Hi,
I'm new to backtrader and I'm attempting to customize the sample strategy from the quickstart. I have a problem that my orders are being created, however, they are not being executed. If I put a debugger on the notify_order, it's only called twice. one for submitted and for accepted. Nothing else. Can you please assist. I'm working with 1m kline data.
Here's a sample of my data
Date,Open,High,Low,Close,Volume,Adjusted
2018-02-28 12:23:59.999,210.26,210.37,210.25,210.26,28.25449,210.26
2018-02-28 12:24:59.999,210.26,210.41,210.22,210.25,39.63167,210.25
2018-02-28 12:25:59.999,210.25,210.51,210.2,210.44,128.18018,210.44
2018-02-28 12:26:59.999,210.59,210.89,210.27,210.89,41.63106,210.89
2018-02-28 12:27:59.999,210.89,210.89,210.21,210.55,99.96582,210.55
2018-02-28 12:28:59.999,210.49,210.99,210.4,210.46,54.72677,210.46
2018-02-28 12:29:59.999,210.51,210.51,210.4,210.47,8.85311,210.47
2018-02-28 12:30:59.999,210.47,210.47,210.4,210.4,36.46703,210.4
2018-02-28 12:31:59.999,210.41,211.0,210.4,210.95,156.99139,210.95
2018-02-28 12:32:59.999,210.94,211.3,210.79,210.8,70.39553,210.8
2018-02-28 12:33:59.999,210.81,210.9,210.81,210.85,21.47947,210.85
2018-02-28 12:34:59.999,210.85,210.9,210.7,210.71,154.64939,210.71
2018-02-28 12:35:59.999,210.88,211.0,210.71,211.0,81.00914,211.0
2018-02-28 12:36:59.999,211.02,211.25,210.57,210.57,158.20673,210.57
2018-02-28 12:37:59.999,210.57,211.09,210.28,210.53,223.22261,210.53
This is the sample code.
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import datetime # For datetime objects
import os.path # To manage paths
import sys # To find out the script name (in argv[0])
# Import the backtrader platform
import backtrader as bt
# Create a Stratey
class TestStrategy(bt.Strategy):
params = (
('maperiod', 15),
)
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.time()
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
# To keep track of pending orders and buy price/commission
self.order = None
self.buyprice = None
self.buycomm = None
sma = bt.indicators.SMA(self.data, period=self.params.maperiod)
self.crossover = bt.indicators.CrossOver(self.data, sma)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
print(order.status)
# Check if an order has been completed
# Attention: broker could reject order if not enough cash
if order.status in [order.Complete]:
if order.isbuy():
self.log(
'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.bar_executed = len(self)
elif order.status in [order.Cancelled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
# Write down: no pending order
self.order = None
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def next(self):
# Simply log the closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])
# Not yet ... we MIGHT BUY if ...
if self.crossover > 0:
# BUY, BUY, BUY!!! (with all possible default parameters)
self.log('BUY CREATE, %.2f' % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.buy()
elif self.crossover < 0:
# SELL, SELL, SELL!!! (with all possible default parameters)
self.log('SELL CREATE, %.2f' % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.sell()
if __name__ == '__main__':
# Create a cerebro entity
cerebro = bt.Cerebro()
# Add a strategy
cerebro.optstrategy(TestStrategy)
# Datas are in a subfolder of the samples. Need to find where the script is
# because it could have been called from anywhere
modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
datapath = os.path.abspath('/home/ubuntu/git/bt/data/sample_data.txt')
# Create a Data Feed
data = bt.feeds.BacktraderCSVData(
dataname=datapath,
# Do not pass values before this date
sessionstart=datetime.datetime(2018, 2, 27, 12, 23, 59),
# Do not pass values before this date
sessionend=datetime.datetime(2018, 2, 28, 16, 35, 59),
# Do not pass values after this date
timeframe=bt.TimeFrame.Minutes,
compression=1,
reverse=False
)
# Add the Data Feed to Cerebro
cerebro.adddata(data)
# Set our desired cash start
cerebro.broker.setcash(100000.0)
cerebro.broker.set_checksubmit(False)
# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Run over everything
cerebro.run(optreturn=False)
# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Plot the result
cerebro.plot()
This is what my output looks like.
16:35:59, Close, 208.53
16:35:59, Close, 208.55
16:35:59, Close, 208.72
16:35:59, Close, 208.12
16:35:59, Close, 207.69
16:35:59, SELL CREATE, 207.69
16:35:59, Close, 208.10
16:35:59, Close, 208.20
16:35:59, BUY CREATE, 208.20
16:35:59, Close, 207.96
16:35:59, SELL CREATE, 207.96
16:35:59, Close, 207.55
16:35:59, Close, 207.77
16:35:59, Close, 208.13
16:35:59, Close, 208.60
16:35:59, BUY CREATE, 208.60
16:35:59, Close, 208.50
16:35:59, Close, 208.58
16:35:59, Close, 208.53
16:35:59, Close, 208.53
16:35:59, Close, 208.54
