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    How is the getvalue() function calculated

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    • M
      Mạnh Phạm Nguyễn last edited by

      Hi, I've started using backtrader for a while now but I still haven't figured out how the self.broker.getvalue() is calculated (the forth line in each block), it's very different from cash value, as shown in my code. The order.execute.value is also unknown to me how it's calculated.

      from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import argparse
import datetime
import csv
import datetime  # For datetime objects
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
# The above could be sent to an independent module
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
pd.set_option('display.width', 500)
pd.set_option('display.max_columns', 100)
pd.set_option('display.notebook_repr_html', True)
import seaborn as sns
sns.set_style("whitegrid")
sns.set_context("poster")

count = 0
count1 = 0
mon = 1000000
value = []
class PairTradingStrategy(bt.Strategy):
    params = dict(
        signal = [0 for i in range(100000)],
        TMOM = 24, #TMOM has to be even 
        printout = True
    )

    def log(self, txt, dt=None):
        if self.p.printout:
            dt = dt or self.datas[0].datetime.datetime(0)
            
            print('%s, %s' % (dt.isoformat(), txt))
    def notify_order(self, order):
        global count
        if order.status in [bt.Order.Submitted, bt.Order.Accepted]:
            return  # Await further notifications

        if order.status == order.Completed:
            if order.isbuy():
                buytxt = 'BUY COMPLETE, %.8f %.8f %.8f' % (order.executed.value,
                                                           order.executed.size,order.executed.price)
                self.log(buytxt)
                print(self.broker.getcash(),self.broker.getcash()+abs(order.executed.size*order.executed.price))
            else:
                selltxt = 'SELL COMPLETE, %.8f %.8f %.8f' % (order.executed.value,
                                                           order.executed.size,order.executed.price)
                self.log(selltxt)
                print(self.broker.getcash(),self.broker.getcash()-abs(order.executed.size*order.executed.price))
            print(self.broker.getvalue())
            print()
        elif order.status in [order.Expired, order.Canceled, order.Margin]:
            self.log('%s ,' % order.Status[order.status])
            pass  # Simply log

        # Allow new orders
        self.orderid = None

    def __init__(self):
        # To control operation entries
        self.orderid = None
        self.signal = self.p.signal
        self.TMOM = self.p.TMOM
        self.count = 0

    def next(self):
        global value 
        value.append(self.broker.getvalue())
        if self.orderid or self.count < self.TMOM:
            self.count += 1 
            return  # if an order is active, no new orders are allowed
        
        if self.datas[0].close[0] >= self.datas[0].close[-self.TMOM]:
            self.signal[self.count] = 1
        else:
            self.signal[self.count] = -1
        
        if self.signal[self.count] == 1 and (self.count % (2*self.TMOM) == self.TMOM or self.count % (2*self.TMOM) == self.TMOM+self.TMOM//2):
            self.log('BUY CREATE , price = %.8f, qty = %.8f' % ( self.datas[0].close[0], 1000/self.datas[0].close[0]))
            self.buy(data=self.datas[0], size=1000/self.datas[0].close[0])                

        if self.signal[self.count] == -1 and (self.count % (2*self.TMOM) == self.TMOM or self.count % (2*self.TMOM) == self.TMOM+self.TMOM//2):
            self.log('SELL CREATE , price = %.8f, qty = %.8f' % (self.datas[0].close[0], 1000/self.datas[0].close[0]))
            self.sell(data=self.datas[0], size=1000/self.datas[0].close[0])

        if self.signal[self.count-self.TMOM] == 1 and (self.count % (2*self.TMOM) == 0 or self.count % (2*self.TMOM) == self.TMOM//2):
            self.log('SELL CREATE , price = %.8f, qty = %.8f' % (self.datas[0].close[0], 1000/self.datas[0].close[-self.TMOM]))
            self.sell(data=self.datas[0], size=1000/self.datas[0].close[-self.TMOM])

        if self.signal[self.count-self.TMOM] == -1 and (self.count % (2*self.TMOM) == 0 or self.count % (2*self.TMOM) == self.TMOM//2):
            self.log('BUY CREATE , price = %.8f, qty = %.8f' % (self.datas[0].close[0], 1000/self.datas[0].close[-self.TMOM]))
            self.buy(data=self.datas[0], size=1000/self.datas[0].close[-self.TMOM])
        
        self.count += 1

    def stop(self):
        print('==================================================')
        print('Starting Value - %.2f' % self.broker.startingcash)
        print('Ending   Value - %.2f' % self.broker.getvalue())
        print('==================================================')

