The script produces no output, it was only meant to produce charts with --plot
In the post it is executed with:
./btfd.py --plot --strat approach="'closeclose'"
and
./btfd.py --plot --strat approach="'highlow'"
It only creates charts because it is comparing itself to a the BTFD chart from dark-bid
Choosing GPLv3 is a fully conscious decision. What other libraries may or may not do is not of much interest. Each author or organization willing to release open source code weights the pros and cons of different approaches and in this case the GPLv3 was chosen.
Having a license doesn't preclude being able to have a 2nd license for the platform. In most cases this pattern is filled with a direct negotiation between the parties (one interested in an acquisition with a different license, the other willing to re-license) Whether such a pattern fits your case is something which cannot be simply assumed.
There isn't documentation as such, given the differences found in different platforms.
Oanda (https://www.oanda.com) was the last integration and was at the same time an effort to try to streamline the interfaces and make it as generic as possible. I would have a look at it.
But being your provider Windows based and with OCX in play I guess you'll have to play with comtypes. Although there are, at least, 2 major COM Windows implementations, you are basically on your own. Visual Chart (https://www.visualchart.com) is also Windows based and uses COM and the following still holds:
win32com (pywin32) launched OutOfMemoryError exceptions because it wouldn't fully understand a type.
Although the type was properly decoded, it was clearly going to be a headache and meant fiddling directly with C++ for any needed modification (the major problem being other people compiling pywin32 from scratch or installing a DLL from a non-trusted source, not to mention the lack of proper support for GCC based compilers under Windows that Python exhibits)
comtypes being pure Python was more up to the task of being a target. It still failed to properly decode complex arrays, so a fork of comptypes was needed for full support.
Hopefully your provider is using simpler types and nothing breaks with the standard distributions.
For implementation, the following pattern was chosen:
Store: is an entity which should be the only one talking to the data/broker provider, be it interfacing with sockets or COMBoth the data feed and the broker rely on calling the store and receiving events from it (yes it has to run in a separate thread) to make the information available to the platform.
The suggestion would be to look at the patterns in the Oanda store and associated broker and feeds.
They are plotted. The problem arises because matplotlib makes assumptions about situations where the difference between the top and bottom of a plot is too small and could lead to problems.
The plot below plots the BuySell observer on a different axis to make it clear: I am here. But cannot be seen with the data. The right axis ticks (Y) show values like 3.5 and the top of the axis (already inside the observer) indicates that everything has to be multiplied by 1000 (3.065e3)
The scale is wrong obviously because it goes from 0 to 3.065
Probably your case too.
"Simulating this with backtrader appears to result in errors."
backtrader is only doing what you are telling it to do. That isn't an error.
In order notification, if buy order is executed I execute two sell orders: one limit order with stop loss, and one stop order with take profit. This eventually fails and results in strategy executing both of the sell orders. Ideally if one of these sell orders is executed, i would like the other one to be instantly killed.
It doesn't fail. It simply doesn't fulfill your own expectations (it is nowhere stated in the documentation that one order will be cancelled because the other is executed)
You are looking for OCO (Order Cancels Order) functionality and this is not implemented in backtrader
How should I code takeprofit/stoploss on my positions?
In the absence of OCO, a dictionary can do the trick, by adding two entries. In one the stop-loss order is the key and the take-profit order is the value. In the second entry the roles are reversed.
Upon being notified of the execution of one order, inspection of the dictionary allows cancelling the pending order
Should I extend the bbroker itself to support stoploss/takeprofit?
The platform is open.
Several
Post some sample code (it really helps)
If the target is to write the values of indicators use the standard functionality Writer
self.mysma = bt.indicators.SMA(self.data, period=30)
self.mysma.csv = True
The default behavior is to not write the value of indicators with a writer to avoid cluttering in the csv output and thus selected indicators must have the csv flag activated.
If a single data feed is added to the system with replaydata, only this data will be output. In this case the only data known to cerebro is the one with timeframe=bt.TimeFrame.Minutes and compression=15. The original is NOT in the system
Add it too with: cerebro.adddata(data)
The original behavior of backtrader enforced adding the larger timeframe data feeds after the smaller timeframe feeds. With the new sychronization mechanism available since 1.9.x., this is no longer needed. In any case the suggestions would be for this:
replaydata) after the smaller timeframe (adddata)self.data0 will be the smaller timeframe and self.data1 the larger timeframe. Use the appropriate reference when creating the indicatorscerebro.run(next=True). This will keep the buffers fully sync'ed and allows plotting.Use the link below to go the original post
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1.9.20.105
Old comments are available at: https://disqus.com/home/forum/backtrader/
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