, amount: float) -> float:
             return amount
 
         trade_base_currency = self.exchange.get_pair_base_currency(pair)
-        wallet_amount = self.wallets.get_free(trade_base_currency)
+        # Free + Used - open orders will eventually still be canceled.
+        wallet_amount = self.wallets.get_free(trade_base_currency) + self.wallets.get_used(
+            trade_base_currency
+        )
+
         logger.debug(f"{pair} - Wallet: {wallet_amount} - Trade-amount: {amount}")
         if wallet_amount >= amount:
             return amount
@@ -2017,6 +2071,10 @@ def execute_trade_exit(
             logger.info(f"User denied exit for {trade.pair}.")
             return False
 
+        if trade.has_open_orders:
+            if self.handle_similar_open_order(trade, limit, amount, trade.exit_side):
+                return False
+
         try:
             # Execute sell and update trade record
             order = self.exchange.create_order(

freqtrade/optimize/backtesting.py

@@ -832,6 +832,10 @@ def _exit_trade(
         amount = amount_to_contract_precision(
             amount or trade.amount, trade.amount_precision, self.precision_mode, trade.contract_size
         )
+
+        if self.handle_similar_order(trade, close_rate, amount, trade.exit_side, exit_candle_time):
+            return None
+
         order = Order(
             id=self.order_id_counter,
             ft_trade_id=trade.id,
@@ -1117,6 +1121,10 @@ def _enter_trade(
                     orders=[],
                 )
                 LocalTrade.add_bt_trade(trade)
+            elif self.handle_similar_order(
+                trade, propose_rate, amount, trade.entry_side, current_time
+            ):
+                return None
 
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
 
@@ -1158,9 +1166,13 @@ def handle_left_open(
         """
         for pair in open_trades.keys():
             for trade in list(open_trades[pair]):
-                if trade.has_open_orders and trade.nr_of_successful_entries == 0:
+                if (
+                    trade.has_open_orders and trade.nr_of_successful_entries == 0
+                ) or not trade.has_open_position:
                     # Ignore trade if entry-order did not fill yet
+                    LocalTrade.remove_bt_trade(trade)
                     continue
+
                 exit_row = data[pair][-1]
                 self._exit_trade(
                     trade, exit_row, exit_row[OPEN_IDX], trade.amount, ExitType.FORCE_EXIT.value
@@ -1215,6 +1227,37 @@ def manage_open_orders(self, trade: LocalTrade, current_time: datetime, row: tup
         # default maintain trade
         return False
 
+    def cancel_open_orders(self, trade: LocalTrade, current_time: datetime):
+        """
+        Cancel all open orders for the given trade.
+        """
+        for order in [o for o in trade.orders if o.ft_is_open]:
+            if order.side == trade.entry_side:
+                self.canceled_entry_orders += 1
+            # elif order.side == trade.exit_side:
+            #     self.canceled_exit_orders += 1
+            # canceled orders are removed from the trade
+            del trade.orders[trade.orders.index(order)]
+
+    def handle_similar_order(
+        self, trade: LocalTrade, price: float, amount: float, side: str, current_time: datetime
+    ) -> bool:
+        """
+        Handle similar order for the given trade.
+        """
+        if trade.has_open_orders:
+            oo = trade.select_order(side, True)
+            if oo:
+                if (price == oo.price) and (side == oo.side) and (amount == oo.amount):
+                    # logger.info(
+                    #     f"A similar open order was found for {trade.pair}. "
+                    #     f"Keeping existing {trade.exit_side} order. {price=},  {amount=}"
+                    # )
+                    return True
+            self.cancel_open_orders(trade, current_time)
+
+        return False
+
     def check_order_cancel(
         self, trade: LocalTrade, order: Order, current_time: datetime
     ) -> bool | None:
@@ -1400,7 +1443,7 @@ def backtest_loop_inner(
                 self.wallets.update()
 
             # 4. Create exit orders (if any)
-            if not trade.has_open_orders:
+            if trade.has_open_position:
                 self._check_trade_exit(trade, row, current_time)  # Place exit order if necessary
 
