Used of timer with cheat on open

sj

Hi, For one of my strategy I am using timer for weekly rebalancing and cheat on open. I can see in the log that the order is executed the same day it is issued. Is it as expected? Attached is the code and log for your reference.

class StrategyOptimization(bt.Strategy):
    params = dict(
        momentum=Momentum,
        mom_period=126,
        num_positions=20,
        when=bt.timer.SESSION_START,
        timer=True,
        cheat=True,
        weekdays = [1],
        weekcarry=True,
        history = 200,
        printlog = True,
        reserve = 0.01
    )
...
    def __init__(self):
        # Add a timer which will be called on the 1st trading day of the month
        if self.p.timer:
            self.add_timer(
                when=self.p.when,
                weekdays=self.p.weekdays,
                weekcarry=True
            )
        if self.p.cheat:
            self.add_timer(
                when=self.p.when,
                weekdays=self.p.weekdays,
                weekcarry=True,
                cheat=True,
            )
.....
cerebro = bt.Cerebro(cheat_on_open=True)
cerebro.broker.set_coo(True)
.......

Log

2010-11-29T00:00:00, BUY Fresh Buy: MANAPPURAM, Open: 74.95, Close: 70.28
2010-11-29T00:00:00, BUY Fresh Buy: UBL, Open: 400.00, Close: 389.65
2010-11-29T00:00:00, BUY Fresh Buy: VGUARD, Open: 11.93, Close: 12.29
2010-11-29T00:00:00, BUY Fresh Buy: JUBLFOOD, Open: 291.07, Close: 298.07
2010-11-29T00:00:00, BUY Fresh Buy: CANBK, Open: 695.00, Close: 709.30
2010-11-29T00:00:00, BUY Fresh Buy: NATCOPHARM, Open: 64.38, Close: 64.12
2010-11-29T00:00:00, BUY Fresh Buy: M&MFIN, Open: 150.40, Close: 154.86
2010-11-29T00:00:00, BUY Fresh Buy: BAJFINANCE, Open: 70.94, Close: 69.33
2010-11-29T00:00:00, BUY Fresh Buy: TATAMOTORS, Open: 230.71, Close: 234.68
2010-11-29T00:00:00, BUY Fresh Buy: TITAN, Open: 179.95, Close: 184.19
2010-11-29T00:00:00, BUY Fresh Buy: NAUKRI, Open: 314.00, Close: 314.95
2010-11-29T00:00:00, BUY Fresh Buy: HINDALCO, Open: 198.50, Close: 201.75
2010-11-29T00:00:00, BUY Fresh Buy: INDUSINDBK, Open: 285.05, Close: 294.35
2010-11-29T00:00:00, BUY Fresh Buy: PETRONET, Open: 60.25, Close: 58.70
2010-11-29T00:00:00, BUY Fresh Buy: AARTIIND, Open: 30.17, Close: 31.46
2010-11-29T00:00:00, BUY Fresh Buy: COROMANDEL, Open: 290.05, Close: 277.38
2010-11-29T00:00:00, BUY Fresh Buy: AUROPHARMA, Open: 124.60, Close: 125.02
2010-11-29T00:00:00, BUY Fresh Buy: EICHERMOT, Open: 114.69, Close: 114.77
2010-11-29T00:00:00, BUY Fresh Buy: ICICIBANK, Open: 206.55, Close: 209.87
2010-11-29T00:00:00, BUY Fresh Buy: SRTRANSFIN, Open: 782.40, Close: 771.05
2010-11-29T00:00:00, BUY Fresh Buy: BANKINDIA, Open: 430.10, Close: 454.60
2010-11-29T00:00:00, BUY Fresh Buy: RAJESHEXPO, Open: 112.00, Close: 113.65
2010-11-29T00:00:00, BUY Fresh Buy: BANKBARODA, Open: 178.00, Close: 182.16
2010-11-29T00:00:00, BUY Fresh Buy: CHOLAFIN, Open: 34.80, Close: 34.36
2010-11-29T00:00:00, BUY Fresh Buy: BAJAJ-AUTO, Open: 1602.50, Close: 1592.70
2010-11-29T00:00:00, BUY Fresh Buy: PAGEIND, Open: 1380.00, Close: 1380.85
2010-11-29T00:00:00, BUY Fresh Buy: TVSMOTOR, Open: 82.50, Close: 80.15
2010-11-29T00:00:00, BUY Fresh Buy: TCS, Open: 509.25, Close: 517.12
2010-11-29T00:00:00, BUY Fresh Buy: CUB, Open: 44.05, Close: 43.01
2010-11-29T00:00:00, BUY Fresh Buy: SBIN, Open: 287.21, Close: 287.98
2010-11-29T00:00:00, BUY Fresh Buy: CUMMINSIND, Open: 542.86, Close: 548.54
2010-11-29T00:00:00, BUY Fresh Buy: ADANIENT, Open: 65.37, Close: 69.21
2010-11-29T00:00:00, BUY Fresh Buy: BIOCON, Open: 63.50, Close: 63.67
2010-11-29T00:00:00, BUY Fresh Buy: BALKRISIND, Open: 74.46, Close: 74.03
2010-11-29T00:00:00, BUY Fresh Buy: FEDERALBNK, Open: 44.50, Close: 43.98