if __name__ == '__main__':
        # Create a cerebro
    cerebro = bt.Cerebro()

    data1 = bt.feeds.GenericCSVData(
    dataname='Downloads/Bitfinex/IOTAUSDT1h.csv',

    fromdate=datetime.datetime(2018, 5, 1, 0, 0, 0),
    todate=datetime.datetime(2018, 6, 1, 0, 0, 0),

    nullvalue=0.0,

    dtformat=('%Y-%m-%d %H:%M:%S'),
    timeframe = bt.TimeFrame.Minutes, 
    compression = 60,
    
    datetime=0, # count index
    open=1,
    high=2,
    low=3,
    close=4,
    volume=5,
    openinterest = None
)

    cerebro.adddata(data1)
    # Add the strategy
    cerebro.addstrategy(PairTradingStrategy)

    # Add the commission - only stocks like a for each operation
    cerebro.broker.setcash(10000.0)

    # Add the commission - only stocks like a for each operation
    cerebro.broker.setcommission(commission=0.0)
    
    # And run it
    cerebro.run()
    plt.plot(value)
    plt.show()
    cerebro.plot(iplot=True, volume=False)

      The results show

      2018-05-02T00:00:00, SELL CREATE , price = 1.86840000, qty = 535.21729822
2018-05-02T01:00:00, SELL COMPLETE, -999.94647827 -535.21729822 1.86830000
10999.946478270178 10000.0
9999.5183044316

2018-05-02T12:00:00, BUY CREATE , price = 1.99720000, qty = 500.70098137
2018-05-02T13:00:00, BUY COMPLETE, -935.45964350 500.70098137 1.99980000
9998.644655718606 10999.946478270178
9928.921695683313

2018-05-03T00:00:00, BUY CREATE , price = 2.15340000, qty = 535.21729822
2018-05-03T01:00:00, BUY COMPLETE, 1013.62251833 535.21729822 2.15320000
8846.214769184673 9998.644655718606
9952.213166941532

2018-05-03T12:00:00, SELL CREATE , price = 2.23000000, qty = 500.70098137
2018-05-03T13:00:00, SELL COMPLETE, 1078.10935309 -500.70098137 2.23000000
9962.777957648523 8846.214769184673
9962.777957648523

2018-05-04T00:00:00, BUY CREATE , price = 2.58970000, qty = 386.14511333
2018-05-04T01:00:00, BUY COMPLETE, 996.75638105 386.14511333 2.58130000
8966.021576600524 9962.777957648523
9961.967164892605

2018-05-04T12:00:00, BUY CREATE , price = 2.58880000, qty = 386.27935723
2018-05-04T13:00:00, BUY COMPLETE, 1000.15451174 386.27935723 2.58920000
7965.867064857632 8966.021576600524
9916.470580374771

2018-05-05T00:00:00, SELL CREATE , price = 2.38190000, qty = 386.14511333
2018-05-05T01:00:00, SELL COMPLETE, 998.28191933 -386.14511333 2.37700000
8883.733999251577 7965.867064857632
9818.53004375096

2018-05-05T12:00:00, SELL CREATE , price = 2.38860000, qty = 386.27935723
2018-05-05T13:00:00, SELL COMPLETE, 998.62897346 -386.27935723 2.38860000
9806.400871933902 8883.733999251577
9806.400871933902

2018-05-06T00:00:00, SELL CREATE , price = 2.33150000, qty = 428.90842805
2018-05-06T01:00:00, SELL COMPLETE, -1000.04289084 -428.90842805 2.33160000
10806.443762776707 9806.400871933902
9804.213438950845

2018-05-06T12:00:00, BUY CREATE , price = 2.39230000, qty = 418.00777494
2018-05-06T13:00:00, BUY COMPLETE, -974.62692806 418.00777494 2.38940000
9807.655985324047 10806.443762776707
9782.224761627755

2018-05-07T00:00:00, BUY CREATE , price = 2.31220000, qty = 428.90842805
2018-05-07T01:00:00, BUY COMPLETE, 941.10161444 428.90842805 2.31220000
8815.933917985425 9807.655985324049
9772.12670317123

2018-05-07T12:00:00, SELL CREATE , price = 2.14400000, qty = 418.00777494
2018-05-07T13:00:00, SELL COMPLETE, 966.51757723 -418.00777494 2.14400000
9712.142587466678 8815.933917985425
9712.142587466678

