Is there a way to delete this topic? I was able to resolve the problem.

I am currently backtesting a strategy where backtrader acts normally up until about a third of the way through the entire data set. From that point on, backtrader seems to only be capable of creating a buy order and submitting it, but not accepting or executing the order. I have three attachments associated with this post. The first is the strategy, then the second is the image where we can see that backtrader is incapable of accepting/executing an order, and finally the log output. Does anyone know as to why my orders are not being accepted/executed? Thanks!

Please note, not all objects are defined in the provided script.

Code:

class EmaCross(bt.Strategy):
    params = {('order_percentage', .95)}
    plotlines = dict(
        ema_s=dict(_name = 'ema_s', ls='--', color='yellow'),  # use same color as prev line (dcm)
        ema_l=dict(_name = 'ema_l', ls='--', color='blue')) # use same color as prev line (dch)

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

    def __init__(self):
        self.dataopen = self.datas[0].open
        self.dataclose = self.datas[0].close
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low
        
        # Bring in moving averages 
        self.myind = color_ind()

        # Define average true range 
        self.atr = bt.indicators.ATR(self.datas[0], period =14)
        
        # Define self order
        self.order = None
        self.trail_stop = None
        self.cross_down = None
    
    def notify_order(self, order):
        #Cancel stop if cross initiated
        if (self.cross_down and self.trail_stop):
            self.cancel(self.trail_stop)


        # Check the order status. 
        # If it is submitted/accepted, leave the fucntion 
        if order.status in [order.Submitted, order.Accepted]:
            if order.isbuy():
                self.log(f"Buy Submitted at {order}")
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                # Keep track of executred price and stop loss 
                self.log(f"Buy Executed at {order.executed.price}")
            if order.issell():
                # Keep track of sell price 
                self.log(f"Sell Executed at {order.executed.price} and order {order}")
                self.cancel(self.cross_down)
                self.cancel(self.trail_stop)
                print(f'position: \n {self.position} and order: \n {order}')

        if order.status == order.Canceled:
            #self.log(f'Order canceled at {self.dataclose[0]} and order is \n{order}')
            return

        # Sentinel to None: new orders allowed
        self.order = None
        self.trail_stop = None
        self.cross_down = None

    def next(self):
        if self.order:
            return

        # if there is no current postion 
        if self.position.size == 0:
            self.cancel(self.cross_down)
            if ( self.myind.ema_s[0] > self.myind.ema_l[0] and  
            self.myind.ema_s[-1] < self.myind.ema_l[-1] ):                     
                self.size = 1
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.order = self.buy(size = self.size)
             

        elif self.position.size > 0:          
            if (self.trail_stop is None and self.cross_down is None and sell_type in ['atr_sell','atr_cross_sell']):
                # cancel any prior cross_down
                self.cancel(self.cross_down)
                # sell on trailing stop 
                self.trail_stop = self.close(exectype=bt.Order.StopTrail, 
                                            trailamount = atr_stop * self.atr[0], 
                                            size = self.position.size, ref = '999')                
            
            elif (self.myind.ema_s[0] < self.myind.ema_l[0] 
                and (self.myind.ema_s[-1] > self.myind.ema_l[-1] 
                or self.myind.ema_s[-2] > self.myind.ema_l[-2])
                and (self.cross_down is None) and sell_type  in ['cross_sell','atr_cross_sell']): 
                               
                # cancel trailing stop
                self.cancel(self.trail_stop)
                # sell on the cros down
                self.cross_down = self.close()


if f in ['30min','15min','hour','4hour']:
    if f == '30min':
        compression = 30
    elif f == '15min':
        compression = 15
    elif f == 'hour':
        compression = 60
    else:
        compression = 240

    data0 = pd.read_csv(f'data/{c}/{f}/{d}.csv' ) #index_col=[0], parse_dates=[0]
    data0['time'] = data0.reset_index().time.apply(lambda x: datetime.strptime(x,'%m/%d/%Y %H:%M'))
    
    data0.set_index('time',inplace = True)


    data = bt.feeds.PandasData(dataname = data0, timeframe = bt.TimeFrame.Minutes, compression = compression) 
else: 
    data0 = pd.read_csv(f'data/{c}/{f}/{d}.csv',index_col=[0], parse_dates=[0] ) 
    start = pd.to_datetime(data0.index.max()) - pd.offsets.DateOffset(months=3) - timedelta(days = 10)
    data0 = data0[data0.index>=start]
    data = bt.feeds.PandasData(dataname = data0, timeframe = bt.TimeFrame.Days)


