Still confused in Buy at Open and Sell at close

[Rushi Chaudhari]

Hi everyone,

This post is similar to https://community.backtrader.com/topic/2648/buy-at-open-price-and-close-at-close-price-in-the-same-day, but I'm still confused. I have used cheat_on_open=True and also cerebro.broker.set_coc(True)

class TestStrat(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(
        pfast=15,  # period for the fast moving average
        pslow=30   # period for the slow moving average
    )


    def log(self, txt, dt=None):
        # return
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.datetime(0)
        print('%s, %s' % (dt, txt))
    
    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted, order.Partial]:
            # Buy/Sell order submitted/accepted to/by broker/partially filled - Nothing to do
            return

		# Check if an order has been completed
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f, tradeID: %d' %(order.executed.price, order.executed.value, order.executed.comm, order.tradeid))
            elif order.issell():
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f, tradeID: %d' %(order.executed.price, order.executed.value, order.executed.comm, order.tradeid))
        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')
        
    def notify_trade(self, trade):
        if trade.justopened:
            self.log('New trade just opened with id %d'%(trade.tradeid))
            self.livetrades[trade.tradeid] = trade
        elif trade.isclosed:
            self.log('A trade just closed with id %d'%(trade.tradeid))
            self.livetrades.pop(trade.tradeid)
        else:
            self.log('Trade id %d updated'%(trade.tradeid))
        
    def __init__(self):
        self.livetrades = {}
        self.counter = 0
        
        self.fastMA = bt.indicators.EMA(period=self.p.pfast)
        self.slowMA = bt.indicators.EMA(period=self.p.pslow)
        self.crossover = bt.indicators.CrossOver(self.fastMA, self.slowMA) 
        self.i=0
        self.longCrossed = False
        self.shortCrossed = False
        self.buysize=0

    def next(self):
        self.i += 1
        if self.position:
            self.close(size=self.position.size)
            print('selling' + str(self.data.close[0]))

    def next_open(self):
        self.i += 1
        if self.crossover > 0:  # if fast crosses slow to the upside
            self.longCrossed = True
        if self.crossover < 0:
            self.longCrossed = False

        if self.longCrossed and (self.data.open[0] > self.fastMA[-1]):
            print('buying' + str(self.data.open[0]))
            buysize =  int(self.broker.get_cash() / self.data.close[0])
            self.buy(size=buysize, coc=False)





cerebro = bt.Cerebro(writer=True, stdstats=True, cheat_on_open=True)
cerebro.adddata(bt.feeds.PandasData(dataname=hourlydf))
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.addstrategy(TestStrat) 
cerebro.addwriter(bt.WriterFile, csv=True)
cerebro.addanalyzer(BarAnalysis, _name="bar_data")
cerebro.broker.set_coc(True)
strat = cerebro.run()
cerebro.plot(style='candlestick', volume=False)
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

bar_data_res = strat[0].analyzers.bar_data.get_analysis()
header = ["date", "open", "high", "low", "close", "position", "value", "cash", "slowMA", "fastMA"]

df = pd.DataFrame(bar_data_res, columns= header)
df.to_csv('strategy.csv', index=False)

This is not executing the buy at open and sell at close during the same day. Can anyone help where am I going wrong?