2018-05-08T00:00:00, SELL CREATE , price = 2.21500000, qty = 451.46726862
2018-05-08T01:00:00, SELL COMPLETE, -1000.00000000 -451.46726862 2.21500000
10712.142587466678 9712.142587466678
9707.627914780449

2018-05-08T12:00:00, BUY CREATE , price = 2.25200000, qty = 444.04973357
2018-05-08T13:00:00, BUY COMPLETE, -983.57015986 444.04973357 2.25900000
9709.034239331688 10712.142587466678
9692.301763759435

2018-05-09T00:00:00, BUY CREATE , price = 2.36000000, qty = 451.46726862
2018-05-09T01:00:00, BUY COMPLETE, 1031.52753108 451.46726862 2.36000000
8643.57148538135 9709.034239331688
9711.111449857372

2018-05-09T12:00:00, SELL CREATE , price = 2.30740000, qty = 444.04973357
2018-05-09T13:00:00, SELL COMPLETE, 1047.95737123 -444.04973357 2.30750000
9668.216245594494 8643.57148538135
9668.216245594494

2018-05-10T00:00:00, SELL CREATE , price = 2.31950000, qty = 431.12739815
2018-05-10T01:00:00, SELL COMPLETE, -999.56887260 -431.12739815 2.31850000
10667.785118196349 9668.216245594494
9671.104799162074

2018-05-10T12:00:00, SELL CREATE , price = 2.29280000, qty = 436.14794138
2018-05-10T13:00:00, SELL COMPLETE, -1000.00000000 -436.14794138 2.29280000
11667.785118196349 10667.785118196349
9701.585195952717

2018-05-11T00:00:00, BUY CREATE , price = 2.21110000, qty = 431.12739815
2018-05-11T01:00:00, BUY COMPLETE, -993.99681528 431.12739815 2.21030000
10714.864230073908 11667.785118196349
9756.778047240692

2018-05-11T12:00:00, BUY CREATE , price = 2.13150000, qty = 436.14794138
2018-05-11T13:00:00, BUY COMPLETE, -1005.57205732 436.14794138 2.13140000
9785.258507812918 10714.864230073908
9785.258507812918

2018-05-12T00:00:00, SELL CREATE , price = 1.86750000, qty = 535.47523427
2018-05-12T01:00:00, SELL COMPLETE, -999.19678715 -535.47523427 1.86600000
10784.455294961512 9785.258507812918
9779.207637665662

2018-05-12T12:00:00, SELL CREATE , price = 1.74940000, qty = 571.62455699
2018-05-12T13:00:00, SELL COMPLETE, -1000.05716246 -571.62455699 1.74950000
11784.512457417211 10784.455294961512
9848.637762417557

2018-05-13T00:00:00, BUY CREATE , price = 1.83870000, qty = 535.47523427
2018-05-13T01:00:00, BUY COMPLETE, -966.98688364 535.47523427 1.83600000
10801.37992729673 11784.512457417211
9748.447493319367

2018-05-13T12:00:00, BUY CREATE , price = 1.83490000, qty = 571.62455699
2018-05-13T13:00:00, BUY COMPLETE, -1032.26706596 571.62455699 1.83840000
9750.505341724534 10801.37992729673
9750.505341724534

2018-05-14T00:00:00, BUY CREATE , price = 1.94630000, qty = 513.79540667
2018-05-14T01:00:00, BUY COMPLETE, 1001.54138622 513.79540667 1.94930000
8748.963955504527 9750.505341724534
9768.693699120618

2018-05-14T12:00:00, BUY CREATE , price = 1.87300000, qty = 533.90282968
2018-05-14T13:00:00, BUY COMPLETE, 997.54404698 533.90282968 1.86840000
7751.419908521078 8748.963955504527
9754.199857135502

2018-05-15T00:00:00, SELL CREATE , price = 1.95190000, qty = 513.79540667
2018-05-15T01:00:00, SELL COMPLETE, 980.35949425 -513.79540667 1.95590000
8756.3523444251 7751.419908521078
9796.448446934444

2018-05-15T12:00:00, SELL CREATE , price = 1.92640000, qty = 533.90282968
2018-05-15T13:00:00, SELL COMPLETE, 1018.72593895 -533.90282968 1.92640000
9784.86275553028 8756.3523444251
9784.86275553028

2018-05-16T00:00:00, BUY CREATE , price = 1.96650000, qty = 508.51767099
2018-05-16T01:00:00, BUY COMPLETE, 999.94914823 508.51767099 1.96640000
8784.913607297378 9784.86275553028
9766.251008772078

