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Order Getting Rejected, can't find a reason
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I used this code successfully in a different data a couple of months ago. But now, its not working. All my orders are getting rejected and I don't know why.
My dataframe looks like this:
Time Open Close percentage_12hour percentage_1day 0 2019-07-01 00:00:00 10854.10 10854.10 6.677368 6.183376 1 2019-07-01 00:30:00 11007.65 11007.65 6.677368 6.183376 2 2019-07-01 01:00:00 11091.06 11091.06 6.677368 6.183376 3 2019-07-01 01:30:00 11043.72 11043.72 6.677368 6.183376 4 2019-07-01 02:00:00 10981.15 10981.15 6.677368 6.183376percentage_12hour and percentage_1day are custom variables I made manually. I use them to determine if i should trade. So, I have defined a custom Pandas feed
class PandasData_Custom(bt.feeds.PandasData): lines = ('percentage_12hour','percentage_1day',) params = ( ('datetime', 0), ('open', 1), ('high', None), ('low', None), ('close', 2), ('volume', None), ('percentage_12hour', 2), ('percentage_1day', 2), )And I have a trivial logic to test the working:
class tradeStrategy(bt.Strategy): def __init__(self): self.dataopen = self.datas[0].open self.dataclose = self.datas[0].close self.twelve_hour = self.datas[0].percentage_12hour self.one_day = self.datas[0].percentage_1day self.buy_percentage = 0 self.order=None self.buyprice=None self.buycomm=None self.trades = io.StringIO() self.trades_writer = csv.writer(self.trades) self.operations = io.StringIO() self.operations_writer = csv.writer(self.operations) self.portfolioValue = io.StringIO() self.portfolioValue_writer = csv.writer(self.portfolioValue) def log(self, txt, dt=None): dt = dt or self.datas[0].datetime.datetime(0) print("Datetime: {} Message: {} Percentage: {}".format(dt, txt, self.buy_percentage)) def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: return if order.status in [order.Completed]: if order.isbuy(): ordertype = "BUY" #self.log("BUY EXECUTED, Price: {}, Cost: {}, Comm: {}".format(order.executed.price, order.executed.value, order.executed.comm)) self.buyprice = order.executed.price self.buycomm = order.executed.comm else: ordertype = "SELL" #self.log("SELL EXECUTED, Price: {}, Cost: {}, Comm: {}".format(order.executed.price, order.executed.value, order.executed.comm)) self.trades_writer.writerow([self.datas[0].datetime.datetime(0), ordertype, order.executed.price, order.executed.value, order.executed.comm]) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log("Order Canceled/Margin/Rejected") self.log(order.Rejected) self.trades_writer.writerow([self.datas[0].datetime.datetime(0) , 'Rejection', 0, 0, 0]) self.order = None def notify_trade(self, trade): if not trade.isclosed: return self.log('OPERATION PROFIT, GROSS: {}, NET: {}'.format(trade.pnl, trade.pnlcomm)) self.operations_writer.writerow([self.datas[0].datetime.datetime(0), trade.pnlcomm]) def notify_data(self, data, status, *args, **kwargs): print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args) if status == data.LIVE: self.datastatus = 1 def notify_store(self, msg, *args, **kwargs): print('*' * 5, 'STORE NOTIF:', msg) def get_logs(self): ''' Returns: ________ portfolioValue (df): Date and Value of portfolio trades (df): 'Date', 'Type', 'Price', 'Total Spent', 'Comission' operations (df): 