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    Problem with multiple stocks.

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    • S
      Sasha last edited by Sasha

      Hi, I am new at Backtrader.
      I have two stocks and use a simple algorithm in the long position
      If I buy and sell in that order
      self.buy(first_stock)
      self.sell(first_stock)
      self.buy(second_stock)
      self.sell(second_stock)

      The code works correctly and after each sell operation notify_trade(self, trade) function is called and print profit etc.
      I have problem,when this situation happens
      self.buy(first_stock)
      self.buy(second_stock)
      self.sell(first_stock)
      self.sell(second_stock)
      In this situation notify_trade(self, trade) function is not called

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

import datetime  # For datetime objects
import os 


# Import the backtrader platform
import backtrader as bt
import numpy as np

# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 10),
        ('oneplot', True),
        #('order_pct', round(0.95/len(self.datas),2)),
    )

    def log(self, txt, dt=None):
        ''' Logging function fot 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

        # To keep track of pending orders and buy price/commission
        self.order = None
        self.buyprice = None
        self.buycomm = None
        
        self.buy_price = [1,1]
        self.entry = None
        self.sum = 0
        self.pos = [None, None]
        self.trading = False
        self.lose = 0
        
        self.order_pct = round(0.95/len(self.datas),2)
        
        # self.number_stake = 100
        # Add a MovingAverageSimple indicator
        self.sma = []
        
        for i, d in enumerate(self.datas):
            self.sma.append(bt.indicators.SimpleMovingAverage(
                self.datas[i], period=self.params.maperiod))    
                
    def next(self):
        for i, d in enumerate(self.datas):
            #self.log('{}, {}'.format(d._name, self.buy_price[i]))
            dt, dn = self.datetime.date(), d._name
            pos = self.getposition(d).size
             
            day_close = d.close[0]
            date = d.datetime.date
            symbol = d._name
            
            if self.order:
                return

            if not pos:
                if (day_close > self.sma[i][0]) :

                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    diff = ((day_close/self.sma[i][0])-1)*100
                    
                    self.log("BUY CREATE {} in long , {}, SMA: {}".format(
                              d._name,
                              day_close, 
                              self.sma[i][0]))
                    
                    # Keep track of the created order to avoid a 2nd order
                    amount_to_invest = (self.order_pct * self.broker.cash)
                    self.size = amount_to_invest // day_close

                    self.order = self.buy(data=d, exectype=bt.Order.Close, size=self.size)

                    self.buy_price[i] = day_close

                    self.log(('Number of stocks: {}').format(self.size))

            else:
                if ((day_close > self.buy_price[i] * 1.06) or
                    (day_close < self.buy_price[i] * 0.97)) :
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    
                    self.log('SELL CREATE %s in long, %.2f, SMA: %.2f, DIFF: %.2f' % 
                             (d._name,
                              day_close, 
                              self.sma[i][0], 
                              ( (day_close/self.buy_price[i])-1)*100 ))

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell(data=d, exectype=bt.Order.Close, size=self.size)
                    self.buy_price[i] = 1
                        
                    
    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]:
            # order.executed.value = order.executed.price * self.p.stake
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.price * self.size,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Profit %.2f, Comm %.2f' %
                         (order.executed.price,
                          #order.executed.value,
                          order.executed.price * self.size,
                          order.executed.comm))

            self.bar_executed = len(self)
        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.sum+=trade.pnlcomm
        
        
        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f, SUM %.2f' %
                 (trade.pnl, trade.pnlcomm, self.sum))
        
    def notify_cashvalue(self,cash, value):
        for i in self.buy_price:
            if i != 1 or self.trading:
                self.log('Cash %.2f, Value %.2f' % (cash, value))


if __name__ == '__main__':
    
    def read_data(file_name):    
        datapath = os.path.abspath(os.getcwd() + '/datas/' + file_name)
        return bt.feeds.YahooFinanceCSVData(
                dataname=datapath,
                # Do not pass values before this date
                fromdate=datetime.datetime(2016, 2, 1),
                # Do not pass values before this date
                todate=datetime.datetime(2016, 3, 1),
                # Do not pass values after this date
                reverse=False)
    
        
    # Create a cerebro entity
    cerebro = bt.Cerebro()

        
    # Add a strategy
    strategy = TestStrategy
    cerebro.addstrategy(strategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere

    data0 = read_data('labu.csv')
    data1 = read_data('TQQQ.csv')
    data2 = read_data('SOXL.csv')
    
    # Add the Data Feed to Cerebro
    cerebro.adddata(data0, name='LABU')
    
    data1.plotinfo.plotmaster = data0
    cerebro.adddata(data1, name='TQQQ')

#     data2.plotinfo.plotmaster = data0
#     cerebro.adddata(data2, name='data2')

    #cerebro.addobserver(bt.observers.DrawDown)
    #cerebro.adddata(get_data(datapath0))
    # Set our desired cash start
    cerebro.broker.setcash(100000.0)

    # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize)

    # Set the commission
    cerebro.broker.setcommission(commission=0.00)

    start_value = cerebro.broker.getvalue()
    # Run over everything
    results = cerebro.run()
    strat = results[0]

    # Print out the starting conditions
    print('Start capital: %.2f' % start_value)
    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

      Output:

      2016-02-17, SELL CREATE labu in long, 28.60, SMA: 24.13, DIFF: 12.60
2016-02-18, SELL EXECUTED, Price: 25.68, Profit 47508.00, Comm 0.00
2016-02-18, OPERATION PROFIT, GROSS -5402.00, NET -5402.00, SUM -5402.00
2016-02-18, BUY CREATE 0 in long , 25.68, SMA: 24.016
2016-02-18, Number of stocks: 1731.0
2016-02-19, BUY EXECUTED, Price: 26.96, Cost: 46667.76, Comm 0.00
2016-02-19, Cash 47930.24, Value 94598.00
2016-02-19, BUY CREATE 1 in long , 13.8, SMA: 12.718
2016-02-19, Number of stocks: 1632.0
2016-02-22, BUY EXECUTED, Price: 14.45, Cost: 23582.40, Comm 0.00
2016-02-22, Cash 24347.84, Value 96052.04
2016-02-22, Cash 24347.84, Value 96052.04
2016-02-22, SELL CREATE labu in long, 27.80, SMA: 24.14, DIFF: 8.26
2016-02-23, SELL EXECUTED, Price: 24.20, Profit 39494.40, Comm 0.00
2016-02-23, Cash 63842.24, Value 88645.40
2016-02-23, SELL CREATE labu in long, 24.20, SMA: 24.47, DIFF: 2320.00
2016-02-24, SELL EXECUTED, Price: 24.76, Profit 40408.32, Comm 0.00
2016-02-24, OPERATION PROFIT, GROSS -4722.12, NET -4722.12, SUM -10124.12
2016-02-24, Cash 104250.56, Value 89369.96
2016-02-24, SELL CREATE labu in long, 24.76, SMA: 24.83, DIFF: 2376.00
2016-02-25, SELL EXECUTED, Price: 24.24, Profit 39559.68, Comm 0.00
2016-02-25, Cash 143810.24, Value 90787.28
2016-02-25, SELL CREATE labu in long, 24.24, SMA: 25.12, DIFF: 2324.00
2016-02-26, SELL EXECUTED, Price: 25.52, Profit 41648.64, Comm 0.00
2016-02-26, Cash 185458.88, Value 86687.12
2016-02-26, SELL CREATE labu in long, 25.52, SMA: 25.59, DIFF: 2452.00
2016-02-29, SELL EXECUTED, Price: 23.52, Profit 38384.64, Comm 0.00
2016-02-29, Cash 223843.52, Value 95660.96
2016-02-29, SELL CREATE labu in long, 23.52, SMA: 25.67, DIFF: 2252.00
      1 Reply Last reply Reply Quote 0
      • B
        backtrader administrators last edited by

        After the trade in your log is closed

        @sasha said in Problem with multiple stocks.:

        2016-02-24, OPERATION PROFIT, GROSS -4722.12, NET -4722.12, SUM -10124.12

        you only have SELL orders. How do you expect a trade to be closed if you don't buy what you have sold?

        S 1 Reply Last reply Reply Quote 0
        • S
          Sasha @backtrader last edited by Sasha

          @backtrader said in Problem with multiple stocks.:

          you only have SELL orders. How do you expect a trade to be closed if you don't buy what you have sold?
          Sorry, output was not correct.
          Correct output:

