Orders created but never completed

greenkode

Hi,

I'm new to backtrader and I'm attempting to customize the sample strategy from the quickstart. I have a problem that my orders are being created, however, they are not being executed. If I put a debugger on the notify_order, it's only called twice. one for submitted and for accepted. Nothing else. Can you please assist. I'm working with 1m kline data.

Here's a sample of my data

Date,Open,High,Low,Close,Volume,Adjusted
2018-02-28 12:23:59.999,210.26,210.37,210.25,210.26,28.25449,210.26
2018-02-28 12:24:59.999,210.26,210.41,210.22,210.25,39.63167,210.25
2018-02-28 12:25:59.999,210.25,210.51,210.2,210.44,128.18018,210.44
2018-02-28 12:26:59.999,210.59,210.89,210.27,210.89,41.63106,210.89
2018-02-28 12:27:59.999,210.89,210.89,210.21,210.55,99.96582,210.55
2018-02-28 12:28:59.999,210.49,210.99,210.4,210.46,54.72677,210.46
2018-02-28 12:29:59.999,210.51,210.51,210.4,210.47,8.85311,210.47
2018-02-28 12:30:59.999,210.47,210.47,210.4,210.4,36.46703,210.4
2018-02-28 12:31:59.999,210.41,211.0,210.4,210.95,156.99139,210.95
2018-02-28 12:32:59.999,210.94,211.3,210.79,210.8,70.39553,210.8
2018-02-28 12:33:59.999,210.81,210.9,210.81,210.85,21.47947,210.85
2018-02-28 12:34:59.999,210.85,210.9,210.7,210.71,154.64939,210.71
2018-02-28 12:35:59.999,210.88,211.0,210.71,211.0,81.00914,211.0
2018-02-28 12:36:59.999,211.02,211.25,210.57,210.57,158.20673,210.57
2018-02-28 12:37:59.999,210.57,211.09,210.28,210.53,223.22261,210.53

This is the sample code.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt


# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 15),
    )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.time()
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

        # To keep track of pending orders and buy price/commission
        self.order = None
        self.buyprice = None
        self.buycomm = None

        sma = bt.indicators.SMA(self.data, period=self.params.maperiod)
        self.crossover = bt.indicators.CrossOver(self.data, sma)

    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

        print(order.status)

        # Check if an order has been completed
        # Attention: broker could reject order if not enough cash
        if order.status in [order.Complete]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            self.bar_executed = len(self)

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

        # Write down: no pending order
        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                 (trade.pnl, trade.pnlcomm))

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.dataclose[0])

        # Not yet ... we MIGHT BUY if ...
        if self.crossover > 0:
            # BUY, BUY, BUY!!! (with all possible default parameters)
            self.log('BUY CREATE, %.2f' % self.dataclose[0])

            # Keep track of the created order to avoid a 2nd order
            self.order = self.buy()

        elif self.crossover < 0:
            # SELL, SELL, SELL!!! (with all possible default parameters)
            self.log('SELL CREATE, %.2f' % self.dataclose[0])

            # Keep track of the created order to avoid a 2nd order
            self.order = self.sell()


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.optstrategy(TestStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.abspath('/home/ubuntu/git/bt/data/sample_data.txt')

    # Create a Data Feed
    data = bt.feeds.BacktraderCSVData(
        dataname=datapath,
        # Do not pass values before this date
        sessionstart=datetime.datetime(2018, 2, 27, 12, 23, 59),
        # Do not pass values before this date
        sessionend=datetime.datetime(2018, 2, 28, 16, 35, 59),
        # Do not pass values after this date
        timeframe=bt.TimeFrame.Minutes,

        compression=1,

        reverse=False
    )

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(100000.0)

    cerebro.broker.set_checksubmit(False)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run(optreturn=False)

    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Plot the result
    cerebro.plot()

This is what my output looks like.

16:35:59, Close, 208.53
16:35:59, Close, 208.55
16:35:59, Close, 208.72
16:35:59, Close, 208.12
16:35:59, Close, 207.69
16:35:59, SELL CREATE, 207.69
16:35:59, Close, 208.10
16:35:59, Close, 208.20
16:35:59, BUY CREATE, 208.20
16:35:59, Close, 207.96
16:35:59, SELL CREATE, 207.96
16:35:59, Close, 207.55
16:35:59, Close, 207.77
16:35:59, Close, 208.13
16:35:59, Close, 208.60
16:35:59, BUY CREATE, 208.60
16:35:59, Close, 208.50
16:35:59, Close, 208.58
16:35:59, Close, 208.53
16:35:59, Close, 208.53
16:35:59, Close, 208.54

backtrader

The log shows that the time is not moving forward ... in your timeframe (Minutes, 1). It would be inconceivable for orders to be executed.

@greenkode said in Orders created but never completed:

    sessionstart=datetime.datetime(2018, 2, 27, 12, 23, 59),
    # Do not pass values before this date
    sessionend=datetime.datetime(2018, 2, 28, 16, 35, 59),

Probably because you are confusing fromdate and todate with sessionstart and sessionend

backtrader

@backtrader said in Orders created but never completed:

The log shows that the time is not moving forward ... in your timeframe (Minutes, 1). It would be inconceivable for orders to be executed.

@greenkode said in Orders created but never completed:
    sessionstart=datetime.datetime(2018, 2, 27, 12, 23, 59),
    # Do not pass values before this date
    sessionend=datetime.datetime(2018, 2, 28, 16, 35, 59),
Probably because you are confusing fromdate and todate with sessionstart and sessionend

But it's only a very long shot.

greenkode

Thanks,

I modified it to use a generic csv reader

    # Create a Data Feed
    data = bt.feeds.GenericCSVData(
        dataname=datapath,

        # Do not pass values before this date
        fromdate=datetime.datetime(2018, 2, 28, 12, 23, 59),

        # Do not pass values after this date
        todate=datetime.datetime(2018, 2, 28, 16, 35, 59),

        datetime=0,

        open=1,

        high=2,

        low=3,

        close=4,

        timeframe=bt.TimeFrame.Minutes,

        compression=1,

        reverse=False
    )

And it works now.