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Cheat_on_open true: how to execute the order on another price than the next open price



  • For now my code looks like this:

    class TestStrategy(bt.Strategy):
        params = (
            ('maperiod', 60),
        )
        
        def log(self, txt, dt=None):
            ''' Logging function for this strategy'''
            dt = dt or self.datas[0].datetime.date(0)
            print('%s, %s' % (dt.isoformat(), txt))
    
        def __init__(self):
            # Keep a reference to the "close" line in the data[0] dataseries
            self.dataclose = self.datas[0].close
            self.data_cpa = self.datas[0].high
            self.data_cpb = self.datas[0].low
            
            
            self.order = None
            self.buyprice = None
            self.buycomm = None
            
            self.sma = bt.indicators.SimpleMovingAverage(
            self.datas[0], period=self.params.maperiod)
    
        def notify_order(self, order):
            if order.status in [order.Submitted, order.Accepted]:
                # Buy/Sell order submitted/accepted to/by broker - Nothing to do
                return
    
            # Check if an order has been completed
            # Attention: broker could reject order if not enough cash
            if order.status in [order.Completed]:
                if order.isbuy():
                    self.log('BUY EXECUTED, %.8f' % order.executed.price)
                elif order.issell():
                    self.log('SELL EXECUTED, %.8f' % order.executed.price)
    
                self.bar_executed = 0
    
            elif order.status in [order.Canceled, order.Margin, order.Rejected]:
                self.log('Order Canceled/Margin/Rejected')
    
            # Write down: no pending order
            self.order = None
            
        def notify_trade(self, trade):
            if not trade.isclosed:
                return
    
            self.log('OPERATION PROFIT, GROSS %.8f, NET %.f' %
                     (trade.pnl, trade.pnlcomm))
        
        def next(self):
            # Simply log the closing price of the series from the reference
            self.log('Close, %.8f' % self.dataclose[0])
    
            if self.order:
                return
    
            # Check if we are in the market
            if not self.position:
    
    
                if self.dataclose[0] > self.sma[0]:
    
                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    self.log('BUY CREATE, %.8f' % self.dataclose[0])
    
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy(price= self.dataclose[0])
    
                
            else:
                
                if self.dataclose[0] < self.sma[0]:
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    self.log('SELL CREATE, %.8f' % self.dataclose[0])
    
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell(price= self.dataclose[0])
             
        
        
    
    if __name__ == '__main__':
        # Create a cerebro entity
        cerebro = bt.Cerebro(cheat_on_open=True)
    
        # Add a strategy
        cerebro.addstrategy(TestStrategy)
        
        # retrieve the csv file
        modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
        datapath = os.path.join(modpath, './datas/zrxeth_sample.txt')
    
        # Create a Data Feed
        data = bt.feeds.GenericCSVData(
        dataname = datapath,
    
        fromdate=datetime.datetime(2018, 9, 28),
        todate=datetime.datetime(2018, 12, 3),
    
        nullvalue=0.0,
    
        dtformat=('%Y-%m-%d %H:%M:%S'),
    
            datetime=0,
            high=1,
            low=2,
            open=3,
            close=4,
            volume=5,
            openinterest=-1
        )
        
        # Add the Data Feed to Cerebro
        cerebro.adddata(data)
    
        # Set our desired cash start
        cerebro.broker.setcash(100.0)
    
        # Print out the starting conditions
        print('Starting Portfolio Value: %.8f' % cerebro.broker.getvalue())
    
        # Run over everything
        cerebro.run()
    
        # Print out the final result
        print('Final Portfolio Value: %.8f' % cerebro.broker.getvalue())
    

    From my understanding of the library, when you use the parameter cheat_on_open=True, you can authorize the order the order to be executed directly and not the day after. However, the executed order takes as price the next open price, how is it possible to choose which price the order will apply? Thanks!


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