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    Cash, value, size, target orders, HELP T_T

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    • Y
      Youssef 0 last edited by

      Hello everyone, the post is long but the questions very simple!

      In trying to understand what cash, portfolio value, data value and position size were, I've cooked up a simple strategy : buy at this date, sale at this date.
      The problem I don't understand at all what's happening.

      The way I understand it, correct me If I am wrong:

      -Cash: is the money I have to buy shares or contracts or whatever.
      -Portfolio value: is the cash plus the value of the assets I've bought or that I am shorting, in this regard portfolio value can be smaller than cash amount
      -Data value: is the value of the specific asset I am trading when I only have one asset, it can be negative if I am shorting the asset
      -Position : Am I involved with the market or not ? Am I buying or selling or whatever .
      -Position size : the number of shares, cryptocoins, contracts I am trading.

      The strategy :

      import backtrader as bt
from datetime import datetime

class shortStrat(bt.Strategy): 
    # Moving average parameters
    params = (('pfast',20),('pslow',50),)



    def __init__(self):
        self.dataclose = self.datas[0].close
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low
        # Order variable will contain ongoing order details/status
        self.order = None


    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print(f'{dt.isoformat()} {txt}') 

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # An active Buy/Sell order has been submitted/accepted - Nothing to do
            return

        # Check if an order has been completed
        # Attention: broker could reject order if not enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(f'BUY EXECUTED, {order.executed.price:.2f}')
            elif order.issell():
                self.log(f'SELL EXECUTED, {order.executed.price:.2f}')
            self.bar_executed = len(self) #the bar at which the order is completd I guess

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        # Reset orders
        self.order = None

    def next(self):
        if self.order:
            return
        
        print('posistion : {}'.format(self.position.size))
        print('portvalue : {}'.format(self.broker.get_value()))
        print('cash : {}'.format(self.broker.get_cash()))
        print('dataval : {}'.format(self.broker.get_value([self.data])))

        # Check if we are in the market
        if not self.position:
            # We are not in the market, look for a signal to OPEN trades
            if self.datas[0].datetime.date()==datetime(2018,1,1).date() : 
                self.order = self.order_target_percent(target=1)  
        # we are in the market
        elif self.datas[0].datetime.date()==datetime(2018,1,10).date() :
            self.order = self.order_target_percent(target=-1)  

        elif self.datas[0].datetime.date()==datetime(2018,1,1).date() : 
            self.order = self.order_target_percent(target=1)

      The bot:

      from strategies.crossOver import MAcrossover
import backtrader as bt
import datetime
import numpy as np
from strategies.strat import barycentreStrat
import csv
from strategies.ShortStrat import shortStrat
import pandas as pd
dateOne="1 Jan, 2017"
dateTwo="1 Jun, 2021"
symbol="BNBUSDT"
interval="1d"





cerebro = bt.Cerebro(stdstats=True,optreturn=False,maxcpus=1)#optreturn=False
data = bt.feeds.GenericCSVData(
    timeframe=bt.TimeFrame.Days,
    compression=1,
    dataname='data\crypto\ShortData.csv',
    nullvalue=0.0,
    dtformat=('%m/%d/%Y'), 
    datetime=0,
    open=1,
    high=2,
    low=3,
    close=4,
    time=-1,
    volume=-1,
    openinterest=-1 
    

)

dayData=cerebro.adddata(data)
 
cerebro.addstrategy(shortStrat)  
 



if __name__ == '__main__':
  
    cerebro.broker.set_cash(90000)
    start_portfolio_value = cerebro.broker.getvalue()
    game=cerebro.run()
    end_portfolio_value = cerebro.broker.getvalue()
    pnl = end_portfolio_value - start_portfolio_value
    print(f'Starting Portfolio Value: {start_portfolio_value:2f}')
    print(f'Final Portfolio Value: {end_portfolio_value:2f}')
    print(f'PnL: {pnl:.2f}')
    cerebro.plot(style="candlestick", volume=False)

exit()

      the log :

