I wanted to see if there is a way to have trade entry and exit (whether stop loss or take profit) processed on the same bar.

Hypothetical situation:

• I am using bracket BUY order with stop entry at 300, take profit at 400 and stop loss at 250
• previous bar closed at 280
• next bar has OHLC as following (280, 410, 240, 320)

Despite the fact that in realtime trading, clearly after entry order was executed, either stop or take profit would be hit in same bar (which one depends on whether high comes first or low comes first after entry) - when I am backtesting in backtrader, I get only entry order executed on this bar.

I am assuming that reason for that is that broker "doesn't know" whether High came firs tor Low. Is there a way to set a broker in a way that it makes an assumption (e.g. TradingView Pine Script assumes that price goes first to the end that is "closer" to the open - e.g. if high - open < open - low, it will go to high)? Is there such broker emulator in backtrader?

If not - is there a way to simulate that myself ? What would be the best way to go about it?

Thank you for help in advance!

yeah I am reading up on quicknotify, cheat-on-open and replaydata to see if I can get closer to desired behavior.

Will circle back here if I figure out a way to simulate intrabar behavior in a similar fashion to PineScript broker emulator.

Appreciate everyone's input, thank you.

Sure - it will be an assumption on how price moved within a bar - but over longer period of time it should roughly net out (sometimes assumption will be correct, sometimes it will be incorrect in your favor, sometimes it will be incorrect against you).

But I strongly believe that it would imitate actual real-time performance of the algorithm much better - than it does in current format. Especially when your entry, stop loss and take profit are triggered immediately when level was "touched" / "breached" not based on closing prices.

For this particular purpose - I really like the way TradingView PineScript handles it (one of very few things I like more about TV PineScript vs BackTrader - overally think that BT is much more powerful tool). TradingView PineScript broker emulator assumes how price was moving within a bar based on relation of OHLC prices - to be precise:

• IF high - open < open - low THEN assumption is that price moved open -> high -> low -> close
• IF high - open > open - low THEN assumption is that price moved open -> low-> high -> close

That allows you to have both entry order (whether it is entry using limit or stop market order type) and stop / take profit order conditional on entry (whether it is entry using limit or stop market order type) executed on the same bar.

Thank you both for responses. Let me read on quicknotify and cheat-on-open - hopefully these can solve the issue.

Moving to lower timeframe is not exactly great solution imho. For first 0 you still could get rapid price movement within the entry bar - and then execution of stop / take-profit will have inaccurate price if executed on next bar.

Additionally - if I were to simulate the behavior of higher timeframe - I would have to "rewrite" all the indicators I am using to account for difference in timeframe I am solving for and data I am using (e.g. 20 period MA on hourly data is not the same as 80 period MA on 15 minute data)

Hmmm.... Well issue here is that if I use bracket order - the stop / take profit placement is delayed to the next bar (where in reality these orders may have been hit on the same bar - e.g. I use hourly data - my entry order hits in minute 5 of the hour and my stop would hit in minute 20 of the hour).

If I use "regular" orders - then stop order / take profit order could be hit first before the entry order (which is also not close to reality because those orders would be placed only after entry order was executed)

I agree that I can track if entry order was executed - but in order to simulate "real" behavior, I would have to use market order so that it is executed on the same bar (which is also not accurate - because my stop or take profit may have been issued at different price)

So my question is whether there is a way to simulate it in similar way to TradingView pine script - where you can have both an entry order and then "conditional orders" (stop orders or tp orders that are placed only after entry has been completed) executed at the same bar. In TV this will happen even if you don't put "process_orders_on_close=True". It's because of how broker emulator works (it assumes how price was moving with a bar and if this assumption says that entry was first hit and then stop was hit - both will be executed in the same exact bar).

I wanted to see if there is a way to have trade entry and exit (whether stop loss or take profit) processed on the same bar.

Hypothetical situation:

• I am using bracket BUY order with stop entry at 300, take profit at 400 and stop loss at 250
• previous bar closed at 280
• next bar has OHLC as following (280, 410, 240, 320)

Despite the fact that in realtime trading, clearly after entry order was executed, either stop or take profit would be hit in same bar (which one depends on whether high comes first or low comes first after entry) - when I am backtesting in backtrader, I get only entry order executed on this bar.

I am assuming that reason for that is that broker "doesn't know" whether High came firs tor Low. Is there a way to set a broker in a way that it makes an assumption (e.g. TradingView Pine Script assumes that price goes first to the end that is "closer" to the open - e.g. if high - open < open - low, it will go to high)? Is there such broker emulator in backtrader?

If not - is there a way to simulate that myself ? What would be the best way to go about it?

Thank you for help in advance!

Hi All,

relatively new to Backtrader, still learning the ropes, I wanted to ask if there is an easy way to "loop over date periods" of data in optstrategy in Backtrader. What do I mean by that is:

-I have say 12 months of hourly data
-I would like for optstrategy to run 12 times - once for each month - and read analyzer output for each of those 12 separate months
-The issue is that "fromdate" and "todate" are arguments of datafeed that is added to cerebro - so even if I add them also to optstrategy as arguments - I am not sure if there is a way to pass them on to datafeed in every optstrategy iteration in a way that data feed is restricted only to these dates (in fact ideally I would be passing just fromdate and period duration and todate would be calculatd based on these two)

I probably could figure out a way for my analyzer to somehow "reset" every month and log results but I feel like this actually would be much harder in my case (there are few complications - including the fact that if I want to get results for full month of February , I in fact have to additionally include extra 100 hours of data upfront (last 100 hours of January) if I am using indicators with 100 eriod length) .

So I was wondering if there is easier way to do that - by passing fromdate and todate to optstrategy (or fromdate and period length to optstrategy) and then having optstrategy loop over multiple periods of time within the data

Thank you in advance for any help!

Best,
Piotr