Adding indicator causes order to be rejected when using fractional size

MohMah

I have this simple buy and hold strategy:

from imports import *
from indicators import BBW


# noinspection PyArgumentList
from utils.fractional_commision_info import CommInfoFractional


class BuyAndHoldTarget(bt.Strategy):
    def __init__(self):
        # bt.indicators.BollingerBands(self.datas[0])
        # bbw = BBW(self.datas[0])
        # VLI_fast = btind.SmoothedMovingAverage(bbw, period=200)
        # btind.ExponentialMovingAverage(self.datas[0])

        # btind.Highest(period=20).plotinfo.subplot = False
        # btind.Lowest(period=20).plotinfo.subplot = False

        # self.val_start = self.broker.get_cash()  # keep the starting cash
        self.BTC = self.datas[0]

    def nextstart(self):
        # Buy all the available cash
        self.broker.addcommissioninfo(CommInfoFractional())
        size = self.broker.get_cash() / self.data
        self.buy(size=size)
        # self.order_target_value(target=self.broker.get_cash())

    def notify_order(self, order):
        if order.status in [bt.Order.Submitted, bt.Order.Accepted]:
            return  # Await further notifications

        if order.status == order.Completed:
            otypetxt = 'Buy ' if order.isbuy() else 'Sell'
            self.log(
                ('%s Order Completed - '
                 'Size: %.2f @Price: %.2f '
                 'Value: %.2f Comm: %.2f') %
                (otypetxt, order.executed.size, order.executed.price,
                 order.executed.value, order.executed.comm)
            )

    def log(self, txt, dt=None):
        dt = dt or self.BTC.datetime.datetime()
        print('%s %s' % (dt.isoformat(), txt))

As you can see it uses fractional sizing to buy. When all the indicators are commented out, it successfully buys:

2015-04-01T02:00:00 Buy  Order Completed - Size: 0.41 @Price: 244.20 Value: 99.97 Comm: 0.00

but as soon as I uncomment the indicators, the order gets margin status and does not get completed!

Here's the order details with indicators commented:

Ref: 1
OrdType: 0
OrdType: Buy
Status: 4
Status: Completed
Size: 0.4093830597289884
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <utils.fractional_commision_info.CommInfoFractional object at 0x7fab218ecc10>
End of Session: 735689.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False

and here's the order details when indicators are uncommented:

Ref: 1
OrdType: 0
OrdType: Buy
Status: 7
Status: Margin
Size: 0.4081799257112535
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 735689.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False

uncommenting only the first indicator will do the job

hghhgghdf dfdf

Add commission info before running cerebro. Not inside of the strategy.

MohMah

@hghhgghdf-dfdf That is irrelevant and doesn't change the behaviour

MohMah

Just found out this fixes it:
https://community.backtrader.com/topic/3234/issue-with-percentsizer-2020-11-11-order-canceled-margin-rejected

Still don't know why adding an indicator causes this in the first place