Help with limit orders- (getting executed at market prices)

[Akshay]

Hi,My limit orders keep getting executed at market prices. Will be a great help if someone can help me find what i am doing wrong here

class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 2),
    )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.datetime(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
      
        self.dataclose = self.datas[0].close

        self.order = None
        self.buyprice = None
        self.buycomm = None

        # Add a MovingAverageSimple indicator
        self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return
        
        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]:
            self.log('Order Canceled/Margin/Rejected')

        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %(trade.pnl, trade.pnlcomm))

   def next(self):
     
            if self.order:
                return
    
            if self.position.size ==0:
    
              if self.dataclose[0] > self.sma[0]:
    
                self.order = self.buy(price=6000.00,exec=bt.Order.Limit)



      

if __name__ == '__main__':
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)
    data = bt.feeds.PandasData(dataname=dataframe)
    cerebro.adddata(data)
    cerebro.broker.setcash(100000)
    cerebro.broker.setcommission(commission=0.00025)

    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.run()
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

[vladisld]

Please provide some logs and a glimpse on the relevant data from your dataframe (could it be that the market prices are well below 6000.00 ? )

[Akshay]

Hi @vladisld ,

Starting Portfolio Value: 100000.00
2020-04-07T06:12:00, BUY EXECUTED, Price: 7277.00, Cost: 7277.00, Comm 1.82
Final Portfolio Value: 99901.68

[Akshay]

Code to try this in Google colab / jupyter note book

!pip install backtrader[plotting]
import requests
import pandas as pd
import backtrader as bt
import backtrader.feeds as btfeeds
import datetime

response=requests.get('https://www.bitmex.com/api/v1/trade/bucketed?binSize=1m&partial=false&symbol=XBTUSD&count=1000&reverse=false&startTime=2020-04-07T06:09:48')
a=response.text
dataframe=pd.read_json(a)
dataframe['datetime']=pd.to_datetime(dataframe['timestamp'],unit='ms')
dataframe.set_index('datetime',inplace=True)

class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 2),
    )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.datetime(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
      
        self.dataclose = self.datas[0].close

        self.order = None
        self.buyprice = None
        self.buycomm = None

        # Add a MovingAverageSimple indicator
        self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return
        
        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]:
            self.log('Order Canceled/Margin/Rejected')

        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %(trade.pnl, trade.pnlcomm))

   def next(self):
     
            if self.order:
                return
    
            if self.position.size ==0:
    
              if self.dataclose[0] > self.sma[0]:
    
                self.order = self.buy(price=6000.00,exec=bt.Order.Limit)



      

if __name__ == '__main__':
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)
    data = bt.feeds.PandasData(dataname=dataframe)
    cerebro.adddata(data)
    cerebro.broker.setcash(100000)
    cerebro.broker.setcommission(commission=0.00025)

    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.run()
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

[vladisld]

@Akshay said in Help with limit orders- (getting executed at market prices):

self.order = self.buy(price=6000.00,exec=bt.Order.Limit)

Please try to use the exectype argument for buy method instead of exec (it was probably a typo)

self.order = self.buy(price=6000.00,exectype=bt.Order.Limit)

[Akshay]

@vladisld Thanks a lot, that worked!