Navigation

    Backtrader Community

    • Register
    • Login
    • Search
    • Categories
    • Recent
    • Tags
    • Popular
    • Users
    • Groups
    • Search
    1. Home
    2. Reo Inoue
    For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/
    • Profile
    • Following 0
    • Followers 0
    • Topics 3
    • Posts 10
    • Best 1
    • Groups 0

    Reo Inoue

    @Reo Inoue

    1
    Reputation
    478
    Profile views
    10
    Posts
    0
    Followers
    0
    Following
    Joined Last Online

    Reo Inoue Unfollow Follow

    Best posts made by Reo Inoue

    • How to do short selling

      Dear all
      I want to do short selling. I search a documents to do short selling, but I can`t find it. Could you tell me how to do?

      posted in General Code/Help
      Reo Inoue
      Reo Inoue

    Latest posts made by Reo Inoue

    • How to do short selling

      Dear all
      I want to do short selling. I search a documents to do short selling, but I can`t find it. Could you tell me how to do?

      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • RE: How to buy maximum stakes?

      @ab_trader @backtrader
      Thank you for your advises. I try to use BarReplayer_Open , but I can not understand how to use it.
      So I use cerebro.broker.set_coc(True), and I can get hopeful output. I put code and output in following.
      ・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
      
      import backtrader.analyzers as btanalyzers
      
      import math
      import pandas as pd
      import talib
      import numpy as np
      
      
      PARAMS = (
      	('maperiod', 15), #moving average period
      	('period', 15), #
      	('willperiod', 14), #moving average period
      	('sizer', None),
      )
      
      class TestStrategy(bt.Strategy):
      	params = PARAMS
      	def log(self, txt, dt=None):
      		''' Logging function fot this strategy'''
      		dt = dt or self.datas[0].datetime.date(0)
      		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.order = self.order_target_percent(target=0.1)
      		self.buyprice = None
      		self.buycomm = None
      		self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)
      
      	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
      
      		# Check if an order has been completed
      		# Attention: broker could reject order if not enougth cash
      		if order.status in [order.Completed, order.Canceled, order.Margin]:
      			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)
      
      		# 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
      		# Check if an order is pending ... if yes, we cannot send a 2nd one
      		if self.order:
      			return
      
      		# Check if we are in the market
      		if not self.position:
      			# Not yet ... we MIGHT BUY if ...
      			if self.dataclose[0] > self.sma[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()
      		else:
      
      			if self.dataclose[0] < self.sma[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()
      
      class LongOnly(bt.Sizer):
      	params = (('stake', 1),)
      	def _getsizing(self, comminfo, cash, data, isbuy):
      		if isbuy:
      			divide = math.floor(cash/data.close[0])
      #			divide = math.floor(cash/data.open[1])
      			self.p.stake = divide
      #			print(self.p.stake)
      #			print(math.floor(cash/data.close[0]))
      
      			return self.p.stake
      		# Sell situation
      		position = self.broker.getposition(data)
      		if not position.size:
      			return 0 # do not sell if nothing is open
      		return self.p.stake
      
      if __name__ == '__main__':
      	cerebro = bt.Cerebro()
      	# Add a strategy
      	cerebro.addstrategy(TestStrategy)
      	# Add Sizer
      	cerebro.addsizer(LongOnly)
      
      #	cerebro.broker.set_coc(True)
      
      	# because it could have been called from anywhere
      	modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
      	datapath = os.path.join('datas/orcl-1995-2014.txt')
      
      	# Create a Data Feed
      	data = bt.feeds.YahooFinanceCSVData(
      		dataname=datapath,
      		# Do not pass values before this date
      		fromdate=datetime.datetime(2000, 1, 1),
      		# Do not pass values before this date
      		todate=datetime.datetime(2000, 12, 31),
      		# Do not pass values after this date
      		reverse=False)
      	