b = Bokeh(style='bar', plot_mode='multi', scheme=Tradimo(), bar_up = 'green')
cerebro = bt.Cerebro()
if contract == 'RTY':
    cerebro.broker.setcommission(commission = .85, mult = 50, stocklike=False, margin = 10000)
elif contract == 'ES':
    cerebro.broker.setcommission(commission = .85, mult = 12.5, stocklike=False, margin = 15000)
elif contract == 'NQ':
    cerebro.broker.setcommission(commission = .85, mult = 20, stocklike=False, margin = 22000)
elif contract == 'NG':
    cerebro.broker.setcommission(commission = .85, mult = 10, stocklike=False, margin = 10000)
elif contract == 'CL':
    cerebro.broker.setcommission(commission = .85, mult = 10, stocklike=False, margin = 10000)

cerebro.addstrategy(EmaCross)
cerebro.broker.setcash(50000.0)
cerebro.adddata(data)
cerebro.addwriter(bt.WriterFile, csv = True, out='data.csv')
#cerebro.broker.set_coc(True)
cerebro.run()
cerebro.plot(b, iplot = False)

Image:

Output

2008-12-15T05:00:00, Buy Executed at 1273.75
2008-12-22T15:15:00, Sell Executed at 1224.11104544575 and order Ref: 20320
OrdType: 1
OrdType: Sell
Status: 4
Status: Completed
Size: -1
Price: None
Price Limit: None
TrailAmount: 69.13895455424985
TrailPercent: None
ExecType: 5
ExecType: StopTrail
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x0000024D2EFEA748>
End of Session: 733391.9999999999
Info: AutoOrderedDict([('ref', '999')])
Broker: None
Alive: False
2008-12-30T11:30:00, BUY CREATE, 1252.50
2008-12-30T15:15:00, Buy Submitted at Ref: 20321
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 1
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 733406.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
2008-12-30T15:15:00, BUY CREATE, 1259.75
2008-12-30T19:30:00, Buy Submitted at Ref: 20322
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 1
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 733406.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True  

For anyone looking to use this in the future, in the next method, I was trying to access a dictionary using inds[d].field[0]. The proper syntax to access a dictionary is inds[d]['field'][0]. I also lowered my qcheck to .05 as @vladisld suggested. If someone has a link as to how to handle multiple orders with multiple data feeds, I would highly appreciate it if you posted the link below.

Thanks

@vladisld

You're correct. After reading the documentation in more detail, there is no need to resample the data. I am now using cerebro.adddata(). I'm still getting the same output as before where a connection is made, but bt isn't performing any trades. I've cleaned up my main file, and have written it below.

Python code to add data feeds and connect to IB

# import modules 
import sys, argparse, os
from datetime import datetime 

import backtrader as bt
import backtrader.stores.ibstore as ibstore
from strategy.long_copy import EmaCross_long

def run():
    cerebro = bt.Cerebro(stdstats=False)
    ibstore = bt.stores.IBStore(host='127.0.0.1', port=4002, clientId=0)

    # Adding two data feeds
    contracts = ['NQ-202103-GLOBEX-USD','RTY-202103-GLOBEX-USD'] #
    c_name = ['NQ','RTY']
    for d,c in zip(contracts,c_name):
        data = ibstore.getdata(dataname=d, 
                                timeframe=bt.TimeFrame.Seconds,
                                compression=5,
                                rtbar=True,  # use RealTime 5 seconds bars
                                historical = False,
                                qcheck=100,  # timeout in seconds (float) to check for events
                                latethrough=False)
        cerebro.adddata(data, name=c)

    cerebro.broker = ibstore.getbroker()
    cerebro.addstrategy(EmaCross_long)
    cerebro.run()

if __name__ == '__main__':
    run()

Are there any places you would suggest setting breakpoints within the bt.strategy script that would help us figure out why bt isn't placing any trades?

Your contributions to the community are highly appreciated @vladisld. I've benefited immensely from your commentary on this forum, and I can't thank you enough!

