order.execute.price vs order.execute.value

maxpaton

Taking the QuickStart section as an example, assuming the a stake size of 1, how is order.executed.price different from order.executed.value? In the Quickstart section it logs order.executed.value as 'cost'.

When I use it in work of my own in the same way, order.executed.value ('cost') is sometimes the same value as order.executed.price ('price'), and other times it differs slightly...

backtrader

@maxpaton said in order.execute.price vs order.execute.value:

and other times it differs slightly

How? What are you expecting? Can you give us a code example?

maxpaton

@backtrader Sorry, I have realised the mistake I was making. But, would it be possible just to tell me how order.execute.value is calculated in the notify trade() method?

Here is the code:

def notify_order(self, order):
    if order.status in [order.Submitted, order.Accepted]:
        return
    
    if order.status in [order.Completed]:
        if order.isbuy():
            self.log('BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm: %.2f' %
                     (order.executed.price,
                      order.executed.value,
                      order.executed.comm))
            
            self.buyprice = order.executed.price
            self.buycomm = order.executed.comm
                     
        else:
            self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm: %.2f' % 
                     (order.executed.price,
                      order.executed.value,
                      order.executed.comm))
            
        self.bar_executed = len(self)
            
    elif order.status in [order.Cancelled, order.Margin, order.Rejected]:
        self.log('Order Cancelled/Margin/Rejected')

backtrader

@maxpaton said in order.execute.price vs order.execute.value:

how order.execute.value is calculated in the notify trade() method?

Let's assume you mean notify_order. The value is calculated by the commission scheme which is assigned for the given asset and takes into consideration if you are using stock-like assets or future-like assets. You can customize it if you wish by adding your own commission schemes.

The default is just the size * price for stocks.

See for example: Docs - Extending Commissions

There are some other pages on the topic

P.S.
That code doesn't help. You are not telling us nothing, but that you are printing things out and not what the problem is.

maxpaton

@backtrader Yes I did mean notify_order, thanks. I agree, not sure why I added the code, as all I wanted to know was how order.executed.value is calculated.

Cheers