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    IB Live Daily next() delivers twice

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    • Nick Gehrlein
      Nick Gehrlein last edited by

      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 1 Reply Last reply Reply Quote 0
      • Nick Gehrlein
        Nick Gehrlein @Nick Gehrlein last edited by

        @Nick-Gehrlein Anyone got an idea?

        1 Reply Last reply Reply Quote 0
        • Nick Gehrlein
          Nick Gehrlein last edited by

          ab_trader? :)

          1 Reply Last reply Reply Quote 0
          • A
            ab_trader last edited by

            1. https://backtrader.com/docu/
            2. https://community.backtrader.com/search
            3. https://docs.python.org/3/library/pdb.html

            :)

            • If my answer helped, hit reputation up arrow at lower right corner of the post.
            • Python Debugging With Pdb
            • New to python and bt - check this out
            1 Reply Last reply Reply Quote 0
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