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Timestamp of a trade
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Hi there,
I' ve got a little problem when it comes to show logs about timestamp of a trade, can You guys/gals can help me with it? Each time there is a 23:59:59.999989 time signature and not the one from the next bar close.Here's the code of my strategy:
import backtrader as bt class Third_trade(bt.Strategy): def __init__(self): self.dataclose = self.datas[0].close # Order variable will contain ongoing order details/status self.order = None self.body = abs(self.datas[0].close - self.datas[0].open) == abs(self.datas[0].high - self.datas[0].low) self.body_second = abs(self.datas[-1].close - self.datas[-1].open) == abs(self.datas[-1].high - self.datas[-1].low) def log(self, txt, dt=None): dt = dt or self.datas[0].datetime.date(0) tm = self.datas[0].datetime.time() print('%s, %s, %s' % (dt, tm, txt)) def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: #Active Buy/Sell order submitted/accepted - 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]: if order.isbuy(): self.log('BUY EXECUTED, %.2f' % order.executed.price) elif order.issell(): self.log('SELL EXECUTED, %.2f' % order.executed.price) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') #Reset orders self.order = None def next(self): if self.order: return # Check if we are in the market if not self.position: #warunki do trejdu, jeśli nie jestem w pozycji if self.body and self.body_second: print('OK') if self.dataclose[0] > self.dataclose[-1] and self.dataclose[-1] < self.dataclose[-2]: self.log('BUY CREATE, %.2f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.buy() elif self.dataclose[0] < self.dataclose[-1] and self.dataclose[-1] < self.dataclose[-2]: self.log('SELL CREATE, %.2f' % self.dataclose[0]) self.order = self.sell() else: return else: # We are already in the market, look for a signal to CLOSE trades if len(self) >= (self.bar_executed + 1): self.log('CLOSE CREATE, %.2f' % self.datas[0].open[0]) self.order = self.close()and below please find code of my cerebro launcher:
from __future__ import (absolute_import, division, print_function, unicode_literals) import backtrader as bt import backtrader.feeds as bf from third_buy_str import * import datetime cerebro = bt.Cerebro() cerebro.broker.set_cash(10000) #dodaje własny plik i opsuje co gdzie jest (kolumny) data = bf.GenericCSVData( dataname='CO2_res.csv', volume=-1, openinterest=-1, ) #Dodaje dane z pliku do cerebro cerebro.adddata(data) print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) #Dodaje strategię do cerebro cerebro.addsizer(bt.sizers.SizerFix,stake=10) cerebro.addstrategy(Third_trade) cerebro.run() print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())Here's a sample line from my csv file (date time, O,H,L,C):
2019-12-31 10:50:00,25.43,25.48,25.43,25.45And finally here's a sample of my output prints:
OK 2020-03-04, 23:59:59.999989, SELL CREATE, 23.87 2020-03-05, 23:59:59.999989, SELL EXECUTED, 23.83 2020-03-05, 23:59:59.999989, CLOSE CREATE, 23.96 2020-03-06, 23:59:59.999989, BUY EXECUTED, 23.51 OK 2020-03-06, 23:59:59.999989, BUY CREATE, 23.61 2020-03-09, 23:59:59.999989, BUY EXECUTED, 23.01 2020-03-09, 23:59:59.999989, CLOSE CREATE, 22.59 2020-03-10, 23:59:59.999989, SELL EXECUTED, 23.44 OK 2020-03-10, 23:59:59.999989, BUY CREATE, 23.66 2020-03-11, 23:59:59.999989, BUY EXECUTED, 24.10 2020-03-11, 23:59:59.999989, CLOSE CREATE, 23.99 2020-03-12, 23:59:59.999989, SELL EXECUTED, 23.65 OK 2020-03-12, 23:59:59.999989, SELL CREATE, 22.92 2020-03-13, 23:59:59.999989, SELL EXECUTED, 22.58 2020-03-13, 23:59:59.999989, CLOSE CREATE, 22.72 2020-03-16, 23:59:59.999989, BUY EXECUTED, 21.50 OK OK 2020-03-18, 23:59:59.999989, SELL CREATE, 16.61 2020-03-19, 23:59:59.999989, SELL EXECUTED, 15.55 2020-03-19, 23:59:59.999989, CLOSE CREATE, 15.97 2020-03-20, 23:59:59.999989, BUY EXECUTED, 16.66 OK OK 2020-03-20, 23:59:59.999989, SELL CREATE, 16.03 2020-03-23, 23:59:59.999989, SELL EXECUTED, 15.21 2020-03-23, 23:59:59.999989, CLOSE CREATE, 14.94 2020-03-24, 23:59:59.999989, BUY EXECUTED, 15.96 OK 2020-03-24, 23:59:59.999989, SELL CREATE, 15.90 2020-03-25, 23:59:59.999989, SELL EXECUTED, 17.00 2020-03-25, 23:59:59.999989, CLOSE CREATE, 16.97 2020-03-26, 23:59:59.999989, BUY EXECUTED, 17.30 OK 2020-03-26, 23:59:59.999989, BUY CREATE, 16.78 2020-03-27, 23:59:59.999989, BUY EXECUTED, 17.17 2020-03-27, 23:59:59.999989, CLOSE CREATE, 17.11 2020-03-30, 23:59:59.999989, SELL EXECUTED, 16.35 OK 2020-03-30, 23:59:59.999989, SELL CREATE, 16.43 2020-03-31, 23:59:59.999989, SELL EXECUTED, 17.25 2020-03-31, 23:59:59.999989, CLOSE CREATE, 17.45 Final Portfolio Value: 9987.80``` -
ok it was fast after I posted my request. Two lines in data field solved this problem:
timeframe=bt.TimeFrame.Minutes, compression=15Sorry for bothering.
