@backtrader said in Please help to understand cash changes:

Which obviously has no times 10 (i.e.: the multiplier in the above calculation).

In the first post, I put the code

comm_rb = CommInfoFutures(commission=1e-4, margin=0.09, mult=10.0)

I use 0.9 because 0.9 = 0.09 * 10.

@backtrader said in Please help to understand cash changes:

Cash remaining in your account after you enter the market: 20000000.00 - 2615 * 0.9 = 19997646.50
Closing price: 2609
Cash to be added to your account at the end of the day: (2615 - 2609) * 10 = 60.00
Cash at the end of the day: 19997646.50 + 60.00 = 19997706.50.

The margin cost at the end of day should be based on close price 2609 instead of the price when entering the market 2615, so cash at the end of day should be 20000000.00 - 2609 * 0.9 + 60, instead of 20000000.00 - 2615 * 0.9 + 60.

About the value. My understanding is some money could move between margin cost and cash in the account, but the total account value should not be affected by margin cost. I think the account value at the end of day should be 20000000.00 + 60, instead of 20000000.00 + (2609 - 2615) * 0.9 + 60.

Sorry if the calculations confused you. I don't think more code helps since the problem and reasoning are very simple. More code just bring more confuse.

@backtrader said in Please help to understand cash changes:

I would go into the market and buy 1-future of whatever and see how things work. Real life experience does really mean something.

Yes I did.

@run-out
Cool! Exactly what I want. Thank you so much.

@vladisld Thank you!

@vladisld Thank you!

Hi,

I'm trying to run an optimization for a strategy. As I learned, I can do something like cerebro.optstrategy(MyStrategy, param1=param1_val_list, param2=param2_val_list, param3=param3_val_list).

However, I don't want to run over every value on the value grid, but just a manually picked subsets. In this way the parameters are grouped like this:
param_groups = [(param1_val, param2_val, param3_val), (param1_val, param2_val, param3_val), (param1_val, param2_val, param3_val), ...], so the value grid is irregular. Can someone suggest how to pass this list to the optimization engine? Thank you!

I have the same issue. Looks like data extending does not work with cerebro.resampledata(). You can duplicate with the following code and data. @sirbradflies @backtrader

import datetime
import numpy as np
import pandas as pd
import backtrader as bt


class PandasDataExt(bt.feeds.PandasData):
    lines = ('dtstamp',)
    params=(
        ('datetime', None),
        ('open', 'open'),
        ('high', 'high'),
        ('low', 'low'),
        ('close', 'close'),
        ('volume', 'volume'),
        ('openinterest', None),
        ('dtstamp', 'dtstamp'),
    )
setattr(bt.metabase, PandasDataExt.__name__, PandasDataExt)

class MyStrategy(bt.Strategy):
    def next(self):
        print(self.data.datetime.datetime(0), self.data0.dtstamp[0], self.data1.dtstamp[0])


if __name__ == '__main__':
    cerebro = bt.Cerebro()
    cerebro.addstrategy(MyStrategy)

    df = pd.read_csv("~/Workspace/data.csv", index_col=0)
    df.index = pd.DatetimeIndex(df.index)
    df['dtstamp'] = df.index.astype(np.int64) // 10**9
    my_data = PandasDataExt(dataname=df, name='MyData', timeframe=bt.TimeFrame.Minutes)
    cerebro.adddata(my_data, name='MyData')
    resampled_data = PandasDataExt(dataname=df, name='ResampledData', timeframe=bt.TimeFrame.Minutes)
    cerebro.resampledata(resampled_data, name='ResampledData', timeframe=bt.TimeFrame.Minutes, compression=5)
    cerebro.run()

