how to buy at current day close price?

Lol Mam

hi ,in code below it is buy in the next day open price but I want it to buy at current day close price how to modified it?

import pandas as pd
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.plot as btp

class SMACrossover(bt.Strategy):
    def __init__(self):
        self.additional_buy_dates = ['2021-01-01']
        self.additional_sell_dates= ['2021-01-02']

    def next(self):
        if self.position.size == 0:  # No existing position
            current_date = self.data.datetime.date().isoformat()  # Get the current date
            if  current_date in self.additional_buy_dates:
                self.buy()  # Place a buy order

        elif self.position.size > 0:  # Already in a long position
            current_date = self.data.datetime.date().isoformat()
            if  current_date in self.additional_sell_dates:
                self.close()  # Place a sell order to close the position


# Create a DataFrame (sample data for demonstration)
df = pd.DataFrame({
    'datetime': ['2021-01-01', '2021-01-02'],
    'open': [9, 11],
    'high': [11, 13],
    'low': [8, 10],
    'close': [10, 12],
    'volume': [100000, 2000000],
 
})
df['datetime'] = pd.to_datetime(df['datetime'])
data = bt.feeds.PandasData(dataname=df, datetime='datetime', open='open', high='high', low='low', close='close', volume='volume')


cerebro = bt.Cerebro()


cerebro.adddata(data)
cerebro.addstrategy(SMACrossover)
cerebro.broker.setcash(100)
cerebro.broker.setcommission(commission=0)

cerebro.addanalyzer(bt.analyzers.TimeReturn)

# Run the backtest
results = cerebro.run()

John Doe

you can create a limit buy order. current code executes a market buy order.

should be something like:
self.buy(exectype=bt.Order.Limit, price = self.close[0])

you can edit of course price to anything you like, like put 20bps margin:
self.buy(exectype=bt.Order.Limit, price = self.close[0]*0.998)

John Doe

@John-Doe but obviously, a limit order is not guaranteed to execute if price doesnt go below this limit level.
also, you will need to cancel open orders sometime or you get clogged with many open orders.

Z

You just need to set your Broker Object's "coc" value to True. It allows you to cheat-on-close (basically you can sell at the closing price even though the day is technically over).

From the documentation:

coc (default: False)

Cheat-On-Close Setting this to True with set_coc enables

matching a Market order to the closing price of the bar in which
the order was issued. This is actually cheating, because the bar
is closed and any order should first be matched against the prices
in the next bar

Just add this line after your Broker has been instantiated: cerebro.broker.set_coc(True)