I realized some of the code within the bt.strategy script wasn't correctly calling the datas feed within next(). I updated the script, but I'm still having the respective issues above. Below is the updated script for bt.strategy.

Python code for bt.strategy

import backtrader as bt
from datetime import datetime, timedelta
import time
import math


class EmaCross_long(bt.Strategy):
    params = {('order_percentage', .95)}
    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.datetime(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.orderid = list()
        self.inds = dict()
        for i, d in enumerate(self.datas):
            self.inds[d] = dict()
            self.inds[d]['dataopen'] = d.open
            self.inds[d]['dataclose'] = d.close
            self.inds[d]['datahigh'] = d.high
            self.inds[d]['datalow'] = d.low
            
            # Define average true range
            self.inds[d]['atr'] = bt.indicators.ATR(d, period =14)
            self.inds[d]['ema_s'] = bt.indicators.EMA(d,period=6,plotname='ema_s (6)')
            self.inds[d]['ema_l'] = bt.indicators.EMA(d, period=17, plotname='ema_l (17)')

        # Define self order
        self.order = None
        self.trail_stop = None
        self.cross_down = None
        self.sell_type = 'atr_cross_sell'

    def notify_store(self, msg, *args, **kwargs):
        print(f'message: {msg}')
        error = getattr(msg,'errorCode',False)
        if error:
            print(error)

    def notify_order(self, order):
        # https://www.backtrader.com/docu/order-creation-execution/order-creation-execution/
        # Check the order status.
        print('{}: Order ref: {} / Type {} / Status {}'.format(
                self.data.datetime.datetime(0),
                order.ref, 'Buy' * order.isbuy() or 'Sell',
                order.getstatusname()))

        # If it is submitted/accepted, leave the fucntion
        if order.status in [order.Submitted, order.Accepted]:
            #self.log(f"Order submitted/accepted but not complete")
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                # Keep track of executred price and stop loss
                self.log(f"Buy Executed at {order.executed.price}")
            elif order.issell():
                # Keep track of sell price
                self.log(f"Sell Executed at {order.executed.price} and order {order}")
                #print(f'position: \n {self.position} and order: \n {order}')
            self.order = None
            self.trail_stop = None
            self.cross_down = None

        if order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log(f"Order Rejected: {order.Rejected}")
            return

        if order.status == order.Canceled:
            self.log(f'Order Canceled {order.Canceled}')
            return

    def next(self):
        if self.order:
            # An order is pending ... nothing can be done
            return

        # if there is no current postion
        for i, d in enumerate(self.datas):
            if self.getposition(d).size <= 0:
                if (self.inds[d].dataclose[0] > self.inds[d].ema_s[0] and
                self.inds[d].ema_s[0] > self.inds[d].ema_l[0] and
                (self.inds[d].ema_s[-1] < self.inds[d].ema_l[-1] or
                self.inds[d].ema_s[-2] < self.inds[d].ema_l[-2])):
                # amount to invest
                #amount_to_invest = self.params.order_percentage * self.broker.cash
                #self.size = math.floor(amount_to_invest/self.dataclose)
                    self.size = 1
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
                    self.order = self.buy(size = self.size,
                                          data = d)

            #elif self.getposition(d) > 0:
            #    if (self.trail_stop is None and self.cross_down is None and self.sell_type in ['atr_sell','atr_cross_sell']):
            #        # cancel any prior cross_down
            #        try:
            #            self.cancel(self.cross_down)
            #        except:
            #            pass
            #        # sell on trailing stop
            #        self.trail_stop = self.close(data = d,
            #                                    exectype=bt.Order.StopTrail,
            #                                    trailamount = 3 * self.atr[0],
            #                                    size = self.getposition(d), 
            #                                    ref = '999')
            #                                    #valid = datetime.now() + timedelta(hours = 12))

                elif (self.getposition(d) > 0 and self.inds[d].ema_s[0] < self.inds[d].ema_l[0]
                    and (self.inds[d].ema_s[-1] > self.inds[d].ema_l[-1]
                    or self.inds[d].ema_s[-2] > self.inds[d].ema_l[-2])):
                    # sell on the cros down
                    self.cross_down = self.close(data = d)

Hello,

I'm having trouble executing one strategy on two live data feeds on Interactive Brokers. It seems like the connection is being made, but the strategy doesn't seem to be making any trades. When I reduce the data feeds to one data feed, the program works.

