How do I handle order execution time
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In my TestStrategy I use the following lines to log the input to the next function:
def next(self): # Simply log the closing price of the series from the reference self.log("Input: %s" % (self.dataclose[0])) # Check if an order is pending ... if yes, we cannot send a 2nd one if self.order: return self.log("Input2: %s" % (self.dataclose[0]))
The code is from the quickstart text, with my modification of output logging.
My question is, when I place a order and the time it takes to complete it, I get new input during that time that I can not process because of the self.order check.
Why does the order compleation take that much time. In my case when testing I get about 85 to 90 new input events?
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Do you mind to share more details about your script?
Normally market orders are completed at the open of the next bar if it is enough cash on the account.
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@ab_trader
I have copied the example code in the documentation and change the indicators and when to buy or sell.from __future__ import (absolute_import, division, print_function, unicode_literals) import datetime # For datetime objects import os.path # To manage paths import sys # To find out the script name (in argv[0]) # Import the backtrader platform import backtrader as bt import backtrader.feeds as btfeeds import true_strength_indicator as tsi # Create a Stratey class TestStrategy(bt.Strategy): params = ( ('maperiod', 15), ) def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.datas[0].datetime.date(0) dt2 = self.datas[0].datetime.time(0) print('%s %s, %s' % (dt.isoformat(),dt2, txt)) def __init__(self): # Keep a reference to the "close" line in the data[0] dataseries self.dataclose = self.datas[0].close # To keep track of pending orders and buy price/commission self.order = None self.long = None self.short = None self.buyprice = None self.buycomm = None # Indicators for the plotting show ci = tsi.TrueStrengthIndicator(self.datas[0].close,period1=25, period2=13) p4 = bt.indicators.ExponentialMovingAverage(self.datas[0], period=4) bt.indicators.ExponentialMovingAverage(self.datas[0], period=60) bt.indicators.ExponentialMovingAverage(self.datas[0], period=200) self.buySignal = bt.And(ci > ci(-1), p4 > p4(-1)) self.sellSignal = bt.And(ci < ci(-1), p4 < p4(-1)) 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 # Check if an order has been completed # Attention: broker could reject order if not enougth cash if order.status in [order.Completed]: if order.isbuy(): self.log( 'BUY EXECUTED, Price: %.5f, Cost: %.5f, Comm %.2f' % (order.executed.price, order.executed.value, order.executed.comm)) self.buyprice = order.executed.price self.buycomm = order.executed.comm else: # Sell self.log('SELL EXECUTED, Price: %.5f, Cost: %.5f, Comm %.2f' % (order.executed.price, order.executed.value, order.executed.comm)) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') # Write down: no pending order self.order = None def notify_trade(self, trade): if not trade.isclosed: return self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' % (trade.pnl, trade.pnlcomm)) def next(self): # Simply log the closing price of the series from the reference #self.log('Close, %.5f' % (self.dataclose[0])) self.log("Input: %s" % (self.dataclose[0])) # Check if an order is pending ... if yes, we cannot send a 2nd one if self.order: return self.log("Input2: %s" % (self.dataclose[0])) # Not yet ... we MIGHT BUY if ... if self.buySignal and not