Commissions can be added to bt with relation to data feed names:

for index, contract in FUT_SPECS.iterrows():

    data = <add data feed with the name=contract['name']>

    cerebro.adddata(data)

    cerebro.broker.setcommission(commission=float(contract['comm']),
                                    margin=float(contract['margin']),
                                    mult=float(contract['mult']),
                                    name=contract['name'])

FUT_SPECS pandas data frame has comm, margin, mult and name columns.

@albertzgd just updated my post - error can be due to backfilling.

@albertzgd based on the error message you don't have subscription to the data.

Other thought - backtrader backfills by default. It can be considered as historical data download and requires subscription.

Docs - Strategy

Try self.getposition(data=your_data)

If you use another data feed, bt built-in data feed, do you have the same issue?

Your's choice. Good luck.

@tw00000

Isn't my function the indicator in this case? Or do I need to do something backtrader specific to make it an 'indicator'?

Good question. I didn't see your function, but common sense and your questions tell me that it will need to be adjusted to be used in bt. Here is the link on how bt treats indicators - Docs - Using Indicators and Docs - Indicator Development

What does that mean? I have tons of OHLC data saved offline that I would like to use for backtesting, is that possible?

In order to test something using bt you need to import data feed. So you can use this imported data feed in your indicator. Or read external file with indicator and sync it to imported data feed. Which is probably more complex. Here is the link to data feeds - Docs - Data Feeds

But I believe the best link (based on your questions) you might want to use first time is here - Docs - Quickstart

Lets assume that you call trader every bar. Then I think you have two options:

• write an indicator which will return you required dictionary and then in the strategy next you will issue buy/sell order if TRADE_IT == 1

• in the strategy next call your trader function and issue buy/sell order if TRADE_IT == 1

In both cases you will need to rework your trader function so it can process bt datafeed. Or you can read prices separately into your function and into bt, but I think it will be less clear.

self.close is a market order, it doesn't use price and order type. self.buy or self.sell with appropriate order type need to be used.

@chaitalidixit

could you let me know if position.price is size-weighted average price VWAP?

I think so, I believe I've seen this discussion somewhere on the forum. Test it to be totally sure that it is what you are looking for.

and how do I calculate TWAP?

As an idea - get prices from notify_order for each executed order within single trade and then do all necessary calculations. At least I would start from there.