The first set of code is used to make the connection to interactive brokers. The second section of code is the strategy. Finally, the third is the output from python. I can see that the connection is being made, but again, no trades are being made. Any help would be highly appreciated.

Python code to add data feeds and connect to IB

import sys, argparse, os
from datetime import datetime 

import backtrader as bt
import backtrader.stores.ibstore as ibstore
from strategy.long_copy import EmaCross_long

def run():
    cerebro = bt.Cerebro(stdstats=False)
    ibstore = bt.stores.IBStore(host='127.0.0.1', port=4002, clientId=0)


    stockkwargs = dict(
        timeframe=bt.TimeFrame.Seconds,
        rtbar=True,  # use RealTime 5 seconds bars
        historical = False,
        qcheck=100,  # timeout in seconds (float) to check for events
        latethrough=False)
#       tradename=None,  # use a different asset as order target
#       fromdate = datetime.today())

    contracts = ['NQ-202103-GLOBEX-USD','RTY-202103-GLOBEX-USD'] #
    c_name = ['NQ','RTY']
    for d,c in zip(contracts,c_name):
        data = ibstore.getdata(dataname=d,**stockkwargs)  
        cerebro.resampledata(data, name=c, timeframe=bt.TimeFrame.Seconds, compression=5)

    cerebro.broker = ibstore.getbroker()
    cerebro.addstrategy(EmaCross_long)
    cerebro.run()

if __name__ == '__main__':
    run()

Python code for bt.strategy

import pandas as pd
import backtrader as bt
from datetime import datetime, timedelta
import time
import math
import sqlalchemy as db


class EmaCross_long(bt.Strategy):
    params = {('order_percentage', .95)}
    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.datetime(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.orderid = list()
        self.inds = dict()
        for i,d in enumerate(self.datas):
            self.inds[d] = dict()
            self.inds[d]['dataopen'] = d.open
            self.inds[d]['dataclose'] = d.close
            self.inds[d]['datahigh'] = d.high
            self.inds[d]['datalow'] = d.low
            
            # Define average true range
            self.inds[d]['atr'] = bt.indicators.ATR(d, period =14)
            self.inds[d]['ema_s'] = bt.indicators.EMA(d,period=6,plotname='ema_s (6)')
            self.inds[d]['ema_l'] = bt.indicators.EMA(d, period=17, plotname='ema_l (17)')

        # Define self order
        self.order = None
        self.trail_stop = None
        self.cross_down = None
        self.sell_type = 'atr_cross_sell'

    def notify_store(self, msg, *args, **kwargs):
        print(f'message: {msg}')
        error = getattr(msg,'errorCode',False)
        if error:
            print(error)

    def notify_order(self, order):
        # https://www.backtrader.com/docu/order-creation-execution/order-creation-execution/
        # Check the order status.
        print('{}: Order ref: {} / Type {} / Status {}'.format(
                self.data.datetime.datetime(0),
                order.ref, 'Buy' * order.isbuy() or 'Sell',
                order.getstatusname()))

        # If it is submitted/accepted, leave the fucntion
        if order.status in [order.Submitted, order.Accepted]:
            #self.log(f"Order submitted/accepted but not complete")
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                # Keep track of executred price and stop loss
                self.log(f"Buy Executed at {order.executed.price}")
            elif order.issell():
                # Keep track of sell price
                self.log(f"Sell Executed at {order.executed.price} and order {order}")
                #print(f'position: \n {self.position} and order: \n {order}')
            self.order = None
            self.trail_stop = None
            self.cross_down = None

        if order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log(f"Order Rejected: {order.Rejected}")
            return

        if order.status == order.Canceled:
            self.log(f'Order Canceled {order.Canceled}')
            return

    def next(self):
        if self.order:
            # An order is pending ... nothing can be done
            return

        # if there is no current postion
        for i, d in enumerate(self.datas):
            if self.getposition(d).size <= 0:
                try:
                    self.cancel(self.cross_down)
                except:
                    pass
                if (self.inds[d].dataclose[0] > self.inds[d].ema_s[0] and
                self.inds[d].ema_s[0] > self.inds[d].ema_l[0] and
                (self.inds[d].ema_s[-1] < self.ema_l[-1] or
                self.inds[d].ema_s[-2] < self.inds[d].ema_l[-2])):
                # amount to invest
                #amount_to_invest = self.params.order_percentage * self.broker.cash
                #self.size = math.floor(amount_to_invest/self.dataclose)
                    self.size = 1
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
                    self.order = self.buy(size = self.size,
                                          data = d)

