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    Notify_trade profit and loss not working properly in bracket orders?

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    • Suraj Thorat
      Suraj Thorat last edited by

      I am relatively new to backtrader and I am trying to place a bracket order which I will later be using for Live trading in interactive broker. Even though the bracket order is working properly their are issues during calculation of profit and loss. Can you please look into it as their might be a chance I have done something wrong. Although I have researched a lot and have not found any solution to this. Below is my code.

      from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import backtrader as bt
import pandas as pd
# from report import Cerebro
import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])
#


class TestStrategy(bt.Strategy):
    params = dict(
        stop_loss=0.005,  # price is 2% less than the entry point
        trail=False,
        profitper = 0.015,
        stake = 15
    )
    def log(self, txt, dt=None):
        if  True:
            dt = dt or self.datas[0].datetime.datetime(0)
            print('%s - %s' % (dt.isoformat(), txt))
 
    def __init__(self):
        self.ema1 = bt.indicators.ExponentialMovingAverage(self.datas[0].close, period = 6)
        self.ema3 = bt.indicators.ExponentialMovingAverage(self.datas[0].close, period = 24)       
        self.dclose = self.datas[0].close
        self.cross_ema = bt.ind.CrossOver(self.ema1, self.ema3)
    def notify(self, order):
        print('{}: Order ref: {} / Type {} / Status {}'.format(
            self.data.datetime.date(0),
            order.ref, 'Buy' * order.isbuy() or 'Sell',
            order.getstatusname()))

        if order.status == order.Completed:
            self.holdstart = len(self)

        if not order.alive() and order.ref in self.orefs:
            self.orefs.remove(order.ref)
           
                
    def notify_trade(self, trade):
        date = self.data.datetime.datetime()
        if trade.isclosed:
            print('-'*32,' NOTIFY TRADE ','-'*32)
            print('{}, Close Price: {}, Profit, Gross {}, Net {}'.format(
                                                date,
                                                trade.price,
                                                round(trade.pnl,2),
                                                round(trade.pnlcomm,2)))
            print('-'*80)
                

    def next(self):
#         self.log('close : %.2f   ema6 : %.2f   ema24 : %.2f' % (self.dclose[0], self.ema1[0], self.ema3[0]))
        pos = self.getposition(self.data)
        dpos = pos.size
#         self.log(dpos)
        if not self.position and self.cross_ema == 1:
                stop_price = self.data.close[0] * (1.0 - self.p.stop_loss)
                tk_profit = self.data.close[0] * (1.0 + self.p.profitper)
                self.log('FORMING BRACKER ORDER :;: mAIN PRICE %.2f :;: STOP LOSS %.2f  :;: TAKE PROFIT %.2f' % (self.data.close[0],stop_price,tk_profit))
#                 self.buy_order = self.buy(limitprice=tk_profit, price=self.dclose, stopprice=stop_price,size=15)
#                 mainside = self.buy(transmit=False, size = self.p.stake)
#                 lowside  = self.sell(price=stop_price, size=mainside.size, exectype=bt.Order.Stop,transmit=False, parent=mainside)
#                 highside = self.sell(price=tk_profit, size=mainside.size, exectype=bt.Order.Limit,transmit=True, parent=mainside)
#                 self.orefs = [mainside.ref,lowside.ref,highside.ref]
                os = self.buy_bracket(limitprice=tk_profit, stopprice=stop_price, size = 15)
                self.orefs = [o.ref for o in os]
            #             if self.dclose >= tk_profit:
#                 self.sell_order = self.sell(execType = bt.Order.Limit, size=15, price= tk_profit,parent=self.buy_order)
#                 cancel = order.cancel(oco='self.sl_order')

            
class FixedCommisionScheme(bt.CommInfoBase):
    '''
    This is a simple fixed commission scheme
    '''
    params = (
        ('commission', 6),
        ('stocklike', True),
        ('commtype', bt.CommInfoBase.COMM_FIXED),
        )

    def _getcommission(self, size, price, pseudoexec):
        return self.p.commission

    
if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(TestStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, '../../datas/orcl-1995-2014.txt')