      	# Add the Data Feed to Cerebro
      	cerebro.adddata(data)
      	
      	# Set our desired cash start
      	cerebro.broker.setcash(100000.0)
      
      #	In order to buy on open you may want to
      #	bt.filters.BarReplayer_Open(data)
      	cerebro.broker.set_coc(True)
      	
      	# Set the commission
      	cerebro.broker.setcommission(commission=0.0)
      	
      	# Print out the starting conditions
      	print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
      	
      	# Run over everything
      	cerebro.run()
      	
      	# Print out the final result
      	print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
      	
      	# Plot the result
      	cerebro.plot()
      

      ・Output

      Starting Portfolio Value: 100000.00
      2000-01-25, BUY CREATE, 26.61
      2000-01-26, BUY EXECUTED, Price: 26.61, Cost: 99973.77, Comm 0.00
      2000-01-27, SELL CREATE, 24.43
      2000-01-28, SELL EXECUTED, Price: 24.43, Cost: 99973.77, Comm 0.00
      2000-01-28, OPERATION PROFIT, GROSS -8190.26, NET -8190.26
      2000-02-02, BUY CREATE, 25.61
      2000-02-03, BUY EXECUTED, Price: 25.61, Cost: 91786.24, Comm 0.00
      2000-02-18, SELL CREATE, 27.61
      2000-02-22, SELL EXECUTED, Price: 27.61, Cost: 91786.24, Comm 0.00
      2000-02-22, OPERATION PROFIT, GROSS 7168.00, NET 7168.00
      2000-02-22, BUY CREATE, 27.97
      2000-02-23, BUY EXECUTED, Price: 27.97, Cost: 98957.86, Comm 0.00
      2000-03-30, SELL CREATE, 36.98
      2000-03-31, SELL EXECUTED, Price: 36.98, Cost: 98957.86, Comm 0.00
      2000-03-31, OPERATION PROFIT, GROSS 31877.38, NET 31877.38
      2000-04-06, BUY CREATE, 38.75
      2000-04-07, BUY EXECUTED, Price: 38.75, Cost: 130820.00, Comm 0.00
      2000-04-11, SELL CREATE, 36.48
      2000-04-12, SELL EXECUTED, Price: 36.48, Cost: 130820.00, Comm 0.00
      2000-04-12, OPERATION PROFIT, GROSS -7663.52, NET -7663.52
      2000-04-18, BUY CREATE, 37.22
      2000-04-19, BUY EXECUTED, Price: 37.22, Cost: 123160.98, Comm 0.00
      2000-04-19, SELL CREATE, 35.16
      2000-04-20, SELL EXECUTED, Price: 35.16, Cost: 123160.98, Comm 0.00
      2000-04-20, OPERATION PROFIT, GROSS -6816.54, NET -6816.54
      2000-04-27, BUY CREATE, 36.45
      2000-04-28, BUY EXECUTED, Price: 36.45, Cost: 116348.40, Comm 0.00
      2000-05-04, SELL CREATE, 35.01
      2000-05-05, SELL EXECUTED, Price: 35.01, Cost: 116348.40, Comm 0.00
      2000-05-05, OPERATION PROFIT, GROSS -4596.48, NET -4596.48
      2000-05-05, BUY CREATE, 36.22
      2000-05-08, BUY EXECUTED, Price: 36.22, Cost: 111774.92, Comm 0.00
      2000-05-08, SELL CREATE, 34.10
      2000-05-09, SELL EXECUTED, Price: 34.10, Cost: 111774.92, Comm 0.00
      2000-05-09, OPERATION PROFIT, GROSS -6542.32, NET -6542.32
      2000-05-15, BUY CREATE, 36.31
      2000-05-16, BUY EXECUTED, Price: 36.31, Cost: 105226.38, Comm 0.00
      2000-05-18, SELL CREATE, 34.45
      2000-05-19, SELL EXECUTED, Price: 34.45, Cost: 105226.38, Comm 0.00
      2000-05-19, OPERATION PROFIT, GROSS -5390.28, NET -5390.28
      2000-05-30, BUY CREATE, 34.98
      2000-05-31, BUY EXECUTED, Price: 34.98, Cost: 99832.92, Comm 0.00
      2000-06-22, SELL CREATE, 38.43
      2000-06-23, SELL EXECUTED, Price: 38.43, Cost: 99832.92, Comm 0.00
      2000-06-23, OPERATION PROFIT, GROSS 9846.30, NET 9846.30
      2000-06-26, BUY CREATE, 38.99
      2000-06-27, BUY EXECUTED, Price: 38.99, Cost: 109678.87, Comm 0.00
      2000-06-27, SELL CREATE, 38.78
      2000-06-28, SELL EXECUTED, Price: 38.78, Cost: 109678.87, Comm 0.00
      2000-06-28, OPERATION PROFIT, GROSS -590.73, NET -590.73
      2000-06-28, BUY CREATE, 39.11
      2000-06-29, BUY EXECUTED, Price: 39.11, Cost: 109077.79, Comm 0.00
      2000-06-29, SELL CREATE, 38.13
      2000-06-30, SELL EXECUTED, Price: 38.13, Cost: 109077.79, Comm 0.00
      2000-06-30, OPERATION PROFIT, GROSS -2733.22, NET -2733.22
      2000-06-30, BUY CREATE, 39.64
      2000-07-03, BUY EXECUTED, Price: 39.64, Cost: 106354.12, Comm 0.00
      2000-07-03, SELL CREATE, 37.81
      2000-07-05, SELL EXECUTED, Price: 37.81, Cost: 106354.12, Comm 0.00
      2000-07-05, OPERATION PROFIT, GROSS -4909.89, NET -4909.89
      2000-07-20, BUY CREATE, 36.84
      2000-07-21, BUY EXECUTED, Price: 36.84, Cost: 101457.36, Comm 0.00
      2000-07-21, SELL CREATE, 35.57
      2000-07-24, SELL EXECUTED, Price: 35.57, Cost: 101457.36, Comm 0.00
      2000-07-24, OPERATION PROFIT, GROSS -3497.58, NET -3497.58
      2000-07-25, BUY CREATE, 35.83
      2000-07-26, BUY EXECUTED, Price: 35.83, Cost: 97959.22, Comm 0.00
      2000-07-27, SELL CREATE, 35.39
      2000-07-28, SELL EXECUTED, Price: 35.39, Cost: 97959.22, Comm 0.00
      2000-07-28, OPERATION PROFIT, GROSS -1202.96, NET -1202.96
      2000-07-31, BUY CREATE, 35.45
      2000-08-01, BUY EXECUTED, Price: 35.45, Cost: 96743.05, Comm 0.00
      2000-08-01, SELL CREATE, 34.48
      2000-08-02, SELL EXECUTED, Price: 34.48, Cost: 96743.05, Comm 0.00
      2000-08-02, OPERATION PROFIT, GROSS -2647.13, NET -2647.13
      2000-08-03, BUY CREATE, 36.51
      2000-08-04, BUY EXECUTED, Price: 36.51, Cost: 94086.27, Comm 0.00
      2000-09-08, SELL CREATE, 40.81
      2000-09-11, SELL EXECUTED, Price: 40.81, Cost: 94086.27, Comm 0.00
      2000-09-11, OPERATION PROFIT, GROSS 11081.10, NET 11081.10
      2000-09-28, BUY CREATE, 38.42
      2000-09-29, BUY EXECUTED, Price: 38.42, Cost: 105155.54, Comm 0.00
      2000-09-29, SELL CREATE, 37.13
      2000-10-02, SELL EXECUTED, Price: 37.13, Cost: 105155.54, Comm 0.00
      2000-10-02, OPERATION PROFIT, GROSS -3530.73, NET -3530.73
      2000-10-19, BUY CREATE, 34.30
      2000-10-20, BUY EXECUTED, Price: 34.30, Cost: 101630.90, Comm 0.00
      2000-10-30, SELL CREATE, 29.82
      2000-10-31, SELL EXECUTED, Price: 29.82, Cost: 101630.90, Comm 0.00
      2000-10-31, OPERATION PROFIT, GROSS -13274.24, NET -13274.24
      2000-11-17, BUY CREATE, 27.17
      2000-11-20, BUY EXECUTED, Price: 27.17, Cost: 88384.01, Comm 0.00
      2000-11-20, SELL CREATE, 23.34
      2000-11-21, SELL EXECUTED, Price: 23.34, Cost: 88384.01, Comm 0.00
      2000-11-21, OPERATION PROFIT, GROSS -12458.99, NET -12458.99
      2000-11-30, BUY CREATE, 24.99
      2000-12-01, BUY EXECUTED, Price: 24.99, Cost: 75919.62, Comm 0.00
      2000-12-14, SELL CREATE, 25.93
      2000-12-15, SELL EXECUTED, Price: 25.93, Cost: 75919.62, Comm 0.00
      2000-12-15, OPERATION PROFIT, GROSS 2855.72, NET 2855.72
      2000-12-15, BUY CREATE, 26.93
      2000-12-18, BUY EXECUTED, Price: 26.93, Cost: 78770.25, Comm 0.00
      2000-12-20, SELL CREATE, 26.88
      2000-12-21, SELL EXECUTED, Price: 26.88, Cost: 78770.25, Comm 0.00
      2000-12-21, OPERATION PROFIT, GROSS -146.25, NET -146.25
      2000-12-21, BUY CREATE, 27.82
      2000-12-22, BUY EXECUTED, Price: 27.82, Cost: 78619.32, Comm 0.00
      2000-12-29, SELL CREATE, 27.41
      Final Portfolio Value: 77478.72
      
