Multidata strategy returning none type object

Vypy1

Hi, I am trying to test a simple cross over on multiple data feeds. Here I use a custom pandas subclass to add data and a custom sizer subclass to size my positions according to some conditions mentioned in the code below.

My problem is that when I use bt.sizers.FixedSize with whatever stake I wish, I do not get a nonetype error when I iterate over the self.orders[d] object (that holds all my orders) to get the order ref numbers. However when I use my custom sizer subclass MySizer, it throws an error that says nonetype object has no attribute ref. While I understand that the error is because self.orders[d] may not have any orders in reality, I don't know why the orders are not there?

My code:

class pandas_data_ext(bt.feeds.PandasData):
    
    lines = ('Peaks', 'Trough', )
    
    params = (
    ('nocase', True),
    ('datetime', None),
    ('open', -1),
    ('high', -1),
    ('low', -1),
    ('close', -1),
    ('volume', -1),
    ('openinterest', -1),
    ('Peaks', -1),
    ('Trough', -1),
    )


class MySizer(bt.Sizer):
    def _getsizing(self, comminfo, cash, data, isbuy):
        size = (cash * 0.01)/(data.open[1] * 0.05)
        return math.floor(size)

    

class Breakout(bt.Strategy):
    
    params = (('fsma', 10), ('ssma', 20), ('roc', 10), ('stop', 0.95), ('atr', 20), )
    
    def __init__(self):
        
        self.inds = {}
        for d in (self.datas):
            self.inds[d] = {}
            self.inds[d]['fsma'] = bt.talib.SMA(d.close, timeperiod = self.p.fsma)
            self.inds[d]['ssma'] = bt.talib.SMA(d.close, timeperiod = self.p.ssma)
            self.inds[d]['cross'] = bt.indicators.CrossUp(self.inds[d]['fsma'], self.inds[d]['ssma'])
            self.orders = {}
            self.execprice = None
            self.totalcost = None
        
        
    def log(self, txt, dt=None):
        dt = self.datas[0].datetime.date()
        print(f'Date: {dt}, {txt}')
        
        
    def notify_order(self, order):
        
            
        dt, dn = self.datetime.date(), order.data._name
        print('Date: {}, Name: {}, Order: {}, Type: {}, Status: {}'.format(
            dt, dn, order.ref, "Buy" * order.isbuy() or "Sell", order.getstatusname())
        )
        
     
        if order.status == order.Completed:
            self.execprice = order.executed.price
            self.totalcost = order.executed.value
            self.log(f'Executed price: {self.execprice}')


        order_name = ['main', 'stop', 'limit', 'close']
        if not order.alive():  # not alive - nullify
            dorders = self.orders[order.data]
            idx = dorders.index(order)
            dorders[idx] = None
            self.log('-- No longer alive {} Ref'.format(order_name[idx]))
            self.log(f'Account Balance: {cerebro.broker.getcash()}')

            if all(x is None for x in dorders):
                dorders[:] = []
            

   
    def notify_trade(self, trade):
        if trade.isopen:
            return  
        else:
            self.log(f'OPERATION PROFIT: GROSS {round(trade.pnl, 2)}, NET {round(trade.pnlcomm, 2)}, Trade PnL: {round(trade.pnlcomm/self.totalcost, 2)}')
            self.log(f'Updated Account Balance: {cerebro.broker.getcash()}')
            
            
    def next(self):
        

        for d in (self.datas):
            name = d._name
            pos = self.getposition(d).size

            
#             if pos:
            self.log('Name: {}, Close: {}, Position: {}'.format(name, d.close[0], pos))

            
            if d.Peaks == 1.0:
                self.inds[d]['prev_high'] = d.high[0]
            
            if not pos and not self.orders.get(d):
                        
                if self.inds[d]['cross'] > 0:
                        
                        
                                p1 = d.open[1]
                                p2 = p1 * self.p.stop
#                                 p3 = round(d.close[0] - (self.inds[d]['atr'] * 3), 2)

            
                                o1 = self.buy(data = d, exectype = bt.Order.Market, transmit = False)
                                o2 = self.sell(data = d, price = p2, exectype = bt.Order.Stop, transmit = False, parent = o1)
                                o3 = self.sell(data = d, exectype = bt.Order.StopTrail, trailpercent = 0.07, transmit = True, parent = o1)
                                
                            
                                self.orders[d] = [o1, o2, o3]
                
                
                                self.orefs = [o.ref for o in self.orders[d]]
                                self.log('Name: {}, Buy at: {}, Stop at {}'.format(name, p1, p2))
                                self.log(f'Order Numbers are : {self.orefs}')

                        

        
cerebro = bt.Cerebro()
cerebro.broker.set_cash(200000)

print(f'Starting Portfolio Value: {cerebro.broker.getvalue()}')

for n in range(len(all_dfs_one)):
    dataset = list(zip(all_dfs_one, stocks))
    data = pandas_data_ext(dataname=dataset[n][0], datetime=None, open=-1, high=-1, low=-1, close=-1, volume=-1, Peaks=-1, Trough=-1)
    cerebro.adddata(data, name = dataset[n][1])
    
cerebro.addstrategy(Breakout)
cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name = 'mytrades')
cerebro.addsizer(MySizer)
cerebro.broker.setcommission(commission = 0.0015)


# cerebro.addwriter(bt.WriterFile, csv=True, out = f'/Users/varadjoshi/Documents/Markets Data/multidata.csv', csv_counter = False)
cerebro.run()


print(f'Final Portfolio Value: {cerebro.broker.getvalue()}')
# print(f'Trades: {strats.analyzers.mytrades.get_analysis()}')

run-out

@vypy1 I"m not sure what the problem is but I would check the values here:

def _getsizing(self, comminfo, cash, data, isbuy):
        size = (cash * 0.01) / (data.open[1] * 0.05)
        new_size = math.floor(size)
        print(size, comminfo, cash, data, isbuy, new_size)
        return new_size

If you have a large value stock, you could be getting zero shares traded since the fraction would be less than one, and the floor of that would be zero.

Vypy1

@run-out Let me check that

Vypy1

@run-out Yup you are right, it is trading in decimals which is not possible. Let me do something to fix this.