I noticed that accepted orders and executed orders differ in time for more than 6 hours.
Could you please tell me what can be wrong with my example?
Backtrader version is the latest, installed yesterday.
Datasample is 2006-min-005.txt downloaded from here
from __future__ import (absolute_import, division, print_function, )
# unicode_literals)
import argparse
import datetime
import backtrader as bt
import backtrader.feeds as btfeeds
import pytz
mytimezone = pytz.timezone('US/Eastern')
mytimezone2 = pytz.timezone('Europe/Kiev')
class St(bt.Strategy):
def __init__(self):
self.curdate = datetime.date.min
self.last_order_status_name = 'None'
self.last_position_size = 0
self.elapsed = 0
self.order = None
def notify_order(self, order):
curdtstr = self.data.datetime.datetime().strftime('%a %Y-%m-%d %H:%M:%S')
if order.status in [order.Completed] or True:
if order.isbuy():
if order.executed.dt is not None:
dtstr = bt.num2date(order.executed.dt).strftime('%a %Y-%m-%d %H:%M:%S')
print('{}: BUY EXECUTED, on: {}, dt {}'.format(curdtstr, dtstr, order.executed.dt))
self.order = None
else:
dtstr = bt.num2date(order.created.dt).strftime('%a %Y-%m-%d %H:%M:%S')
print('{}: BUY {}, on: {}, dt {}'.format(curdtstr, order.getstatusname(), dtstr, order.created.dt))
else:
if order.executed.dt is not None: # Sell
dtstr = bt.num2date(order.executed.dt).strftime('%a %Y-%m-%d %H:%M:%S')
print('{}: SELL EXECUTED, on: {}, dt {}'.format(curdtstr, dtstr, order.executed.dt))
def next(self):
curdate = self.data.datetime.datetime()
if self.curdate == datetime.date.min:
self.curdate = curdate
return
if curdate.weekday() != 0:
self.elapsed = 0
return
is_order_or_position_changed = self.last_position_size != self.position.size
if not is_order_or_position_changed and self.order:
is_order_or_position_changed = self.order.getstatusname() != self.last_order_status_name
dtstr = self.data.datetime.datetime().strftime('%a %Y-%m-%d %H:%M:%S')
difference: datetime = curdate - self.curdate
seconds = difference.total_seconds()
hours = seconds // 3600
minutes = (seconds % 3600) // 60
seconds = seconds % 60
# if curdate > self.curdate:
# self.elapsed += 1
# self.curdate = curdate
if minutes:
self.elapsed += minutes
order_status = 'None'
if self.order:
order_status = self.order.getstatusname()
if is_order_or_position_changed:
print('{}: elapsedh: {:.2f}, current hour: {}, self.order.status {}, position {}'.format(dtstr,
self.elapsed / 60,
curdate.hour,
order_status,
self.position.size))
dtstr = self.data.datetime.datetime().strftime('%a %Y-%m-%d %H:%M:%S')
if self.position.size > 0 and self.order is None and int(self.elapsed / 60) > 6:
print('%s: SELL CREATED' % dtstr)
self.close(exectype=bt.Order.Close)
self.elapsed = 0
elif self.order is None and curdate.hour < 12 and self.position.size == 0: # no pending order
print('%s: BUY CREATED' % dtstr)
self.order = self.buy(exectype=bt.Order.Close)
self.elapsed = 0
self.curdate = curdate
self.last_position_size = self.position.size
if self.order:
self.last_order_status_name = self.order.getstatusname()
else:
self.last_order_status_name = 'None'
def runstrat():
args = parse_args()
cerebro = bt.Cerebro()
data = getdata(args)
cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=30)
cerebro.addstrategy(St)
if args.eosbar:
cerebro.broker.seteosbar(True)
cerebro.run()
cerebro.plot(style='candlestick', volume=False)
def getdata(args):
dataformat = dict(
bt=btfeeds.BacktraderCSVData,