      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • RE: How to buy maximum stakes?

      @backtrader
      The wrong points are ,BUY CREATED in succession. I put the range in following. I think BUY and SELL is created each other.

      2000-11-20, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-11-30, BUY CREATE, 24.99
      2000-12-01, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-01, BUY CREATE, 24.93
      2000-12-04, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-04, BUY CREATE, 26.58
      2000-12-05, BUY EXECUTED, Price: 27.76, Cost: 114149.12, Comm 0.00
      2000-12-14, SELL CREATE, 25.93
      
      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • RE: How to buy maximum stakes?

      I check the version, and it was old. So I reinstall backtrader==1.9.43.116 and I run my program in following. It is still strange output. Are there any problems?

      Starting Portfolio Value: 100000.00
      2000-01-25, BUY CREATE, 26.61
      2000-01-26, BUY EXECUTED, Price: 26.76, Cost: 99975.36, Comm 0.00
      2000-01-27, SELL CREATE, 24.43
      2000-01-28, SELL EXECUTED, Price: 24.28, Cost: 99975.36, Comm 0.00
      2000-01-28, OPERATION PROFIT, GROSS -9265.28, NET -9265.28
      2000-02-02, BUY CREATE, 25.61
      2000-02-03, BUY EXECUTED, Price: 26.11, Cost: 90732.25, Comm 0.00
      2000-02-18, SELL CREATE, 27.61
      2000-02-22, SELL EXECUTED, Price: 27.88, Cost: 90732.25, Comm 0.00
      2000-02-22, OPERATION PROFIT, GROSS 6150.75, NET 6150.75
      2000-02-22, BUY CREATE, 27.97
      2000-02-23, BUY EXECUTED, Price: 28.38, Cost: 96860.94, Comm 0.00
      2000-03-30, SELL CREATE, 36.98
      2000-03-31, SELL EXECUTED, Price: 37.81, Cost: 96860.94, Comm 0.00
      2000-03-31, OPERATION PROFIT, GROSS 32184.59, NET 32184.59
      2000-04-06, BUY CREATE, 38.75
      2000-04-07, BUY EXECUTED, Price: 39.46, Cost: 129034.20, Comm 0.00
      2000-04-11, SELL CREATE, 36.48
      2000-04-12, SELL EXECUTED, Price: 36.75, Cost: 129034.20, Comm 0.00
      2000-04-12, OPERATION PROFIT, GROSS -8861.70, NET -8861.70
      2000-04-18, BUY CREATE, 37.22
      2000-04-19, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-04-27, BUY CREATE, 36.45
      2000-04-28, BUY EXECUTED, Price: 37.01, Cost: 120171.47, Comm 0.00
      2000-05-04, SELL CREATE, 35.01
      2000-05-05, SELL EXECUTED, Price: 34.89, Cost: 120171.47, Comm 0.00
      2000-05-05, OPERATION PROFIT, GROSS -6883.64, NET -6883.64
      2000-05-05, BUY CREATE, 36.22
      2000-05-08, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-05-15, BUY CREATE, 36.31
      2000-05-16, BUY EXECUTED, Price: 36.60, Cost: 113313.60, Comm 0.00
      2000-05-18, SELL CREATE, 34.45
      2000-05-19, SELL EXECUTED, Price: 33.94, Cost: 113313.60, Comm 0.00
      2000-05-19, OPERATION PROFIT, GROSS -8235.36, NET -8235.36
      2000-05-30, BUY CREATE, 34.98
      2000-05-31, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-05-31, BUY CREATE, 33.89
      2000-06-01, BUY EXECUTED, Price: 34.86, Cost: 105068.04, Comm 0.00
      2000-06-22, SELL CREATE, 38.43
      2000-06-23, SELL EXECUTED, Price: 38.10, Cost: 105068.04, Comm 0.00
      2000-06-23, OPERATION PROFIT, GROSS 9765.36, NET 9765.36
      2000-06-26, BUY CREATE, 38.99
      2000-06-27, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-06-28, BUY CREATE, 39.11
      2000-06-29, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-06-30, BUY CREATE, 39.64
      2000-07-03, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-20, BUY CREATE, 36.84
      2000-07-21, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-25, BUY CREATE, 35.83
      2000-07-26, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-26, BUY CREATE, 36.19
      2000-07-27, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-31, BUY CREATE, 35.45
      2000-08-01, BUY EXECUTED, Price: 35.46, Cost: 114819.48, Comm 0.00
      2000-08-01, SELL CREATE, 34.48
      2000-08-02, SELL EXECUTED, Price: 34.42, Cost: 114819.48, Comm 0.00
      2000-08-02, OPERATION PROFIT, GROSS -3367.52, NET -3367.52
      2000-08-03, BUY CREATE, 36.51
      2000-08-04, BUY EXECUTED, Price: 36.93, Cost: 111454.74, Comm 0.00
      2000-09-08, SELL CREATE, 40.81
      2000-09-11, SELL EXECUTED, Price: 40.58, Cost: 111454.74, Comm 0.00
      2000-09-11, OPERATION PROFIT, GROSS 11015.70, NET 11015.70
      2000-09-28, BUY CREATE, 38.42
      2000-09-29, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-10-19, BUY CREATE, 34.30
      2000-10-20, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-10-20, BUY CREATE, 33.24
      2000-10-23, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-10-23, BUY CREATE, 32.12
      2000-10-24, BUY EXECUTED, Price: 33.01, Cost: 122500.11, Comm 0.00
      2000-10-30, SELL CREATE, 29.82
      2000-10-31, SELL EXECUTED, Price: 30.76, Cost: 122500.11, Comm 0.00
      2000-10-31, OPERATION PROFIT, GROSS -8349.75, NET -8349.75
      2000-11-17, BUY CREATE, 27.17
      2000-11-20, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-11-30, BUY CREATE, 24.99
      2000-12-01, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-01, BUY CREATE, 24.93
      2000-12-04, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-04, BUY CREATE, 26.58
      2000-12-05, BUY EXECUTED, Price: 27.76, Cost: 114149.12, Comm 0.00
      2000-12-14, SELL CREATE, 25.93
      2000-12-15, SELL EXECUTED, Price: 27.76, Cost: 114149.12, Comm 0.00
      2000-12-15, OPERATION PROFIT, GROSS 0.00, NET 0.00
      2000-12-15, BUY CREATE, 26.93
      2000-12-18, BUY EXECUTED, Price: 28.29, Cost: 114150.15, Comm 0.00
      2000-12-20, SELL CREATE, 26.88
      2000-12-21, SELL EXECUTED, Price: 26.23, Cost: 114150.15, Comm 0.00
      2000-12-21, OPERATION PROFIT, GROSS -8312.10, NET -8312.10
      2000-12-21, BUY CREATE, 27.82
      2000-12-22, BUY EXECUTED, Price: 28.65, Cost: 105833.10, Comm 0.00
      2000-12-29, SELL CREATE, 27.41
      Final Portfolio Value: 101260.49
      
