Check the order status of Multiple Stocks

cwse

Hi there,

My strategy has a datas set with many stocks.

In the next() module, how do I check for the order status of EACH stock as I am looping through them?

I know that if I only had one stock I would use:

if self.isorder():
    return

However each stock for me is referenced to as d for d in self.datas.

If possible, I would also appreciate advice on how to update the following notify_order and notify_trade code to work with these multiple dataframes "d":

    def notify_order(self, order):  # Methods (def in Class) have access to all the data contained on the instance of the object; they can access and modify anything previously set on self.
        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.Canceled, order.Margin]:
            if order.isbuy():
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
                self.log('BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %(self.buyprice,order.executed.value,self.buycomm))

            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %(order.executed.price,order.executed.value, order.executed.comm))

            self.bar_executed = len(self)  # i.e. num bars elapsed. If using daily data => this is number of days stock held.

        self.order = None # Write down: no pending order

    def notify_trade(self, trade):
        if trade.isclosed:
            self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %(trade.pnl, trade.pnlcomm))

Thank you!!!!
cwe

ab_trader

Could you please give a reference where self.isorder is shown in docs or examples?
I didn't see such check in there, maybe I missed it.

cwse

it was in one of the doc examples or a blog post... cant remember which :D

Seems like a useful functionality, but only if I can apply it with multiple dataframes!!

backtrader

@cwse said in Check the order status of Multiple Stocks:

if self.isorder():
return

This is certainly unknown as pointed out by @ab_trader

order instances carry a reference to the data feed which is targeted by the order. The attribute is data.

Data feeds also carry an _id attribute holding a scalar value for ease of comparison (in case operator overloading could get in the way when looking to compare to data feed instances)

cwse

@ab_trader and @backtrader, appologies for the typo, I meant:

if self.order: 
    return

Nonetheless my question still stands. When I create orders I do it as follows:

self.order = self.buy(data=d)

so how can I check if a specific stock order is outstanding using self.order?
Can I do this?

if self.order(data=d)

... to check if a specific STOCK has an order in process?

Thanks!

backtrader

self.order in that context is just a member attribute in a specific Strategy subclass which is used as a sentinel and starts with None and is either None for not having an order active or contains an Order instance which evaluates to True

The question still stands, but the answer was already provided. Order instances contain the data for which it was created as a parameter (thanks to python overriding can also be reached as an attribute)

Using object identification or the allocated _id as pointed out above: if self.order.data is d or if self.order.data._id == d._id

cwse

Thanks @backtrader, but if I have many orders processing, that logic wouldn't check through all of them, to make sure that this particular stock doesn't have an outstanding order would it? The way the code is written it would seem that it just checks a random order to see if it equals this one, but doesnt check all orders?

backtrader

d stands for one of the data feeds. You would be looping over the data feeds in self.data to check for which one this order is.

There is no solution without looping if you have multiple stocks. At some point you have to go over each data feed to check for what you specifically want to know about the things surrounding that particular stock, be it price, be it indicators associated to it, be it orders.

cwse

Hi Backtrader, got an error on that:

  File "T:/Google Drive/PyCharm/Backtrader.py", line 139, in next
    if self.order.data is d: #if self.order.data is d or if self.order.data._id == d._id    dont re-order if have a pending order
AttributeError: 'NoneType' object has no attribute 'data'

backtrader

@cwse said in Check the order status of Multiple Stocks:

AttributeError: 'NoneType' object has no attribute 'data'

cwse

This is what I have in next() and that error is occuring:

    def next(self):  # Methods (def in Class) have access to all the data contained on the instance of the object; they can access and modify anything previously set on self.

        for i, d in enumerate(d for d in self.datas if len(d)):  # Loop through Universe of Stocks

            if self.broker.getposition(d).size:
                self.log('Stock: %s, Close: %.2f, score: %.2f, posn: %.2f' %
                         (d._name,d.close[0], d.lines.TOTAL_SCORE[0], self.broker.getposition(d).size))

            if d.lines.TOTAL_SCORE[0] >= args.buyscore:
                if self.order.data is d: #if self.order.data is d or if self.order.data._id == d._id    dont re-order if have a pending order
                    return
                # BUY!
                self.log('CREATE BUY: %s, Close: %.2f, score: %.2f' %(d._name,d.close[0],d.lines.TOTAL_SCORE[0]))
                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(data=d)

            if d.lines.TOTAL_SCORE[-1] >= args.buyscore and d.lines.TOTAL_SCORE[0] < args.buyscore:
                if self.order.data is d: #if self.order.data is d or if self.order.data._id == d._id    dont re-order if have a pending order
                    return
                # SELL! i.e. yesterday we owned it(with all possible default parameters)
                self.log('CREATE SELL: %s, Close: %.2f, score: %.2f' %(d._name,d.close[0],d.lines.TOTAL_SCORE[0]))
                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell(data=d)

backtrader

@backtrader said in Check the order status of Multiple Stocks:

@cwse said in Check the order status of Multiple Stocks:

AttributeError: 'NoneType' object has no attribute 'data'

cwse

Sorry? Could you please elaborate?

backtrader

NoneType... you are checking something which is None and that contains no attributes. Null pointer ... basics of Python

cwse

Yes, because the __init__(self) sets it to None if self.order.data is d: ... and you told me to check in next() like so:
if self.order.data is d:

I am doing my best to read in between the lines here, but It would be awesome if you could just tell me what I should be coding here and save us all the time!

