3. Timestamp of a trade
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Timestamp of a trade


  • 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 10:50:00,25.43,25.48,25.43,25.45

    And 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```
    0

  • ok it was fast after I posted my request. Two lines in data field solved this problem:

        timeframe=bt.TimeFrame.Minutes,
    compression=15

    Sorry for bothering.

    0
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