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Cancel Order
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Hi! How to cancel order using reference code? For example, i have multiple orders that have not been completed yet and I want to cancel the order with reference code '0002'.
I tried using the code below :
def _cancel(self,oref): order = self.order[oref] order.cancel(self) order.cancel() self.notify_order(order)I got this ''BuyOrder' object does not support indexing'.
Thanks for your help :) Full code below.
from __future__ import (absolute_import, division, print_function, unicode_literals) import os.path import argparse import datetime import collections import backtrader as bt import backtrader.feeds as btfeeds import backtrader.plot as plt import backtrader.indicators as btinds class Plotter(plt.Plot): def __init__(self): super().__init__(volup='#60cc73') # custom color for volume up bars def show(self): mng = self.mpyplot.get_current_fig_manager() mng.window.state('zoomed') self.mpyplot.show() class St(bt.Strategy): def log(self, txt, dt=None): ''' Logging function fot this strategy''' dt = dt or self.data.datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def _cancel(self,oref): order = self.order[oref] order.cancel(self) order.cancel() self.notify_order(order) def __init__(self): self.orefs = list() self.signal = 0 def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: return if order.status in [order.Completed]: if order.isbuy(): print ("Size = %1d" % order.size) self.signal += order.size self.log( 'BUY EXECUTED, Ref : %03d, Price: %.5f, Cost: %.5f, Position : %d' % (order.ref,order.executed.price, order.executed.value,self.signal)) self.buyprice = order.executed.price if order.ref not in self.orefs: o2 = self.sell(exectype=bt.Order.Stop, price=0.99*order.executed.price, size=abs(order.size), transmit=False) print('{}: Oref {} / Sell Stop at {}'.format( self.datetime.date(), o2.ref,0.99*order.executed.price)) o3 = self.sell(exectype=bt.Order.Limit, price=1.01*order.executed.price, size=abs(order.size), parent=o2, transmit=True) print('{}: Oref {} / Sell Limit at {}'.format( self.datetime.date(), o3.ref,1.01*order.executed.price)) self.orefs += [o2.ref, o3.ref] else: # Sell print("Size = %1d" % order.size) self.signal += order.size self.log('SELL EXECUTED, Reference : %03d, Price: %.5f, Cost: %.5f,Position : %d' % (order.ref,order.executed.price, order.executed.value,self.signal)) self.bar_executed = len(self) if order.ref not in self.orefs: o2 = self.buy(exectype=bt.Order.Stop, price=1.01*order.executed.price, size = abs(order.size), transmit=False) print('{}: Oref {} / Buy Stop at {}'.format( self.datetime.date(), o2.ref,1.01*order.executed.price)) o3 = self.buy(exectype=bt.Order.Limit, price=0.99*order.executed.price, parent=o2, size = abs(order.size), transmit=True) print('{}: Oref {} / Buy Limit at {}'.format( self.datetime.date(), o3.ref,0.99*order.executed.price)) self.orefs += [o2.ref, o3.ref] elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected, Ref: %d' % order.ref) self.orefs.pop(order.ref) self.order = None def notify_trade(self, trade): if not trade.isclosed: return self.log('OPERATION PROFIT, GROSS %.5f, NET %.5f' % (trade.pnl, trade.pnlcomm)) def next(self): txt = ','.join( ['%04d' % len(self.data), self.data.datetime.date(0).isoformat(), 'Open : %.5f' % self.data.open[0], 'High : %.5f' % self.data.high[0], 'Low : %.5f' % self.data.low[0], 'Close : %.5f' % self.data.close[0], 'Position : %d' % self.signal]) print(txt) if self.signal == 0: if self.data.open[0] > self.data.close[0]: o1 = self.buy(exectype=bt.Order.Market) self.order = o1 print('{}: Oref {} / Buy at {}'.format( self.datetime.date(), o1.ref,self.data.close[0])) elif self.data.open[0] < self.data.close[0]: o1 = self.sell(exectype=bt.Order.Market) self.order = o1 print('{}: Oref {} / Sell at {}'.format( self.datetime.date(), o1.ref,self.data.close[0])) elif self.signal == 1: if self.data.open[0] > self.data.close[0]: return elif self.data.open[0] < self.data.close[0]: o1 = self.sell(exectype=bt.Order.Market,size=2) self.order = o1 print('{}: Oref {} / Sell at {}'.format( self.datetime.date(), o1.ref,self.data.close[0])) for oref in self.orefs: self._cancel(oref) elif self.signal == -1: if self.data.open[0] < self.data.close[0]: return elif self.data.open[0] > self.data.close[0] : o1 = self.buy(exectype=bt.Order.Market,size=2) self.order = o1 print('{}: Oref {} / Buy at {}'.format( self.datetime.date(), o1.ref,self.data.close[0])) for oref in self.orefs: self._cancel(oref) class Plotter(plt.Plot): def __init__(self): super().__init__(volup='#60cc73') # custom color for volume up bars def show(self): mng = self.mpyplot.get_current_fig_manager() mng.window.state('zoomed') self.mpyplot.show() def runstrat(): args = parse_args() cerebro = bt.Cerebro() modpath = 'd:\\I - TradersGPS\\' datapath = os.path.join(modpath, 'GBPUSD_D1_UTC+2_00.csv') data = btfeeds.GenericCSVData(dataname=datapath, timeframe=bt.TimeFrame.Days, fromdate = datetime.datetime(2017,4,10), todate=datetime.datetime(2017,4,20), 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) cerebro.adddata(data) cerebro.addstrategy(St) cerebro.broker.setcash(100000.0) print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) cerebro.run(stdstats=False) print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) #plotter = Plotter() #cerebro.plot(plotter=plotter,subplot=False) def parse_args(): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, description='Sample for pivot point and cross plotting') parser.add_argument('--data0', default='d:\\I - TradersGPS\\GBPUSD_D1_UTC+2_00.csv', required=False, help='Data0 to read in') parser.add_argument('--data1', default='d:\\I - TradersGPS\\GBPUSD_H1_UTC+2_00.csv', required=False, help='Data1 to read in') parser.add_argument('--fromdate', required=False, default='2001-01-01', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--todate', required=False, default='2007-01-01', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--plot', required=False, action='store_true', help=('Plot the result')) return parser.parse_args() if __name__ == '__main__': runstrat()
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Strategyhas a method to cancel orders. See Docs - Strategy
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Sorry @backtrader . I couldn't figure out how to remove the orders, with reference code in self.orefs, that have been submitted, accepted but not executed.
