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cheat-on-close not working?



  • Hi all. I am fairly new to Backtrader and I am trying to modify the quickstart tutorial to make cheat-on-close work. I have already set cerebro.broker.set_coc(True), but when the strategy runs, the BUY/SELL orders are still executed on the next day, not the current day close. What did I do wrong?

    from __future__ import (absolute_import, division, print_function,
                            unicode_literals)
    
    import datetime  # For datetime objects
    import os.path  # To manage paths
    import sys  # To find out the script name (in argv[0])
    
    # Import the backtrader platform
    import backtrader as bt
    
    
    # Create a Stratey
    class TestStrategy(bt.Strategy):
        params = (
            ('maperiod', 15),
        )
    
        def log(self, txt, dt=None):
            ''' Logging function for this strategy'''
            dt = dt or self.datas[0].datetime.date(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
    
            # To keep track of pending orders and buy price/commission
            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)
    
            # Add a RSI2 indicator
            self.rsi2 = bt.indicators.RelativeStrengthIndex(
                self.datas[0], period=2
            )
    
            # Add a RSI4 indicator
            self.rsi4 = bt.indicators.RelativeStrengthIndex(
                self.datas[0], period=4
            )
    
        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]:
                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):
            # Simply log the closing price of the series from the reference
            self.log('Close, %.2f, RSI2, %.2f' % (self.dataclose[0], self.rsi2[0]))
    
            # 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:
    
                # Not yet ... we MIGHT BUY if ...
                # if self.dataclose[0] > self.sma[0]:
                if self.rsi2 < 10:
    
                    # 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.Close)
    
            else:
    
                # if self.dataclose[0] < self.sma[0]:
                if self.rsi2 > 90:
    
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    self.log('SELL CREATE, %.2f' % self.dataclose[0])
    
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell(bt.Order.Close)
    
    
    if __name__ == '__main__':
        # Create a cerebro entity
        cerebro = bt.Cerebro()
    
        # Add a strategy
        cerebro.addstrategy(TestStrategy)
    
        # Datas are in a subfolder of the samples. Need to find where the script is
        # because it could have been called from anywhere
        modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
        datapath = os.path.join(modpath, 'datas\\MSFT.csv')
    
        # Create a Data Feed
        data = bt.feeds.YahooFinanceCSVData(
            dataname=datapath,
            # Do not pass values before this date
            fromdate=datetime.datetime(2020, 1, 1),
            # Do not pass values before this date
            todate=datetime.datetime(2020, 12, 31),
            # Do not pass values after this date
            reverse=False)
    
        # Add the Data Feed to Cerebro
        cerebro.adddata(data)
    
        # Set our desired cash start
        cerebro.broker.setcash(100000.0)
    
        # Set the commission - 0.1% ... divide by 100 to remove the %
        cerebro.broker.setcommission(commission=0.001)
        
        # Set cheat-on-close
        cerebro.broker.set_coc(True)
    
        # Print out the starting conditions
        print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    
        # Run over everything
        cerebro.run()
    
        # Print out the final result
        print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
    
        # Plot the result
        cerebro.plot()
    
    2020-09-08, BUY CREATE, 202.66
    2020-09-09, BUY EXECUTED, Price: 211.29, Cost: 211.29, Comm 0.21
    


  • In case of cheat-on-close the order notification comes on the next bar, but the execution price should be the the close of the bar when the order was issued.


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