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    Orders created but never completed

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    • greenkode
      greenkode last edited by

      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
      
      1 Reply Last reply Reply Quote 0
      • B
        backtrader administrators last edited by

        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

        B 1 Reply Last reply Reply Quote 0
        • B
          backtrader administrators @backtrader last edited by

          @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.

          1 Reply Last reply Reply Quote 0
          • greenkode
            greenkode last edited by

            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.

            1 Reply Last reply Reply Quote 0
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