self.long: self.close() # BUY, BUY, BUY!!! (with all possible default parameters) self.log('BUY CREATE, %.5f' % (self.dataclose[0])) # Keep track of the created order to avoid a 2nd order self.order = self.buy() self.long = self.order self.short = None if self.sellSignal and not self.short: self.close() # SELL, SELL, SELL!!! (with all possible default parameters) self.log('SELL CREATE, %.5f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.sell() self.short = self.order self.long = None def main(): # Create a cerebro entity cerebro = bt.Cerebro() # Add a strategy cerebro.addstrategy(TestStrategy) # Datas are in a subfolder of the samples. Need to find where the script is # because it could have been called from anywhere modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath = os.path.join(modpath, 'EURUSD5M.csv') # Create a Data Feed data = btfeeds.GenericCSVData( dataname='EURUSD5M.csv', fromdate=datetime.datetime(2017, 2, 28), todate=datetime.datetime(2017, 3, 24), nullvalue=0.0, dtformat=('%Y.%m.%d'), tmformat=('%H:%M'), datetime=0, time=1, open=2, high=3, low=4, close=5, volume=6, openinterest=-1 ) # Add the Data Feed to Cerebro cerebro.adddata(data) # Set our desired cash start cerebro.broker.setcash(1000.0) # Add a FixedSize sizer according to the stake cerebro.addsizer(bt.sizers.FixedSize, stake=10) # Set the commission cerebro.broker.setcommission(commission=0.0) # Print out the starting conditions print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Run over everything cerebro.run() # Print out the final result print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Plot the result cerebro.plot() if __name__ == '__main__': main()
This the true strength indicator:
import backtrader as bt import backtrader.indicators as btind import math class TrueStrengthIndicator(bt.Indicator): lines = ('tsi',) params = dict( # Long period period1=25, # Short period period2=13) plotinfo = dict( # Add extra margins above and below the 1s and -1s plotymargin=0.15, # Plot a reference horizontal line at 1.0 and -1.0 plothlines=[0, 10, -10], # Simplify the y scale to 1.0 and -1.0 plotyticks=[100, -100]) # Plot the line "overunder" (the only one) with dash style # ls stands for linestyle and is directly passed to matplotlib plotlines = dict(tsi=dict(ls='-')) def _plotlabel(self): # This method returns a list of labels that will be displayed # behind the name of the indicator on the plot # The period must always be there plabels = [25] # Put only the moving average if it's not the default one plabels += "TSI" return plabels def __init__(self): super(TrueStrengthIndicator, self).__init__() pc = self.data - self.data(-1) smooth1 = bt.ind.EMA(bt.ind.EMA(pc, period=self.p.period1), period=self.p.period2) smooth2 = bt.ind.EMA(bt.ind.EMA(abs(pc), period=self.p.period1), period=self.p.period2) self.lines.tsi = 100.0 * (smooth1 / smooth2)
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I've run your script - didn't notice any errors. Signals were generated and on the next bar positions were reversed or opened in case of first signal. I don't see any delays and have two lines for each bar: one with
Input
and one withInput2
.Two lower diagrams are
Buy
andSell
signals.
