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Problem with multiple limit orders as take profit
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Hello
I'm trying to set up two TP's with sell-limit orders and one SL with a sell-stop order.
The problem I'm encountering is that the first trades seem to be correct, but later bt creates multiple sell-limit orders without the buy order.
What am I doing wrong?import backtrader as bt from datetime import datetime class SmaCross(bt.Strategy): # list of parameters which are configurable for the strategy params = dict( pfast=100, # period for the fast moving average pslow=50 # period for the slow moving average ) def __init__(self): self.sma0 = bt.ind.SMA(period=800) sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(sma1, sma2) # crossover signal def log(self, txt, dt=None): #Logging function fot this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) 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 if order.status in [order.Completed]: if order.isbuy(): self.sell(exectype=bt.Order.Limit, size=1, price=self.data.close[0] * 1.03) self.sell(exectype=bt.Order.Limit, size=1, price=self.data.close[0] * 1.06) self.sell(exectype=bt.Order.Stop, size=2, price=self.data.close[0] * 0.98) self.log('BUY EXECUTED, %.2f' % order.executed.price) elif order.issell(): self.log('SELL EXECUTED, %.2f' % order.executed.price) def next(self): if not self.position: # not in the market if self.crossover > 0 and self.datas[0] < self.sma0: # if fast crosses slow to the upside self.buy_order = self.buy(exectype=bt.Order.Market, size=2) # enter long startcash = 10000 cerebro = bt.Cerebro() # create a "Cerebro" engine instance # Create a data feed data = bt.feeds.GenericCSVData( dataname='data/1inch_perp_28-02_09-03_10S.csv', fromdate=datetime(2021, 3, 7), todate=datetime(2021, 3, 21), timeframe=bt.TimeFrame.Seconds, headers=False, separator=";", volume=5, openinterest=-1, dtformat=('%d.%m.%Y %H:%M:%S'), ) cerebro.adddata(data) # Add the data feed cerebro.addstrategy(SmaCross) # Add the trading strategy cerebro.run() # run it all portvalue = cerebro.broker.getvalue() pnl = portvalue - startcash print('Final Portfolio Value: ${}'.format(portvalue)) print('P/L: ${}'.format(pnl)) cerebro.plot() # and plot it with a single command2021-03-07, BUY EXECUTED, 38.52 2021-03-07, SELL EXECUTED, 39.67 2021-03-07, SELL EXECUTED, 40.82 2021-03-07, BUY EXECUTED, 40.28 2021-03-07, SELL EXECUTED, 39.52 2021-03-07, BUY EXECUTED, 39.05 2021-03-07, SELL EXECUTED, 38.29 2021-03-07, BUY EXECUTED, 37.97 2021-03-08, SELL EXECUTED, 39.13 2021-03-08, SELL EXECUTED, 40.24 2021-03-08, SELL EXECUTED, 40.27 2021-03-08, SELL EXECUTED, 41.41 2021-03-08, SELL EXECUTED, 41.53 2021-03-08, SELL EXECUTED, 42.74 -
@stanski
You need to split up your stop orders and attach them to the limit orders usingone cancels otherorOCO. You can find more information here.I modified your code below.
import backtrader as bt import datetime class SmaCross(bt.Strategy): # list of parameters which are configurable for the strategy params = dict( pfast=100, # period for the fast moving average pslow=50, # period for the slow moving average ) def __init__(self): self.sma0 = bt.ind.SMA(period=800) sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(sma1, sma2) # crossover signal 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 notify_order(self, order): type = "Buy" if order.isbuy() else "Sell" self.log( f"{order.data._name:<6} Order: {order.ref:3d}\tType: {type:<5}\tStatus" f" {order.getstatusname():<8} \t" f"Size: {order.created.size:9.4f} Create Price: {order.created.price:9.4f} " f"Position: {self.getposition(order.data).size}" ) if order.status in [order.Submitted, order.Accepted]: return if order.status in [order.Completed]: self.log( f"{order.data._name:<6} {('BUY' if order.isbuy() else 'SELL'):<5} " f"Price: {order.executed.price:6.2f} " f"Cost: {order.executed.value:6.2f} " f"Comm: {order.executed.comm:4.2f} " f"Size: {order.created.size:9.4f} " ) if order.isbuy(): lmt_1 = self.sell( exectype=bt.Order.Limit, size=1, price=self.data.close[0] * 1.03, ) self.sell( exectype=bt.Order.Stop, size=1, price=self.data.close[0] * 0.98, oco=lmt_1, ) lmt_2 = self.sell( exectype=bt.Order.Limit, size=1, price=self.data.close[0] * 1.06, ) self.sell( exectype=bt.Order.Stop, size=1, price=self.data.close[0] * 0.98, oco=lmt_2, ) def next(self): if not self.position: # not in the market if ( self.crossover > 0 and self.datas[0] < self.sma0 ): # if fast crosses slow to the upside self.buy_order = self.buy( exectype=bt.Order.Market, size=2 ) # enter long ...It's always a good idea to have more logging when you are unsure of what's going on. Here's some logging for two sets of orders:
