3. Error on sell bracket order
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Error on sell bracket order

  • A

    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

    0

  • 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. :)

    1
  • B
    administrators

    Release 1.9.63.122

    0