'Date', 'Profit' ''' self.portfolioValue.seek(0) portfolioValueDf = pd.read_csv(self.portfolioValue, names=['Date', 'Value']) portfolioValueDf['Date'] = pd.to_datetime(portfolioValueDf['Date']) portfolioValueDf = portfolioValueDf.set_index('Date') portfolioValueDf = portfolioValueDf.resample('1D').agg({'Date': lambda x: x.iloc[0], 'Value': lambda x: x.iloc[-1]})['Date'] self.trades.seek(0) tradesDf = pd.read_csv(self.trades, names=['Date', 'Type', 'Price', 'Total Spent', 'Comission']) self.operations.seek(0) operationsDf = pd.read_csv(self.operations, names=['Date', 'Profit']) return portfolioValueDf.reset_index(), tradesDf, operationsDf def next(self): self.portfolioValue_writer.writerow([self.datas[0].datetime.datetime(0), self.broker.get_cash()]) if self.order: return if not self.position: #buy if value is much greater than the one earlier if self.twelve_hour[-6] - self.twelve_hour[0] > 1: self.log("BUY CREATE {}".format(self.dataopen[0])) self.order = self.buy() self.buy_percentage = self.twelve_hour[-6] - self.twelve_hour[0] else: #use better logic ofc if self.twelve_hour[-6] - self.twelve_hour[0] < self.buy_percentage: self.log("SELL CREATE {}".format(self.dataopen[0])) self.order = self.sell()However, when I run it, all my trades are getting rejected
data = PandasData_Custom(dataname=features) cerebro = bt.Cerebro() cerebro.adddata(data) cerebro.addstrategy(tradeStrategy) cerebro.addsizer(bt.sizers.SizerFix, stake=100) cerebro.broker.setcash(10000) cerebro.broker.setcommission(0.1/100) run = cerebro.run() portfolioValue, trades, operations = run[0].get_logs()My output looks like this:
Datetime: 2019-07-01 06:30:00 Message: BUY CREATE 11063.89 Percentage: 0 Datetime: 2019-07-01 07:00:00 Message: Order Canceled/Margin/Rejected Percentage: 65.44000000000051 Datetime: 2019-07-01 07:00:00 Message: 8 Percentage: 65.44000000000051 Datetime: 2019-07-01 07:00:00 Message: BUY CREATE 10960.4 Percentage: 65.44000000000051 Datetime: 2019-07-01 07:30:00 Message: Order Canceled/Margin/Rejected Percentage: 178.97000000000116 Datetime: 2019-07-01 07:30:00 Message: 8 Percentage: 178.97000000000116 Datetime: 2019-07-01 07:30:00 Message: BUY CREATE 10945.96 Percentage: 178.97000000000116 Datetime: 2019-07-01 08:00:00 Message: Order Canceled/Margin/Rejected Percentage: 159.6200000000008 Datetime: 2019-07-01 08:00:00 Message: 8 Percentage: 159.6200000000008 Datetime: 2019-07-01 08:00:00 Message: BUY CREATE 10983.7 Percentage: 159.6200000000008 Datetime: 2019-07-01 08:30:00 Message: Order Canceled/Margin/Rejected Percentage: 160.90999999999985 Datetime: 2019-07-01 08:30:00 Message: 8 Percentage: 160.90999999999985 Datetime: 2019-07-01 08:30:00 Message: BUY CREATE 10998.0 Percentage: 160.90999999999985 Datetime: 2019-07-01 09:00:00 Message: Order Canceled/Margin/Rejected Percentage: 165.35000000000036 Datetime: 2019-07-01 09:00:00 Message: 8 Percentage: 165.35000000000036 Datetime: 2019-07-01 11:30:00 Message: BUY CREATE 10964.0 Percentage: 165.35000000000036 Datetime: 2019-07-01 12:00:00 Message: Order Canceled/Margin/Rejected Percentage: 34.0 Datetime: 2019-07-01 12:00:00 Message: 8 Percentage: 34.0 Datetime: 2019-07-01 12:00:00 Message: BUY CREATE 11020.87 Percentage: 34.0 Datetime: 2019-07-01 12:30:00 Message: Order Canceled/Margin/Rejected Percentage: 157.2599999999984 Datetime: 2019-07-01 12:30:00 Message: 