datetime,open,high,low,close,volume
2020-02-02 17:00:00,8982.75,9024.0,8975.0,9013.5,2480
2020-02-02 17:01:00,9011.75,9024.75,9011.75,9017.75,875
2020-02-02 17:02:00,9018.75,9032.75,9018.0,9031.0,802
2020-02-02 17:03:00,9030.5,9032.0,9021.25,9029.0,493
2020-02-02 17:04:00,9029.0,9032.25,9024.0,9024.0,454
2020-02-02 17:05:00,9024.0,9024.25,9017.5,9021.75,419
2020-02-02 17:06:00,9021.5,9027.5,9018.75,9027.25,360
2020-02-02 17:07:00,9027.5,9032.5,9027.25,9028.0,316
2020-02-02 17:08:00,9028.75,9029.0,9016.5,9017.0,467
2020-02-02 17:09:00,9017.0,9017.75,9009.75,9012.0,431
2020-02-02 17:10:00,9011.25,9012.5,9008.0,9008.0,198
2020-02-02 17:11:00,9008.75,9008.75,8999.0,8999.5,617
2020-02-02 17:12:00,8999.0,9017.0,8998.0,9012.5,764
2020-02-02 17:13:00,9012.75,9018.25,9011.5,9018.0,296
2020-02-02 17:14:00,9017.25,9023.25,9014.75,9022.75,369
2020-02-02 17:15:00,9022.75,9024.5,9016.25,9021.5,352
2020-02-02 17:16:00,9021.5,9028.0,9015.0,9023.5,388
2020-02-02 17:17:00,9023.0,9025.75,9021.25,9023.75,121
2020-02-02 17:18:00,9024.5,9026.25,9018.25,9020.25,196
2020-02-02 17:19:00,9021.5,9021.5,9017.75,9020.75,105
2020-02-02 17:20:00,9020.25,9023.5,9020.25,9023.0,167
2020-02-02 17:21:00,9022.25,9028.0,9022.25,9024.75,246
2020-02-02 17:22:00,9025.5,9031.0,9021.25,9022.5,381
2020-02-02 17:23:00,9023.0,9023.25,9018.0,9018.5,180
2020-02-02 17:24:00,9019.0,9029.75,9019.0,9028.0,296
2020-02-02 17:25:00,9027.25,9031.25,9023.5,9024.5,444
2020-02-02 17:26:00,9024.5,9028.5,9021.75,9028.5,198
2020-02-02 17:27:00,9028.75,9031.25,9026.0,9030.25,358
2020-02-02 17:28:00,9030.0,9030.25,9027.0,9027.25,190
2020-02-02 17:29:00,9026.75,9030.25,9024.5,9025.5,276
2020-02-02 17:30:00,9026.0,9028.5,9022.75,9027.5,245
2020-02-02 17:31:00,9028.25,9031.25,9028.25,9030.75,160
2020-02-02 17:32:00,9031.25,9038.25,9030.25,9030.5,682
2020-02-02 17:33:00,9030.5,9031.25,9029.25,9029.5,132
2020-02-02 17:34:00,9029.75,9030.25,9023.75,9025.25,312
2020-02-02 17:35:00,9025.5,9029.25,9021.0,9026.0,262
2020-02-02 17:36:00,9026.0,9027.5,9020.75,9021.5,177
2020-02-02 17:37:00,9022.0,9026.75,9021.75,9025.75,165
2020-02-02 17:38:00,9026.0,9029.25,9026.0,9029.0,181
2020-02-02 17:39:00,9029.25,9031.5,9028.25,9030.5,123
2020-02-02 17:40:00,9031.0,9034.75,9027.25,9028.5,291
2020-02-02 17:41:00,9028.5,9031.5,9026.0,9027.0,182
2020-02-02 17:42:00,9028.0,9030.5,9028.0,9029.5,95
2020-02-02 17:43:00,9029.75,9030.25,9026.25,9027.75,113
2020-02-02 17:44:00,9028.0,9031.75,9027.25,9030.0,137
2020-02-02 17:45:00,9030.25,9031.75,9021.5,9025.5,297
2020-02-02 17:46:00,9024.75,9024.75,9016.0,9022.25,535
2020-02-02 17:47:00,9022.0,9026.0,9018.0,9019.75,318
2020-02-02 17:48:00,9019.75,9023.5,9018.0,9020.0,246
2020-02-02 17:49:00,9020.5,9021.0,9017.25,9018.75,165
2020-02-02 17:50:00,9018.25,9019.25,9012.75,9014.5,334
2020-02-02 17:51:00,9014.0,9018.0,9013.0,9013.25,200
2020-02-02 17:52:00,9013.5,9016.5,9013.25,9015.25,145
2020-02-02 17:53:00,9014.75,9015.0,9011.5,9011.75,131
2020-02-02 17:54:00,9011.75,9014.25,9010.5,9013.0,183