      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • RE: How to buy maximum stakes?

      @ab_trader
      I refer to https://community.backtrader.com/topic/217/order_target_percent-calculation-problems

      reply, and I tried to use BarReplayer_Open. But i get the error following

      Traceback (most recent call last):
        File "test_backtrader_nikkei_WVF2_question.py", line 159, in <module>
          cerebro.run()
        File "C:\Users\reoinoue\AppData\Local\Programs\Python\Python35\lib\site-packages\backtrader\cerebro.py", line 810, in run
          runstrat = self.runstrategies(iterstrat)
        File "C:\Users\reoinoue\AppData\Local\Programs\Python\Python35\lib\site-packages\backtrader\cerebro.py", line 934, in runstrategies
          self._runnext(runstrats)
        File "C:\Users\reoinoue\AppData\Local\Programs\Python\Python35\lib\site-packages\backtrader\cerebro.py", line 1242, in _runnext
          self._brokernotify()
        File "C:\Users\reoinoue\AppData\Local\Programs\Python\Python35\lib\site-packages\backtrader\cerebro.py", line 996, in _brokernotify
          self._broker.next()
        File "C:\Users\reoinoue\AppData\Local\Programs\Python\Python35\lib\site-packages\backtrader\brokers\bbroker.py", line 863, in next
          self._try_exec(order)
        File "C:\Users\reoinoue\AppData\Local\Programs\Python\Python35\lib\site-packages\backtrader\brokers\bbroker.py", line 809, in _try_exec
          popen = data.tick_open or data.open[0]
        File "C:\Users\reoinoue\AppData\Local\Programs\Python\Python35\lib\site-packages\backtrader\lineseries.py", line 429, in __getattr__
          return getattr(self.lines, name)
      AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'tick_open'
      

      Also, i use the setting as divide = math.floor(cash/data.open[1])
      , but it do not work property, I get the following output.

