3. Problems with the portfolio after order execution
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Problems with the portfolio after order execution


  • I am both a python and trading novice. I wanted to highlight all portfolio movements based on each individual order. Unfortunately I am not with the value of my portfolio after the orders executed, there are numbers on which I do not agree. I certainly will not have understood the functioning of Bachtrader well. Could you give me some explanations? Thank you.

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

import argparse
import datetime

import backtrader as bt


class St(bt.Strategy):
    params = dict(
        ma=bt.ind.SMA,
        p1=200,
        p2=30,
        stoptype=bt.Order.StopTrail,
        trailamount=0.0050,
        trailpercent=0.0,
    )

    def __init__(self):
        ma1 = self.p.ma(period=self.p.p1)
        self.crup = bt.ind.CrossUp(self.data.close, ma1)
        self.order = None
        self.orefs = list()

    def notify_trade(self, trade):
        if trade.isclosed:
            print('Size: {:.4f} Profit: Gross {:.4f}, Net {:.4f}'.format(trade.size, trade.pnl, trade.pnlcomm))
            print('Final Portfolio Value: ', self.broker.getvalue())


    def notify_order(self, order):

        print('{}: Order ref: {} / Type {} / Status {}'.format(
            self.data.datetime.date(0),
            order.ref, 'Buy' * order.isbuy() or 'Sell',
            order.getstatusname()))
        print('Portfolio Value: ', self.broker.getvalue())

        if order.status == order.Completed:
            print('order is buy?: ', order.isbuy())
            if order.isbuy():
                print('BUY EXECUTED, Price: ', order.executed.price, 'Cost: ', order.executed.value, 'Comm: ', order.executed.comm)

            else:
                print('SELL EXECUTED, Price: ', order.executed.price, 'Cost: ', order.executed.value, 'Comm: ', order.executed.comm)



        if not order.alive() and order.ref in self.orefs:
            self.orefs.remove(order.ref)



    def next(self):
        if self.orefs:
            return  # pending orders do nothing

        if not self.position:

            if self.crup:
                o = self.buy()
                self.order = None
                print('*' * 50)
                print('{}: Oref {} / Buy at {}'.format(
                    self.datetime.date(), o.ref, self.data.close[0]))

        elif self.order is None:
            self.order = self.sell(exectype=self.p.stoptype,
                                   trailamount=self.p.trailamount,
                                   trailpercent=self.p.trailpercent)

            if self.p.trailamount:
                tcheck = self.data.close - self.p.trailamount
            else:
                tcheck = self.data.close * (1.0 - self.p.trailpercent)
            print(','.join(
                map(str, [self.datetime.date(), self.data.close[0],
                          self.order.created.price, tcheck])
                )
            )
            print('-' * 10)
        # else:
        #     if self.p.trailamount:
        #         tcheck = self.data.close - self.p.trailamount
        #     else:
        #         tcheck = self.data.close * (1.0 - self.p.trailpercent)
            # print(','.join(
            #     map(str, [self.datetime.date(), self.data.close[0],
            #               self.order.created.price, tcheck])
            #     )
            # )


class MyBuySell(bt.observers.BuySell):
    params = (('barplot', True), ('bardist', 0.0))

    plotlines = dict(
        buy=dict(marker='$\u21E7$', markersize=10.0),
        sell=dict(marker='$\u21E9$', markersize=10.0)
    )

def runstrat():

    cerebro = bt.Cerebro()

    stockkwargs = dict(
        timeframe=bt.TimeFrame.Minutes,
        rtbar=False,  # use RealTime 5 seconds bars
        historical=True,  # only historical download
        what=None,
        # historical - what to show TRADES MIDPOINT BID ASK BID_ASK HISTORICAL_VOLATILITY OPTION_IMPLIED_VOLATILITY
        useRTH=False,  # historical - download only Regular Trading Hours
        qcheck=0.5,  # timeout in seconds (float) to check for events
        backfill_start=True,  # do backfilling at the start
        backfill=True,  # do backfilling when reconnecting
        fromdate=datetime.datetime(2018, 1, 2),  # get data from..
        todate=datetime.datetime(2020, 3, 11),  # get data to
        # dtformat='%Y-%m-%d %H:%M',
        dtformat='%d/%m/%Y %H:%M',
        datetime=0,
        open=1,
        high=2,
        low=3,
        close=4,
        openinterest=-1,
        time=-1,
        volume=5,
        latethrough=False,  # let late samples through
        tradename=None  # use a different asset as order target
        )

    # Data feed
    data0 = bt.feeds.GenericCSVData(dataname='C:\\Dati\\Python\\BackTrader\\Prova\\USD_CHF_5min_parz.csv', **stockkwargs)
    cerebro.adddata(data0)

    # cash
    cerebro.broker.setcash(1000.0)

    # Sizer
    cerebro.addsizer(bt.sizers.SizerFix, stake=100)

    # Strategy
    cerebro.addstrategy(St)

    # Observer
    cerebro.addobserver(MyBuySell)

    # Execute
    cerebro.run()

    cerebro.plot(style='candlestick', volume=False)

if __name__ == '__main__':
    runstrat()

