Order Execution

Waterloo

Hi,

I am trying to execute buy/sell orders using all my available capital

 def next_open(self):
        if not self.position:
            if self.data_pred == 1:
                # calculate the max number of shares ('all-in')
                size = int(self.broker.getcash() / self.datas[0].open) -1
                # buy order
                self.log(f'BUY CREATED --- Size: {size}, Cash: {self.broker.getcash():.2f}, Open: {self.data_open[0]}, Close: {self.data_close[0]}, Amount:{cerebro.broker.getvalue()}')
                self.buy(size=size)
        else:
            if self.data_pred == 0:
                # sell order
                self.log(f'SELL CREATED --- Size: {self.position.size}, Cash: {self.broker.getcash():.2f}, Open: {self.data_open[0]}, Close: {self.data_close[0]}')
                self.sell(size=self.position.size)

I'm calculating the size as my available cash / Open price.

cerebro = bt.Cerebro(stdstats = False, cheat_on_open=True)
cerebro.addstrategy(MLStrategy)
cerebro.adddata(data_bt, name='AAPL')
cerebro.broker.setcash(1000.0)
cerebro.broker.setcommission(commission=0.001)
cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
# run the backtest
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
backtest_result = cerebro.run()

I have cheat_on_open available although I do not fully understand it's functionality. I want the backtesting algo to Buy if pred= 1.

The size calculation is correct but I am getting a message that order is in margin

# report failed order
        elif order.status in [order.Canceled]:
            self.log('Order Canceled')
        elif order.status in [order.Margin]:
            self.log('Order Margin')
        elif order.status in [order.Rejected]:
            self.log('Order Rejected')

Can you kindly explain why order is in margin when I have cash available? This happens randomly.

Thank you,
W

Waterloo

@waterloo said in Order Execution:

stdstats

Update - With commissions set to 0, it works. So I believe the issue is that I'm getting a lot of commission fees as I'm making profit and buying more shares. Is there a way of calculating the size so that I invest all my available capital (whilst accounting for commission fees as well)?

Thank you