      Starting Portfolio Value: 100000.00
      2000-01-25, BUY CREATE, 26.61
      2000-01-26, BUY EXECUTED, Price: 26.76, Cost: 99975.36, Comm 0.00
      2000-01-27, SELL CREATE, 24.43
      2000-01-28, SELL EXECUTED, Price: 24.28, Cost: 99975.36, Comm 0.00
      2000-01-28, OPERATION PROFIT, GROSS -9265.28, NET -9265.28
      2000-02-02, BUY CREATE, 25.61
      2000-02-03, BUY EXECUTED, Price: 26.11, Cost: 90732.25, Comm 0.00
      2000-02-18, SELL CREATE, 27.61
      2000-02-22, SELL EXECUTED, Price: 27.88, Cost: 90732.25, Comm 0.00
      2000-02-22, OPERATION PROFIT, GROSS 6150.75, NET 6150.75
      2000-02-22, BUY CREATE, 27.97
      2000-02-23, BUY EXECUTED, Price: 28.38, Cost: 96860.94, Comm 0.00
      2000-03-30, SELL CREATE, 36.98
      2000-03-31, SELL EXECUTED, Price: 37.81, Cost: 96860.94, Comm 0.00
      2000-03-31, OPERATION PROFIT, GROSS 32184.59, NET 32184.59
      2000-04-06, BUY CREATE, 38.75
      2000-04-07, BUY EXECUTED, Price: 39.46, Cost: 129034.20, Comm 0.00
      2000-04-11, SELL CREATE, 36.48
      2000-04-12, SELL EXECUTED, Price: 36.75, Cost: 129034.20, Comm 0.00
      2000-04-12, OPERATION PROFIT, GROSS -8861.70, NET -8861.70
      2000-04-18, BUY CREATE, 37.22
      2000-04-19, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-04-27, BUY CREATE, 36.45
      2000-04-28, BUY EXECUTED, Price: 37.01, Cost: 120171.47, Comm 0.00
      2000-05-04, SELL CREATE, 35.01
      2000-05-05, SELL EXECUTED, Price: 34.89, Cost: 120171.47, Comm 0.00
      2000-05-05, OPERATION PROFIT, GROSS -6883.64, NET -6883.64
      2000-05-05, BUY CREATE, 36.22
      2000-05-08, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-05-15, BUY CREATE, 36.31
      2000-05-16, BUY EXECUTED, Price: 36.60, Cost: 113313.60, Comm 0.00
      2000-05-18, SELL CREATE, 34.45
      2000-05-19, SELL EXECUTED, Price: 33.94, Cost: 113313.60, Comm 0.00
      2000-05-19, OPERATION PROFIT, GROSS -8235.36, NET -8235.36
      2000-05-30, BUY CREATE, 34.98
      2000-05-31, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-05-31, BUY CREATE, 33.89
      2000-06-01, BUY EXECUTED, Price: 34.86, Cost: 105068.04, Comm 0.00
      2000-06-22, SELL CREATE, 38.43
      2000-06-23, SELL EXECUTED, Price: 38.10, Cost: 105068.04, Comm 0.00
      2000-06-23, OPERATION PROFIT, GROSS 9765.36, NET 9765.36
      2000-06-26, BUY CREATE, 38.99
      2000-06-27, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-06-28, BUY CREATE, 39.11
      2000-06-29, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-06-30, BUY CREATE, 39.64
      2000-07-03, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-20, BUY CREATE, 36.84
      2000-07-21, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-25, BUY CREATE, 35.83
      2000-07-26, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-26, BUY CREATE, 36.19
      2000-07-27, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-07-31, BUY CREATE, 35.45
      2000-08-01, BUY EXECUTED, Price: 35.46, Cost: 114819.48, Comm 0.00
      2000-08-01, SELL CREATE, 34.48
      2000-08-02, SELL EXECUTED, Price: 34.42, Cost: 114819.48, Comm 0.00
      2000-08-02, OPERATION PROFIT, GROSS -3367.52, NET -3367.52
      2000-08-03, BUY CREATE, 36.51
      2000-08-04, BUY EXECUTED, Price: 36.93, Cost: 111454.74, Comm 0.00
      2000-09-08, SELL CREATE, 40.81
      2000-09-11, SELL EXECUTED, Price: 40.58, Cost: 111454.74, Comm 0.00
      2000-09-11, OPERATION PROFIT, GROSS 11015.70, NET 11015.70
      2000-09-28, BUY CREATE, 38.42
      2000-09-29, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-10-19, BUY CREATE, 34.30
      2000-10-20, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-10-20, BUY CREATE, 33.24
      2000-10-23, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-10-23, BUY CREATE, 32.12
      2000-10-24, BUY EXECUTED, Price: 33.01, Cost: 122500.11, Comm 0.00
      2000-10-30, SELL CREATE, 29.82
      2000-10-31, SELL EXECUTED, Price: 30.76, Cost: 122500.11, Comm 0.00
      2000-10-31, OPERATION PROFIT, GROSS -8349.75, NET -8349.75
      2000-11-17, BUY CREATE, 27.17
      2000-11-20, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-11-30, BUY CREATE, 24.99
      2000-12-01, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-01, BUY CREATE, 24.93
      2000-12-04, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-04, BUY CREATE, 26.58
      2000-12-05, BUY EXECUTED, Price: 27.76, Cost: 114149.12, Comm 0.00
      2000-12-14, SELL CREATE, 25.93
      2000-12-15, SELL EXECUTED, Price: 27.76, Cost: 114149.12, Comm 0.00
      2000-12-15, OPERATION PROFIT, GROSS 0.00, NET 0.00
      2000-12-15, BUY CREATE, 26.93
      2000-12-18, BUY EXECUTED, Price: 28.29, Cost: 114150.15, Comm 0.00
      2000-12-20, SELL CREATE, 26.88
      2000-12-21, SELL EXECUTED, Price: 26.23, Cost: 114150.15, Comm 0.00
      2000-12-21, OPERATION PROFIT, GROSS -8312.10, NET -8312.10
      2000-12-21, BUY CREATE, 27.82
      2000-12-22, BUY EXECUTED, Price: 28.65, Cost: 105833.10, Comm 0.00
      2000-12-29, SELL CREATE, 27.41
      Final Portfolio Value: 101260.49
      

      How to write my code? I am so sorry to understand what you say exactly.

      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • RE: How to buy maximum stakes?

      Thank you for your reply.
      I want to do that I decide to buy or sell based on close, and I order the maximum size based on next day open price.
      I refer to ab_trader link, and I understand BarReplayer_Open is based on only open price.
      So I refine the following code based on next open prices. And I have a question. How to get next open price in def _getsizing? Could you teach me?

      class LongOnly(bt.Sizer):
         params = (('stake', 1),)
         def _getsizing(self, comminfo, cash, data, isbuy):
         	if isbuy:
         		divide = math.floor(cash/data.close[0])
         		self.p.stake = divide
         		return self.p.stake
         	# Sell situation
         	position = self.broker.getposition(data)
         	if not position.size:
         		return 0  # do not sell if nothing is open
         	return self.p.stake
      
      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • RE: How to buy maximum stakes?

      I`m sorry to understand hugely difficul. I am not used to use these interface.
      I rewrite the code and output following.
      I have why are there miss print out?

      • Code
      class TestStrategy(bt.Strategy):
      	def log(self, txt, dt=None):
      		''' Logging function fot this strategy'''
      		dt = dt or self.datas[0].datetime.date(0)
      		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
      		self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)
      	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
      	* 
      	* list item
      		# Check if an order has been completed
      		# Attention: broker could reject order if not enougth cash
      		if order.status in [order.Completed, order.Canceled, order.Margin]:
      			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)
      
      		# 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
      		# Check if an order is pending ... if yes, we cannot send a 2nd one
      		if self.order:
      			return
      
      		# Check if we are in the market
      		if not self.position:
      			# Not yet ... we MIGHT BUY if ...
      			if self.dataclose[0] > self.sma[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()
      		else:
      
      			if self.dataclose[0] < self.sma[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()
      class LongOnly(bt.Sizer):
      	params = (('stake', 1),)
      	def _getsizing(self, comminfo, cash, data, isbuy):
      		if isbuy:
      			divide = math.floor(cash/data.close[0])
      			self.p.stake = divide
      			return self.p.stake
      	# Sell situation
      	position = self.broker.getposition(data)
      	if not position.size:
      		return 0 # do not sell if nothing is open
      	return self.p.stake
      
      if name == 'main':
      	cerebro = bt.Cerebro()
      	# Add a strategy
      	cerebro.addstrategy(TestStrategy)
      	# Add Sizer
      	cerebro.addsizer(LongOnly)
      	# because it could have been called from anywhere
      	modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
      	datapath = os.path.join('datas/orcl-1995-2014.txt')
      	
