Time Based Strategy

Nikhil Morye

Hey guys, I am trying to implement a strategy which is based on time.

Something like:

Enter at 11.30 am
No matter what position exit at 12.00 pm

Is there some module in backtrader which could help me in it.

Currently, I m slicing the data frame based on time and then feeding it to bt, but I have around 30-40 such stock which I want to screen so it gets difficult.

Is there a workaround for this

Nikhil Morye

@Nikhil-Morye

class TestStrategy(bt.Strategy):
 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
   mask = pd.date_range('2020/06/10 09:20:00', periods=30, freq='D')
   z = mask[mask.dayofweek < 5]
 
 def next(self):
   if self.datas[0].datetime.datetime(0) in z:
     if self.datahigh == self.dataopen:
       mainside = self.buy(price=self.dataclose[0], exectype=bt.Order.Limit, transmit=False)
       lowside  = self.sell(price=self.dataclose[0]*0.95, size=mainside.size, exectype=bt.Order.Stop,transmit=False, parent=mainside)
       highside = self.sell(price=self.dataclose[0]*1.15, size=mainside.size, exectype=bt.Order.Limit,transmit=True, parent=mainside)
       print(f'On:{self.datas[0].datetime.datetime(0)},Buy at:{self.dataclose[0]},Sell at:{round(self.dataclose*0.95,2)},Stop Loss:{round(self.dataclose*1.05,2)}')
     elif self.datalow == self.dataopen:
       mainside = self.sell(price=self.dataclose[0], exectype=bt.Order.Limit, transmit=False)
       lowside  = self.close(price=self.dataclose[0]*1.05, size=mainside.size, exectype=bt.Order.Stop,transmit=False, parent=mainside)
       highside = self.close(price=self.dataclose[0]*0.85, size=mainside.size, exectype=bt.Order.Limit,transmit=True, parent=mainside)
       print(f'On:{self.datas[0].datetime.datetime(0)},Short at:{self.dataclose[0]},Sell at:{round(self.dataclose*1.05,2)},Stop Loss:{round(self.dataclose*0.95,2)}')
     else:
       pass
   else:
     pass

But the order is not being executed

Nikhil Morye

@Nikhil-Morye Ok solved it.

the isue was with the fixer comand of mine.
if any admin please close the tread