      posistion : 0
portvalue : 90000.0
cash : 90000.0     
dataval : 0.0      
posistion : 0      
portvalue : 90000.0
cash : 90000.0     
dataval : 0.0      
posistion : 0      
portvalue : 90000.0
cash : 90000.0     
dataval : 0.0      
posistion : 0      
portvalue : 90000.0
cash : 90000.0     
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
2018-01-02 BUY EXECUTED, 100.00
posistion : 473
portvalue : 90000.0
cash : 42700.0
dataval : 47300.0
posistion : 473
portvalue : 142030.0
cash : 42700.0
dataval : 99330.0
posistion : 473
portvalue : 146760.0
cash : 42700.0
dataval : 104060.0
posistion : 473
portvalue : 151490.0
cash : 42700.0
dataval : 108790.0
posistion : 473
portvalue : 156220.0
cash : 42700.0
dataval : 113520.0
posistion : 473
portvalue : 160950.0
cash : 42700.0
dataval : 118250.0
posistion : 473
portvalue : 165680.0
cash : 42700.0
dataval : 122980.0
posistion : 473
portvalue : 170410.0
cash : 42700.0
dataval : 127710.0
posistion : 473
portvalue : 175140.0
cash : 42700.0
dataval : 132440.0
2018-01-11 SELL EXECUTED, 190.00
posistion : -625
portvalue : 76320.0
cash : 251320.0
dataval : -175000.0
posistion : -625
portvalue : 82570.0
cash : 251320.0
dataval : -168750.0
posistion : -625
portvalue : 88820.0
cash : 251320.0
dataval : -162500.0
posistion : -625
portvalue : 95070.0
cash : 251320.0
dataval : -156250.0
posistion : -625
portvalue : 101320.0
cash : 251320.0
dataval : -150000.0
posistion : -625
portvalue : 107570.0
cash : 251320.0
dataval : -143750.0
posistion : -625
portvalue : 113820.0
cash : 251320.0
dataval : -137500.0
posistion : -625
portvalue : 120070.0
cash : 251320.0
dataval : -131250.0
posistion : -625
portvalue : 126320.0
cash : 251320.0
dataval : -125000.0
posistion : -625
portvalue : 132570.0
cash : 251320.0
dataval : -118750.0
posistion : -625
portvalue : 132570.0
cash : 251320.0
dataval : -118750.0
2018-01-02 BUY EXECUTED, 110.00
posistion : 697
portvalue : 245300.0
cash : 105900.0
dataval : 139400.0
posistion : 697
portvalue : 252270.0
cash : 105900.0
dataval : 146370.0
posistion : 697
portvalue : 259240.0
cash : 105900.0
dataval : 153340.0
posistion : 697
portvalue : 266210.0
cash : 105900.0
dataval : 160310.0
posistion : 697
portvalue : 273180.0
cash : 105900.0
dataval : 167280.0
posistion : 697
portvalue : 280150.0
cash : 105900.0
dataval : 174250.0
posistion : 697
portvalue : 287120.0
cash : 105900.0
dataval : 181220.0
posistion : 697
portvalue : 294090.0
cash : 105900.0
dataval : 188190.0
posistion : 697
portvalue : 301060.0
cash : 105900.0
dataval : 195160.0
2018-01-11 SELL EXECUTED, 190.00
posistion : -1075
portvalue : 141580.0
cash : 442580.0
dataval : -301000.0
posistion : -1075
portvalue : 152330.0
cash : 442580.0
dataval : -290250.0
posistion : -1075
portvalue : 163080.0
cash : 442580.0
dataval : -279500.0
posistion : -1075
portvalue : 173830.0
cash : 442580.0
dataval : -268750.0
posistion : -1075
portvalue : 184580.0
cash : 442580.0
dataval : -258000.0
posistion : -1075
portvalue : 195330.0
cash : 442580.0
dataval : -247250.0
posistion : -1075
portvalue : 206080.0
cash : 442580.0
dataval : -236500.0
posistion : -1075
portvalue : 216830.0
cash : 442580.0
dataval : -225750.0
posistion : -1075
portvalue : 227580.0
cash : 442580.0
dataval : -215000.0
posistion : -1075
portvalue : 238330.0
cash : 442580.0
dataval : -204250.0
Starting Portfolio Value: 90000.000000
Final Portfolio Value: 238330.000000
PnL: 148330.00

      the test data (notice the dates are bogus and repeat themeselves):