2018-05-16T12:00:00, SELL CREATE , price = 1.87230000, qty = 534.10244085
2018-05-16T13:00:00, SELL COMPLETE, 952.10307012 -534.10244085 1.87010000
9783.738581927511 8784.913607297378
9735.529200082032

2018-05-17T00:00:00, SELL CREATE , price = 1.82180000, qty = 508.51767099
2018-05-17T01:00:00, SELL COMPLETE, -928.70582253 -508.51767099 1.82630000
10712.444404454844 9783.738581927511
9728.627708412543

2018-05-17T12:00:00, BUY CREATE , price = 1.91860000, qty = 534.10244085
2018-05-17T13:00:00, BUY COMPLETE, -976.55190064 534.10244085 1.91710000
9688.516615104847 10712.444404454844
9688.516615104847

2018-05-18T00:00:00, BUY CREATE , price = 1.82600000, qty = 547.64512596
2018-05-18T01:00:00, BUY COMPLETE, 1000.00000000 547.64512596 1.82600000
8688.516615104847 9688.516615104847
9673.730196703971

2018-05-18T12:00:00, SELL CREATE , price = 1.71550000, qty = 582.92043136
2018-05-18T13:00:00, SELL COMPLETE, 939.48521358 -582.92043136 1.71550000
9688.516615104847 8688.516615104847
9629.430478555258

2018-05-19T00:00:00, SELL CREATE , price = 1.71180000, qty = 547.64512596
2018-05-19T01:00:00, SELL COMPLETE, -938.99233297 -547.64512596 1.71460000
10627.508948073084 9688.516615104847
9601.568988877514

2018-05-19T12:00:00, BUY CREATE , price = 1.74820000, qty = 582.92043136
2018-05-19T13:00:00, BUY COMPLETE, -999.50711939 582.92043136 1.74820000
9608.447449967576 10627.508948073084
9608.447449967576

2018-05-20T00:00:00, BUY CREATE , price = 1.78190000, qty = 561.19872047
2018-05-20T01:00:00, BUY COMPLETE, 1000.72955834 561.19872047 1.78320000
8607.71789163097 9608.447449967576
9611.141203825817

2018-05-20T12:00:00, BUY CREATE , price = 1.77980000, qty = 561.86088325
2018-05-20T13:00:00, BUY COMPLETE, 1000.05618609 561.86088325 1.77990000
7607.661705542645 8607.71789163097
9599.295606765907

2018-05-21T00:00:00, SELL CREATE , price = 1.83500000, qty = 561.19872047
2018-05-21T01:00:00, SELL COMPLETE, 999.80303449 -561.19872047 1.83600621
8638.026041363959 7607.661705542645
9671.288205652081

2018-05-21T12:00:00, SELL CREATE , price = 1.82210000, qty = 561.86088325
2018-05-21T13:00:00, SELL COMPLETE, 1000.98270994 -561.86088325 1.82140000
9661.399454106964 8638.026041363959
9661.399454106964

2018-05-22T00:00:00, SELL CREATE , price = 1.72830000, qty = 578.60325175
2018-05-22T01:00:00, SELL COMPLETE, -1000.69432390 -578.60325175 1.72950000
10662.093778009064 9661.399454106964
9671.728152828251

2018-05-22T12:00:00, SELL CREATE , price = 1.70800000, qty = 585.48009368
2018-05-22T13:00:00, SELL COMPLETE, -998.24355972 -585.48009368 1.70500000
11660.337337728033 10662.093778009064
9662.304683636976

2018-05-23T00:00:00, BUY CREATE , price = 1.72510000, qty = 578.60325175
2018-05-23T01:00:00, BUY COMPLETE, -993.56456224 578.60325175 1.72510000
10662.188868133635 11660.337337728033
9649.249758063377

2018-05-23T12:00:00, BUY CREATE , price = 1.60620000, qty = 585.48009368
2018-05-23T13:00:00, BUY COMPLETE, -1005.37332138 585.48009368 1.60620000
9721.790741669935 10662.188868133635
9721.790741669935

2018-05-24T00:00:00, SELL CREATE , price = 1.42770000, qty = 700.42726063
2018-05-24T01:00:00, SELL COMPLETE, -1002.17132451 -700.42726063 1.43080000
10723.962066177884 9721.790741669935
9713.245529090262

