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IB Live Daily next() delivers twice



  • Hi there!

    I have been testing a strategy successfully on lower timeframes but only when I test it on Daily timeframe, next() is executed twice... I just cannot find the reason for this.

    Any help is highly appreciated! I have read the documentation and searched for possible issues, but I'm not an expert with cerebro unfortunately yet.

    from __future__ import (absolute_import, division, print_function,
                            unicode_literals)
    import datetime
    # importing the requests library
    import requests
    import json
    
    # Import the backtrader platform
    import backtrader as bt
    from datadog import initialize, statsd, api
    from datadog.api.constants import CheckStatus
    from datetime import date
    
    import time
    import random
    
    import os
    
    initialize(**options)
    
    # Create a Stratey
    class TestStrategy(bt.Strategy):
        params = (
            ('rsiperiod', 2),
            ('atrperiod', 14),
            ('buylimit', 10),
            ('exitlimit', 85),
            ('atrdistance', 0.5),
            ('exitpercent', 0.05),
            ('risk', 0.05),
        )
    
        def log(self, txt, dt=None):
            ''' Logging function fot this strategy'''
            dt = dt or self.datas[0].datetime.time(0)
            print('%s, %s' % (dt.isoformat(), txt))
    
        def __init__(self):
            # Keep a reference to the "close" line in the data[0] dataseries
            self.dataclose = self.datas[0].close
            self.dataopen = self.datas[0].open
            self.datahigh = self.datas[0].high
            self.datalow = self.datas[0].low
            # To keep track of pending orders and buy price/commission
            self.order = None
            self.buyprice = None
            self.buycomm = None
            self.datastatus = None
            self.position_open = False
            self.tradevalue = 0
            self.tradeduration = 0
            self.lasttradeprice = 0
            # Indicators for the plotting show
            self.rsi = bt.indicators.RSI_Safe(self.datas[0], period=self.params.rsiperiod)
            self.atr = bt.indicators.ATR(self.datas[0], period=self.params.atrperiod)
            #self.rsi2 = bt.indicators.RSI(self.datas[-2], period=self.params.rsiperiod)
    
    
        def notify_order(self, order):
            if order.status in [order.Submitted, order.Accepted]:
                # Buy/Sell order submitted/accepted to/by broker - 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, 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))
    
                self.bar_executed = len(self)
    
            elif order.status in [order.Canceled, order.Margin, order.Rejected]:
                statsd.event('Order Canceled/Margin/Rejected!!', 'Could not execute order.', alert_type='error', tags=['strategy:DAX_RSI'])
                self.log('Order Canceled/Margin/Rejected')
    
            # Write down: no pending order
            self.order = None
    
        def notify_trade(self, trade):
    
            if trade.justopened:
                self.lasttradeprice = trade.price
    
            if trade.isclosed:
                self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                         (trade.pnl, trade.pnlcomm))
                self.position_open = False
    
    
        def notify_data(self, data, status, *args, **kwargs):
    
            if status == data.LIVE:  # the data has switched to live data
               self.datastatus = 'LIVE'
               self.log('WE ARE LIVE')
    
            if status == data.CONNBROKEN:  # the data has switched to live data
               self.log('--------------- CONNECTION DISRUPTED, reconnecting... ---------------')
    
    
            if status == data.DISCONNECTED:  # the data has switched to live data
               self.log('--------------- DISCONNECTED!! We are definitely offline. -----------')
    
        def next(self):
    
            if self.datastatus != 'LIVE':
                return
    
            # Simply log the closing price of the series from the reference
            self.log('Close, %.2f | OpenTrades: %.2f | Portfolio Value: %.2f | Cash Value: %.2f' % (self.dataclose[0],self.position.size, self.broker.getvalue(), self.broker.getcash()))
            statsd.event('New Bar', 'Close, %.2f | OpenTrades: %.2f | Portfolio Value: %.2f | Cash Value: %.2f' % (self.dataclose[0],self.position.size, self.broker.getvalue(), self.broker.getcash()), alert_type='info', tags=['strategy:DAX_RSI'])
    
            if self.lasttradeprice == 0:
                self.lasttradeprice = self.getposition(self.datas[0]).price
    
    
            portfolio_value = self.broker.getvalue()
            portfolio_cash = self.broker.getcash()
    
            vol = round((portfolio_cash * self.params.risk) / (self.params.exitpercent * self.dataclose[0]),0)
            vol = int(vol)
            #if vol < 1:
            vol = 1
           # self.log('volume intended %.2f' % vol)
            # Check if an order is pending ... if yes, we cannot send a 2nd one
            if self.order:
                return
    