Here is an output (I've added couple items) for first trade:Starting Portfolio Value: 100000.00 2015-10-16 23:59:59.999989, Input: 203.270004, Buy: 1.0, Sell 0.0, Position 0 2015-10-16 23:59:59.999989, Input2: 203.270004, Buy: 1.0, Sell 0.0, Position 0 2015-10-16 23:59:59.999989, BUY CREATE, 203.27000 2015-10-19 23:59:59.999989, BUY EXECUTED, Price: 202.50000, Cost: 2025.00000, Comm 0.00 2015-10-19 23:59:59.999989, Input: 203.369995, Buy: 1.0, Sell 0.0, Position 10 2015-10-19 23:59:59.999989, Input2: 203.369995, Buy: 1.0, Sell 0.0, Position 10 2015-10-20 23:59:59.999989, Input: 203.110001, Buy: 1.0, Sell 0.0, Position 10 2015-10-20 23:59:59.999989, Input2: 203.110001, Buy: 1.0, Sell 0.0, Position 10 2015-10-21 23:59:59.999989, Input: 201.850006, Buy: 0.0, Sell 0.0, Position 10 2015-10-21 23:59:59.999989, Input2: 201.850006, Buy: 0.0, Sell 0.0, Position 10 2015-10-22 23:59:59.999989, Input: 205.259995, Buy: 1.0, Sell 0.0, Position 10 2015-10-22 23:59:59.999989, Input2: 205.259995, Buy: 1.0, Sell 0.0, Position 10 2015-10-23 23:59:59.999989, Input: 207.509995, Buy: 1.0, Sell 0.0, Position 10 2015-10-23 23:59:59.999989, Input2: 207.509995, Buy: 1.0, Sell 0.0, Position 10 2015-10-26 23:59:59.999989, Input: 207.0, Buy: 1.0, Sell 0.0, Position 10 2015-10-26 23:59:59.999989, Input2: 207.0, Buy: 1.0, Sell 0.0, Position 10 2015-10-27 23:59:59.999989, Input: 206.600006, Buy: 1.0, Sell 0.0, Position 10 2015-10-27 23:59:59.999989, Input2: 206.600006, Buy: 1.0, Sell 0.0, Position 10 2015-10-28 23:59:59.999989, Input: 208.949997, Buy: 1.0, Sell 0.0, Position 10 2015-10-28 23:59:59.999989, Input2: 208.949997, Buy: 1.0, Sell 0.0, Position 10 2015-10-29 23:59:59.999989, Input: 208.830002, Buy: 1.0, Sell 0.0, Position 10 2015-10-29 23:59:59.999989, Input2: 208.830002, Buy: 1.0, Sell 0.0, Position 10 2015-10-30 23:59:59.999989, Input: 207.929993, Buy: 1.0, Sell 0.0, Position 10 2015-10-30 23:59:59.999989, Input2: 207.929993, Buy: 1.0, Sell 0.0, Position 10 2015-11-02 23:59:59.999989, Input: 210.389999, Buy: 1.0, Sell 0.0, Position 10 2015-11-02 23:59:59.999989, Input2: 210.389999, Buy: 1.0, Sell 0.0, Position 10 2015-11-03 23:59:59.999989, Input: 211.0, Buy: 1.0, Sell 0.0, Position 10 2015-11-03 23:59:59.999989, Input2: 211.0, Buy: 1.0, Sell 0.0, Position 10 2015-11-04 23:59:59.999989, Input: 210.360001, Buy: 1.0, Sell 0.0, Position 10 2015-11-04 23:59:59.999989, Input2: 210.360001, Buy: 1.0, Sell 0.0, Position 10 2015-11-05 23:59:59.999989, Input: 210.149994, Buy: 1.0, Sell 0.0, Position 10 2015-11-05 23:59:59.999989, Input2: 210.149994, Buy: 1.0, Sell 0.0, Position 10 2015-11-06 23:59:59.999989, Input: 210.039993, Buy: 0.0, Sell 0.0, Position 10 2015-11-06 23:59:59.999989, Input2: 210.039993, Buy: 0.0, Sell 0.0, Position 10 2015-11-09 23:59:59.999989, Input: 208.080002, Buy: 0.0, Sell 1.0, Position 10 2015-11-09 23:59:59.999989, Input2: 208.080002, Buy: 0.0, Sell 1.0, Position 10 2015-11-09 23:59:59.999989, SELL CREATE, 208.08000 2015-11-10 23:59:59.999989, SELL EXECUTED, Price: 207.50999, Cost: 2025.00000, Comm 0.00 2015-11-10 23:59:59.999989, SELL EXECUTED, Price: 207.50999, Cost: -2075.09995, Comm 0.00 2015-11-10 23:59:59.999989, OPERATION PROFIT, GROSS 50.10, NET 50.10 2015-11-10 23:59:59.999989, Input: 208.559998, Buy: 0.0, Sell 1.0, Position -10 2015-11-10 23:59:59.999989, Input2: 208.559998, Buy: 0.0, Sell 1.0, Position -10 2015-11-11 23:59:59.999989, Input: 207.740005, Buy: 0.0, Sell 1.0, Position -10 2015-11-11 23:59:59.999989, Input2: 207.740005, Buy: 0.0, Sell 1.0, Position -10 2015-11-12 23:59:59.999989, Input: 204.839996, Buy: 0.0, Sell 1.0, Position -10 2015-11-12 23:59:59.999989, Input2: 204.839996, Buy: 0.0, Sell 1.0, Position -10 2015-11-13 23:59:59.999989, Input: 202.539993, Buy: 0.0, Sell 1.0, Position -10
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@ab_trader
