Order

KT

Hi! I would like to clarify for the definition of order.executed.value and how the trade.pnl is calculated in backtrader.

If I am using multiple datasets, is it possible if I calculate trade.pnl for each datasets? And if I am backtesting for FX, how do i obtain the net profit in terms of pips?

Thankss :)

backtrader

A Trade is always a per-data thing. Several orders will be grouped to form a trade. Unless the questions is not understood, the Trade is already doing what you want.

The order.value is the value of your position. For a long position of 100 shares at price 10, the value is 100 * 10 = 1000. It is always given as a positive value. You can multiply it by the sign of the sign if you want to distinguish between short and long positions.

For futures, the value of an order is margin needed to cover that position.

There is no automatic calculation to obtain the net profit in terms of pips. A custom CommissionInfo scheme would be needed. You are probably referring to calculations like the ones explained here:

https://www.oanda.com/forex-trading/learn/intro-to-currency-trading/conventions/pips

KT

Thanks @backtrader ! For the case of multiple data feeds, is it possible to refer to the trade.pnl of each dataset? (Maybe sth like Trade.pnl(self.data1))

backtrader

@KT said in Order:

Thanks @backtrader ! For the case of multiple data feeds, is it possible to refer to the trade.pnl of each dataset? (Maybe sth like Trade.pnl(self.data1))

No. Each Trade you get notified over notify_trade is for a data and it has a data attribute.

def notify_trade(self, trade):
    thedata = trade.data

Although not foreseen as such, you can access the list of trades per data at self._trades in the strategy, which is a dictionary first with the data as the key and then the specific tradeid. If not tradeid has been specified (the usual case), the trades will be under the default tradeid=0

tradesfordata = self._trades[data][0]  # list of trades for data

KT

Thanks @backtrader !! Is it possible to access the opening price and closing price of an order?

backtrader

Orders have a request price and an execution price.

For trades: Docs - Trade

KT

Thanks @backtrader . For the order's opening price and closing price, how do i check the value of the opening and closing price?

Also, for the statistics that are provided by backtrader, can we check for the following info too ? The info includes
largest profit trade, largest loss trade, average profit trade, average loss trade, maximum number of consecutive wins, maximum number of consecutive loss, and number of trades.

Curtis Miller

@KT If a built-in indicator is not defined (and maybe check PyFolio and read about PyFolio integration), you may need to define your own analyzers to do this: see documentation on analyzers, and an analyzers reference with list of provided analyzers.

KT

@Curtis-Miller Thanks!! I will check the PyFolio