      1/2/2018,110,210,100,200
1/3/2018,120,220,110,210
1/4/2018,130,230,120,220
1/5/2018,140,240,130,230
1/6/2018,150,250,140,240
1/7/2018,160,260,150,250
1/8/2018,170,270,160,260
1/9/2018,180,280,170,270
1/10/2018,190,290,180,280
1/11/2018,190,290,180,280
1/12/2018,180,280,170,270
1/13/2018,170,270,160,260
1/14/2018,160,260,150,250
1/15/2018,150,250,140,240
1/16/2018,140,240,130,230
1/17/2018,130,230,120,220
1/18/2018,120,220,110,210
1/19/2018,110,210,100,200
1/20/2018,100,200,90,190
1/1/2018,100,200,90,190
1/2/2018,100,300,0,100
1/3/2018,120,220,110,210
1/4/2018,130,230,120,220
1/5/2018,140,240,130,230
1/6/2018,150,250,140,240
1/7/2018,160,260,150,250
1/8/2018,170,270,160,260
1/9/2018,180,280,170,270
1/10/2018,190,290,180,280
1/11/2018,190,290,180,280
1/12/2018,180,280,170,270
1/13/2018,170,270,160,260
1/14/2018,160,260,150,250
1/15/2018,150,250,140,240
1/16/2018,140,240,130,230
1/17/2018,130,230,120,220
1/18/2018,120,220,110,210
1/19/2018,110,210,100,200
1/20/2018,100,200,90,190
1/1/2018,100,200,90,190
1/2/2018,110,210,100,200
1/3/2018,120,220,110,210
1/4/2018,130,230,120,220
1/5/2018,140,240,130,230
1/6/2018,150,250,140,240
1/7/2018,160,260,150,250
1/8/2018,170,270,160,260
1/9/2018,180,280,170,270
1/10/2018,190,290,180,280
1/11/2018,190,290,180,280
1/12/2018,180,280,170,270
1/13/2018,170,270,160,260
1/14/2018,160,260,150,250
1/15/2018,150,250,140,240
1/16/2018,140,240,130,230
1/17/2018,130,230,120,220
1/18/2018,120,220,110,210
1/19/2018,110,210,100,200
1/20/2018,100,200,90,190

      I understand nothing :
      if we focus on the first buy order :

          # Check if we are in the market
        if not self.position:
            # We are not in the market, look for a signal to OPEN trades
            if self.datas[0].datetime.date()==datetime(2018,1,1).date() : 
                self.order = self.order_target_percent(target=1)

      the log :

      posistion : 0
portvalue : 90000.0
cash : 90000.0
dataval : 0.0
2018-01-02 BUY EXECUTED, 100.00
posistion : 473
portvalue : 90000.0
cash : 42700.0
dataval : 47300.0

      why is it buying only 473 SHARES and not using all my cash when I specified 1 in the target percent order ?

      next the second order :

      here, I am trying to reverse my position, obviously doing a bad job...

              # we are in the market
        elif self.datas[0].datetime.date()==datetime(2018,1,10).date() :
            self.order = self.order_target_percent(target=-1)  

      posistion : 473
portvalue : 175140.0
cash : 42700.0
dataval : 132440.0
2018-01-11 SELL EXECUTED, 190.00
posistion : -625
portvalue : 76320.0
cash : 251320.0
dataval : -175000.0

      What I understand is that before the sell, the size is 473, this is valued to 132440 which is approximately 0.75 * portvalue, so since I want my position to become -1, cerebro does something like -1/0.75*473 =630 to compute the new position. Once calculated it sells my 423 shares at the close price of the current bar ( since I did not use a limit order ?) which is 280 and not 190 as specified by order.executed.price ??? and it shorts approximately 630 SHARES, the best it can which gives a -625 size???
      What is this 251320 cash value ?? why do I have so much cash after closing my position ? shouldn't i be 132440+42700 ?

      As you understood, I am a newbie trader/ programmer, but I really tried reading the docs..

