3. Cheat on close takes the next bar's execution date and the current bar's execution price
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Cheat on close takes the next bar's execution date and the current bar's execution price


  • Is there a way to make cheat on close execute the orders on the same bar as well as give the date of the same bar. Right now the notify_trade takes current bar's execution price but next bar's date as an execution date.

    2005-03-07, ------------BUY order placed------------
2005-03-07, EOD Close: 112.98   mOnthlY close 102.74  Current ATR 11.81   Stop Loss at 101.17
2005-03-08, BUY EXECUTED: test, Price: 112.98,status: 4.00, Cost: 112.98, Comm 0.00
2005-03-08 test Opened: PnL Gross 0.0, Net 0.0
112.98
-sell stop trail--sell stop trail-
2007-10-17, SELL EXECUTED: test, Price: 565.42, Cost: 112.98, Comm 0.00
2007-10-17 test Closed: PnL Gross 452.44, Net 452.44
112.98
2007-10-17, ------------BUY order placed------------
2007-10-17, EOD Close: 671.89   mOnthlY close 317.54  Current ATR 172.47   Stop Loss at 499.42
2007-10-18, BUY EXECUTED: test, Price: 671.89,status: 4.00, Cost: 671.89, Comm 0.00
2007-10-18 test Opened: PnL Gross 0.0, Net 0.0
671.89
-sell stop trail--sell stop trail-
2008-10-23, SELL EXECUTED: test, Price: 305.79, Cost: 671.89, Comm 0.00
2008-10-23 test Closed: PnL Gross -366.1, Net -366.1
671.89
2014-05-19, ------------BUY order placed------------
2014-05-19, EOD Close: 560.03   mOnthlY close 447.60  Current ATR 74.87   Stop Loss at 485.16
2014-05-20, BUY EXECUTED: test, Price: 560.03,status: 4.00, Cost: 560.03, Comm 0.00
2014-05-20 test Opened: PnL Gross 0.0, Net 0.0
560.03
-sell stop trail--sell stop trail-
2020-03-09, SELL EXECUTED: test, Price: 1124.79, Cost: 560.03, Comm 0.00
2020-03-09 test Closed: PnL Gross 564.76, Net 564.76
560.03
2020-05-08, ------------BUY order placed------------
2020-05-08, EOD Close: 1561.80   mOnthlY close 1514.05  Current ATR 328.55   Stop Loss at 1233.25
2020-05-11, BUY EXECUTED: test, Price: 1561.80,status: 4.00, Cost: 1561.80, Comm 0.00
2020-05-11 test Opened: PnL Gross 0.0, Net 0.0

    Any suggestion to change in the source code or any extra module I don't know of would be really appreciated.

    0
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