@run-out yes thats what i was referring to.However i am noticing certain issues with the file as well which may be leading to the issue
when i am sampling 1 min tf to 5 min tf,i notice empty rows are coming for saturday and sunday.
How can i remove those as i have already tried
df.dropna(inplace=True) without any luck.
Here df=pandas dataframe
@run-out
Apparently the file has ohlcv and it gives sma but no ema.
If i use another file which only has ohlc then it gives the ema details.What is the correlation of this volume thing?
Why does it not give the ema details if volume is introduced along with the ohlc?
I am getting nan values for tema and ema calculation where as i am getting the required values for sma calculation.Below is my code snippet in init method:-
def __init__(self):
self.datetime = self.datas[0].datetime
self.dataclose = self.datas[0].close
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.datavolume=self.datas[0].volume
self.volsma20=bt.indicators.SMA(self.datavolume,period=20)
self.volsma20talib=bt.talib.SMA(self.datavolume,timeperiod=20)
self.rsi=bt.indicators.RSI(self.volsma20,period=14)
self.rsitalib=bt.talib.RSI(self.volsma20talib,timeperiod=14)
self.tema200=bt.indicators.TripleExponentialMovingAverage(self.dataclose,period=200)
self.ema1=EMA(self.dataclose,period=200)And then after a series of bars the status of sell order becomes Margin.
Submitted->Accepted->Submitted->Margin
Also the Ref gets changed.What relevance Ref has with respect to orders?
Another thing which i am very much surprised during the bar by bar where i am printing the orders for each min is:-
A sell order gets submitted,then moves to accepted and then again comes back to submitted where as all other orders status remains the same,it is very strange thing
Let me tell the sequence of events for better understanding.
1)Both buy and sell orders are placed with oco.
2)Buy triggers and sell automatically cancels out.Buyorder status is completed and sellorder status is cancelled.
3)Now at this stage buystop order is placed and is in accepted stage.Sellstop order is still None
4)Buystop order gets filled as completed and now i place a sellorder.Here comes the problem,this sell order is staying in submitted status instead of getting filled as completed even if the minute by minute price has been ranged in next candles itself.What could be the reason?
Do i need to set the cancelled status sellorder as None and then issue a fresh sellorder as the buystop is encountered?
@run-out
Hi,
First of all i want to thank you very much for the inputs.I am now able to do the order management and cancel orders as well.But now I find a new issue where in I wish to execute a counter trade.
Suppose i am in a buy and my buy stop is hit (which means a sell is triggered ).Now once buy stop is hit i am issuing a fresh sell order and this stays in submitted-accepted-submitted status when i do a bar by bar backtesting instead of getting filled.
Any thoughts on this?
This is how i coded the notify order after issuing a buy-sell oco order in next()
Notify_order:-
elif order.issell():
if self.buystoporder is None:
self.sellstoporder=self.buy(exectype=bt.Order.StopLimit, price=self.ORH, plimit=self.ORH + 1)
if self.buystoporder is not None:
self.sellorder=self.sell(exectype=bt.Order.Limit,price=self.ORL-1,valid=0)Question is how to check for open orders?
Order.Status in ['Open']?
The thing is I have been trying to cancel all the orders around 3 pm so that my open orders also gets cancelled but without any luck.What I have noticed is for a given day if no trade is triggered as per the ORH levels given by me,then that trade is not getting cancelled and that particular order stays as open and got triggered in next day when price is ORH or more.
This particular scenario i encountered in 2nd jan as per the datafile which i have shared with you.The trade gets triggered in the 3rd jan open which shouldn't be the case?
Hi,
Thanks for the above suggestion.I am trying with the oco orders here.However once the order is placed it keeps on going to notify orders and orders completed section after every iteration and repeatedly logs the same information.
Is there any ways to handle that and also while we place the stop orders for buy under order completion & vice versa for sell, do you mean the stop orders should also be oco orders?
