So is it possible with the BarReplayer_Open to create orders in between open and close?
Orders are created at the moment the open price is available and executed during the bar. You can also take a look on cheat-on-open feature, which allows order creation at open price. This gives less hassle compare to the bar replayer mentioned.
@ab_trader Hi ab_trader. I did submit it as timeframe=minute. On closed inspection, I noticed that it was submitting more sell requests before the last one was executed. I don't know how this lead to this specific behavior but after changing that, I don't think that it's an issue anymore.
@atmps Sorry - what I meant in the last part is that you'll need to extend PandasData like so:
Then you can use it like this:
for tkr, grp in df.groupby('ticker'):
data = PandasDataRev(
datetime='date', close='close', rev='rev',
open=None, high=None, low=None, volume=None, openinterest=None,
You will need to figure out how to reshape your data from how you have it in Excel to a form where it's easy to iterate through it ticker by ticker. There are many ways you can do that. You could load it in Pandas and "unpivot" the data or just use it in the form you have but the indexing will be different.
And to your last question, you would access each dataset as self.datas[n].close or self.datas[n].rev where n is an integer for the n-th ticker. (You are loading one data feed for each ticker so you have n feeds now).