2010-11-29T00:00:00, BUY Fresh Buy: GUJGASLTD, Open: 382.00, Close: 384.85
2010-11-29T00:00:00, BUY Fresh Buy: GRASIM, Open: 368.19, Close: 368.15
2010-11-29T00:00:00, BUY Fresh Buy: VOLTAS, Open: 242.65, Close: 247.35
2010-11-29T00:00:00, BUY Fresh Buy: APOLLOHOSP, Open: 464.15, Close: 475.75
2010-11-29T00:00:00, BUY Fresh Buy: PNB, Open: 230.00, Close: 235.23
2010-11-29T00:00:00, BUY EXECUTED, Price: 74.95, Cost: 3822.45, Comm 9.56
2010-11-29T00:00:00, BUY EXECUTED, Price: 400.00, Cost: 35200.00, Comm 88.00
2010-11-29T00:00:00, BUY EXECUTED, Price: 291.07, Cost: 21248.11, Comm 53.12
2010-11-29T00:00:00, BUY EXECUTED, Price: 695.00, Cost: 4170.00, Comm 10.42
2010-11-29T00:00:00, BUY EXECUTED, Price: 64.38, Cost: 34765.20, Comm 86.91
2010-11-29T00:00:00, BUY EXECUTED, Price: 150.40, Cost: 33539.20, Comm 83.85
2010-11-29T00:00:00, BUY EXECUTED, Price: 70.94, Cost: 35399.06, Comm 88.50
2010-11-29T00:00:00, BUY EXECUTED, Price: 179.95, Cost: 33830.60, Comm 84.58
2010-11-29T00:00:00, BUY EXECUTED, Price: 314.00, Cost: 3140.00, Comm 7.85
2010-11-29T00:00:00, BUY EXECUTED, Price: 285.05, Cost: 5130.90, Comm 12.83
2010-11-29T00:00:00, BUY EXECUTED, Price: 60.25, Cost: 4338.00, Comm 10.84
2010-11-29T00:00:00, BUY EXECUTED, Price: 290.05, Cost: 35966.20, Comm 89.92
2010-11-29T00:00:00, BUY EXECUTED, Price: 114.69, Cost: 34521.69, Comm 86.30
2010-11-29T00:00:00, BUY EXECUTED, Price: 782.40, Cost: 8606.40, Comm 21.52
2010-11-29T00:00:00, BUY EXECUTED, Price: 178.00, Cost: 23496.00, Comm 58.74
2010-11-29T00:00:00, BUY EXECUTED, Price: 34.80, Cost: 16425.60, Comm 41.06
2010-11-29T00:00:00, BUY EXECUTED, Price: 1602.50, Cost: 19230.00, Comm 48.07
2010-11-29T00:00:00, BUY EXECUTED, Price: 1380.00, Cost: 34500.00, Comm 86.25
2010-11-29T00:00:00, BUY EXECUTED, Price: 82.50, Cost: 19387.50, Comm 48.47
2010-11-29T00:00:00, BUY EXECUTED, Price: 509.25, Cost: 22916.25, Comm 57.29
2010-11-29T00:00:00, BUY EXECUTED, Price: 44.05, Cost: 13082.85, Comm 32.71
2010-11-29T00:00:00, BUY EXECUTED, Price: 542.86, Cost: 34200.18, Comm 85.50
2010-11-29T00:00:00, BUY EXECUTED, Price: 44.50, Cost: 8054.50, Comm 20.14
2010-11-29T00:00:00, BUY EXECUTED, Price: 464.15, Cost: 7890.55, Comm 19.73

run-out

@sj From the docs:

Trying cheat-on-open

The sample below has a strategy with 2 different behaviors:

    If cheat-on-open is True, it will only operate from next_open

    If cheat-on-open is False, it will only operate from next

In both cases the matching price must be the same

    If not cheating, the order is issued at the end of the previous day and will be matched with the next incoming price which is the open price

    If cheating, the order is issued on the same day it is executed. Because the order is issued before the broker has evaluated orders, it will also be matched with the next incoming price, the open price.

    This second scenario, allows calculation of exact stakes for all-in strategies, because one can directly access the current open price.

sj

@run-out Thank you for the response. Yes, I saw this however let me give some more details, both with cheat-on-open as True
Scenario 1 when no timer is used - The strategy is rebalanced every Monday and I have used dt.weeked() condition to make that happen. When I extract the transition using pyfolio integration, I see that buy/sell orders are issued on Tuesday and also executed on Tuesday open price.
Scenario 2 when timer is used to trigger rebalancing - When I extract transitions, I see orders are issues on Monday and executed on Monday open price.
Is is as expected and right behaviour? Appreciate any help!

run-out

@sj I regret I've hardly ever used the timers. Perhaps someone else can help clear this up?