Also you can see I have tried with the oco order without much luck.Jan1 has run fine but jan2 has triggered a sell without a buy.Objective is to place the stops and targets only when the initial buy has happened.Below is the code snippet:-
from future import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
import datetime as dt
import pandas as pd
import csv
import numpy as np
import talib as ta
import matplotlib.pyplot as plt
from datetime import datetime,time,date,timedelta
class CommInfo(bt.CommInfoBase):
params=(
('stocklike',False),
('commtype',bt.CommInfoBase.COMM_PERC),
)
def _getcommission(self, size, price, pseudoexec):
return abs(size)*price*self.p.commission*self.p.mult
class FirstStrategy(bt.Strategy):
params=(
('exitbars',12),
)
def log(self,txt):
print(txt)
def notify_order(self, order):
if order.status in [order.Submitted,order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
print(str(self.datetime.datetime(0))+" BUY TRIGGERED "+str(self.datetime.datetime())+str(" ")+str(order.executed.price))
self.log("Max high for {} is {}".format(self.current_date,self.ORH))
self.log("Max low for {} is {}".format(self.current_date, self.ORL))
self.log("Updated balance:" + str(cerebro.broker.getvalue()))
elif order.issell():
#print("BUY EXIT possible price 1 "+str(self.datetime.datetime())+str(self.sellorder.price))
print(str(self.datetime.datetime(0))+" BUY EXIT " + str(self.datetime.datetime()) +str(" ") + str(order.executed.price))
self.log("Max high for {} is {}".format(self.current_date, self.ORH))
self.log("Max low for {} is {}".format(self.current_date, self.ORL))
self.log("Updated balance:" + str(cerebro.broker.getvalue()))
self.bar_executed=len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
pass
def __init__(self):
self.datetime = self.datas[0].datetime
self.dataclose = self.datas[0].close
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.morning_start=datetime.now().replace(hour=9,minute=15,second=0,microsecond=0)
self.evening_end=datetime.now().replace(hour=14,minute=45,second=0,microsecond=0)
self.time_stop=datetime.now().replace(hour=15,minute=00,second=0,microsecond=0)
self.secondcandle_start=datetime.now().replace(hour=9,minute=30,second=0,microsecond=0)
self.secondcandle_stop=datetime.now().replace(hour=9,minute=44,second=0,microsecond=0)
self.current_date=None
self.current_time=None
self.ORH=None
self.ORL=None
self.buyorder=None
self.sellorder=None
self.buystoporder=None
self.sellstoporder=None
def next(self):
self.current_date=self.datetime.date(0)
self.current_time=self.datetime.time(0)
self.current_datetime=self.datetime.datetime(0)
#print(self.current_date)
#print(self.current_time)
if self.current_time==self.morning_start.time():
self.highlist=[]
self.lowlist=[]
self.buy_counter=0
self.buy_exit=0
if self.current_time>=self.secondcandle_start.time() and self.current_time<=self.secondcandle_stop.time():
self.highlist.append(self.datahigh[0])
self.lowlist.append(self.datalow[0])
self.ORH=max(self.highlist)
self.ORL=min(self.lowlist)
if not self.position:
self.buyorder=None
self.sellorder=None
print("Current DateTime:",self.current_datetime)
if self.current_time>self.secondcandle_stop.time() and self.current_time<=self.evening_end.time() and self.buy_counter==0:
self.order=self.buy(exectype=bt.Order.Stop,price=self.ORH,plimit=self.ORH+1,valid=0)
self.stoporder = self.sell(exectype=bt.Order.StopLimit, price=self.ORL, plimit=self.ORL - 1)
self.targetorder=self.sell(exectype=bt.Order.Limit,plimit=self.ORH+2*(self.ORH-self.ORL),oco=self.stoporder)
#print(self.order)
#print(self.stoporder)
#print(self.targetorder)
#self.buystoporder=self.sell(exectype=bt.Order.StopLimit,price=self.ORL,plimit=self.ORL-1)
self.buy_counter+=1
#self.sellorder=self.sell(exectype=bt.Order.StopLimit,price=self.ORL,plimit=self.ORL-1)
#self.sellstoporder=self.buy(exectype=bt.Order.StopLimit,price=self.ORH,plimit=self.ORH+1)
else:
if self.current_time==self.time_stop.time():
self.cancel(self.stoporder)
self.cancel(self.targetorder)
self.close()
self.log("BUY exit done:"+str(self.close()))
self.log("Updated balance:"+str(cerebro.broker.getvalue()))
def stop(self):
self.log("Done with processing")
if name=='main':
cerebro=bt.Cerebro()
commissions=CommInfo(
commission=0.001,
mult=25,
margin=95000
)
cerebro.broker.addcommissioninfo(commissions)
cerebro.addstrategy(FirstStrategy)
datapath="D:/Trading/Backtesting_Course/testdata/banknifty2018_1min.csv"
data=bt.feeds.GenericCSVData(
dataname=datapath,
fromdate=dt.datetime(2011, 1, 1),
todate=dt.datetime(2019, 1, 1),
datetime=0,
timeframe=bt.TimeFrame.Minutes,
compression=1,
dtformat=('%Y-%m-%d %H:%M:%S'),
open=1,
high=2,
low=3,
close=4,
volume=None,
openinterest=None,
reverse=False,
header=0
)
cerebro.adddata(data)
# cerebro.adddata(data2)
cerebro.addsizer(bt.sizers.FixedSize, stake=1)
#cerebro.broker.setcommission(commission=0.001)
cerebro.broker.set_cash(1000000.00)
print("Starting portfolio value:" + str(cerebro.broker.getvalue()))
cerebro.run()
print("Final portfolio value:" + str(cerebro.broker.getvalue()))