A
@juliev it seems you have some issues with the data feeds. First I've ran you script on the daily bars (I have no intraday data) and it worked well with one exception: for order notification you have the following cases only:
order.isbuy() and self.position.size > 0 for BUY EXECUTED
order.issell() and self.position.size > 0 for SELL EXECUTED
order.isbuy() and self.position.size == 0 for CLOSING SHORT POSITION
order.issell() and self.position.size == 0 for CLOSING LONG POSITION
Second, your order issue statements (BUY CREATE, SELL CREATE) should be printed with te current bar timestamp, but order notification statements sould be printed with the timestamp of the next bar. It seems to me that somehow next() is called twice in your case. Add the following logging line:
def next(self):
# Check if an order is pending ... if yes, we cannot send a 2nd one
if self.orderid:
return
self.log('%s %0.2f - %s %0.2f: pos %d' %
(self.data0._name, self.dataclose1[0], self.data1._name,
self.dataclose2[0], self.position.size))
...
If it appears only once per timestamp in the output than it is good.