      	# Create a Data Feed
      	data = bt.feeds.YahooFinanceCSVData(
      		dataname=datapath,
      		# Do not pass values before this date
      		fromdate=datetime.datetime(2000, 1, 1),
      		# Do not pass values before this date
      		todate=datetime.datetime(2000, 12, 31),
      		# Do not pass values after this date
      		reverse=False)
      	
      	# Add the Data Feed to Cerebro
      	cerebro.adddata(data)
      	
      	# Set our desired cash start
      	cerebro.broker.setcash(1000.0)
      	
      	# Set the commission
      	cerebro.broker.setcommission(commission=0.0)
      	
      	# Print out the starting conditions
      	print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
      	
      	# Run over everything
      	cerebro.run()
      	
      	# Print out the final result
      	print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
      	
      	# Plot the result
      	cerebro.plot()
      
      • Output
      Starting Portfolio Value: 1000.00
      2000-01-25, BUY CREATE, 26.61
      2000-01-26, BUY EXECUTED, Price: 26.76, Cost: 990.12, Comm 0.00
      2000-01-27, SELL CREATE, 24.43
      2000-01-28, SELL EXECUTED, Price: 24.28, Cost: 990.12, Comm 0.00
      2000-01-28, OPERATION PROFIT, GROSS -91.76, NET -91.76
      2000-02-02, BUY CREATE, 25.61
      2000-02-03, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-02-03, BUY CREATE, 26.73
      2000-02-04, BUY EXECUTED, Price: 27.17, Cost: 896.61, Comm 0.00
      2000-02-18, SELL CREATE, 27.61
      2000-02-22, SELL EXECUTED, Price: 27.88, Cost: 896.61, Comm 0.00
      2000-02-22, OPERATION PROFIT, GROSS 23.43, NET 23.43
      2000-02-22, BUY CREATE, 27.97
      2000-02-23, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-02-23, BUY CREATE, 29.73
      2000-02-24, BUY EXECUTED, Price: 29.79, Cost: 923.49, Comm 0.00
      2000-03-30, SELL CREATE, 36.98
      2000-03-31, SELL EXECUTED, Price: 37.81, Cost: 923.49, Comm 0.00
      2000-03-31, OPERATION PROFIT, GROSS 248.62, NET 248.62
      2000-04-06, BUY CREATE, 38.75
      2000-04-07, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-04-07, BUY CREATE, 41.08
      2000-04-10, BUY EXECUTED, Price: 41.26, Cost: 1155.28, Comm 0.00
      2000-04-11, SELL CREATE, 36.48
      2000-04-12, SELL EXECUTED, Price: 36.75, Cost: 1155.28, Comm 0.00
      2000-04-12, OPERATION PROFIT, GROSS -126.28, NET -126.28
      2000-04-18, BUY CREATE, 37.22
      2000-04-19, BUY EXECUTED, Price: 37.07, Cost: 1037.96, Comm 0.00
      2000-04-19, SELL CREATE, 35.16
      2000-04-20, SELL EXECUTED, Price: 34.80, Cost: 1037.96, Comm 0.00
      2000-04-20, OPERATION PROFIT, GROSS -63.56, NET -63.56
      2000-04-27, BUY CREATE, 36.45
      2000-04-28, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-04-28, BUY CREATE, 37.69
      2000-05-01, BUY EXECUTED, Price: 37.66, Cost: 979.16, Comm 0.00
      2000-05-04, SELL CREATE, 35.01
      2000-05-05, SELL EXECUTED, Price: 34.89, Cost: 979.16, Comm 0.00
      2000-05-05, OPERATION PROFIT, GROSS -72.02, NET -72.02
      2000-05-05, BUY CREATE, 36.22
      2000-05-08, BUY EXECUTED, Price: 35.51, Cost: 887.75, Comm 0.00
      2000-05-08, SELL CREATE, 34.10
      2000-05-09, SELL EXECUTED, Price: 34.75, Cost: 887.75, Comm 0.00
      2000-05-09, OPERATION PROFIT, GROSS -19.00, NET -19.00
      2000-05-15, BUY CREATE, 36.31
      2000-05-16, BUY EXECUTED, Price: 36.60, Cost: 878.40, Comm 0.00
      2000-05-18, SELL CREATE, 34.45
      2000-05-19, SELL EXECUTED, Price: 33.94, Cost: 878.40, Comm 0.00
      2000-05-19, OPERATION PROFIT, GROSS -63.84, NET -63.84
      2000-05-30, BUY CREATE, 34.98
      2000-05-31, BUY EXECUTED, Price: 34.54, Cost: 794.42, Comm 0.00
      2000-06-22, SELL CREATE, 38.43
      2000-06-23, SELL EXECUTED, Price: 38.10, Cost: 794.42, Comm 0.00
      2000-06-23, OPERATION PROFIT, GROSS 81.88, NET 81.88
      2000-06-26, BUY CREATE, 38.99
      2000-06-27, BUY EXECUTED, Price: 38.84, Cost: 893.32, Comm 0.00
      2000-06-27, SELL CREATE, 38.78
      2000-06-28, SELL EXECUTED, Price: 38.70, Cost: 893.32, Comm 0.00
      2000-06-28, OPERATION PROFIT, GROSS -3.22, NET -3.22
      2000-06-28, BUY CREATE, 39.11
      2000-06-29, BUY EXECUTED, Price: 38.69, Cost: 889.87, Comm 0.00
      2000-06-29, SELL CREATE, 38.13
      2000-06-30, SELL EXECUTED, Price: 37.90, Cost: 889.87, Comm 0.00
      2000-06-30, OPERATION PROFIT, GROSS -18.17, NET -18.17
      2000-06-30, BUY CREATE, 39.64
      2000-07-03, BUY EXECUTED, Price: 38.25, Cost: 841.50, Comm 0.00
      2000-07-03, SELL CREATE, 37.81
      2000-07-05, SELL EXECUTED, Price: 36.22, Cost: 841.50, Comm 0.00
      2000-07-05, OPERATION PROFIT, GROSS -44.66, NET -44.66
      2000-07-20, BUY CREATE, 36.84
      2000-07-21, BUY EXECUTED, Price: 36.51, Cost: 839.73, Comm 0.00
      2000-07-21, SELL CREATE, 35.57
      2000-07-24, SELL EXECUTED, Price: 36.36, Cost: 839.73, Comm 0.00
      2000-07-24, OPERATION PROFIT, GROSS -3.45, NET -3.45
      2000-07-25, BUY CREATE, 35.83
      2000-07-26, BUY EXECUTED, Price: 35.28, Cost: 811.44, Comm 0.00
      2000-07-27, SELL CREATE, 35.39
      2000-07-28, SELL EXECUTED, Price: 35.42, Cost: 811.44, Comm 0.00
      2000-07-28, OPERATION PROFIT, GROSS 3.22, NET 3.22
      2000-07-31, BUY CREATE, 35.45
      2000-08-01, BUY EXECUTED, Price: 35.46, Cost: 851.04, Comm 0.00
      2000-08-01, SELL CREATE, 34.48
      2000-08-02, SELL EXECUTED, Price: 34.42, Cost: 851.04, Comm 0.00
      2000-08-02, OPERATION PROFIT, GROSS -24.96, NET -24.96
      2000-08-03, BUY CREATE, 36.51
      2000-08-04, BUY EXECUTED, Price: 36.93, Cost: 812.46, Comm 0.00
      2000-09-08, SELL CREATE, 40.81
      2000-09-11, SELL EXECUTED, Price: 40.58, Cost: 812.46, Comm 0.00
      2000-09-11, OPERATION PROFIT, GROSS 80.30, NET 80.30
      2000-09-28, BUY CREATE, 38.42
      2000-09-29, BUY EXECUTED, Price: 38.36, Cost: 882.28, Comm 0.00
      2000-09-29, SELL CREATE, 37.13
      2000-10-02, SELL EXECUTED, Price: 37.60, Cost: 882.28, Comm 0.00
      2000-10-02, OPERATION PROFIT, GROSS -17.48, NET -17.48
      2000-10-19, BUY CREATE, 34.30
      2000-10-20, BUY EXECUTED, Price: 34.06, Cost: 851.50, Comm 0.00
      2000-10-30, SELL CREATE, 29.82
      2000-10-31, SELL EXECUTED, Price: 30.76, Cost: 851.50, Comm 0.00
      2000-10-31, OPERATION PROFIT, GROSS -82.50, NET -82.50
      2000-11-17, BUY CREATE, 27.17
      2000-11-20, BUY EXECUTED, Price: 22.93, Cost: 664.97, Comm 0.00
      2000-11-20, SELL CREATE, 23.34
      2000-11-21, SELL EXECUTED, Price: 23.39, Cost: 664.97, Comm 0.00
      2000-11-21, OPERATION PROFIT, GROSS 13.34, NET 13.34
      2000-11-30, BUY CREATE, 24.99
      2000-12-01, BUY EXECUTED, Price: 24.87, Cost: 795.84, Comm 0.00
      2000-12-14, SELL CREATE, 25.93
      2000-12-15, SELL EXECUTED, Price: 27.76, Cost: 795.84, Comm 0.00
      2000-12-15, OPERATION PROFIT, GROSS 92.48, NET 92.48
      2000-12-15, BUY CREATE, 26.93
      2000-12-18, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-18, BUY CREATE, 30.18
      2000-12-19, BUY EXECUTED, Price: 30.00, Cost: 900.00, Comm 0.00
      2000-12-20, SELL CREATE, 26.88
      2000-12-21, SELL EXECUTED, Price: 26.23, Cost: 900.00, Comm 0.00
      2000-12-21, OPERATION PROFIT, GROSS -113.10, NET -113.10
      2000-12-21, BUY CREATE, 27.82
      2000-12-22, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-22, BUY CREATE, 30.06
      2000-12-26, BUY EXECUTED, Price: 29.70, Cost: 772.20, Comm 0.00
      2000-12-29, SELL CREATE, 27.41
      Final Portfolio Value: 739.73
      