    # Pass it to the backtrader datafeed and add it to the cerebro
    data = bt.feeds.PandasData(dataname=INFY)

    
#     weeklydata = cerebro.resampledata(data,timeframe=bt.TimeFrame.Months, compression = 0.5)
    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(100000.0)
    
#     cerebro.broker.set_coc(True)
    # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=1)
    #Set commissions
    comminfo = FixedCommisionScheme()
    cerebro.broker.addcommissioninfo(comminfo)
    
    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.broker.set_coc(True)
    # Run over everything
    cerebro.run()

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

    # Plot the result
    cerebro.plot()
    
#     print('____________________________________________________________')
#     print('order history %.2f' % cerebro.broker.getposition())

      Below is the output:

      Starting Portfolio Value: 100000.00
2019-02-06T14:15:00 - FORMING BRACKER ORDER :;: mAIN PRICE 298.90 :;: STOP LOSS 297.41  :;: TAKE PROFIT 303.38
2019-02-06: Order ref: 4489 / Type Buy / Status Submitted
2019-02-06: Order ref: 4490 / Type Sell / Status Submitted
2019-02-06: Order ref: 4491 / Type Sell / Status Submitted
2019-02-06: Order ref: 4489 / Type Buy / Status Accepted
2019-02-06: Order ref: 4490 / Type Sell / Status Accepted
2019-02-06: Order ref: 4491 / Type Sell / Status Accepted
2019-02-06: Order ref: 4489 / Type Buy / Status Completed
2019-02-07: Order ref: 4491 / Type Sell / Status Completed
2019-02-07: Order ref: 4490 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-07 10:00:00, Close Price: 298.9, Profit, Gross 69.75, Net 57.75
--------------------------------------------------------------------------------
2019-02-11T15:15:00 - FORMING BRACKER ORDER :;: mAIN PRICE 294.00 :;: STOP LOSS 292.53  :;: TAKE PROFIT 298.41
2019-02-12: Order ref: 4492 / Type Buy / Status Submitted
2019-02-12: Order ref: 4493 / Type Sell / Status Submitted
2019-02-12: Order ref: 4494 / Type Sell / Status Submitted
2019-02-12: Order ref: 4492 / Type Buy / Status Accepted
2019-02-12: Order ref: 4493 / Type Sell / Status Accepted
2019-02-12: Order ref: 4494 / Type Sell / Status Accepted
2019-02-12: Order ref: 4492 / Type Buy / Status Completed
2019-02-12: Order ref: 4493 / Type Sell / Status Completed
2019-02-12: Order ref: 4494 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-12 12:00:00, Close Price: 290.0, Profit, Gross 37.5, Net 25.5
--------------------------------------------------------------------------------
2019-02-12T14:30:00 - FORMING BRACKER ORDER :;: mAIN PRICE 294.75 :;: STOP LOSS 293.28  :;: TAKE PROFIT 299.17
2019-02-12: Order ref: 4495 / Type Buy / Status Submitted
2019-02-12: Order ref: 4496 / Type Sell / Status Submitted
2019-02-12: Order ref: 4497 / Type Sell / Status Submitted
2019-02-12: Order ref: 4495 / Type Buy / Status Accepted
2019-02-12: Order ref: 4496 / Type Sell / Status Accepted
2019-02-12: Order ref: 4497 / Type Sell / Status Accepted
2019-02-12: Order ref: 4495 / Type Buy / Status Completed
2019-02-13: Order ref: 4496 / Type Sell / Status Completed
2019-02-13: Order ref: 4497 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-13 09:15:00, Close Price: 294.75, Profit, Gross -48.0, Net -60.0
--------------------------------------------------------------------------------
2019-02-13T13:30:00 - FORMING BRACKER ORDER :;: mAIN PRICE 292.55 :;: STOP LOSS 291.09  :;: TAKE PROFIT 296.94
2019-02-13: Order ref: 4498 / Type Buy / Status Submitted
2019-02-13: Order ref: 4499 / Type Sell / Status Submitted
2019-02-13: Order ref: 4500 / Type Sell / Status Submitted
2019-02-13: Order ref: 4498 / Type Buy / Status Accepted
2019-02-13: Order ref: 4499 / Type Sell / Status Accepted
2019-02-13: Order ref: 4500 / Type Sell / Status Accepted
