Error on sell bracket order

Andre Luiz

import datetime
import pandas as pd
import time
import pandas
import threading
from io import BytesIO
import csv
from cassandra.cluster import Cluster
from cassandra.auth import PlainTextAuthProvider
from cassandra.query import dict_factory
import backtrader as bt

cluster = Cluster(contact_points=['34.234.1.252'], port=9042)
session = cluster.connect('security_master')
session.default_timeout = 60
session.row_factory = dict_factory
df = pd.DataFrame(index=[0],columns=['symbol', 'dtsession', 'preco', 'qty', 'time'])
query = "SELECT symbol, dtsession, preco, qty, time FROM security_master.tickequities where dtsession = '2017-08-31' and symbol='PETR4'"
future2 = session.execute_async(query)
rows = future2.result()
start = time.time()
files = 'teste.csv'
with open(files, 'w', newline='') as csvfile:
spamwriter = csv.writer(csvfile, delimiter=',',quoting=csv.QUOTE_MINIMAL)
spamwriter.writerow(['dtsession','preco', 'qty'])
for row in future2.result():
spamwriter.writerow([str(row['dtsession'])+ ' ' + str(row['time']), row['preco'] , row['qty']])
df=pd.read_csv(files,index_col=['dtsession'], parse_dates=True)
end = time.time()
df.sort_index(inplace=True)
df = df.resample('5S').agg({'preco': 'ohlc', 'qty': 'sum'})
d = {'open': df['preco']['open'], 'high': df['preco']['high'],'low':df['preco']['low'],'close':df['preco']['close'], 'volume':df['qty']['qty']}
df2 = pd.DataFrame(data=d)
print(end-start)

Create a Stratey

class TestStrategy(bt.Strategy):
params = (
('maperiod', 15),
('printlog', False),
)

def log(self, txt, dt=None, doprint=False):
    ''' Logging function fot this strategy'''
    if self.params.printlog or doprint:
        dt = dt or self.datas[0].datetime.date(0)
        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

    # Add a MovingAverageSimple indicator
    self.sma = bt.indicators.SimpleMovingAverage(
        self.datas[0], period=self.params.maperiod)

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

    # Check if an order has been completed
    # Attention: broker could reject order if not enough cash
    if order.status in [order.Completed]:
        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.Canceled, 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])

    # Check if an order is pending ... if yes, we cannot send a 2nd one
    if self.order:
        return

    # Check if we are in the market
    if not self.position:

        # Not yet ... we MIGHT BUY if ...
        if self.dataclose[0] > self.sma[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()

    else:

        if self.dataclose[0] < self.sma[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()

def stop(self):
    self.log('(MA Period %2d) Ending Value %.2f' %
             (self.params.maperiod, self.broker.getvalue()), doprint=True)

if name == 'main':
# Create a cerebro entity
cerebro = bt.Cerebro()

# Add a strategy
strats = cerebro.optstrategy(
    TestStrategy,
    maperiod=range(10, 31))

# Create a Data Feed
data = bt.feeds.PandasData(
    dataname=df2)

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

# Set our desired cash start
cerebro.broker.setcash(50000.0)

# Add a FixedSize sizer according to the stake
cerebro.addsizer(bt.sizers.FixedSize, stake=10)

# Set the commission
cerebro.broker.setcommission(commission=0.0)

# Run over everything
cerebro.run()

Traceback (most recent call last):
File "algoAndre.py", line 166, in <module>
strategies = cerebro.run()
File "/usr/local/lib/python3.5/dist-packages/backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "/usr/local/lib/python3.5/dist-packages/backtrader/cerebro.py", line 1290, in runstrategies
self._runonce(runstrats)
File "/usr/local/lib/python3.5/dist-packages/backtrader/cerebro.py", line 1691, in _runonce
strat._oncepost(dt0)
File "/usr/local/lib/python3.5/dist-packages/backtrader/strategy.py", line 287, in _oncepost
self.next()
File "algoAndre.py", line 157, in next
self.sell_bracket(limitprice=self.dataclose-0.02,price=self.dataclose, stopprice=self.dataclose+0.50)
File "/usr/local/lib/python3.5/dist-packages/backtrader/strategy.py", line 1218, in sell_bracket
oret.append(olimit)
NameError: name 'oret' is not defined
shell returned 1

Whats wrong with my code? If I comment my sell_bracket it works perfectly so for now I am only able to send buy_brack

ab_trader

I didn't notice any sell_bracket statement in the code you published, only simple buy and sell. So answering your question - anything can be wrong. :)

backtrader

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