This is strange... I'm using 5m input data and get the following output:Starting Portfolio Value: 1000.00 second 2017-02-28 23:59:59.999989, Input: 1.0617 2017-02-28 23:59:59.999989, Input2: 1.0617 2017-02-28 23:59:59.999989, SELL CREATE, 1.06170 2017-02-28 23:59:59.999989, Input: 1.06199 2017-02-28 23:59:59.999989, Input: 1.06049 2017-02-28 23:59:59.999989, Input: 1.06105 2017-02-28 23:59:59.999989, Input: 1.06253 2017-02-28 23:59:59.999989, Input: 1.0626 2017-02-28 23:59:59.999989, Input: 1.06185 2017-02-28 23:59:59.999989, Input: 1.06193 2017-02-28 23:59:59.999989, Input: 1.06164 2017-02-28 23:59:59.999989, Input: 1.06165 2017-02-28 23:59:59.999989, Input: 1.06155 2017-02-28 23:59:59.999989, Input: 1.06154 2017-02-28 23:59:59.999989, Input: 1.06144 2017-02-28 23:59:59.999989, Input: 1.06144 2017-02-28 23:59:59.999989, Input: 1.06197 2017-02-28 23:59:59.999989, Input: 1.06229 2017-02-28 23:59:59.999989, Input: 1.06171 2017-02-28 23:59:59.999989, Input: 1.06152 2017-02-28 23:59:59.999989, Input: 1.06142 2017-02-28 23:59:59.999989, Input: 1.06164 2017-02-28 23:59:59.999989, Input: 1.06224 2017-02-28 23:59:59.999989, Input: 1.06225 2017-02-28 23:59:59.999989, Input: 1.06194 2017-02-28 23:59:59.999989, Input: 1.06179 2017-02-28 23:59:59.999989, Input: 1.06174 2017-02-28 23:59:59.999989, Input: 1.06149 2017-02-28 23:59:59.999989, Input: 1.06113 2017-02-28 23:59:59.999989, Input: 1.06061 2017-02-28 23:59:59.999989, Input: 1.06071 2017-02-28 23:59:59.999989, Input: 1.06088 2017-02-28 23:59:59.999989, Input: 1.06071 2017-02-28 23:59:59.999989, Input: 1.06076 2017-02-28 23:59:59.999989, Input: 1.06065 2017-02-28 23:59:59.999989, Input: 1.06073 2017-02-28 23:59:59.999989, Input: 1.06103 2017-02-28 23:59:59.999989, Input: 1.06045 2017-02-28 23:59:59.999989, Input: 1.06041 2017-02-28 23:59:59.999989, Input: 1.0606 2017-02-28 23:59:59.999989, Input: 1.06036 2017-02-28 23:59:59.999989, Input: 1.05991 2017-02-28 23:59:59.999989, Input: 1.06013 2017-02-28 23:59:59.999989, Input: 1.05985 2017-02-28 23:59:59.999989, Input: 1.05987 2017-02-28 23:59:59.999989, Input: 1.06015 2017-02-28 23:59:59.999989, Input: 1.06029 2017-02-28 23:59:59.999989, Input: 1.06035 2017-02-28 23:59:59.999989, Input: 1.06005 2017-02-28 23:59:59.999989, Input: 1.05973 2017-02-28 23:59:59.999989, Input: 1.05965 2017-02-28 23:59:59.999989, Input: 1.05967 2017-02-28 23:59:59.999989, Input: 1.05943 2017-02-28 23:59:59.999989, Input: 1.05955 2017-02-28 23:59:59.999989, Input: 1.05918 2017-02-28 23:59:59.999989, Input: 1.05928 2017-02-28 23:59:59.999989, Input: 1.05951 2017-02-28 23:59:59.999989, Input: 1.05957 2017-02-28 23:59:59.999989, Input: 1.05976 2017-02-28 23:59:59.999989, Input: 1.05929 2017-02-28 23:59:59.999989, Input: 1.0589 2017-02-28 23:59:59.999989, Input: 1.05892 2017-02-28 23:59:59.999989, Input: 1.05911 2017-02-28 23:59:59.999989, Input: 1.05944 2017-02-28 23:59:59.999989, Input: 1.05918 2017-02-28 23:59:59.999989, Input: 1.05938 2017-02-28 23:59:59.999989, Input: 1.05944 2017-02-28 23:59:59.999989, Input: 1.05824 2017-02-28 23:59:59.999989, Input: 1.05803 2017-02-28 23:59:59.999989, Input: 1.05804 2017-02-28 23:59:59.999989, Input: 1.05776 2017-02-28 23:59:59.999989, Input: 1.05759 2017-02-28 23:59:59.999989, Input: 1.0572 2017-02-28 23:59:59.999989, Input: 1.05757 2017-02-28 23:59:59.999989, Input: 1.0577 2017-02-28 23:59:59.999989, Input: 1.0576 2017-02-28 23:59:59.999989, Input: 1.05808 2017-02-28 23:59:59.999989, Input: 1.05777 2017-02-28 23:59:59.999989, Input: 1.05757 2017-02-28 23:59:59.999989, Input: 1.0574 2017-02-28 23:59:59.999989, Input: 1.05753 2017-02-28 23:59:59.999989, Input: 1.05767 2017-02-28 23:59:59.999989, Input: 1.05749 2017-02-28 23:59:59.999989, Input: 1.05727 2017-02-28 23:59:59.999989, Input: 1.0572 2017-02-28 