2020-02-02 17:55:00,9013.0,9016.25,9012.0,9015.0,247
2020-02-02 17:56:00,9014.75,9018.75,9014.25,9017.75,248
2020-02-02 17:57:00,9017.5,9020.25,9017.25,9019.25,161
2020-02-02 17:58:00,9019.75,9020.75,9017.5,9018.75,97
2020-02-02 17:59:00,9018.25,9020.75,9017.25,9020.75,127
2020-02-02 18:00:00,9020.0,9020.0,9017.75,9018.0,148
2020-02-02 18:01:00,9018.25,9019.0,9011.25,9016.25,323
2020-02-02 18:02:00,9016.0,9020.25,9016.0,9018.75,177
2020-02-02 18:03:00,9018.75,9024.25,9017.5,9017.5,357
2020-02-02 18:04:00,9017.5,9021.75,9016.0,9020.25,212
2020-02-02 18:05:00,9020.5,9025.0,9020.5,9023.25,228
2020-02-02 18:06:00,9023.25,9024.25,9019.5,9023.0,233
2020-02-02 18:07:00,9023.0,9023.0,9019.0,9020.0,206
2020-02-02 18:08:00,9020.75,9023.25,9020.75,9022.5,139
2020-02-02 18:09:00,9022.0,9023.75,9020.75,9023.25,100
2020-02-02 18:10:00,9023.25,9027.75,9022.25,9024.0,441
2020-02-02 18:11:00,9023.75,9032.25,9023.75,9031.25,440
2020-02-02 18:12:00,9031.5,9035.0,9030.5,9030.75,613
2020-02-02 18:13:00,9031.0,9034.0,9029.0,9031.0,261
2020-02-02 18:14:00,9031.0,9031.75,9027.25,9028.0,244
2020-02-02 18:15:00,9028.25,9028.5,9025.5,9025.75,156
2020-02-02 18:16:00,9026.0,9026.0,9021.0,9024.0,317
2020-02-02 18:17:00,9024.5,9026.25,9022.0,9022.5,147
2020-02-02 18:18:00,9022.25,9024.0,9020.25,9023.0,244
2020-02-02 18:19:00,9022.5,9025.0,9021.25,9025.0,157
2020-02-02 18:20:00,9024.5,9026.0,9023.5,9025.75,139
2020-02-02 18:21:00,9026.0,9028.0,9025.75,9027.75,123
2020-02-02 18:22:00,9027.75,9029.25,9025.75,9026.5,161
2020-02-02 18:23:00,9026.5,9028.0,9025.75,9026.75,77
2020-02-02 18:24:00,9026.75,9029.25,9026.75,9028.25,91
2020-02-02 18:25:00,9028.25,9031.0,9028.0,9028.5,172
2020-02-02 18:26:00,9028.25,9028.5,9027.5,9027.5,48
2020-02-02 18:27:00,9028.0,9029.0,9027.0,9029.0,80
2020-02-02 18:28:00,9028.75,9029.5,9027.5,9028.25,47
2020-02-02 18:29:00,9028.5,9029.75,9028.5,9028.5,77
2020-02-02 18:30:00,9028.5,9029.0,9027.0,9027.75,62
2020-02-02 18:31:00,9027.75,9031.25,9026.25,9030.5,140
2020-02-02 18:32:00,9030.5,9032.75,9030.25,9032.5,129
2020-02-02 18:33:00,9032.5,9032.75,9031.5,9032.75,76
2020-02-02 18:34:00,9032.75,9034.0,9032.0,9033.75,130
2020-02-02 18:35:00,9033.5,9040.0,9033.5,9040.0,495
2020-02-02 18:36:00,9039.5,9044.25,9039.5,9040.75,581
2020-02-02 18:37:00,9041.0,9048.5,9040.75,9047.5,507
2020-02-02 18:38:00,9047.5,9055.25,9047.5,9053.25,908
2020-02-02 18:39:00,9053.5,9053.5,9049.0,9050.0,362
2020-02-02 18:40:00,9049.75,9051.25,9046.25,9048.0,278
2020-02-02 18:41:00,9048.25,9048.25,9042.25,9044.25,341
2020-02-02 18:42:00,9043.75,9046.5,9043.25,9044.75,108
2020-02-02 18:43:00,9044.25,9047.75,9044.25,9045.5,161
2020-02-02 18:44:00,9046.0,9053.75,9045.75,9051.75,394
2020-02-02 18:45:00,9051.5,9058.0,9051.5,9057.25,481
2020-02-02 18:46:00,9057.75,9065.5,9057.25,9063.75,596
2020-02-02 18:47:00,9063.5,9063.5,9054.25,9057.25,371
2020-02-02 18:48:00,9057.5,9058.0,9053.5,9055.25,264
2020-02-02 18:49:00,9056.0,9056.0,9050.0,9050.25,216
2020-02-02 18:50:00,9050.25,9051.75,9047.25,9049.75,375