          2016-02-16, BUY CREATE LABU in long , 25.4, SMA: 23.916
2016-02-16, Number of stocks: 1850.0
2016-02-17, BUY EXECUTED, Price: 28.60, Cost: 52910.00, Comm 0.00
2016-02-17, Cash 47090.00, Value 100000.00
2016-02-17, SELL CREATE LABU in long, 28.60, SMA: 24.13, DIFF: 12.60
2016-02-18, SELL EXECUTED, Price: 25.68, Profit 47508.00, Comm 0.00
2016-02-18, OPERATION PROFIT, GROSS -5402.00, NET -5402.00, SUM -5402.00
2016-02-18, BUY CREATE LABU in long , 25.68, SMA: 24.016
2016-02-18, Number of stocks: 1731.0
2016-02-19, BUY EXECUTED, Price: 26.96, Cost: 46667.76, Comm 0.00
2016-02-19, Cash 47930.24, Value 94598.00
2016-02-19, BUY CREATE TQQQ in long , 13.8, SMA: 12.718
2016-02-19, Number of stocks: 1632.0
2016-02-22, BUY EXECUTED, Price: 14.45, Cost: 23582.40, Comm 0.00
2016-02-22, Cash 24347.84, Value 96052.04
2016-02-22, Cash 24347.84, Value 96052.04
2016-02-22, SELL CREATE LABU in long, 27.80, SMA: 24.14, DIFF: 8.26
2016-02-23, SELL EXECUTED, Price: 24.20, Profit 39494.40, Comm 0.00
2016-02-23, Cash 63842.24, Value 88645.40
2016-02-23, SELL CREATE LABU in long, 24.20, SMA: 24.47, DIFF: 2320.00
2016-02-24, SELL EXECUTED, Price: 24.76, Profit 40408.32, Comm 0.00
2016-02-24, OPERATION PROFIT, GROSS -4722.12, NET -4722.12, SUM -10124.12
2016-02-24, Cash 104250.56, Value 89369.96
2016-02-24, SELL CREATE LABU in long, 24.76, SMA: 24.83, DIFF: 2376.00
2016-02-25, SELL EXECUTED, Price: 24.24, Profit 39559.68, Comm 0.00
2016-02-25, Cash 143810.24, Value 90787.28
2016-02-25, SELL CREATE LABU in long, 24.24, SMA: 25.12, DIFF: 2324.00
2016-02-26, SELL EXECUTED, Price: 25.52, Profit 41648.64, Comm 0.00
2016-02-26, Cash 185458.88, Value 86687.12
2016-02-26, SELL CREATE LABU in long, 25.52, SMA: 25.59, DIFF: 2452.00
2016-02-29, SELL EXECUTED, Price: 23.52, Profit 38384.64, Comm 0.00
2016-02-29, Cash 223843.52, Value 95660.96
2016-02-29, SELL CREATE LABU in long, 23.52, SMA: 25.67, DIFF: 2252.00
Start capital: 100000.00
Final Portfolio Value: 95660.96

          I have both buy and sell orders.
          This code will work correctly if I use only one stock. If I use for several stocks, there is a problem with sell orders. Above it can be seen that until the stock TQQQ occurs, the LABU is trading successfully. When two stocks are combined, an error occurs.
          I realized that after the SELL the trade does not close, I can not understand why it is re-executed. What do I need to fix in the code?

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

            Small tip: you print the size of what you buy.

            Why don't you print the size of what you sell?

            You SELL and SELL and SELL and given that your expectation is that the trade will be closed, you are (obviously) apparently not selling the same size that you are buying.

            S 1 Reply Last reply Reply Quote 0
            • S
              Sasha @backtrader last edited by

              @backtrader Thanks. You helped me a lot

              ----------------------------------------
2016-02-16, BUY CREATE LABU in long , 25.4, SMA: 23.916
2016-02-16, Number of stocks: 1850.0
2016-02-17, BUY EXECUTED, Price: 28.60, Cost: 52910.00, Comm 0.00
2016-02-17, Cash 47090.00, Value 100000.00
----------------------------------------
2016-02-17, SELL CREATE LABU in long, 28.60, SMA: 24.13, DIFF: 12.60
2016-02-17, Number of stocks 1850.00
2016-02-18, SELL EXECUTED, Price: 25.68, Profit 47508.00, Comm 0.00
2016-02-18, OPERATION PROFIT, GROSS -5402.00, NET -5402.00, SUM -5402.00
----------------------------------------
2016-02-18, BUY CREATE LABU in long , 25.68, SMA: 24.016
2016-02-18, Number of stocks: 1731.0
2016-02-19, BUY EXECUTED, Price: 26.96, Cost: 46667.76, Comm 0.00
2016-02-19, Cash 47930.24, Value 94598.00
----------------------------------------
2016-02-19, BUY CREATE TQQQ in long , 13.8, SMA: 12.718
2016-02-19, Number of stocks: 1632.0
2016-02-22, BUY EXECUTED, Price: 14.45, Cost: 23582.40, Comm 0.00
2016-02-22, Cash 24347.84, Value 96052.04
2016-02-22, Cash 24347.84, Value 96052.04
----------------------------------------
2016-02-22, SELL CREATE LABU in long, 27.80, SMA: 24.14, DIFF: 8.26
2016-02-22, Number of stocks 1632.00
2016-02-23, SELL EXECUTED, Price: 24.20, Profit 39494.40, Comm 0.00
2016-02-23, Cash 63842.24, Value 88645.40
----------------------------------------
2016-02-23, SELL CREATE LABU in long, 24.20, SMA: 24.47, DIFF: 2320.00
2016-02-23, Number of stocks 1632.00
2016-02-24, SELL EXECUTED, Price: 24.76, Profit 40408.32, Comm 0.00
2016-02-24, OPERATION PROFIT, GROSS -4722.12, NET -4722.12, SUM -10124.12
2016-02-24, Cash 104250.56, Value 89369.96

              The problem was with the size of stocks.

              1 Reply Last reply Reply Quote 0
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