Buy/Sell Markers

ThatBlokeDave

I noticed that the when using multiple data feeds, the buy and sell markers can appear on different dates even though notify_order() reports them both being filled on the same date.

Not sure if this is a misunderstanding on my part or not....

Anyway, I created an example script to reproduce the phenomenon. The script will attempt to use order_target_percent() at fixed dates. As such, I would expect them to be filled on the same date (which they appear to be!)

import backtrader as bt
from datetime import datetime

class TestStrategy(bt.Strategy):

    def __init__(self):
        pass

    def next(self):

        for i, d in enumerate(self.datas):
            dt = d.datetime.datetime().date()
            dn = d._name
            pos = self.getposition(d).size
            #print(dt,type(dt))
            if dt == datetime(2017,6,1).date():
                print('{} Sending Order: {} | Current Pos: {}'.format(dt,dn,pos))

                if dn == 'AAPL':
                    self.order_target_percent(d, target=0.3)
                else:
                    self.order_target_percent(d, target=0.7)

            if dt == datetime(2017,9,1).date():
                print('{} Sending Order: {} | Current Pos: {}'.format(dt,dn,pos))
                if dn == 'AAPL':
                    self.order_target_percent(d, target=0.1)
                else:
                    self.order_target_percent(d, target=0.1)


    def notify_order(self, order):
        date = self.data.datetime.datetime().date()

        if order.status == order.Completed:
            print('{} >> Order Completed >> Stock: {},  Ref: {}, Size: {}, Price: {}'.format(

                                                        date,
                                                        order.data._name,
                                                        order.ref,
                                                        order.size,
                                                        'NA' if not order.price else round(order.price,5)
                                                        ))


    def notify_trade(self, trade):
        date = self.data.datetime.datetime().date()
        if trade.isclosed:
            print('{} >> Notify Trade >> Stock: {}, Close Price: {}, Profit, Gross {}, Net {}'.format(
                                                date,
                                                trade.data._name,
                                                trade.price,
                                                round(trade.pnl,2),
                                                round(trade.pnlcomm,2)))

startcash = 10000

#Create an instance of cerebro
cerebro = bt.Cerebro()

# data lists
data = bt.feeds.Quandl(
    dataname='AAPL',
    fromdate = datetime(2017,1,1),
    todate = datetime(2018,1,1),
    buffered= True
    )

data2 = bt.feeds.Quandl(
    dataname='F',
    fromdate = datetime(2017,1,1),
    todate = datetime(2018,1,1),
    buffered= True
    )

data_list = [(data, 'AAPL'), (data2, 'F')]

#Add our strategy
cerebro.addstrategy(TestStrategy)

# Create a Data Feed
for asset in data_list:

    # Add the data
    cerebro.adddata(
                asset[0],
                name=asset[1])


# Set our desired cash start
cerebro.broker.setcash(startcash)
cerebro.broker.set_checksubmit(False)

# Run over everything
cerebro.run()

cerebro.plot(style='candlestick')

This will then result in an output and chart that looks like this:

alt text

Am I being a dumbo and missing something obvious?

backtrader

I don't think so. The data feeds don't probably fully align, but there is only a master temporal axis which is tied to the strategy which is the one used by the observers. The wrongly displaced marker cannot have happened where displayed, because the price from the order execution is not reached (it is reached in the previous bar, which matches the log)