            # Check if we are in the market
            if not self.position:
                self.position_open = False
    
                # Not yet ... we MIGHT BUY if ...
                if (self.rsi[0] < self.params.buylimit and self.dataclose[0] > self.dataopen) or (self.rsi[-1] < self.params.buylimit and self.dataclose[0] > self.dataopen) or (self.rsi[-2] < self.params.buylimit and self.dataclose[0] > self.dataopen):
    
                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    #self.log('BUY CREATE, %.2f' % self.dataclose[0])
    
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy(exectype=bt.Order.Market, size=vol)
    
    
            else:
                if (self.rsi[0] < self.params.buylimit and self.dataclose[0] > self.dataopen and (self.getposition(self.datas[0]).price - self.dataclose) > (self.params.atrdistance * self.atr[0]) and (self.lasttradeprice - self.dataclose) > (self.params.atrdistance * self.atr[0])) or (self.rsi[-1] < self.params.buylimit and self.dataclose[0] > self.dataopen and (self.getposition(self.datas[0]).price - self.dataclose) > (self.params.atrdistance * self.atr[0]) and (self.lasttradeprice - self.dataclose) > (self.params.atrdistance * self.atr[0])) or (self.rsi[-2] < self.params.buylimit and self.dataclose[0] > self.dataopen and (self.getposition(self.datas[0]).price - self.dataclose) > (self.params.atrdistance * self.atr[0]) and (self.lasttradeprice - self.dataclose) > (self.params.atrdistance * self.atr[0])):
                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    self.log('BUY FOLLOWUP, %.2f' % self.dataclose[0])
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy(exectype=bt.Order.Market, size=vol)
    
                elif (self.rsi[0] > self.params.exitlimit and self.dataclose < self.dataopen and self.dataclose > self.getposition(self.datas[0]).price) or (self.rsi[-1] > self.params.exitlimit and self.dataclose < self.dataopen and self.dataclose > self.getposition(self.datas[0]).price) or (self.rsi[-2] > self.params.exitlimit and self.dataclose < self.dataopen and self.dataclose > self.getposition(self.datas[0]).price):
                     # SELL, SELL, SELL!!! (with all possible default parameters)
                     # self.log('EXIT NORMAL, %.2f' % self.dataclose[0])
    
                     # Keep track of the created order to avoid a 2nd order
                     self.order = self.close()
    
    
                elif ((((self.getposition(self.datas[0]).price - self.dataclose) / self.getposition(self.datas[0]).price) * 100) >= (self.params.exitpercent * 100)):
                     # SELL, SELL, SELL!!! (with all possible default parameters)
                     self.log('EXIT STOP LOSS!!!! Closing ALL, %.2f' % self.dataclose[0])
    
                     # Keep track of the created order to avoid a 2nd order
                     self.order = self.close()
    
    
    
            if self.position:
                self.tradeduration += 1
                self.tradevalue = self.dataclose[0] - self.getposition(self.datas[0]).price
    
                sl = self.getposition(self.datas[0]).price * (1.0-self.params.risk)
    
    
    
    if __name__ == '__main__':
        # Create a cerebro entity
        cerebro = bt.Cerebro()
        ibstore = bt.stores.IBStore(host='127.0.0.1', port=4002, clientId=35,reconnect=-1)
        cerebro.broker = ibstore.getbroker()  # or cerebro.setbroker(...)
        data = ibstore.getdata(dataname='IBDE30-CFD-SMART-EUR')
        # cerebro.adddata(data)
        cerebro.resampledata(data, timeframe=bt.TimeFrame.Days, compression=1)
        cerebro.addstrategy(TestStrategy)
        cerebro.run()
    
    


  • @Nick-Gehrlein Anyone got an idea?



  • ab_trader? :)




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