            #elif self.getposition(d) > 0:
            #    if (self.trail_stop is None and self.cross_down is None and self.sell_type in ['atr_sell','atr_cross_sell']):
            #        # cancel any prior cross_down
            #        try:
            #            self.cancel(self.cross_down)
            #        except:
            #            pass
            #        # sell on trailing stop
            #        self.trail_stop = self.close(data = d,
            #                                    exectype=bt.Order.StopTrail,
            #                                    trailamount = 3 * self.atr[0],
            #                                    size = self.getposition(d), 
            #                                    ref = '999')
            #                                    #valid = datetime.now() + timedelta(hours = 12))

                elif (self.getposition(d) > 0 and self.ema_s[0] < self.ema_l[0]
                    and (self.inds[d].ema_s[-1] > self.inds[d].ema_l[-1]
                    or self.inds[d].ema_s[-2] > self.inds[d].ema_l[-2])):
                    # cancel trailing stop
                    self.cancel(self.trail_stop)
                    # sell on the cros down
                    self.cross_down = self.close(data = d)

IB is connecting, but bt isn't performing any trades.

Server Version: 76
TWS Time at connection:20210113 11:47:50 EST
message: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfuture.nj>
2104
message: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm.nj>
2104
message: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfuture>
2104
message: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:cashfarm>
2104
message: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm>
2104
message: <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:euhmds>
2106
message: <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:fundfarm>
2106
message: <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ushmds>
2106
message: <error id=-1, errorCode=2158, errorMsg=Sec-def data farm connection is OK:secdefil>
2158

Hello Jonny,

I don't think that is the case as the only point a buy market order can be cancelled is within the sentinel. The code within sentinel shouldn't execute in the current script because backtrader should be exiting the notify_order function with the code below. Please let me know if my reasoning is flawed here.

if order.status in [order.Submitted, order.Accepted]:
    if order.isbuy():
        self.log(f"Buy Submitted at {order}")
    return

I am currently backtesting a strategy where backtrader acts normally up until about a third of the way through the entire data set. From that point on, backtrader seems to only be capable of creating a buy order and submitting it, but not accepting or executing the order. I have three attachments associated with this post. The first is the strategy, then the second is the image where we can see that backtrader is incapable of accepting/executing an order, and finally the log output. Does anyone know as to why my orders are not being accepted/executed? Thanks!

Please note, not all objects are defined in the provided script.

Code:

class EmaCross(bt.Strategy):
    params = {('order_percentage', .95)}
    plotlines = dict(
        ema_s=dict(_name = 'ema_s', ls='--', color='yellow'),  # use same color as prev line (dcm)
        ema_l=dict(_name = 'ema_l', ls='--', color='blue')) # use same color as prev line (dch)

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

    def __init__(self):
        self.dataopen = self.datas[0].open
        self.dataclose = self.datas[0].close
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low
        
        # Bring in moving averages 
        self.myind = color_ind()

        # Define average true range 
        self.atr = bt.indicators.ATR(self.datas[0], period =14)
        
        # Define self order
        self.order = None
        self.trail_stop = None
        self.cross_down = None
    
    def notify_order(self, order):
        #Cancel stop if cross initiated
        if (self.cross_down and self.trail_stop):
            self.cancel(self.trail_stop)


        # Check the order status. 
        # If it is submitted/accepted, leave the fucntion 
        if order.status in [order.Submitted, order.Accepted]:
            if order.isbuy():
                self.log(f"Buy Submitted at {order}")
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                # Keep track of executred price and stop loss 
                self.log(f"Buy Executed at {order.executed.price}")
            if order.issell():
                # Keep track of sell price 
                self.log(f"Sell Executed at {order.executed.price} and order {order}")
                self.cancel(self.cross_down)
                self.cancel(self.trail_stop)
                print(f'position: \n {self.position} and order: \n {order}')

        if order.status == order.Canceled:
            #self.log(f'Order canceled at {self.dataclose[0]} and order is \n{order}')
            return