      Please help me !!!

      dev590t 2 Replies Last reply Reply Quote 0
      • dev590t
        dev590t @Youssef 0 last edited by

        @youssef-0 I have a similar problem. The cash become very big, and I don't unerstand why.
        I add this notification into my strategy

            def notify_trade(self, trade):
        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f, size %.2f, price %.2f, value %.2f' %
                 (trade.pnl, trade.pnlcomm, trade.size, trade.price, trade.value))

    def notify_cashvalue(self,cash, value):
        self.log('cash %.2f, portfolio %.2f' %
                 (cash, value))

    def order_log(self,order):
        return ('EXECUTED ref :%.2f, Price: %.2f, Value: %.2f, Comm %.2f, pnl: %.2f, size: %.2f' %
            (order.ref,
             order.executed.price,
             order.executed.value,
             order.executed.comm,
             order.executed.pnl,
             order.executed.size
             ))

    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 enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY' + self.order_log(order))
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL' + self.order_log(order))
            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


        2021-08-13 cash 1676.61, portfolio 30263.15
2021-08-16 BUYEXECUTED ref :5.00, Price: 114.90, Value: 114.90, Comm 0.00, pnl: 0.00, size: 1.00
2021-08-16 BUYEXECUTED ref :6.00, Price: 22.87, Value: 22.87, Comm 0.00, pnl: 0.00, size: 1.00
2021-08-16 BUYEXECUTED ref :7.00, Price: 114.90, Value: 114.90, Comm 0.00, pnl: 0.00, size: 1.00
2021-08-16 BUYEXECUTED ref :8.00, Price: 22.87, Value: 22.87, Comm 0.00, pnl: 0.00, size: 1.00
2021-08-16 BUYEXECUTED ref :9.00, Price: 114.90, Value: 114.90, Comm 0.00, pnl: 0.00, size: 1.00
2021-08-16 BUYEXECUTED ref :10.00, Price: 114.90, Value: 114.90, Comm 0.00, pnl: 0.00, size: 1.00
2021-08-16 SELLEXECUTED ref :11.00, Price: 22.87, Value: 22.44, Comm 0.00, pnl: 0.43, size: -1.00
2021-08-16 BUYEXECUTED ref :12.00, Price: 114.90, Value: 229.80, Comm 0.00, pnl: 0.00, size: 2.00
2021-08-16 SELLEXECUTED ref :13.00, Price: 22.87, Value: 67.32, Comm 0.00, pnl: 1.29, size: -3.00
2021-08-16 BUYEXECUTED ref :14.00, Price: 114.90, Value: 229.80, Comm 0.00, pnl: 0.00, size: 2.00
2021-08-16 SELLEXECUTED ref :15.00, Price: 22.87, Value: 67.32, Comm 0.00, pnl: 1.29, size: -3.00
2021-08-16 cash 871.76, portfolio 30256.88

        I can observe some relation between the numbres:

        tmp@ val sell_1 = 7662.03 * 2 + 5683.00 + 3 * -7659.00  // from the Value of SELLEXECUTED above
sell_1: Double = -1969.9400000000023

tmp@ val sell_2 = 7662.03 * 2 + 5683.00 + 3 * 7659.00 // from the Value of SELLEXECUTED above
sell_2: Double = 43984.06

tmp@ val cash_init = 4837.12 
cash_init: Double = 4837.12

tmp@ val cash_final = 50746.72 
cash_final: Double = 50746.72

tmp@ val change = cash_final - cash_init 
change: Double = 45909.6

        size = 45 // from size of trade above
        sell_2 - sell_1
        = (7662.03 * 2 + 5683.00 + 3 * 7659.00) - (7662.03 * 2 + 5683.00 + 3 * -7659.00)
        = 3 * 7659 - 3 * -7659
        = 3 * 7659 + (3 * 7659)
        = 6 * 7659
        = 45954
        = change + size

        But I can't understand the logic

        dev590t 1 Reply Last reply Reply Quote 0
        • dev590t
          dev590t @dev590t last edited by

          @dev590t I have use the wrong output in my message above. This is the right ouput:

