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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 !