How do I handle order execution time

[kolten]

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?

[ab_trader]

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.

[kolten]

@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)

[ab_trader]

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 with Input2.

Two lower diagrams are Buy and Sell 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

[kolten]

@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
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2017-03-02 23:59:59.999989, BUY EXECUTED, Price: 1.05500, Cost: -10.57240, Comm 0.00
2017-03-02 23:59:59.999989, BUY EXECUTED, Price: 1.05500, Cost: 10.55000, Comm 0.00
2017-03-02 23:59:59.999989, OPERATION PROFIT, GROSS 0.02, NET 0.02
2017-03-02 23:59:59.999989, Input: 1.05455
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2017-03-02 23:59:59.999989, SELL CREATE, 1.05455
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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.

[ab_trader]

@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.

[kolten]

@ab_trader Thx, I did not realize the default timeformat was days. When I changed it to minutes it works as expected.

[kolten]

@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?

[kolten]

@kolten Ok now I see, it was a weekend and it opened at the price.

[backtrader]

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