    **************************************************
2019-01-02: Oref 1 / Buy at 0.98706
2019-01-02: Order ref: 1 / Type Buy / Status Submitted
Portfolio Value:  1000.0029999999999
2019-01-02: Order ref: 1 / Type Buy / Status Accepted
Portfolio Value:  1000.0029999999999
2019-01-02: Order ref: 1 / Type Buy / Status Completed
Portfolio Value:  1000.0029999999999
order is buy?:  True
BUY EXECUTED, Price:  0.98706 Cost:  98.706 Comm:  0.0
2019-01-02,0.98709,0.98209,0.98209
----------
2019-01-02: Order ref: 2 / Type Sell / Status Submitted
Portfolio Value:  999.994
2019-01-02: Order ref: 2 / Type Sell / Status Accepted
Portfolio Value:  999.994
2019-01-04: Order ref: 2 / Type Sell / Status Completed
Portfolio Value:  999.847
order is buy?:  False
SELL EXECUTED, Price:  0.98553 Cost:  98.706 Comm:  0.0
Size: 0.0000 Profit: Gross -0.1530, Net -0.1530
Final Portfolio Value:  999.847
**************************************************
2019-01-08: Oref 3 / Buy at 0.98162
2019-01-08: Order ref: 3 / Type Buy / Status Submitted
Portfolio Value:  999.8639999999999
2019-01-08: Order ref: 3 / Type Buy / Status Accepted
Portfolio Value:  999.8639999999999
2019-01-08: Order ref: 3 / Type Buy / Status Completed
Portfolio Value:  999.8639999999999
order is buy?:  True
BUY EXECUTED, Price:  0.98162 Cost:  98.162 Comm:  0.0
2019-01-08,0.98179,0.97679,0.97679
----------
2019-01-08: Order ref: 4 / Type Sell / Status Submitted
Portfolio Value:  999.861
2019-01-08: Order ref: 4 / Type Sell / Status Accepted
Portfolio Value:  999.861
2019-01-09: Order ref: 4 / Type Sell / Status Completed
Portfolio Value:  999.478
order is buy?:  False
SELL EXECUTED, Price:  0.97793 Cost:  98.162 Comm:  0.0
Size: 0.0000 Profit: Gross -0.3690, Net -0.3690
Final Portfolio Value:  999.478
**************************************************
    0

  • Ok the portfolio is updated even if the order is not completed

    C:\Users\Giovanni\Anaconda3\python.exe C:/Dati/Python/BackTrader/Prova/tests/Prova_Stop_Trail.py
**************************************************
2019-01-02: Oref 1 / Buy at 0.98706
2019-01-02: Order ref: 1 / Type Buy / Status Submitted / Dataclose:  0.98709
Portfolio Value:  1000.0029999999999
2019-01-02: Order ref: 1 / Type Buy / Status Accepted / Dataclose:  0.98709
Portfolio Value:  1000.0029999999999
2019-01-02: Order ref: 1 / Type Buy / Status Completed / Dataclose:  0.98709
Portfolio Value:  1000.0029999999999
order is buy?:  True
BUY EXECUTED, Price:  0.98706 Cost:  98.706 Comm:  0.0
2019-01-02,0.98709,0.98209,0.98209
----------
2019-01-02: Order ref: 2 / Type Sell / Status Submitted / Dataclose:  0.987
Portfolio Value:  999.994
2019-01-02: Order ref: 2 / Type Sell / Status Accepted / Dataclose:  0.987
Portfolio Value:  999.994
2019-01-04: Order ref: 2 / Type Sell / Status Completed / Dataclose:  0.98595
Portfolio Value:  999.847
order is buy?:  False
SELL EXECUTED, Price:  0.98553 Cost:  98.706 Comm:  0.0
Size: 0.0000 Profit: Gross -0.1530, Net -0.1530
Final Portfolio Value:  999.847
**************************************************
2019-01-08: Oref 3 / Buy at 0.98162
2019-01-08: Order ref: 3 / Type Buy / Status Submitted / Dataclose:  0.98179
Portfolio Value:  999.8639999999999
2019-01-08: Order ref: 3 / Type Buy / Status Accepted / Dataclose:  0.98179
Portfolio Value:  999.8639999999999
2019-01-08: Order ref: 3 / Type Buy / Status Completed / Dataclose:  0.98179
Portfolio Value:  999.8639999999999
order is buy?:  True
BUY EXECUTED, Price:  0.98162 Cost:  98.162 Comm:  0.0
2019-01-08,0.98179,0.97679,0.97679
----------
2019-01-08: Order ref: 4 / Type Sell / Status Submitted / Dataclose:  0.98176
Portfolio Value:  999.861
2019-01-08: Order ref: 4 / Type Sell / Status Accepted / Dataclose:  0.98176
Portfolio Value:  999.861
2019-01-09: Order ref: 4 / Type Sell / Status Completed / Dataclose:  0.97801
Portfolio Value:  999.478
order is buy?:  False
SELL EXECUTED, Price:  0.97793 Cost:  98.162 Comm:  0.0
Size: 0.0000 Profit: Gross -0.3690, Net -0.3690
Final Portfolio Value:  999.478
**************************************************
    0
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