Brad Lloyd

@cwse
I use the following for multiple symbols

in your init where you define self.order = None, make it a dict , self.order = {}

def __init__(self):
    self.order = {}
    for i, d in enumerate(d for d in self.datas if len(d)):
       self.order[d._name] = None

def notify(self, order):
# standard code for notification 
    self.order[order.data._name] = None

def next(self):
   for i, d in enumerate(d for d in self.datas if len(d)):
       if not self.order[d._name]:
          continue

cwse

Thank you @BRAD LLOYD, that seems like a great way to tackle it.

I implemented your code in my strategy, however I am getting a key error for one of my stock data frames in next(), any idea why this might be? The dictionary key should be established in INIT?
Perhaps the self.order dict needs to be defined prior to init?

I have also assumed the dictionary logic applied to self.order, should also apply to self.buyprice and self.buycomm ... it would be great to get your thoughts on this!

I have copied my full strategy below in case you can see any obvious errors.

Thank you,
CWE

class TestStrategy(bt.Strategy):
    # Attributes which apply to ALL instances of a Class object are defined here, i.e. prior to __init__
    args = parse_args()
    params = (
        ('printlog', True),
    )

    def log(self, txt, dt=None, doprint=False):
        ''' Logging function for this strategy'''
        if self.p.printlog or doprint:  # NB: self.p = self.params
            dt = dt or self.datas[0].datetime.date(0)
            print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):  # __init__ = creates object defined by the Class. INITIALISES the object - sets all attributes
        # To keep track of pending orders and buy price/commission

        self.order = {}
        self.buyprice = {}
        self.buycomm = {}
        for i, d in enumerate(d for d in self.datas if len(d)):
            self.order[d._name] = None
            self.buyprice[d._name] = None
            self.buycomm[d._name] = None


    def notify_order(self, order):  # Methods (def in Class) have access to all the data contained on the instance of the object; they can access and modify anything previously set on self.
        if order[order.data._name].status in [order[order.data._name].Submitted, order[order.data._name].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[order.data._name].status in [order[order.data._name].Completed, order[order.data._name].Canceled, order[order.data._name].Margin]:
            if order[order.data._name].isbuy():
                self.buyprice[order.data._name] = order[order.data._name].executed.price
                self.buycomm[order.data._name] = order[order.data._name].executed.comm
                self.log('BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %(self.buyprice,order.executed.value,self.buycomm))

            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %(order.executed.price,order.executed.value, order.executed.comm))

            self.bar_executed[order.data._name] = len(self)  # i.e. num bars elapsed. If using daily data => this is number of days stock held.

        self.order[order.data._name] = None #self.order = None # Write down: no pending order

    def notify_trade(self, trade):
        if trade.isclosed:
            self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %(trade.pnl, trade.pnlcomm))

    def prenext(self):
        '''
        overrides PRENEXT() so that the "NEXT()" calculations run regardless of when each data date range starts.
        Typically PRENEXT would stop NEXT occuring until the minimum period of an indicator has occured, or all dataframe LINES are running.
        '''
        self.next()

    def next(self):  # Methods (def in Class) have access to all the data contained on the instance of the object; they can access and modify anything previously set on self.

        for i, d in enumerate(d for d in self.datas if len(d)):  # Loop through Universe of Stocks

            if self.broker.getposition(d).size:
                self.log('Stock: %s, Close: %.2f, score: %.2f, posn: %.2f' %(d._name,d.close[0], d.lines.TOTAL_SCORE[0], self.broker.getposition(d).size))

            if d.lines.TOTAL_SCORE[0] >= args.buyscore:
                if self.order[d._name]:
                    return
                # BUY!
                self.log('CREATE BUY: %s, Close: %.2f, score: %.2f' %(d._name,d.close[0],d.lines.TOTAL_SCORE[0]))
                self.order[d._name] = self.buy(data=d)

            if d.lines.TOTAL_SCORE[-1] >= args.buyscore and d.lines.TOTAL_SCORE[0] < args.buyscore:
                if self.order[d._name]:
                    return
                # SELL! i.e. yesterday we owned it(with all possible default parameters)
                self.log('CREATE SELL: %s, Close: %.2f, score: %.2f' %(d._name,d.close[0],d.lines.TOTAL_SCORE[0]))
                self.order[d._name] = self.sell(data=d)

    def stop(self):
        #Print TOTAL PORTFOLIO VALUE
        self.log('Ending Value %.2f' %(self.broker.getvalue()),doprint=True)

Brad Lloyd

@cwse
I create the self.order dict in init and don't have a problem
you would have to run it in debug and figure out what key it fails on

the only thing I could see is that my loop is different as I pass all my symbols as param called portfolio and then just do loop that is

for symbol in self.p.portfolio:

cwse

@Brad-Lloyd sorry I think you cut the code off short there? what is the portoflio part / loop for and how does it work?

Cheers,

Brad Lloyd

I was just saying I did the loop different using 'for' instead of enumerate
but I do something like this

params = ('portfolio', ['AAPL', 'GOOG', 'SPY', 'IWM', 'EEM'])    

def next(self):
    for symbol in self.p.portfolio:

        d = self.getdatabyname(symbol)
        if self.order[symbol]:
            continue
       
       if self.signal:
            self.order[symbol] = self.buy(d, size=self.trade_size[symbol])