Create order object for later submission

Benjamin Kesby

Is there a way to create an Order object to be stored and issued to the broker at a later date?

Benjamin Kesby

Following documentation leads me to a KeyError with a _ococheck(order).

Traceback (most recent call last):
  File "run.py", line 205, in <module>
    main(args)
  File "run.py", line 78, in main
    bm.run(**run_kwargs)
  File "/opt/emeraldmine/backtest.py", line 61, in run
    runs = self.cerebro.run(stdstats=stdstats)
  File "/usr/local/lib/python3.7/dist-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/usr/local/lib/python3.7/dist-packages/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/usr/local/lib/python3.7/dist-packages/backtrader/cerebro.py", line 1623, in _runnext
    self._brokernotify()
  File "/usr/local/lib/python3.7/dist-packages/backtrader/cerebro.py", line 1360, in _brokernotify
    self._broker.next()
  File "/usr/local/lib/python3.7/dist-packages/backtrader/brokers/bbroker.py", line 1221, in next
    self._try_exec(order)
  File "/usr/local/lib/python3.7/dist-packages/backtrader/brokers/bbroker.py", line 1073, in _try_exec
    self._try_exec_limit(order, popen, phigh, plow, pcreated)
  File "/usr/local/lib/python3.7/dist-packages/backtrader/brokers/bbroker.py", line 912, in _try_exec_limit
    self._execute(order, ago=0, price=p)
  File "/usr/local/lib/python3.7/dist-packages/backtrader/brokers/bbroker.py", line 845, in _execute
    self._ococheck(order)
  File "/usr/local/lib/python3.7/dist-packages/backtrader/brokers/bbroker.py", line 618, in _ococheck
    parentref = self._ocos[order.ref]
KeyError: 1

run-out

Could you include your code please?

Benjamin Kesby

Strategy:


class testStrategy(BaseStrategy):
    params = dict(
        period=21,
        temp=True
    )

    def __init__(self):
        self.rsi = bt.indicators.RSI_SMA(
            self.data1.close, period=self.p.period, safediv=True, lowerband=30.0, upperband=70.0)
        self.cross = bt.indicators.CrossOver(self.rsi, self.line)

    def next(self):
        if not self.position:
            if self.rsi < 30:
                order = bt.BuyOrder(data=self.data0, price=self.data0.close[0], size=0.01,
                                    exectype=bt.Order.Limit)
                self.broker.submit(order)
        else:
            if self.rsi > 70:
                order = bt.SellOrder(data=self.data0, price=self.data0.close[0], size=0.01,
                                     exectype=bt.Order.Limit)
                self.broker.submit(order)

Yaroslav Horyslavets

I can't understand what exactly you need.
And the second what is the self.line variable?

Benjamin Kesby

This is not the situation I intend to use this method of submitting orders, however I don't feel comfortable sharing the logic in which it will be used. This was just a simple use case that still demonstrates the error. However the original logic ultimately involves creating a series of orders to be issued at varying times in the future dependant on price action and the like.

The self.line was missing from edits i made to the original file, my apologies i will amend the original sample.

Trying to follow the error chain, i'm not sure exactly how the _ococheck() works, however I cant understand why its searching for a parent reference without any oco code being present.

run-out

Dumb question, but why can't you just issue the order in the future?

Benjamin Kesby

@run-out I can, no doubt, but it will involve getting and referencing numerous values from various lines. It became apparent this could all be a lot easy and frankly look like cleaner code done at once and using a queue system to place the orders in to be pulled at the appropriate time.

All in all this isnt a do or die issue however I believe documentation here that implies any situation in which a buy/sell can be issued can also be replaced with submitting an Order object to the broker should be changed to reflect that this method does not work.