Market buy orders are Submitted, but not Accepted or Executed

[Adham Suliman]

I am currently backtesting a strategy where backtrader acts normally up until about a third of the way through the entire data set. From that point on, backtrader seems to only be capable of creating a buy order and submitting it, but not accepting or executing the order. I have three attachments associated with this post. The first is the strategy, then the second is the image where we can see that backtrader is incapable of accepting/executing an order, and finally the log output. Does anyone know as to why my orders are not being accepted/executed? Thanks!

Please note, not all objects are defined in the provided script.

Code:

class EmaCross(bt.Strategy):
    params = {('order_percentage', .95)}
    plotlines = dict(
        ema_s=dict(_name = 'ema_s', ls='--', color='yellow'),  # use same color as prev line (dcm)
        ema_l=dict(_name = 'ema_l', ls='--', color='blue')) # use same color as prev line (dch)

    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.dataopen = self.datas[0].open
        self.dataclose = self.datas[0].close
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low
        
        # Bring in moving averages 
        self.myind = color_ind()

        # Define average true range 
        self.atr = bt.indicators.ATR(self.datas[0], period =14)
        
        # Define self order
        self.order = None
        self.trail_stop = None
        self.cross_down = None
    
    def notify_order(self, order):
        #Cancel stop if cross initiated
        if (self.cross_down and self.trail_stop):
            self.cancel(self.trail_stop)


        # Check the order status. 
        # If it is submitted/accepted, leave the fucntion 
        if order.status in [order.Submitted, order.Accepted]:
            if order.isbuy():
                self.log(f"Buy Submitted at {order}")
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                # Keep track of executred price and stop loss 
                self.log(f"Buy Executed at {order.executed.price}")
            if order.issell():
                # Keep track of sell price 
                self.log(f"Sell Executed at {order.executed.price} and order {order}")
                self.cancel(self.cross_down)
                self.cancel(self.trail_stop)
                print(f'position: \n {self.position} and order: \n {order}')

        if order.status == order.Canceled:
            #self.log(f'Order canceled at {self.dataclose[0]} and order is \n{order}')
            return

        # Sentinel to None: new orders allowed
        self.order = None
        self.trail_stop = None
        self.cross_down = None

    def next(self):
        if self.order:
            return

        # if there is no current postion 
        if self.position.size == 0:
            self.cancel(self.cross_down)
            if ( self.myind.ema_s[0] > self.myind.ema_l[0] and  
            self.myind.ema_s[-1] < self.myind.ema_l[-1] ):                     
                self.size = 1
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.order = self.buy(size = self.size)
             

        elif self.position.size > 0:          
            if (self.trail_stop is None and self.cross_down is None and sell_type in ['atr_sell','atr_cross_sell']):
                # cancel any prior cross_down
                self.cancel(self.cross_down)
                # sell on trailing stop 
                self.trail_stop = self.close(exectype=bt.Order.StopTrail, 
                                            trailamount = atr_stop * self.atr[0], 
                                            size = self.position.size, ref = '999')                
            
            elif (self.myind.ema_s[0] < self.myind.ema_l[0] 
                and (self.myind.ema_s[-1] > self.myind.ema_l[-1] 
                or self.myind.ema_s[-2] > self.myind.ema_l[-2])
                and (self.cross_down is None) and sell_type  in ['cross_sell','atr_cross_sell']): 
                               
                # cancel trailing stop
                self.cancel(self.trail_stop)
                # sell on the cros down
                self.cross_down = self.close()


if f in ['30min','15min','hour','4hour']:
    if f == '30min':
        compression = 30
    elif f == '15min':
        compression = 15
    elif f == 'hour':
        compression = 60
    else:
        compression = 240

    data0 = pd.read_csv(f'data/{c}/{f}/{d}.csv' ) #index_col=[0], parse_dates=[0]
    data0['time'] = data0.reset_index().time.apply(lambda x: datetime.strptime(x,'%m/%d/%Y %H:%M'))
    
    data0.set_index('time',inplace = True)


    data = bt.feeds.PandasData(dataname = data0, timeframe = bt.TimeFrame.Minutes, compression = compression) 
else: 
    data0 = pd.read_csv(f'data/{c}/{f}/{d}.csv',index_col=[0], parse_dates=[0] ) 
    start = pd.to_datetime(data0.index.max()) - pd.offsets.DateOffset(months=3) - timedelta(days = 10)
    data0 = data0[data0.index>=start]
    data = bt.feeds.PandasData(dataname = data0, timeframe = bt.TimeFrame.Days)


b = Bokeh(style='bar', plot_mode='multi', scheme=Tradimo(), bar_up = 'green')
cerebro = bt.Cerebro()
if contract == 'RTY':
    cerebro.broker.setcommission(commission = .85, mult = 50, stocklike=False, margin = 10000)
elif contract == 'ES':
    cerebro.broker.setcommission(commission = .85, mult = 12.5, stocklike=False, margin = 15000)
elif contract == 'NQ':
    cerebro.broker.setcommission(commission = .85, mult = 20, stocklike=False, margin = 22000)
elif contract == 'NG':
    cerebro.broker.setcommission(commission = .85, mult = 10, stocklike=False, margin = 10000)
elif contract == 'CL':
    cerebro.broker.setcommission(commission = .85, mult = 10, stocklike=False, margin = 10000)

cerebro.addstrategy(EmaCross)
cerebro.broker.setcash(50000.0)
cerebro.adddata(data)
cerebro.addwriter(bt.WriterFile, csv = True, out='data.csv')
#cerebro.broker.set_coc(True)
cerebro.run()
cerebro.plot(b, iplot = False)

Image:

Output

2008-12-15T05:00:00, Buy Executed at 1273.75
2008-12-22T15:15:00, Sell Executed at 1224.11104544575 and order Ref: 20320
OrdType: 1
OrdType: Sell
Status: 4
Status: Completed
Size: -1
Price: None
Price Limit: None
TrailAmount: 69.13895455424985
TrailPercent: None
ExecType: 5
ExecType: StopTrail
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x0000024D2EFEA748>
End of Session: 733391.9999999999
Info: AutoOrderedDict([('ref', '999')])
Broker: None
Alive: False
2008-12-30T11:30:00, BUY CREATE, 1252.50
2008-12-30T15:15:00, Buy Submitted at Ref: 20321
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 1
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 733406.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
2008-12-30T15:15:00, BUY CREATE, 1259.75
2008-12-30T19:30:00, Buy Submitted at Ref: 20322
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 1
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 733406.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True  

[Jonny8]

Stupid question, but are you sure it is not canceled by your code?
I guess the way would be to print out your cancel conditions and see the available cash?

[Adham Suliman]

Hello Jonny,

I don't think that is the case as the only point a buy market order can be cancelled is within the sentinel. The code within sentinel shouldn't execute in the current script because backtrader should be exiting the notify_order function with the code below. Please let me know if my reasoning is flawed here.

if order.status in [order.Submitted, order.Accepted]:
    if order.isbuy():
        self.log(f"Buy Submitted at {order}")
    return