2019-02-13: Order ref: 4498 / Type Buy / Status Completed
2019-02-13: Order ref: 4499 / Type Sell / Status Completed
2019-02-13: Order ref: 4500 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-13 14:15:00, Close Price: 291.3, Profit, Gross -3.19, Net -15.19
--------------------------------------------------------------------------------
2019-02-14T14:30:00 - FORMING BRACKER ORDER :;: mAIN PRICE 290.25 :;: STOP LOSS 288.80  :;: TAKE PROFIT 294.60
2019-02-14: Order ref: 4501 / Type Buy / Status Submitted
2019-02-14: Order ref: 4502 / Type Sell / Status Submitted
2019-02-14: Order ref: 4503 / Type Sell / Status Submitted
2019-02-14: Order ref: 4501 / Type Buy / Status Accepted
2019-02-14: Order ref: 4502 / Type Sell / Status Accepted
2019-02-14: Order ref: 4503 / Type Sell / Status Accepted
2019-02-14: Order ref: 4501 / Type Buy / Status Completed
2019-02-18: Order ref: 4503 / Type Sell / Status Completed
2019-02-18: Order ref: 4502 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-18 09:45:00, Close Price: 290.25, Profit, Gross 65.31, Net 53.31
--------------------------------------------------------------------------------
2019-02-19T09:45:00 - FORMING BRACKER ORDER :;: mAIN PRICE 293.25 :;: STOP LOSS 291.78  :;: TAKE PROFIT 297.65
2019-02-19: Order ref: 4504 / Type Buy / Status Submitted
2019-02-19: Order ref: 4505 / Type Sell / Status Submitted
2019-02-19: Order ref: 4506 / Type Sell / Status Submitted
2019-02-19: Order ref: 4504 / Type Buy / Status Accepted
2019-02-19: Order ref: 4505 / Type Sell / Status Accepted
2019-02-19: Order ref: 4506 / Type Sell / Status Accepted
2019-02-19: Order ref: 4504 / Type Buy / Status Completed
2019-02-19: Order ref: 4505 / Type Sell / Status Completed
2019-02-19: Order ref: 4506 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-19 15:15:00, Close Price: 293.0, Profit, Gross -28.5, Net -40.5
--------------------------------------------------------------------------------
2019-02-20T10:00:00 - FORMING BRACKER ORDER :;: mAIN PRICE 296.00 :;: STOP LOSS 294.52  :;: TAKE PROFIT 300.44
2019-02-20: Order ref: 4507 / Type Buy / Status Submitted
2019-02-20: Order ref: 4508 / Type Sell / Status Submitted
2019-02-20: Order ref: 4509 / Type Sell / Status Submitted
2019-02-20: Order ref: 4507 / Type Buy / Status Accepted
2019-02-20: Order ref: 4508 / Type Sell / Status Accepted
2019-02-20: Order ref: 4509 / Type Sell / Status Accepted
2019-02-20: Order ref: 4507 / Type Buy / Status Completed
2019-02-20: Order ref: 4508 / Type Sell / Status Completed
2019-02-20: Order ref: 4509 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-20 10:30:00, Close Price: 296.0, Profit, Gross -98.25, Net -110.25
--------------------------------------------------------------------------------
2019-02-21T12:15:00 - FORMING BRACKER ORDER :;: mAIN PRICE 297.00 :;: STOP LOSS 295.51  :;: TAKE PROFIT 301.45
2019-02-21: Order ref: 4510 / Type Buy / Status Submitted
2019-02-21: Order ref: 4511 / Type Sell / Status Submitted
2019-02-21: Order ref: 4512 / Type Sell / Status Submitted
2019-02-21: Order ref: 4510 / Type Buy / Status Accepted
2019-02-21: Order ref: 4511 / Type Sell / Status Accepted
2019-02-21: Order ref: 4512 / Type Sell / Status Accepted
2019-02-21: Order ref: 4510 / Type Buy / Status Completed
2019-02-25: Order ref: 4511 / Type Sell / Status Completed
2019-02-25: Order ref: 4512 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-25 09:15:00, Close Price: 297.0, Profit, Gross -22.28, Net -34.28
--------------------------------------------------------------------------------
2019-02-25T11:30:00 - FORMING BRACKER ORDER :;: mAIN PRICE 298.35 :;: STOP LOSS 296.86  :;: TAKE PROFIT 302.83
2019-02-25: Order ref: 4513 / Type Buy / Status Submitted
2019-02-25: Order ref: 4514 / Type Sell / Status Submitted
