3. Same bar order execution
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Same bar order execution

  • V

    I have trading signals for each day, telling me whether to buy hold or sell. According to my current understanding by default the platform executes on the next bar - which in my case is the next day.
    A hacky way to solve this would be – I assume to shift all signals "up" one day in my CSV. This would be not suitable for a live strategy.
    How can I tell backtrader to execute either on opening or on the close price of the same bar/day I am currently looking at?
    I looked at the cheat-on-options, but not sure if this is the solution.
    Thanks

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  • B
    administrators

    Could you please elaborate a bit?

    @valentin said in Same bar order execution:

    I have trading signals for each day

    Do you have them? Are they generated with the data?

    @valentin said in Same bar order execution:

    According to my current understanding by default the platform executes on the next bar

    I don't know where your understanding has come from. Order execution is described in the docs. It has nothing to do with default, it has to do with order execution type. Docs - Order Management and Execution

    Things work as described for a good reason, to be as accurate as possible with backtesting, given the usual inherent limitations the data has, when compared to live action.

    @valentin said in Same bar order execution:

    I looked at the cheat-on-options, but not sure if this is the solution

    Neither can I know, given the lack of actual information. But the name cheat-on-xxxx was chosen for good reasons.

    @valentin said in Same bar order execution:

    How can I tell backtrader to execute either on opening or on the close price of the same bar/day I am currently looking at?

    Apparently you already read the pertinent docs, what else would you be expecting?

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  • V

    Thank you. Your hints were enough to find a solution for now.
    For testing I simply shift the signal simply up a row. For live purposes I will find another way

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  • @valentin can you tell me how you did it? My orders get executed on next bar if I use cheat on close. The logic is clear why I want to execute on same bar. I just need a way to do execute the placed orders on the same bars close price.

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