23:59:59.999989, Input: 1.05718 2017-02-28 23:59:59.999989, Input: 1.05699 2017-02-28 23:59:59.999989, Input: 1.05706 2017-02-28 23:59:59.999989, Input: 1.05726 2017-02-28 23:59:59.999989, Input: 1.05726 2017-02-28 23:59:59.999989, Input: 1.05725 2017-03-01 23:59:59.999989, SELL EXECUTED, Price: 1.05724, Cost: -10.57240, Comm 0.00 2017-03-01 23:59:59.999989, Input: 1.05746 2017-03-01 23:59:59.999989, Input2: 1.05746 2017-03-01 23:59:59.999989, BUY CREATE, 1.05746 2017-03-01 23:59:59.999989, Input: 1.05735 2017-03-01 23:59:59.999989, Input: 1.05748 2017-03-01 23:59:59.999989, Input: 1.05726 2017-03-01 23:59:59.999989, Input: 1.05725 2017-03-01 23:59:59.999989, Input: 1.05688 2017-03-01 23:59:59.999989, Input: 1.05698 2017-03-01 23:59:59.999989, Input: 1.05713 2017-03-01 23:59:59.999989, Input: 1.05708 2017-03-01 23:59:59.999989, Input: 1.05684 2017-03-01 23:59:59.999989, Input: 1.0567 2017-03-01 23:59:59.999989, Input: 1.05688 2017-03-01 23:59:59.999989, Input: 1.05653 2017-03-01 23:59:59.999989, Input: 1.05649 2017-03-01 23:59:59.999989, Input: 1.05643 2017-03-01 23:59:59.999989, Input: 1.05653 2017-03-01 23:59:59.999989, Input: 1.0564 2017-03-01 23:59:59.999989, Input: 1.05643 2017-03-01 23:59:59.999989, Input: 1.05615 2017-03-01 23:59:59.999989, Input: 1.05611 2017-03-01 23:59:59.999989, Input: 1.05605 2017-03-01 23:59:59.999989, Input: 1.05605 2017-03-01 23:59:59.999989, Input: 1.05618 2017-03-01 23:59:59.999989, Input: 1.05623 2017-03-01 23:59:59.999989, Input: 1.05589 2017-03-01 23:59:59.999989, Input: 1.05604 2017-03-01 23:59:59.999989, Input: 1.05586 2017-03-01 23:59:59.999989, Input: 1.05557 2017-03-01 23:59:59.999989, Input: 1.05584 2017-03-01 23:59:59.999989, Input: 1.05584 2017-03-01 23:59:59.999989, Input: 1.05605 2017-03-01 23:59:59.999989, Input: 1.05654 2017-03-01 23:59:59.999989, Input: 1.05643 2017-03-01 23:59:59.999989, Input: 1.05639 2017-03-01 23:59:59.999989, Input: 1.05653 2017-03-01 23:59:59.999989, Input: 1.05718 2017-03-01 23:59:59.999989, Input: 1.05758 2017-03-01 23:59:59.999989, Input: 1.05722 2017-03-01 23:59:59.999989, Input: 1.05651 2017-03-01 23:59:59.999989, Input: 1.05694 2017-03-01 23:59:59.999989, Input: 1.05867 2017-03-01 23:59:59.999989, Input: 1.05795 2017-03-01 23:59:59.999989, Input: 1.05772 2017-03-01 23:59:59.999989, Input: 1.05818 2017-03-01 23:59:59.999989, Input: 1.05799 2017-03-01 23:59:59.999989, Input: 1.05843 2017-03-01 23:59:59.999989, Input: 1.05803 2017-03-01 23:59:59.999989, Input: 1.05789 2017-03-01 23:59:59.999989, Input: 1.05748 2017-03-01 23:59:59.999989, Input: 1.05674 2017-03-01 23:59:59.999989, Input: 1.05634 2017-03-01 23:59:59.999989, Input: 1.05625 2017-03-01 23:59:59.999989, Input: 1.05664 2017-03-01 23:59:59.999989, Input: 1.05628 2017-03-01 23:59:59.999989, Input: 1.05644 2017-03-01 23:59:59.999989, Input: 1.05587 2017-03-01 23:59:59.999989, Input: 1.05593 2017-03-01 23:59:59.999989, Input: 1.05556 2017-03-01 23:59:59.999989, Input: 1.05557 2017-03-01 23:59:59.999989, Input: 1.05589 2017-03-01 23:59:59.999989, Input: 1.05592 2017-03-01 23:59:59.999989, Input: 1.05588 2017-03-01 23:59:59.999989, Input: 1.05569 2017-03-01 23:59:59.999989, Input: 1.0556 2017-03-01 23:59:59.999989, Input: 1.05556 2017-03-01 23:59:59.999989, Input: 1.05548 2017-03-01 23:59:59.999989, Input: 1.05513 2017-03-01 23:59:59.999989, Input: 1.05521 2017-03-01 23:59:59.999989, Input: 1.05518 2017-03-01 23:59:59.999989, Input: 1.05513 2017-03-01 23:59:59.999989, Input: 1.05513 2017-03-01 23:59:59.999989, Input: 1.05521 2017-03-01 23:59:59.999989, Input: 1.0553 2017-03-01 23:59:59.999989, Input: 1.05523 2017-03-01 23:59:59.999989, Input: 