2020-02-02 18:51:00,9049.25,9050.5,9045.75,9049.25,256
2020-02-02 18:52:00,9049.5,9051.5,9048.0,9049.0,177
2020-02-02 18:53:00,9049.25,9049.75,9046.5,9047.0,262
2020-02-02 18:54:00,9047.25,9049.75,9046.75,9048.75,157
2020-02-02 18:55:00,9049.0,9051.5,9046.25,9050.75,358
2020-02-02 18:56:00,9050.75,9053.5,9046.75,9046.75,219
2020-02-02 18:57:00,9046.5,9049.25,9046.25,9048.0,188
2020-02-02 18:58:00,9047.75,9048.0,9046.0,9048.0,79
2020-02-02 18:59:00,9048.0,9049.0,9045.0,9045.0,146
2020-02-02 19:00:00,9044.75,9045.75,9028.5,9040.5,940
2020-02-02 19:01:00,9040.25,9043.0,9036.5,9039.25,662
2020-02-02 19:02:00,9039.25,9044.25,9037.0,9043.75,301
2020-02-02 19:03:00,9043.75,9044.0,9040.75,9040.75,266
2020-02-02 19:04:00,9041.0,9041.25,9028.5,9033.75,729
2020-02-02 19:05:00,9033.75,9037.0,9028.0,9036.75,765
2020-02-02 19:06:00,9037.0,9037.5,9034.0,9036.75,312
2020-02-02 19:07:00,9037.25,9047.75,9035.0,9043.5,612
2020-02-02 19:08:00,9043.0,9051.5,9041.0,9045.75,560
2020-02-02 19:09:00,9045.75,9053.75,9045.25,9049.0,437
2020-02-02 19:10:00,9049.25,9056.0,9047.5,9053.25,444
2020-02-02 19:11:00,9053.75,9058.25,9052.75,9054.0,386
2020-02-02 19:12:00,9054.5,9057.75,9054.0,9055.0,319
2020-02-02 19:13:00,9054.0,9054.0,9048.5,9050.5,399
2020-02-02 19:14:00,9050.5,9053.0,9047.5,9048.25,337
2020-02-02 19:15:00,9048.5,9051.75,9046.0,9050.5,356
2020-02-02 19:16:00,9050.0,9050.25,9043.0,9045.0,399
2020-02-02 19:17:00,9045.0,9045.0,9040.75,9042.5,294
2020-02-02 19:18:00,9042.75,9050.0,9042.0,9047.75,310
2020-02-02 19:19:00,9047.5,9047.5,9043.25,9044.75,173
2020-02-02 19:20:00,9044.75,9049.25,9043.0,9049.25,146
2020-02-02 19:21:00,9048.5,9050.0,9044.0,9046.25,244
2020-02-02 19:22:00,9045.5,9047.25,9041.25,9041.5,200
2020-02-02 19:23:00,9041.25,9041.25,9034.0,9037.0,367
2020-02-02 19:24:00,9037.25,9038.25,9034.75,9037.75,305
2020-02-02 19:25:00,9037.5,9045.5,9035.25,9043.75,295
2020-02-02 19:26:00,9043.5,9044.25,9040.0,9041.75,149
2020-02-02 19:27:00,9041.5,9043.0,9034.25,9036.75,315
2020-02-02 19:28:00,9036.5,9040.0,9034.25,9035.25,245
2020-02-02 19:29:00,9035.0,9045.0,9033.0,9043.75,384
2020-02-02 19:30:00,9043.75,9048.5,9037.75,9043.5,466
2020-02-02 19:31:00,9043.75,9056.25,9042.75,9055.75,462
2020-02-02 19:32:00,9056.0,9058.75,9051.0,9056.5,542
2020-02-02 19:33:00,9056.25,9069.75,9055.5,9068.25,969
2020-02-02 19:34:00,9067.75,9068.75,9061.5,9063.0,650
2020-02-02 19:35:00,9063.0,9066.0,9061.0,9062.75,403
2020-02-02 19:36:00,9062.5,9067.75,9061.75,9062.75,280
2020-02-02 19:37:00,9062.5,9076.5,9059.75,9073.5,1012
2020-02-02 19:38:00,9073.75,9075.0,9068.5,9069.0,547
2020-02-02 19:39:00,9069.25,9071.25,9063.75,9068.75,589
2020-02-02 19:40:00,9068.25,9070.75,9065.75,9069.5,204
2020-02-02 19:41:00,9069.5,9073.0,9069.25,9072.0,306
2020-02-02 19:42:00,9072.75,9074.75,9069.25,9073.5,285
2020-02-02 19:43:00,9073.5,9073.5,9067.0,9067.25,341
2020-02-02 19:44:00,9067.25,9068.25,9063.75,9064.5,355
2020-02-02 19:45:00,9064.25,9072.25,9064.0,9065.75,315