        # Sentinel to None: new orders allowed
        self.order = None
        self.trail_stop = None
        self.cross_down = None

    def next(self):
        if self.order:
            return

        # if there is no current postion 
        if self.position.size == 0:
            self.cancel(self.cross_down)
            if ( self.myind.ema_s[0] > self.myind.ema_l[0] and  
            self.myind.ema_s[-1] < self.myind.ema_l[-1] ):                     
                self.size = 1
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.order = self.buy(size = self.size)
             

        elif self.position.size > 0:          
            if (self.trail_stop is None and self.cross_down is None and sell_type in ['atr_sell','atr_cross_sell']):
                # cancel any prior cross_down
                self.cancel(self.cross_down)
                # sell on trailing stop 
                self.trail_stop = self.close(exectype=bt.Order.StopTrail, 
                                            trailamount = atr_stop * self.atr[0], 
                                            size = self.position.size, ref = '999')                
            
            elif (self.myind.ema_s[0] < self.myind.ema_l[0] 
                and (self.myind.ema_s[-1] > self.myind.ema_l[-1] 
                or self.myind.ema_s[-2] > self.myind.ema_l[-2])
                and (self.cross_down is None) and sell_type  in ['cross_sell','atr_cross_sell']): 
                               
                # cancel trailing stop
                self.cancel(self.trail_stop)
                # sell on the cros down
                self.cross_down = self.close()


if f in ['30min','15min','hour','4hour']:
    if f == '30min':
        compression = 30
    elif f == '15min':
        compression = 15
    elif f == 'hour':
        compression = 60
    else:
        compression = 240

    data0 = pd.read_csv(f'data/{c}/{f}/{d}.csv' ) #index_col=[0], parse_dates=[0]
    data0['time'] = data0.reset_index().time.apply(lambda x: datetime.strptime(x,'%m/%d/%Y %H:%M'))
    
    data0.set_index('time',inplace = True)


    data = bt.feeds.PandasData(dataname = data0, timeframe = bt.TimeFrame.Minutes, compression = compression) 
else: 
    data0 = pd.read_csv(f'data/{c}/{f}/{d}.csv',index_col=[0], parse_dates=[0] ) 
    start = pd.to_datetime(data0.index.max()) - pd.offsets.DateOffset(months=3) - timedelta(days = 10)
    data0 = data0[data0.index>=start]
    data = bt.feeds.PandasData(dataname = data0, timeframe = bt.TimeFrame.Days)


b = Bokeh(style='bar', plot_mode='multi', scheme=Tradimo(), bar_up = 'green')
cerebro = bt.Cerebro()
if contract == 'RTY':
    cerebro.broker.setcommission(commission = .85, mult = 50, stocklike=False, margin = 10000)
elif contract == 'ES':
    cerebro.broker.setcommission(commission = .85, mult = 12.5, stocklike=False, margin = 15000)
elif contract == 'NQ':
    cerebro.broker.setcommission(commission = .85, mult = 20, stocklike=False, margin = 22000)
elif contract == 'NG':
    cerebro.broker.setcommission(commission = .85, mult = 10, stocklike=False, margin = 10000)
elif contract == 'CL':
    cerebro.broker.setcommission(commission = .85, mult = 10, stocklike=False, margin = 10000)

cerebro.addstrategy(EmaCross)
cerebro.broker.setcash(50000.0)
cerebro.adddata(data)
cerebro.addwriter(bt.WriterFile, csv = True, out='data.csv')
#cerebro.broker.set_coc(True)
cerebro.run()
cerebro.plot(b, iplot = False)

Image:

Output

2008-12-15T05:00:00, Buy Executed at 1273.75
2008-12-22T15:15:00, Sell Executed at 1224.11104544575 and order Ref: 20320
OrdType: 1
OrdType: Sell
Status: 4
Status: Completed
Size: -1
Price: None
Price Limit: None
TrailAmount: 69.13895455424985
TrailPercent: None
ExecType: 5
ExecType: StopTrail
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x0000024D2EFEA748>
End of Session: 733391.9999999999
Info: AutoOrderedDict([('ref', '999')])
Broker: None
Alive: False
2008-12-30T11:30:00, BUY CREATE, 1252.50
2008-12-30T15:15:00, Buy Submitted at Ref: 20321
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 1
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 733406.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
2008-12-30T15:15:00, BUY CREATE, 1259.75
2008-12-30T19:30:00, Buy Submitted at Ref: 20322
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 1
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 733406.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True  

Hello,
I somehow have a bt.Order.StopTrail that refuses to be canceled. I am working on a shorting strategy where I buy a short based on some indicators. The position will only be closed when a trailing stop is satisfied or self.cross_up is satisfied.

