Easier way to access "active" orders

nistrup

Hi everyone in the Backtrader Community,

I just started using Backtrader and the more I learn the more I love it! I've messed around with some simple algorithms and figured I wanted to implement a "max holding period" such that if a criteria for a centain stock hasn't been met, it'll just sell if it passes the period.

Right now I have a working implementation like this:

from datetime import datetime
import pandas as pd
import backtrader as bt
from collections import defaultdict

# Create a subclass of Strategy to define the indicators and logic

class SmaCross(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(
        pfast=10,
        pslow=30
    )

    def __init__(self):
        self.bar_executed = {}
        
        self.inds = defaultdict(dict)
        
        for d in self.datas:
            self.inds[d]['smaf'] = bt.ind.SMA(d, period=self.p.pfast)
            self.inds[d]['smas'] = bt.ind.SMA(d, period=self.p.pslow)
            self.inds[d]['crossover'] = bt.ind.CrossOver(self.inds[d]['smaf'], self.inds[d]['smas'])  
            
    def notify_order(self, order):
        if order.status in [order.Completed, order.Margin]:
            
            if order.isbuy():
                self.bar_executed[order.data._name] = bt.num2date(order.executed.dt)
                
                print(['Order',order.data._name,
                       'BUY EXECUTED', 
                       'Price', '{:.4f}'.format(order.executed.price),
                       'Cost', '{:.4f}'.format(order.executed.value),
                       'Time', '{}'.format(bt.num2date(order.executed.dt))])
    
            else:
                if order.data._name in self.bar_executed.keys():
                    self.bar_executed.pop(order.data._name)
                    
                print(['Order',order.data._name,
                       'SELL EXECUTED', 
                       'Price', '{:.4f}'.format(order.executed.price),
                       'Cost', '{:.4f}'.format(order.executed.value),
                       'Time', '{}'.format(bt.num2date(order.executed.dt))])

    def next(self):
        
        # for every stock in my data
        for d in self.datas:

            # if no position is open on this stock
            if not self.broker.getposition(d):
                if self.inds[d]['crossover'] > 0:
                    self.buy(d)

            elif self.inds[d]['crossover'] < 0:
                self.close(d)
            
            elif self.broker.getposition(d):
                timeNow = d.datetime.datetime()
                holdingTime = (timeNow - self.bar_executed.get(d._name, timeNow)).days
                if holdingTime > 100:
                    self.close(d)

So basically I keep track of open positions in the bar_executed dictionary which is being populated in the notify_order function, with their ._name and the time they where executed.

Is this the right way to do it?

ab_trader

if it works correct, than yes.