2020-02-02 19:46:00,9065.25,9066.75,9061.5,9065.0,252
2020-02-02 19:47:00,9065.0,9066.25,9059.75,9059.75,355
2020-02-02 19:48:00,9059.75,9064.0,9059.5,9061.25,374
2020-02-02 19:49:00,9060.75,9068.25,9059.75,9064.5,293
2020-02-02 19:50:00,9065.25,9068.5,9064.25,9067.25,260
2020-02-02 19:51:00,9067.0,9070.5,9065.0,9069.75,205
2020-02-02 19:52:00,9070.0,9073.0,9069.0,9072.5,246
2020-02-02 19:53:00,9072.0,9075.25,9068.5,9070.5,382
2020-02-02 19:54:00,9071.25,9072.5,9068.5,9071.0,180
2020-02-02 19:55:00,9070.75,9071.0,9065.75,9066.5,231
2020-02-02 19:56:00,9066.75,9074.75,9066.5,9074.0,308
2020-02-02 19:57:00,9074.25,9074.5,9069.75,9071.0,215
2020-02-02 19:58:00,9071.25,9074.5,9069.0,9072.0,212
2020-02-02 19:59:00,9072.25,9079.5,9072.25,9077.5,593
2020-02-02 20:00:00,9077.5,9087.0,9073.5,9086.5,1824
2020-02-02 20:01:00,9086.75,9092.25,9082.5,9082.5,1141
2020-02-02 20:02:00,9082.75,9086.25,9080.25,9082.25,750
2020-02-02 20:03:00,9082.5,9083.5,9077.0,9077.25,364
2020-02-02 20:04:00,9077.0,9079.25,9076.0,9078.0,304
2020-02-02 20:05:00,9078.25,9078.75,9074.25,9074.75,233
2020-02-02 20:06:00,9074.75,9077.25,9072.0,9072.5,405
2020-02-02 20:07:00,9072.25,9073.5,9069.0,9069.25,394
2020-02-02 20:08:00,9069.25,9073.0,9066.75,9067.25,413
2020-02-02 20:09:00,9066.75,9072.25,9066.75,9071.25,191
2020-02-02 20:10:00,9071.5,9072.25,9070.0,9070.25,141
2020-02-02 20:11:00,9069.75,9070.0,9064.0,9070.0,595
2020-02-02 20:12:00,9069.75,9069.75,9065.25,9065.25,268
2020-02-02 20:13:00,9065.75,9067.5,9064.25,9065.75,241
2020-02-02 20:14:00,9065.75,9065.75,9061.5,9062.0,353
2020-02-02 20:15:00,9062.25,9066.75,9060.0,9066.75,708
2020-02-02 20:16:00,9066.25,9066.75,9062.5,9064.5,235
2020-02-02 20:17:00,9065.0,9071.5,9065.0,9070.75,270
2020-02-02 20:18:00,9071.25,9071.25,9067.75,9070.0,180
2020-02-02 20:19:00,9069.75,9072.0,9068.75,9069.5,177
2020-02-02 20:20:00,9069.25,9071.25,9067.0,9071.0,159
2020-02-02 20:21:00,9071.0,9073.5,9069.75,9072.0,208
2020-02-02 20:22:00,9072.5,9076.25,9071.0,9074.75,248
2020-02-02 20:23:00,9074.25,9075.0,9071.5,9072.25,103
2020-02-02 20:24:00,9072.5,9073.0,9066.75,9067.25,190
2020-02-02 20:25:00,9067.0,9070.25,9065.25,9066.0,163
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2020-02-02 23:03:00,9077.25,9077.75,9075.5,9075.5,149
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2020-02-02 23:39:00,9085.25,9085.25,9081.75,9083.75,144
2020-02-02 23:40:00,9084.0,9085.0,9080.5,9082.0,140
2020-02-02 23:41:00,9081.75,9082.25,9080.25,9081.75,86
2020-02-02 23:42:00,9082.0,9082.0,9079.5,9080.25,146
2020-02-02 23:43:00,9080.25,9080.75,9077.75,9079.5,181
2020-02-02 23:44:00,9079.75,9081.25,9078.75,9080.5,164
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2020-02-02 23:47:00,9079.25,9079.25,9076.0,9076.75,297
2020-02-02 23:48:00,9076.25,9076.5,9074.5,9075.0,340
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2020-02-02 23:57:00,9079.5,9082.25,9079.25,9082.0,191
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2020-02-02 23:59:00,9081.0,9081.5,9080.75,9081.25,57

