There is no such thing as a sample implementation.
You send an order to the market: self.buy(price=myprice, exectype=bt.Order.MyPreferredExecutionType)
The order is completed and notified to notify_order(order)
order.executed.price contains the actual execution price
A new order is sent to act as a stop-loss order: self.sell(price=% of order.executed.price, exectype=probably Stop)
You want to use replay. The strategy doesn't actually run every minute but runs with every tick of the data, slowly recreating the day. The indicators attached to the replayed data are re-calculated automatically for the current day with each new tick (there is no need to recalculate the previous days)
@ab_trader In theory yes, because there was a use case with spreads (which oscillate around 0). The problem there was that some of Python tests for existence would fail because the price was zero. It was dealt with a long time ago.
I'm trying to use btrun, and code a generic strategy which I can control with btrun. My data is typically minute bars, however, in the strategy, I would like to use a 10-day indicator. How can I do this in the strategy? Or btrun options?
If the only data feed in the strategy is has a Minutes/x timeframe/compression specification, you cannot have an indicator calculating in days.
An Order instance (let's call it order) carries an attribute data which is the asset on which the order has been issued. The ticker name should be available as: order.data._name (where _name is the name you have assigned when using adddata)
Names are actually a late addition to backtrader, because one of the underlying design concepts is that the development of a trading idea should, ideally, not be bound to a specific asset.
A signal / indicator has (like a Strategy) receives an array of the available data feeds in the environment in which they are instantiated (an Indicator can be instantiated inside a Strategy or inside another Indicator)
If your Strategy has 4 data feeds, the indicator will default to receiving 4 data feeds, which will be available in the iterable self.datas and as self.data0, ..., self.data3. Most indicators actually only use 1 data feed. One can actually declare that a given indicator must receive more than 1 data feed.
The outer SMA receives the inner SMA as data feed. And this data feed carries no name, even if it's calculating the simple moving average of self.data1. We still don't know what self.data1 is. It could be an RSI for example. See:
MyInd2 passes 2 data feeds, one is the main data feed received (which can be anythin) and the 2nd is the RSI. As such MyInd1 receives an RSI instance as self.data1, but it doesn't know it. It simply does an SMA on it and then a 2nd SMA
If your signal is going to be name-bound, it will be limited to real data feeds which carry a _name attribute and will fail to be generic for any kind of actual data feed, like in the examples above.
lines = ('name_bound',)
if self.data0._name == 'my-preferred-name':
self.lines.name_bound = bt.ind.SMA(self.data3)
self.lines.name_bound = bt.ind.SMA(self.data2)
At least data0 must be a real data feed with a name in that example.