Below is the code for notify_order(). I have tried in several places within the method to cancel the trailing stop (self.trail_stop')

    def notify_order(self, order):
        # https://www.backtrader.com/docu/order-creation-execution/order-creation-execution/
        # Check the order status. 
        print('{}: Order ref: {} / Type {} / Status {}'.format(
                self.data.datetime.datetime(0),
                order.ref, 'Buy' * order.isbuy() or 'Sell',
                order.getstatusname()))
        
        if (self.cross_up and self.trail_stop):
            self.cancel(self.trail_stop)
        
        # If it is submitted/accepted, leave the fucntion 
        if order.status in [order.Submitted, order.Accepted]:
            if self.cross_up:
                self.cancel(self.trail_stop)
                print(f'{self.datas[0].datetime.datetime(0)} trying to cancel {self.trail_stop}')
            return

In the output log, ref: 2 is my StopTrail since we see that there is a trail amount. You can see that the bt.Order.StopTrail is dead (Alive: False), yet it is still completed? How is that possible?

2019-11-01 09:00:00: Order ref: 2 / Type Buy / Status Accepted
2019-11-01 09:00:00 trying to cancel Ref: 2
OrdType: 0
OrdType: Buy
Status: 4
Status: Completed
Size: 6
Price: None
Price Limit: None
TrailAmount: 10.97938953872858
TrailPercent: None
ExecType: 5
ExecType: StopTrail
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x7fae48146e50>
End of Session: 737363.9999999999
Info: AutoOrderedDict([('ref', '999')])
Broker: None
Alive: False
2019-11-01 09:00:00: Order ref: 3 / Type Buy / Status Accepted
2019-11-01 09:00:00 trying to cancel Ref: 2
OrdType: 0
OrdType: Buy
Status: 4
Status: Completed
Size: 6
Price: None
Price Limit: None
TrailAmount: 10.97938953872858
TrailPercent: None
ExecType: 5
ExecType: StopTrail
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x7fae48146e50>
End of Session: 737363.9999999999
Info: AutoOrderedDict([('ref', '999')])
Broker: None
Alive: False
2019-11-01 09:00:00: Order ref: 2 / Type Buy / Status Completed

Thank You!

Hey VBS,

Awesome work with backtrader_plotting. I was wondering if there was a parameter to change the color for barup and bardown when style = 'bar'.

Also, is there a way to make a green vertical line for an executed buy and a red vertical line for an executed sell?

Thank!

Hello,

I am trying to implement a trailing stop order, and I'm using self.close with bt.Order.StopTrail. The first sell is expected, but I don't understand as to why self.close() would short the position thereafter?

        if self.position.size == 0:
            if self.myind.ema_s[0] > self.myind.ema_l[0] and self.myind.ema_s[-1] < self.myind.ema_l[-1] and  self.myind.ema_s[-2] < self.myind.ema_l[-2]:                    # amount to invest
                    amount_to_invest = self.params.order_percentage * self.broker.cash
                    self.size = math.floor(amount_to_invest/self.dataclose)
                    # previous close less than the previous close
                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
                    self.order = self.buy(exectype = bt.Order.Limit,
                    price = self.dataclose[0], 
                    valid = datetime.now() + timedelta(hours = 1),
                    size = self.size)       

       elif self.position.size > 0:          
                   self.close(exectype=bt.Order.StopTrail, trailamount = 8)                

My log is the following:

2020-08-11T02:05:30, BUY CREATE, 1586.35
2020-08-11T06:00:35, Buy Executed at 1586.35
2020-08-11, position size:5
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T14:08:01, Sell Executed at 1591.6
2020-08-11, position size:-45
2020-08-11T14:08:01, Sell Executed at 1591.6
2020-08-11, position size:-45
2020-08-11T14:16:13, Sell Executed at 1590.35
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1590.35
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1590.35
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85