1.05525 2017-03-01 23:59:59.999989, Input: 1.05519 2017-03-01 23:59:59.999989, Input: 1.05517 2017-03-01 23:59:59.999989, Input: 1.05518 2017-03-01 23:59:59.999989, Input: 1.05553 2017-03-01 23:59:59.999989, Input: 1.05549 2017-03-01 23:59:59.999989, Input: 1.05549 2017-03-01 23:59:59.999989, Input: 1.05539 2017-03-01 23:59:59.999989, Input: 1.05549 2017-03-01 23:59:59.999989, Input: 1.05552 2017-03-01 23:59:59.999989, Input: 1.05553 2017-03-01 23:59:59.999989, Input: 1.05567 2017-03-01 23:59:59.999989, Input: 1.05562 2017-03-01 23:59:59.999989, Input: 1.05584 2017-03-01 23:59:59.999989, Input: 1.05568 2017-03-01 23:59:59.999989, Input: 1.05562 2017-03-01 23:59:59.999989, Input: 1.05562 2017-03-01 23:59:59.999989, Input: 1.05543 2017-03-01 23:59:59.999989, Input: 1.05554 2017-03-01 23:59:59.999989, Input: 1.05567 2017-03-01 23:59:59.999989, Input: 1.0558 2017-03-01 23:59:59.999989, Input: 1.05574 2017-03-01 23:59:59.999989, Input: 1.05439 2017-03-01 23:59:59.999989, Input: 1.05406 2017-03-01 23:59:59.999989, Input: 1.05421 2017-03-01 23:59:59.999989, Input: 1.05395 2017-03-01 23:59:59.999989, Input: 1.0543 2017-03-01 23:59:59.999989, Input: 1.05424 2017-03-01 23:59:59.999989, Input: 1.05394 2017-03-01 23:59:59.999989, Input: 1.05428 2017-03-01 23:59:59.999989, Input: 1.05431 2017-03-01 23:59:59.999989, Input: 1.05413 2017-03-01 23:59:59.999989, Input: 1.05405 2017-03-01 23:59:59.999989, Input: 1.05399 2017-03-01 23:59:59.999989, Input: 1.05299 2017-03-01 23:59:59.999989, Input: 1.05277 2017-03-01 23:59:59.999989, Input: 1.0536 2017-03-01 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23:59:59.999989, Input: 1.05441 2017-03-02 23:59:59.999989, Input: 1.0542 2017-03-02 23:59:59.999989, Input: 1.05421 2017-03-02 23:59:59.999989, Input: 1.05415 2017-03-02 23:59:59.999989, Input: 1.05415 2017-03-02 23:59:59.999989, Input: 1.05383 2017-03-02 23:59:59.999989, Input: 1.05348 2017-03-02 23:59:59.999989, Input: 1.05334 2017-03-02 23:59:59.999989, Input: 1.05334 2017-03-02 23:59:59.999989, Input: 1.0528 2017-03-02 23:59:59.999989, Input: 1.05242 2017-03-02 23:59:59.999989, Input: 1.05257 2017-03-02 23:59:59.999989, Input: 1.05269 2017-03-02 23:59:59.999989, Input: 1.05314 2017-03-02 23:59:59.999989, Input: 1.05254 2017-03-02 23:59:59.999989, Input: 1.05285 2017-03-02 23:59:59.999989, Input: 1.05309 2017-03-02 23:59:59.999989, Input: 1.05273 2017-03-02 23:59:59.999989, Input: 1.05239 2017-03-02 23:59:59.999989, Input: 1.05299 2017-03-02 23:59:59.999989, Input: 1.05273 2017-03-02 23:59:59.999989, Input: 1.05285 2017-03-02 23:59:59.999989, Input: 1.05308 2017-03-02 23:59:59.999989, Input: 1.05328 2017-03-02 23:59:59.999989, Input: 1.05314 2017-03-02 23:59:59.999989, Input: 1.05307 2017-03-02 23:59:59.999989, Input: 1.05273 2017-03-02 23:59:59.999989, Input: 1.05258 2017-03-02 23:59:59.999989, Input: 1.05242 2017-03-02 23:59:59.999989, Input: 1.05228 2017-03-02 23:59:59.999989, Input: 1.05251 2017-03-02 23:59:59.999989, Input: 1.05241 2017-03-02 23:59:59.999989, Input: 1.05282 2017-03-02 23:59:59.999989, Input: 1.05284 2017-03-02 23:59:59.999989, Input: 1.05288 2017-03-02 23:59:59.999989, Input: 1.05226 2017-03-02 23:59:59.999989, Input: 1.05234 2017-03-02 23:59:59.999989, Input: 1.05232 2017-03-02 23:59:59.999989, Input: 1.05222 2017-03-02 23:59:59.999989, Input: 1.05192 2017-03-02 23:59:59.999989, Input: 1.05165 2017-03-02 23:59:59.999989, Input: 1.05109 2017-03-02 23:59:59.999989, Input: 1.05086 2017-03-02 23:59:59.999989, Input: 1.05126 2017-03-02 23:59:59.999989, Input: 1.05113 2017-03-02 23:59:59.999989, Input: 1.05116 2017-03-02 23:59:59.999989, Input: 