2019-02-25: Order ref: 4515 / Type Sell / Status Submitted
2019-02-25: Order ref: 4513 / Type Buy / Status Accepted
2019-02-25: Order ref: 4514 / Type Sell / Status Accepted
2019-02-25: Order ref: 4515 / Type Sell / Status Accepted
2019-02-25: Order ref: 4513 / Type Buy / Status Completed
2019-02-25: Order ref: 4514 / Type Sell / Status Completed
2019-02-25: Order ref: 4515 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-25 12:30:00, Close Price: 298.35, Profit, Gross -22.38, Net -34.38
--------------------------------------------------------------------------------
2019-02-25T13:00:00 - FORMING BRACKER ORDER :;: mAIN PRICE 298.00 :;: STOP LOSS 296.51  :;: TAKE PROFIT 302.47
2019-02-25: Order ref: 4516 / Type Buy / Status Submitted
2019-02-25: Order ref: 4517 / Type Sell / Status Submitted
2019-02-25: Order ref: 4518 / Type Sell / Status Submitted
2019-02-25: Order ref: 4516 / Type Buy / Status Accepted
2019-02-25: Order ref: 4517 / Type Sell / Status Accepted
2019-02-25: Order ref: 4518 / Type Sell / Status Accepted
2019-02-25: Order ref: 4516 / Type Buy / Status Completed
2019-02-25: Order ref: 4517 / Type Sell / Status Completed
2019-02-25: Order ref: 4518 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-25 15:15:00, Close Price: 298.0, Profit, Gross -26.25, Net -38.25
--------------------------------------------------------------------------------
2019-02-26T13:00:00 - FORMING BRACKER ORDER :;: mAIN PRICE 296.70 :;: STOP LOSS 295.22  :;: TAKE PROFIT 301.15
2019-02-26: Order ref: 4519 / Type Buy / Status Submitted
2019-02-26: Order ref: 4520 / Type Sell / Status Submitted
2019-02-26: Order ref: 4521 / Type Sell / Status Submitted
2019-02-26: Order ref: 4519 / Type Buy / Status Accepted
2019-02-26: Order ref: 4520 / Type Sell / Status Accepted
2019-02-26: Order ref: 4521 / Type Sell / Status Accepted
2019-02-26: Order ref: 4519 / Type Buy / Status Completed
2019-02-27: Order ref: 4521 / Type Sell / Status Completed
2019-02-27: Order ref: 4520 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-27 10:45:00, Close Price: 296.7, Profit, Gross 66.76, Net 54.76
--------------------------------------------------------------------------------
2019-02-27T14:30:00 - FORMING BRACKER ORDER :;: mAIN PRICE 299.15 :;: STOP LOSS 297.65  :;: TAKE PROFIT 303.64
2019-02-27: Order ref: 4522 / Type Buy / Status Submitted
2019-02-27: Order ref: 4523 / Type Sell / Status Submitted
2019-02-27: Order ref: 4524 / Type Sell / Status Submitted
2019-02-27: Order ref: 4522 / Type Buy / Status Accepted
2019-02-27: Order ref: 4523 / Type Sell / Status Accepted
2019-02-27: Order ref: 4524 / Type Sell / Status Accepted
2019-02-27: Order ref: 4522 / Type Buy / Status Completed
2019-02-28: Order ref: 4523 / Type Sell / Status Completed
2019-02-28: Order ref: 4524 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-28 09:45:00, Close Price: 299.15, Profit, Gross -45.75, Net -57.75
--------------------------------------------------------------------------------
2019-02-28T13:15:00 - FORMING BRACKER ORDER :;: mAIN PRICE 298.70 :;: STOP LOSS 297.21  :;: TAKE PROFIT 303.18
2019-02-28: Order ref: 4525 / Type Buy / Status Submitted
2019-02-28: Order ref: 4526 / Type Sell / Status Submitted
2019-02-28: Order ref: 4527 / Type Sell / Status Submitted
2019-02-28: Order ref: 4525 / Type Buy / Status Accepted
2019-02-28: Order ref: 4526 / Type Sell / Status Accepted
2019-02-28: Order ref: 4527 / Type Sell / Status Accepted
2019-02-28: Order ref: 4525 / Type Buy / Status Completed
2019-03-01: Order ref: 4527 / Type Sell / Status Completed
2019-03-01: Order ref: 4526 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-03-01 14:30:00, Close Price: 298.7, Profit, Gross 67.21, Net 55.21
--------------------------------------------------------------------------------
Final Portfolio Value: 99855.93