      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • RE: How to buy maximum stakes?

      Thank you for your reply.
      I write the code following.

      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 math
      # Import the backtrader platform
      import backtrader as bt
      # Create a Stratey
      class TestStrategy(bt.Strategy):
      	params = (
      		('maperiod', 15), 
      		('period', 15), 
      	)
      
      	def log(self, txt, dt=None):
      		''' Logging function fot this strategy'''
      		dt = dt or self.datas[0].datetime.date(0)
      		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
      		self.sma = bt.indicators.SimpleMovingAverage(
      			self.datas[0], period=self.params.maperiod)
      
      	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
      
      		# Check if an order has been completed
      		# Attention: broker could reject order if not enougth cash
      		if order.status in [order.Completed, order.Canceled, order.Margin]:
      			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)
      
      		# 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
      		# Check if an order is pending ... if yes, we cannot send a 2nd one
      		if self.order:
      			return
      
      		# Check if we are in the market
      		if not self.position:
      			# Not yet ... we MIGHT BUY if ...
      			if self.dataclose[0] > self.sma[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()
      		else:
      
      			if self.dataclose[0] < self.sma[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()
      
      class LongOnly(bt.Sizer):
      	params = (('stake', 1),)
      	def _getsizing(self, comminfo, cash, data, isbuy):
      		if isbuy:
      			divide = math.floor(cash/data.close[0])
      			self.p.stake = divide
      			return self.p.stake
      		# Sell situation
      		position = self.broker.getposition(data)
      		if not position.size:
      			return 0  # do not sell if nothing is open
      		return self.p.stake
      
      if __name__ == '__main__':
      	cerebro = bt.Cerebro()
      	# Add a strategy
      	cerebro.addstrategy(TestStrategy)
      	# Add Sizer
      	cerebro.addsizer(LongOnly)
      	# because it could have been called from anywhere
      	modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
      	datapath = os.path.join('datas/orcl-1995-2014.txt')
      