1.05156 2017-03-02 23:59:59.999989, Input: 1.05172 2017-03-02 23:59:59.999989, Input: 1.0518 2017-03-02 23:59:59.999989, Input: 1.05198 2017-03-02 23:59:59.999989, Input: 1.05194 2017-03-02 23:59:59.999989, Input: 1.05163 2017-03-02 23:59:59.999989, Input: 1.05128 2017-03-02 23:59:59.999989, Input: 1.05142 2017-03-02 23:59:59.999989, Input: 1.05157 2017-03-02 23:59:59.999989, Input: 1.05158 2017-03-02 23:59:59.999989, Input: 1.05163 2017-03-02 23:59:59.999989, Input: 1.05111 2017-03-02 23:59:59.999989, Input: 1.0511 2017-03-02 23:59:59.999989, Input: 1.05146 2017-03-02 23:59:59.999989, Input: 1.05158 2017-03-02 23:59:59.999989, Input: 1.05143 2017-03-02 23:59:59.999989, Input: 1.05137 2017-03-02 23:59:59.999989, Input: 1.0507 2017-03-02 23:59:59.999989, Input: 1.05026 2017-03-02 23:59:59.999989, Input: 1.05029 2017-03-02 23:59:59.999989, Input: 1.05019 2017-03-02 23:59:59.999989, Input: 1.05035 2017-03-02 23:59:59.999989, Input: 1.04997 2017-03-02 23:59:59.999989, Input: 1.05086 2017-03-02 23:59:59.999989, Input: 1.05075 2017-03-02 23:59:59.999989, Input: 1.0508 2017-03-02 23:59:59.999989, Input: 1.05043 2017-03-02 23:59:59.999989, Input: 1.05067 2017-03-02 23:59:59.999989, Input: 1.05047 2017-03-02 23:59:59.999989, Input: 1.05086 2017-03-02 23:59:59.999989, Input: 1.0511 2017-03-02 23:59:59.999989, Input: 1.05158 2017-03-02 23:59:59.999989, Input: 1.05129 2017-03-02 23:59:59.999989, Input: 1.05149 2017-03-02 23:59:59.999989, Input: 1.0512 2017-03-02 23:59:59.999989, Input: 1.05137 2017-03-02 23:59:59.999989, Input: 1.05192 2017-03-02 23:59:59.999989, Input: 1.05194 2017-03-02 23:59:59.999989, Input: 1.05232 2017-03-02 23:59:59.999989, Input: 1.05202 2017-03-02 23:59:59.999989, Input: 1.05244 2017-03-02 23:59:59.999989, Input: 1.05243 2017-03-02 23:59:59.999989, Input: 1.05249 2017-03-02 23:59:59.999989, Input: 1.05228 2017-03-02 23:59:59.999989, Input: 1.05248 2017-03-02 23:59:59.999989, Input: 1.05231 2017-03-02 23:59:59.999989, Input: 1.05202 2017-03-02 23:59:59.999989, Input: 1.05207 2017-03-02 23:59:59.999989, Input: 1.05177 2017-03-02 23:59:59.999989, Input: 1.05153 2017-03-02 23:59:59.999989, Input: 1.05147 2017-03-02 23:59:59.999989, Input: 1.05131 2017-03-02 23:59:59.999989, Input: 1.05135 2017-03-02 23:59:59.999989, Input: 1.05162 2017-03-02 23:59:59.999989, Input: 1.05122 2017-03-02 23:59:59.999989, Input: 1.05108 2017-03-02 23:59:59.999989, Input: 1.05105 2017-03-02 23:59:59.999989, Input: 1.05081 2017-03-02 23:59:59.999989, Input: 1.05089 2017-03-02 23:59:59.999989, Input: 1.05097 2017-03-02 23:59:59.999989, Input: 1.05077 2017-03-02 23:59:59.999989, Input: 1.05072 2017-03-02 23:59:59.999989, Input: 1.05074 2017-03-02 23:59:59.999989, Input: 1.05051 2017-03-02 23:59:59.999989, Input: 1.05058 2017-03-02 23:59:59.999989, Input: 1.05062 2017-03-02 23:59:59.999989, Input: 1.05037 2017-03-02 23:59:59.999989, Input: 1.05036 2017-03-02 23:59:59.999989, Input: 1.05084 2017-03-02 23:59:59.999989, Input: 1.05079 2017-03-02 23:59:59.999989, Input: 1.05082 2017-03-02 23:59:59.999989, Input: 1.05037 2017-03-02 23:59:59.999989, Input: 1.05033 2017-03-02 23:59:59.999989, Input: 1.05031 2017-03-02 23:59:59.999989, Input: 1.05011 2017-03-02 23:59:59.999989, Input: 1.05032 2017-03-02 23:59:59.999989, Input: 1.05048 2017-03-02 23:59:59.999989, Input: 1.05033 2017-03-02 23:59:59.999989, Input: 1.04988 2017-03-02 23:59:59.999989, Input: 1.04983 2017-03-02 23:59:59.999989, Input: 1.04984 2017-03-02 23:59:59.999989, Input: 1.0497 2017-03-02 23:59:59.999989, Input: 1.04958 2017-03-02 23:59:59.999989, Input: 1.04974 2017-03-02 23:59:59.999989, Input: 