Orders not getting filled on data1

adamb032

i am having an issue getting orders based on data1 to get filled. I init cerebro with

cerebro.adddata(bt.feeds.PandasData(dataname=get_eod_data(instrument, 
                                                          strat_start_date, 
                                                          end_date),                                                  
                                    openinterest=None),
                                    name=instrument)

cerebro.adddata(bt.feeds.PandasData(dataname=df_call_data,
                                    open=None,
                                    high=None,
                                    low=None,
                                    volume=None,
                                    openinterest=None),
                                    name='atm_call_price')

cerebro.broker.setcash(100000)
cerebro.addsizer(bt.sizers.PercentSizer, percents=2)

essentially data0 is the o/h/l/c of the underlying index and data1 is just the close for a synthetic atm call price with a given rfRate and impliedVol.

in my strategy i have the following basic code:

    def next(self):
        # General Logic
        # sell a delta=50 (atm) 30day call
        # re-balance the delta daily 
        
        if self.orders['option'] and self.orders['underlying']:
            return

        if self.day_counter % self.p.num_hold_days == 0:
            if self.position:
                self.logger.info(f'Need to close the option position')
            else:
                self.logger.info(f'Need to establish the initial option position')
                self.logger.info(f'{self.data0.datetime.datetime()} ::  \
                                                            {self.data1.datetime.datetime()}')
                self.logger.info(f'{self.data0.close[0]} :: {self.data1.close[0]}')
                
                option_order = self.sell(data=self.data1, 
                                         exectype=Order.Market)

my notify_order looks generic, I am just outputting stuff at this point:

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            self.logger.info(f'Order {order.Status[order.status]} :: {order.ordtypename()} {order.size} {order.price}')
            return

        if order.status == Order.Completed:
            self.logger.info("[{}] FILLED {} {} @ {}".format(bt.num2date(order.executed.dt).date(),
                                                             'Buy' * order.isbuy() or 'Sell',
                                                             order.executed.size,
                                                             order.executed.price))

            if order.is_option:
                self.orders['option'] = None
            
        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.logger.info(f'Order {order.Status[order.status]} :: {order.ordtypename()} 
                            {order.size} {order.price}')
            self.orders['option'] = None
            return

and i can see in my strategy outout:

14:25:15 [  strat]:INFO: Need to establish the initial option position
14:25:15 [  strat]:INFO: 2015-06-21 00:00:00 :: 2015-06-21 00:00:00
14:25:15 [  strat]:INFO: 243.944000244141 :: 21.058958519199706
14:25:15 [  strat]:INFO: Order Submitted :: Sell -94.97145825975088 None
14:25:15 [  strat]:INFO: Order Margin :: Sell -94.97145825975088 None

i can see that

the dates of self.data0, self.data1 are inline
the prices of data0.close[0] and data1.close[0] are what i would expect
the position size is correct, im using a 2% Sizer, so if the initial broker cash is 100k, thats 2000/data1.close[0] = 94. and that is my size.

whats weird is that its automatically saying I need to get margin, i have no idea why, nor does the order.status ever change to completed. does anyone have any idea what is happening here ? Thanks-

adamb032

@adamb032 I solved the issue, the data needs to have at least an open and close value in it for the simulated broker to work, once i made an open/high/low/close dataframe of all close values it works as expected.