I tried to remove it in next(self) section using self.cancel(self.order[oref] but the order here is not indexable.
Starting Portfolio Value: 100000.00 0050,2017-03-17,01:00:00,Open : 1.23558,High : 1.23559,Low : 1.23451,Close : 1.23498 2017-03-17 01:00:00 : Oref 294 / Sell at 1.23552 2017-03-17 01:00:00 : Oref 295 / Sell Take Profit at 1.23107 2017-03-17 01:00:00 : Oref 296 / Sell Stop Loss at 1.23997 2017-03-17 02:00:00: Order ref: 294 / Type Sell / Status Submitted 2017-03-17 02:00:00: Order ref: 295 / Type Buy / Status Submitted 2017-03-17 02:00:00: Order ref: 296 / Type Buy / Status Submitted 2017-03-17 02:00:00: Order ref: 294 / Type Sell / Status Accepted 2017-03-17 02:00:00: Order ref: 295 / Type Buy / Status Accepted 2017-03-17 02:00:00: Order ref: 296 / Type Buy / Status Accepted 2017-03-17 02:00:00: Order ref: 294 / Type Sell / Status CompletedAn example would be removing order ref 295 and 296. I couldn't remove those orders. Thankss!!
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canceltakes anorderinstance. You receive order instances frombuy,sell,buy_bracket,target_order_xxxand also innotify_order.The reference is something you can use for indexing/keying if you wish in your own data structures and it is an attribute of
order. Order is neither an array nor a dictionary.
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Thanks @backtrader for the clarification. With regards to what you said, that means I cannot cancel the order once the instance has changed. For example, I can no longer cancel order 581 and 582 after the order 583 is executed.
2017-04-11 : Order ref: 580 / Type Sell / Status Submitted 2017-04-11 : Order ref: 580 / Type Sell / Status Accepted 2017-04-11 : Order ref: 580 / Type Sell / Status Completed 2017-04-11, SELL EXECUTED, Reference : 580, Price: 1.24116, Cost: -1.24116,Position : -1 2017-04-11: Oref 581 / Buy Stop at 1.2535716000000001 2017-04-11: Oref 582 / Buy Limit at 1.2287484 0002,2017-04-11,Open : 1.24116,High : 1.24944,Low : 1.24035,Close : 1.24893,Position : -1 2017-04-12 : Order ref: 581 / Type Buy / Status Submitted 2017-04-12 : Order ref: 582 / Type Buy / Status Submitted 2017-04-12 : Order ref: 581 / Type Buy / Status Accepted 2017-04-12 : Order ref: 582 / Type Buy / Status Accepted 2017-04-12 : Order ref: 581 / Type Buy / Status Completed 2017-04-12, BUY EXECUTED, Ref : 581, Price: 1.25357, Cost: -1.24116, Position : 0 2017-04-12, OPERATION PROFIT, GROSS -0.01241, NET -0.01241 0003,2017-04-12,Open : 1.24891,High : 1.25483,Low : 1.24801,Close : 1.25387,Position : 0 2017-04-12: Oref 583 / Sell at 1.25387 2017-04-13 : Order ref: 583 / Type Sell / Status Submitted 2017-04-13 : Order ref: 583 / Type Sell / Status Accepted 2017-04-13 : Order ref: 583 / Type Sell / Status Completed
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If the orders are still
alivethey can be cancelled.581can no longer be cancelled because it hasCompletedbefore583was even sent to the market582wasSubmittedandAccepted. Cancellation seems still an option
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How do i cancel those orders that are still alive? For example order 582. Thanks @backtrader :)
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self.cancel(order_582)Where
order_582is the variable where you have kept theOrderinstance withorder.ref == 582. Either:- As return value from
buy,sell,order_target_xxx, ... - As notified in
notify_order
- As return value from
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Thanks @backtrader !
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@ backtrader. How to cancel all the pending stop and limit order by end of the day which is not executed due to the market price not reaching the order price level.
- Is there any way to cancel all such order without passing order.ref as an argument if this is not possible
*How do I retrieve order.ref for all the pending order programmatically. Example code will be appreciable
Thanks
- Is there any way to cancel all such order without passing order.ref as an argument if this is not possible
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@suresh_trader said in Cancel Order:
How to cancel all the pending stop and limit order by end of the day which is not executed due to the market price not reaching the order price level
By keeping the references when created or notified as "Accepted" and then canceling them if the system has not notified completion or cancellation.