             # 5. Process exit orders.

freqtrade/persistence/trade_model.py

@@ -191,6 +191,7 @@ def __repr__(self):
         return (
             f"Order(id={self.id}, trade={self.ft_trade_id}, order_id={self.order_id}, "
             f"side={self.side}, filled={self.safe_filled}, price={self.safe_price}, "
+            f"amount={self.amount}, "
             f"status={self.status}, date={self.order_date_utc:{DATETIME_PRINT_FORMAT}})"
         )
 
@@ -599,6 +600,13 @@ def has_open_orders(self) -> bool:
         ]
         return len(open_orders_wo_sl) > 0
 
+    @property
+    def has_open_position(self) -> bool:
+        """
+        True if there is an open position for this trade
+        """
+        return self.amount > 0
+
     @property
     def open_sl_orders(self) -> list[Order]:
         """

tests/conftest.py

@@ -988,6 +988,29 @@ def get_markets():
             },
             "info": {},
         },
+        "ETC/BTC": {
+            "id": "ETCBTC",
+            "symbol": "ETC/BTC",
+            "base": "ETC",
+            "quote": "BTC",
+            "active": True,
+            "spot": True,
+            "swap": False,
+            "linear": None,
+            "type": "spot",
+            "contractSize": None,
+            "precision": {"base": 8, "quote": 8, "amount": 2, "price": 7},
+            "limits": {
+                "amount": {"min": 0.01, "max": 90000000.0},
+                "price": {"min": 1e-07, "max": 1000.0},
+                "cost": {"min": 0.0001, "max": 9000000.0},
+                "leverage": {
+                    "min": None,
+                    "max": None,
+                },
+            },
+            "info": {},
+        },
         "ETH/USDT": {
             "id": "USDT-ETH",
             "symbol": "ETH/USDT",

tests/freqtradebot/test_freqtradebot.py

@@ -1257,7 +1257,7 @@ def test_enter_positions(
 def test_exit_positions(mocker, default_conf_usdt, limit_order, is_short, caplog) -> None:
     freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
 
-    mocker.patch("freqtrade.freqtradebot.FreqtradeBot.handle_trade", MagicMock(return_value=True))
+    mocker.patch("freqtrade.freqtradebot.FreqtradeBot.handle_trade", MagicMock(return_value=False))
     mocker.patch(f"{EXMS}.fetch_order", return_value=limit_order[entry_side(is_short)])
     mocker.patch(f"{EXMS}.get_trades_for_order", return_value=[])
 
@@ -1329,6 +1329,7 @@ def test_exit_positions_exception(mocker, default_conf_usdt, limit_order, caplog
             ft_price=trade.open_rate,
             order_id=order_id,
             ft_is_open=False,
+            filled=11,
         )
     )
     Trade.session.add(trade)
@@ -5957,13 +5958,13 @@ def test_check_and_call_adjust_trade_position(mocker, default_conf_usdt, fee, ca
     freqtrade.strategy.adjust_trade_position = MagicMock(return_value=(10, "aaaa"))
     freqtrade.process_open_trade_positions()
     assert log_has_re(r"Max adjustment entries for .* has been reached\.", caplog)
-    assert freqtrade.strategy.adjust_trade_position.call_count == 1
+    assert freqtrade.strategy.adjust_trade_position.call_count == 4
 
     caplog.clear()
     freqtrade.strategy.adjust_trade_position = MagicMock(return_value=(-0.0005, "partial_exit_c"))
     freqtrade.process_open_trade_positions()
     assert log_has_re(r"LIMIT_SELL has been fulfilled.*", caplog)
-    assert freqtrade.strategy.adjust_trade_position.call_count == 1
+    assert freqtrade.strategy.adjust_trade_position.call_count == 4
     trade = Trade.get_trades(trade_filter=[Trade.id == 5]).first()
     assert trade.orders[-1].ft_order_tag == "partial_exit_c"
     assert trade.is_open