          2021-08-23 cash 4837.12, portfolio 30015.36
..
2021-08-24 SELLEXECUTED ref :75.00, Price: 22.20, Value: 7662.03, Comm 0.00, pnl: -25.23, size: -344.00
2021-08-24 SELLEXECUTED ref :77.00, Price: 22.20, Value: 7662.03, Comm 0.00, pnl: -25.23, size: -344.00
2021-08-24 SELLEXECUTED ref :79.00, Price: 22.20, Value: 5683.00, Comm 0.00, pnl: -22.00, size: -345.00
2021-08-24 SELLEXECUTED ref :81.00, Price: 22.20, Value: -7659.00, Comm 0.00, pnl: 0.00, size: -345.00
2021-08-24 SELLEXECUTED ref :83.00, Price: 22.20, Value: -7659.00, Comm 0.00, pnl: 0.00, size: -345.00
2021-08-24 SELLEXECUTED ref :85.00, Price: 22.20, Value: -7659.00, Comm 0.00, pnl: 0.00, size: -345.00
2021-08-24 OPERATION PROFIT, GROSS -105.16, NET -105.16, size 0.00, price 22.27, value 0.00
2021-08-24 OPERATION PROFIT, GROSS 0.00, NET 0.00, size -45.00, price 22.20, value -999.00
2021-08-24 cash 50746.72, portfolio 30017.04
          1 Reply Last reply Reply Quote 0
          • dev590t
            dev590t @Youssef 0 last edited by

            @youssef-0 If I add cerebro.broker.set_shortcash(False) the cash will not become very big : https://www.backtrader.com/blog/posts/2016-12-06-shorting-cash/shorting-cash/#in-action.

            I still don't know why, but it seems this instructions solve my problem:

            • without cerebro.broker.set_shortcash(False):
            2021-08-17 SELLEXECUTED ref :18.00, Price: 22.82, Value: 57152.13, Comm 0.00, pnl: -124.95, size: -2499.00
2021-08-17 SELLEXECUTED ref :22.00, Price: 22.82, Value: -462.86, Comm 0.00, pnl: -62.00, size: -2503.00
2021-08-17 SELLEXECUTED ref :26.00, Price: 22.82, Value: -57141.28, Comm 0.00, pnl: 0.00, size: -2504.00
2021-08-17 SELLEXECUTED ref :30.00, Price: 22.82, Value: -57186.92, Comm 0.00, pnl: 0.00, size: -2506.00
2021-08-17 SELLEXECUTED ref :34.00, Price: 22.82, Value: -85323.98, Comm 0.00, pnl: 0.00, size: -3739.00
2021-08-17 BUYEXECUTED ref :35.00, Price: 127.52, Value: 28181.92, Comm 0.00, pnl: 0.00, size: 221.00
2021-08-17 SELLEXECUTED ref :39.00, Price: 22.82, Value: -57209.74, Comm 0.00, pnl: 0.00, size: -2507.00
2021-08-17 OPERATION PROFIT, GROSS -186.95, NET -186.95, size 0.00, price 22.87, value 0.00
2021-08-17 OPERATION PROFIT, GROSS 0.00, NET 0.00, size -1263.00, price 22.82, value -28821.66
2021-08-17 OPERATION PROFIT, GROSS 0.00, NET 0.00, size 221.00, price 127.52, value 28181.92
2021-08-17 cash 343864.16, portfolio 29343.80
            • with cerebro.broker.set_shortcash(False):
            2021-08-17 SELLEXECUTED ref :15.00, Price: 120.63, Value: 28468.68, Comm 0.00, pnl: 0.00, size: -236.00
2021-08-17 BUYEXECUTED ref :16.00, Price: 22.82, Value: 28433.72, Comm 0.00, pnl: 0.00, size: 1246.00
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 Order Canceled/Margin/Rejected
2021-08-17 OPERATION PROFIT, GROSS 0.00, NET 0.00, size 0.00, price 120.63, value 0.00
2021-08-17 OPERATION PROFIT, GROSS 0.00, NET 0.00, size 1246.00, price 22.82, value 28433.72
2021-08-17 cash 1548.99, portfolio 29995.17
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