1.04987 2017-03-02 23:59:59.999989, Input: 1.04989 2017-03-02 23:59:59.999989, Input: 1.04977 2017-03-02 23:59:59.999989, Input: 1.05005 2017-03-02 23:59:59.999989, Input: 1.05008 2017-03-02 23:59:59.999989, Input: 1.05038 2017-03-02 23:59:59.999989, Input: 1.05019 2017-03-02 23:59:59.999989, Input: 1.05049 2017-03-02 23:59:59.999989, Input: 1.05064 2017-03-02 23:59:59.999989, Input: 1.05034 2017-03-02 23:59:59.999989, Input: 1.05038 2017-03-02 23:59:59.999989, Input: 1.05052 2017-03-02 23:59:59.999989, Input: 1.05059 2017-03-02 23:59:59.999989, Input: 1.05063 2017-03-02 23:59:59.999989, Input: 1.05087 2017-03-02 23:59:59.999989, Input: 1.05066 2017-03-02 23:59:59.999989, Input: 1.05068 2017-03-02 23:59:59.999989, Input: 1.05064 2017-03-02 23:59:59.999989, Input: 1.05082 2017-03-02 23:59:59.999989, Input: 1.05075 2017-03-02 23:59:59.999989, Input: 1.05059 2017-03-02 23:59:59.999989, Input: 1.05057 2017-03-02 23:59:59.999989, Input: 1.05051 2017-03-02 23:59:59.999989, Input: 1.05051 2017-03-02 23:59:59.999989, Input: 1.05062 2017-03-02 23:59:59.999989, Input: 1.05063 2017-03-02 23:59:59.999989, Input: 1.05065 2017-03-02 23:59:59.999989, Input: 1.05068 2017-03-02 23:59:59.999989, Input: 1.05059 2017-03-02 23:59:59.999989, Input: 1.05015 2017-03-02 23:59:59.999989, Input: 1.0505 2017-03-02 23:59:59.999989, Input: 1.05055 2017-03-02 23:59:59.999989, Input: 1.05062 2017-03-02 23:59:59.999989, Input: 1.05064 2017-03-02 23:59:59.999989, Input: 1.05083 2017-03-02 23:59:59.999989, Input: 1.05053 2017-03-02 23:59:59.999989, Input: 1.05055 2017-03-02 23:59:59.999989, Input: 1.05071 2017-03-02 23:59:59.999989, Input: 1.05081 2017-03-02 23:59:59.999989, Input: 1.05066 2017-03-02 23:59:59.999989, Input: 1.05062 2017-03-03 23:59:59.999989, SELL EXECUTED, Price: 1.05060, Cost: 10.55000, Comm 0.00 2017-03-03 23:59:59.999989, SELL EXECUTED, Price: 1.05060, Cost: -10.50600, Comm 0.00 2017-03-03 23:59:59.999989, OPERATION PROFIT, GROSS -0.04, NET -0.04 2017-03-03 23:59:59.999989, Input: 1.0505 2017-03-03 23:59:59.999989, Input2: 1.0505 2017-03-03 23:59:59.999989, Input: 1.0506
I'm just confused. Thx for looking into it.
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@kolten looks like you have orders executed on the the daily timeframe. I am not a pro in intraday exercises, but timestamps in the output look weird - the same time for each bar. It seems to me that data import was done incorrectly. Probably you need to specify
timeframe
parameter for data feed. -
@ab_trader Thx, I did not realize the default timeformat was days. When I changed it to minutes it works as expected.
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@ab_trader said in How do I handle order execution time:
> 2015-10-16 23:59:59.999989, BUY CREATE, 203.27000 > 2015-10-19 23:59:59.999989, BUY EXECUTED, Price: 202.50000, Cost: 2025.00000, Comm 0.00
Is the notification about "executed" not asynchronous? In the output data there seams to be 3 day difference on when the order was issued and when it was executed, also there is a large change in price between these to points in time?
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@kolten Ok now I see, it was a weekend and it opened at the price.
-
The default for notifications are accumulated and delivered before
next
is called. They are not delayed in any case with regards to what you see.The design was so chosen to keep things in a straight line and users not having to care about asynchronous or threaded events.
In the most recent versions you can change that behavior if you wish by passing
quicknotify=True
to cerebro.See Docs - Cerebro