2020-01-06T12:21:00, dev Order: 1 Type: Buy Status Submitted Size: 2.0000 Create Price: 3220.7500 Position: 2 2020-01-06T12:21:00, dev Order: 1 Type: Buy Status Accepted Size: 2.0000 Create Price: 3220.7500 Position: 2 2020-01-06T12:21:00, dev Order: 1 Type: Buy Status Completed Size: 2.0000 Create Price: 3220.7500 Position: 2 2020-01-06T12:21:00, dev BUY Price: 3221.00 Cost: 6442.00 Comm: 0.00 Size: 2.0000 2020-01-06T12:22:00, dev Order: 2 Type: Sell Status Submitted Size: -1.0000 Create Price: 3317.3725 Position: 2 2020-01-06T12:22:00, dev Order: 3 Type: Sell Status Submitted Size: -1.0000 Create Price: 3156.3350 Position: 2 2020-01-06T12:22:00, dev Order: 4 Type: Sell Status Submitted Size: -1.0000 Create Price: 3413.9950 Position: 2 2020-01-06T12:22:00, dev Order: 5 Type: Sell Status Submitted Size: -1.0000 Create Price: 3156.3350 Position: 2 2020-01-06T12:22:00, dev Order: 2 Type: Sell Status Accepted Size: -1.0000 Create Price: 3317.3725 Position: 2 2020-01-06T12:22:00, dev Order: 3 Type: Sell Status Accepted Size: -1.0000 Create Price: 3156.3350 Position: 2 2020-01-06T12:22:00, dev Order: 4 Type: Sell Status Accepted Size: -1.0000 Create Price: 3413.9950 Position: 2 2020-01-06T12:22:00, dev Order: 5 Type: Sell Status Accepted Size: -1.0000 Create Price: 3156.3350 Position: 2 2020-01-17T15:55:00, dev Order: 2 Type: Sell Status Completed Size: -1.0000 Create Price: 3317.3725 Position: 1 2020-01-17T15:55:00, dev SELL Price: 3317.37 Cost: 3221.00 Comm: 0.00 Size: -1.0000 2020-01-17T15:55:00, dev Order: 3 Type: Sell Status Canceled Size: -1.0000 Create Price: 3156.3350 Position: 1 2020-02-25T13:02:00, dev Order: 5 Type: Sell Status Completed Size: -1.0000 Create Price: 3156.3350 Position: 0 2020-02-25T13:02:00, dev SELL Price: 3156.34 Cost: 3221.00 Comm: 0.00 Size: -1.0000 2020-02-25T13:02:00, dev Order: 4 Type: Sell Status Canceled Size: -1.0000 Create Price: 3413.9950 Position: 0 2020-02-25T15:52:00, dev Order: 6 Type: Buy Status Submitted Size: 2.0000 Create Price: 3113.0000 Position: 2 2020-02-25T15:52:00, dev Order: 6 Type: Buy Status Accepted Size: 2.0000 Create Price: 3113.0000 Position: 2 2020-02-25T15:52:00, dev Order: 6 Type: Buy Status Completed Size: 2.0000 Create Price: 3113.0000 Position: 2 2020-02-25T15:52:00, dev BUY Price: 3113.00 Cost: 6226.00 Comm: 0.00 Size: 2.0000 2020-02-25T15:53:00, dev Order: 7 Type: Sell Status Submitted Size: -1.0000 Create Price: 3207.6775 Position: 2 2020-02-25T15:53:00, dev Order: 8 Type: Sell Status Submitted Size: -1.0000 Create Price: 3051.9650 Position: 2 2020-02-25T15:53:00, dev Order: 9 Type: Sell Status Submitted Size: -1.0000 Create Price: 3301.1050 Position: 2 2020-02-25T15:53:00, dev Order: 10 Type: Sell Status Submitted Size: -1.0000 Create Price: 3051.9650 Position: 2 2020-02-25T15:53:00, dev Order: 7 Type: Sell Status Accepted Size: -1.0000 Create Price: 3207.6775 Position: 2 2020-02-25T15:53:00, dev Order: 8 Type: Sell Status Accepted Size: -1.0000 Create Price: 3051.9650 Position: 2 2020-02-25T15:53:00, dev Order: 9 Type: Sell Status Accepted Size: -1.0000 Create Price: 3301.1050 Position: 2 2020-02-25T15:53:00, dev Order: 10 Type: Sell Status Accepted Size: -1.0000 Create Price: 3051.9650 Position: 2 2020-02-27T09:31:00, dev Order: 8 Type: Sell Status Completed Size: -1.0000 Create Price: 3051.9650 Position: 0 2020-02-27T09:31:00, dev SELL Price: 3043.00 Cost: 3113.00 Comm: 0.00 Size: -1.0000 2020-02-27T09:31:00, dev Order: 7 Type: Sell Status Canceled Size: -1.0000 Create Price: 3207.6775 Position: 0 2020-02-27T09:31:00, dev Order: 10 Type: Sell Status Completed Size: -1.0000 Create Price: 3051.9650 Position: 0 2020-02-27T09:31:00, dev SELL Price: 3043.00 Cost: 3113.00 Comm: 0.00 Size: -1.0000 2020-02-27T09:31:00, dev Order: 9 Type: Sell Status Canceled Size: -1.0000 Create Price: 3301.1050 Position: 0 -
@run-out Your solution works very nice, but this won't work live, will it? At least it reads in the doc's that there's no live support with oco's, although I see reports that binance api can deal with oco orders. I'm intenting to trade live on a crypto exchange. Do you have experience with oco / live ?
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@stanski Not really but I suspect you would need to manually track your orders and one is complete, send a cancel for the other.