How can I disable plotting input data and only plot observers and analyzers? I tried this but it doesn't work. Thanks.

data = PandasData(dataname=data_df, name=ticker, timeframe=bt.TimeFrame.Days)
data.plotinfo.plot = False
cerebro.adddata(data, name=ticker)

@backtrader said in How to get the next trading day's date?:

That won't give you the next trading day. It only peeks into data (when preloaded) in the future, which is of course cheating and not portable to non-preloaded data. Be your own guest.

Not peeking into data. Peeking into calendar on data.

@run-out
Cool! Exactly what I want. Thank you so much.

I mean "the next trading day" according to the data line, which is a line of daily bars. For example, suppose 4/30/2018 is a trading-halt day and no data on that day, and then 4/27 should be the end of month, but calendar module thinks 4/30 is.

Another use case is there may be data point missing on a particular day, say 4/30/2018, and then I want to use 4/27 as the end of month.

It would be too much work to add every holiday or data-missing days to the calendar. So the goal is to get dates from data lines, whatever they are. Does there exist something like self.datetime can do that? Thanks.

Hi,

My strategy is supposed to deduct monthly broker fee at the end of month. I think it could be done by comparing next trading day's month number with today, but what's the proper way to get the next trading day's date? Or, is there a convenient way to determine month end or year end? Thanks.

@vbs Have you stopped developing backtrader_plotting? The interactive plots are very nice and helpful. Can you please fix the plotmaster issue? Thanks!

@backtrader said in Please help to understand cash changes:

Which obviously has no times 10 (i.e.: the multiplier in the above calculation).

In the first post, I put the code

comm_rb = CommInfoFutures(commission=1e-4, margin=0.09, mult=10.0)

I use 0.9 because 0.9 = 0.09 * 10.

@backtrader said in Please help to understand cash changes:

Cash remaining in your account after you enter the market: 20000000.00 - 2615 * 0.9 = 19997646.50
Closing price: 2609
Cash to be added to your account at the end of the day: (2615 - 2609) * 10 = 60.00
Cash at the end of the day: 19997646.50 + 60.00 = 19997706.50.

The margin cost at the end of day should be based on close price 2609 instead of the price when entering the market 2615, so cash at the end of day should be 20000000.00 - 2609 * 0.9 + 60, instead of 20000000.00 - 2615 * 0.9 + 60.

About the value. My understanding is some money could move between margin cost and cash in the account, but the total account value should not be affected by margin cost. I think the account value at the end of day should be 20000000.00 + 60, instead of 20000000.00 + (2609 - 2615) * 0.9 + 60.

Sorry if the calculations confused you. I don't think more code helps since the problem and reasoning are very simple. More code just bring more confuse.

@backtrader said in Please help to understand cash changes:

I would go into the market and buy 1-future of whatever and see how things work. Real life experience does really mean something.

Yes I did.