8 Percentage: 157.2599999999984 Datetime: 2019-07-01 12:30:00 Message: BUY CREATE 10748.3 Percentage: 157.2599999999984 Datetime: 2019-07-01 13:00:00 Message: Order Canceled/Margin/Rejected Percentage: 342.3299999999999 Datetime: 2019-07-01 13:00:00 Message: 8 Percentage: 342.3299999999999 Datetime: 2019-07-01 13:00:00 Message: BUY CREATE 10665.04 Percentage: 342.3299999999999 Datetime: 2019-07-01 13:30:00 Message: Order Canceled/Margin/Rejected Percentage: 442.1299999999992 Datetime: 2019-07-01 13:30:00 Message: 8 Percentage: 442.1299999999992 Datetime: 2019-07-01 13:30:00 Message: BUY CREATE 10708.9 Percentage: 442.1299999999992 Datetime: 2019-07-01 14:00:00 Message: Order Canceled/Margin/Rejected Percentage: 295.77000000000044 Datetime: 2019-07-01 14:00:00 Message: 8 Percentage: 295.77000000000044 Datetime: 2019-07-01 14:00:00 Message: BUY CREATE 10578.21 Percentage: 295.77000000000044 Datetime: 2019-07-01 14:30:00 Message: Order Canceled/Margin/Rejected Percentage: 416.2400000000016 Datetime: 2019-07-01 14:30:00 Message: 8 Percentage: 416.2400000000016 Datetime: 2019-07-01 14:30:00 Message: BUY CREATE 10606.07 Percentage: 416.2400000000016 Datetime: 2019-07-01 15:00:00 Message: Order Canceled/Margin/Rejected Percentage: 357.9300000000003 Datetime: 2019-07-01 15:00:00 Message: 8 Percentage: 357.9300000000003 Datetime: 2019-07-01 15:00:00 Message: BUY CREATE 10294.35 Percentage: 357.9300000000003 Datetime: 2019-07-01 15:30:00 Message: Order Canceled/Margin/Rejected Percentage: 726.5200000000004 Datetime: 2019-07-01 15:30:00 Message: 8 Percentage: 726.5200000000004 Datetime: 2019-07-01 15:30:00 Message: BUY CREATE 10109.56 Percentage: 726.5200000000004 Datetime: 2019-07-01 16:00:00 Message: Order Canceled/Margin/Rejected Percentage: 638.7399999999998 Datetime: 2019-07-01 16:00:00 Message: 8 Percentage: 638.7399999999998 Datetime: 2019-07-01 16:00:00 Message: BUY CREATE 10390.17 Percentage: 638.7399999999998 Datetime: 2019-07-01 16:30:00 Message: Order Canceled/Margin/Rejected Percentage: 274.8700000000008 Datetime: 2019-07-01 16:30:00 Message: 8 Percentage: 274.8700000000008 Datetime: 2019-07-01 16:30:00 Message: BUY CREATE 10451.0 Percentage: 274.8700000000008 Datetime: 2019-07-01 17:00:00 Message: Order Canceled/Margin/Rejected Percentage: 257.89999999999964 Datetime: 2019-07-01 17:00:00 Message: 8 Percentage: 257.89999999999964 Datetime: 2019-07-01 17:00:00 Message: BUY CREATE 10317.18 Percentage: 257.89999999999964 Datetime: 2019-07-01 17:30:00 Message: Order Canceled/Margin/Rejected Percentage: 261.02999999999884My trades are getting rejected but notify_store does not notify anything. It is written here. "The reason will be notified via the notify_store method of the strategy". But it seems I am not getting notified. What am I doing wrong?
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@warproxxx said in Order Getting Rejected, can't find a reason:
I used this code successfully
@warproxxx said in Order Getting Rejected, can't find a reason:
in a different data
@warproxxx said in Order Getting Rejected, can't find a reason:
cerebro.broker.setcash(10000)
@warproxxx said in Order Getting Rejected, can't find a reason:
Datetime: 2019-07-01 06:30:00 Message: BUY CREATE 11063.89 Percentage: 0
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Thank you. This was really foolish of me.