visualchart=btfeeds.VChartCSVData,
sierrachart=btfeeds.SierraChartCSVData,
yahoo=btfeeds.YahooFinanceCSVData,
yahoo_unreversed=btfeeds.YahooFinanceCSVData,
tz=mytimezone
)
dfkwargs = dict()
if args.csvformat == 'yahoo_unreversed':
dfkwargs['reverse'] = True
if args.fromdate:
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
dfkwargs['fromdate'] = fromdate
if args.todate:
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
dfkwargs['todate'] = todate
if args.tend is not None:
# internally only the "time" part is used
dfkwargs['sessionend'] = datetime.datetime.strptime(args.tend, '%H:%M')
dfkwargs['dataname'] = args.infile
dfcls = dataformat[args.csvformat]
data = dfcls(**dfkwargs)
return data
def parse_args():
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description='Sample for Close Orders with daily data')
parser.add_argument('--infile', '-i', required=False,
default='2006-min-005.txt',
help='File to be read in')
parser.add_argument('--csvformat', '-c', required=False, default='bt',
choices=['bt', 'visualchart', 'sierrachart',
'yahoo', 'yahoo_unreversed'],
help='CSV Format')
parser.add_argument('--fromdate', '-f', required=False, default=None,
help='Starting date in YYYY-MM-DD format')
parser.add_argument('--todate', '-t', required=False, default=None,
help='Ending date in YYYY-MM-DD format')
parser.add_argument('--eosbar', required=False, action='store_true',
help=('Consider a bar with the end of session time to'
'be the end of the session'))
parser.add_argument('--tend', '-te',
default=None, required=False,
help='End time for the Session Filter (HH:MM)')
return parser.parse_args()
if __name__ == '__main__':
runstrat()
App output:
Mon 2006-01-02 10:00:00: BUY CREATED
Mon 2006-01-02 10:30:00: BUY Submitted, on: Mon 2006-01-02 10:00:00, dt 732313.4166666666
Mon 2006-01-02 10:30:00: BUY Accepted, on: Mon 2006-01-02 10:00:00, dt 732313.4166666666
Mon 2006-01-02 10:30:00: elapsedh: 0.50, current hour: 10, self.order.status Accepted, position 0
Tue 2006-01-03 09:30:00: BUY EXECUTED, on: Mon 2006-01-02 17:30:00, dt 732313.7291666666
Mon 2006-01-09 09:30:00: elapsedh: 0.00, current hour: 9, self.order.status None, position 1
Mon 2006-01-09 16:30:00: SELL CREATED
Tue 2006-01-10 09:30:00: SELL EXECUTED, on: Mon 2006-01-09 17:30:00, dt 732320.7291666666
Mon 2006-01-16 09:30:00: elapsedh: 0.00, current hour: 9, self.order.status None, position 0
Mon 2006-01-16 09:30:00: BUY CREATED
Mon 2006-01-16 10:00:00: BUY Submitted, on: Mon 2006-01-16 09:30:00, dt 732327.3958333334
Mon 2006-01-16 10:00:00: BUY Accepted, on: Mon 2006-01-16 09:30:00, dt 732327.3958333334
Mon 2006-01-16 10:00:00: elapsedh: 0.50, current hour: 10, self.order.status Accepted, position 0
Tue 2006-01-17 09:30:00: BUY EXECUTED, on: Mon 2006-01-16 17:30:00, dt 732327.7291666666
Mon 2006-01-23 09:30:00: elapsedh: 0.00, current hour: 9, self.order.status None, position 1
Mon 2006-01-23 16:30:00: SELL CREATED
Tue 2006-01-24 09:30:00: SELL EXECUTED, on: Mon 2006-01-23 17:30:00, dt 732334.7291666666
Mon 2006-01-30 09:30:00: elapsedh: 0.00, current hour: 9, self.order.status None, position 0
Mon 2006-01-30 09:30:00: BUY CREATED
Mon 2006-01-30 10:00:00: BUY Submitted, on: Mon 2006-01-30 09:30:00, dt 732341.3958333334
Mon 2006-01-30 10:00:00: BUY Accepted, on: Mon 2006-01-30 09:30:00, dt 732341.3958333334
Mon 2006-01-30 10:00:00: elapsedh: 0.50, current hour: 10, self.order.status Accepted, position 0