      For example if we look at this small part of the output buy price is 294.75 and sell price is 294.75 though gross profit is -48 and net is -60.

      2019-02-12T14:30:00 - FORMING BRACKER ORDER :;: mAIN PRICE 294.75 :;: STOP LOSS 293.28  :;: TAKE PROFIT 299.17
2019-02-12: Order ref: 3937 / Type Buy / Status Submitted
2019-02-12: Order ref: 3938 / Type Sell / Status Submitted
2019-02-12: Order ref: 3939 / Type Sell / Status Submitted
2019-02-12: Order ref: 3937 / Type Buy / Status Accepted
2019-02-12: Order ref: 3938 / Type Sell / Status Accepted
2019-02-12: Order ref: 3939 / Type Sell / Status Accepted
2019-02-12: Order ref: 3937 / Type Buy / Status Completed
2019-02-13: Order ref: 3938 / Type Sell / Status Completed
2019-02-13: Order ref: 3939 / Type Sell / Status Canceled
--------------------------------  NOTIFY TRADE  --------------------------------
2019-02-13 09:15:00, Close Price: 294.75, Profit, Gross -48.0, Net -60.0

      There is a chance I might be doing something wrong. Can someone please help me with this?

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

        @Suraj-Thorat said in Notify_trade profit and loss not working properly in bracket orders?:

        Notify_trade profit and loss not working properly in bracket orders?

        It is working properly.

        @Suraj-Thorat said in Notify_trade profit and loss not working properly in bracket orders?:

        Even though the bracket order is working properly their are issues during calculation of profit and loss.

        No, there are no issues.

        @Suraj-Thorat said in Notify_trade profit and loss not working properly in bracket orders?:

        For example if we look at this small part of the output buy price is 294.75

        No. That's a print statement you have issued and not the price.

        1 Reply Last reply Reply Quote 0
        • Suraj Thorat
          Suraj Thorat last edited by

          My buy price is 294.7 got from next() by logging data.close[0].
          My sell price is 294.7 by printing trade.price in notify_trade. Shouldn't the gross profit be 0 and net profit -12?

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

            @Suraj-Thorat said in Notify_trade profit and loss not working properly in bracket orders?:

            My buy price is 294.7 got from next() by logging data.close[0].

            You print the close price and that is the execution price, ... because you printed it?

            Sorry, but I think there is some misunderstanding on your side as to how an order is executed and what the prices you see in next mean.

            • What you see in next are PAST prices. When you see something it HAS ALREADY HAPPENED
            • You then submit an order and it goes to the broker which will execute it (depending on order type, price, and ... and ...) when it can and the best it can, which it can be much worse than you expect.

            Read:

            • Docs - Order Creation/Execution - https://www.backtrader.com/docu/order-creation-execution/order-creation-execution/
            Suraj Thorat 1 Reply Last reply Reply Quote 1
            • Suraj Thorat
              Suraj Thorat @backtrader last edited by

              @backtrader Thank you for the help and I truly appreciate it. I got that part fixed.
              For people who have done such a simple mistake which I doubt anyone will, here is a fix.
              Add the below code to notify:

                      if order.status == order.Completed:
                    
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))
              1 Reply Last reply Reply Quote 0
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