2018-05-24T12:00:00, SELL CREATE , price = 1.51700000, qty = 659.19578115
2018-05-24T13:00:00, SELL COMPLETE, -999.86816084 -659.19578115 1.51680000
11723.830227021655 10723.962066177884
9684.395664357678

2018-05-25T00:00:00, BUY CREATE , price = 1.50730000, qty = 700.42726063
2018-05-25T01:00:00, BUY COMPLETE, -1031.37633690 700.42726063 1.50830000
10667.37578981496 11723.830227021655
9669.48521631463

2018-05-25T12:00:00, BUY CREATE , price = 1.57270000, qty = 659.19578115
2018-05-25T13:00:00, BUY COMPLETE, -970.66314845 659.19578115 1.57290000
9630.526745648842 10667.37578981496
9630.526745648842

2018-05-26T00:00:00, SELL CREATE , price = 1.49030000, qty = 671.00583775
2018-05-26T01:00:00, SELL COMPLETE, -1003.42212977 -671.00583775 1.49540000
10633.94887542137 9630.526745648842
9638.109111615426

2018-05-26T12:00:00, SELL CREATE , price = 1.47670000, qty = 677.18561658
2018-05-26T13:00:00, SELL COMPLETE, -999.32281438 -677.18561658 1.47570000
11633.271689804793 10633.94887542137
9631.207380127278

2018-05-27T00:00:00, BUY CREATE , price = 1.54170000, qty = 671.00583775
2018-05-27T01:00:00, BUY COMPLETE, -996.78242637 671.00583775 1.54130000
10599.050392079502 11633.271689804791
9556.31997967346

2018-05-27T12:00:00, BUY CREATE , price = 1.42050000, qty = 677.18561658
2018-05-27T13:00:00, BUY COMPLETE, -1005.96251779 677.18561658 1.42050000
9637.108223731157 10599.050392079502
9637.108223731157

2018-05-28T00:00:00, SELL CREATE , price = 1.45970000, qty = 685.07227513
2018-05-28T01:00:00, SELL COMPLETE, -1000.20552168 -685.07227513 1.46000000
10637.313745413694 9637.108223731157
9658.688000397595

2018-05-28T12:00:00, SELL CREATE , price = 1.39770000, qty = 715.46111469
2018-05-28T13:00:00, SELL COMPLETE, -997.28124776 -715.46111469 1.39390000
11634.594993177878 10637.313745413694
9651.579766541025

2018-05-29T00:00:00, BUY CREATE , price = 1.39670000, qty = 685.07227513
2018-05-29T01:00:00, BUY COMPLETE, -977.07260365 685.07227513 1.39680000
10677.686039283242 11634.594993177878
9684.55446598425

2018-05-29T12:00:00, BUY CREATE , price = 1.35200000, qty = 715.46111469
2018-05-29T13:00:00, BUY COMPLETE, -1020.41416580 715.46111469 1.35120000
9710.954981116254 10677.686039283242
9710.954981116254

2018-05-30T00:00:00, BUY CREATE , price = 1.64500000, qty = 607.90273556
2018-05-30T01:00:00, BUY COMPLETE, 1000.00000000 607.90273556 1.64500000
8710.954981116254 9710.954981116254
9675.635832180084

2018-05-30T12:00:00, BUY CREATE , price = 1.60780000, qty = 621.96790646
2018-05-30T13:00:00, BUY COMPLETE, 1001.30613260 621.96790646 1.60990000
7709.6488485126965 8710.954981116254
9666.004078771266

2018-05-31T00:00:00, SELL CREATE , price = 1.54140000, qty = 607.90273556
2018-05-31T01:00:00, SELL COMPLETE, 989.20929661 -607.90273556 1.54140000
8646.670125108441 7709.6488485126965
9600.14692570553

2018-05-31T12:00:00, SELL CREATE , price = 1.67610000, qty = 621.96790646
2018-05-31T13:00:00, SELL COMPLETE, 1012.09683600 -621.96790646 1.66830000
9684.299183449031 8646.670125108441
9684.299183449031

2018-06-01T00:00:00, BUY CREATE , price = 1.80000000, qty = 555.55555556
==================================================
Starting Value - 10000.00
Ending   Value - 9684.30
==================================================

      Thanks

      1 Reply Last reply Reply Quote 0
      • B
        backtrader administrators last edited by

        This has been answered in your other thread: Community - How is the value calculated?

        The question here is the same: what is what you are expecting?

        1 Reply Last reply Reply Quote 0
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