      	# Create a Data Feed
      	data = bt.feeds.YahooFinanceCSVData(
      		dataname=datapath,
      		# Do not pass values before this date
      		fromdate=datetime.datetime(2000, 1, 1),
      		# Do not pass values before this date
      		todate=datetime.datetime(2000, 12, 31),
      		# Do not pass values after this date
      		reverse=False)
      
      	# Add the Data Feed to Cerebro
      	cerebro.adddata(data)
      
      	# Set our desired cash start
      	cerebro.broker.setcash(1000.0)
      
      	# Set the commission
      	cerebro.broker.setcommission(commission=0.0)
      
      	# Print out the starting conditions
      	print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
      
      	# Run over everything
      	cerebro.run()
      
      	# Print out the final result
      	print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
      
      	# Plot the result
      	cerebro.plot()
      

      And I get the output following. I think it is strange.
      For example, Date 2000-02-02 is make "BUY CREATE", but "BUY EXECUTED" shows "Price: 0.00, Cost: 0.00, Comm 0.00".
      So, why it can not make excuted an order? How to understand these outputs?

      Starting Portfolio Value: 1000.00
      2000-01-25, BUY CREATE, 26.61
      2000-01-26, BUY EXECUTED, Price: 26.76, Cost: 990.12, Comm 0.00
      2000-01-27, SELL CREATE, 24.43
      2000-01-28, SELL EXECUTED, Price: 24.28, Cost: 990.12, Comm 0.00
      2000-01-28, OPERATION PROFIT, GROSS -91.76, NET -91.76
      2000-02-02, BUY CREATE, 25.61
      2000-02-03, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-02-03, BUY CREATE, 26.73
      2000-02-04, BUY EXECUTED, Price: 27.17, Cost: 896.61, Comm 0.00
      2000-02-18, SELL CREATE, 27.61
      2000-02-22, SELL EXECUTED, Price: 27.88, Cost: 896.61, Comm 0.00
      2000-02-22, OPERATION PROFIT, GROSS 23.43, NET 23.43
      2000-02-22, BUY CREATE, 27.97
      2000-02-23, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-02-23, BUY CREATE, 29.73
      2000-02-24, BUY EXECUTED, Price: 29.79, Cost: 923.49, Comm 0.00
      2000-03-30, SELL CREATE, 36.98
      2000-03-31, SELL EXECUTED, Price: 37.81, Cost: 923.49, Comm 0.00
      2000-03-31, OPERATION PROFIT, GROSS 248.62, NET 248.62
      2000-04-06, BUY CREATE, 38.75
      2000-04-07, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-04-07, BUY CREATE, 41.08
      2000-04-10, BUY EXECUTED, Price: 41.26, Cost: 1155.28, Comm 0.00
      2000-04-11, SELL CREATE, 36.48
      2000-04-12, SELL EXECUTED, Price: 36.75, Cost: 1155.28, Comm 0.00
      2000-04-12, OPERATION PROFIT, GROSS -126.28, NET -126.28
      2000-04-18, BUY CREATE, 37.22
      2000-04-19, BUY EXECUTED, Price: 37.07, Cost: 1037.96, Comm 0.00
      2000-04-19, SELL CREATE, 35.16
      2000-04-20, SELL EXECUTED, Price: 34.80, Cost: 1037.96, Comm 0.00
      2000-04-20, OPERATION PROFIT, GROSS -63.56, NET -63.56
      2000-04-27, BUY CREATE, 36.45
      2000-04-28, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-04-28, BUY CREATE, 37.69
      2000-05-01, BUY EXECUTED, Price: 37.66, Cost: 979.16, Comm 0.00
      2000-05-04, SELL CREATE, 35.01
      2000-05-05, SELL EXECUTED, Price: 34.89, Cost: 979.16, Comm 0.00
      2000-05-05, OPERATION PROFIT, GROSS -72.02, NET -72.02
      2000-05-05, BUY CREATE, 36.22
      2000-05-08, BUY EXECUTED, Price: 35.51, Cost: 887.75, Comm 0.00
      2000-05-08, SELL CREATE, 34.10
      2000-05-09, SELL EXECUTED, Price: 34.75, Cost: 887.75, Comm 0.00
      2000-05-09, OPERATION PROFIT, GROSS -19.00, NET -19.00
      2000-05-15, BUY CREATE, 36.31
      2000-05-16, BUY EXECUTED, Price: 36.60, Cost: 878.40, Comm 0.00
      2000-05-18, SELL CREATE, 34.45
      2000-05-19, SELL EXECUTED, Price: 33.94, Cost: 878.40, Comm 0.00
      2000-05-19, OPERATION PROFIT, GROSS -63.84, NET -63.84
      2000-05-30, BUY CREATE, 34.98
      2000-05-31, BUY EXECUTED, Price: 34.54, Cost: 794.42, Comm 0.00
      2000-06-22, SELL CREATE, 38.43
      2000-06-23, SELL EXECUTED, Price: 38.10, Cost: 794.42, Comm 0.00
      2000-06-23, OPERATION PROFIT, GROSS 81.88, NET 81.88
      2000-06-26, BUY CREATE, 38.99
      2000-06-27, BUY EXECUTED, Price: 38.84, Cost: 893.32, Comm 0.00
      2000-06-27, SELL CREATE, 38.78
      2000-06-28, SELL EXECUTED, Price: 38.70, Cost: 893.32, Comm 0.00
      2000-06-28, OPERATION PROFIT, GROSS -3.22, NET -3.22
      2000-06-28, BUY CREATE, 39.11
      2000-06-29, BUY EXECUTED, Price: 38.69, Cost: 889.87, Comm 0.00
      2000-06-29, SELL CREATE, 38.13
      2000-06-30, SELL EXECUTED, Price: 37.90, Cost: 889.87, Comm 0.00
      2000-06-30, OPERATION PROFIT, GROSS -18.17, NET -18.17
      2000-06-30, BUY CREATE, 39.64
      2000-07-03, BUY EXECUTED, Price: 38.25, Cost: 841.50, Comm 0.00
      2000-07-03, SELL CREATE, 37.81
      2000-07-05, SELL EXECUTED, Price: 36.22, Cost: 841.50, Comm 0.00
      2000-07-05, OPERATION PROFIT, GROSS -44.66, NET -44.66
      2000-07-20, BUY CREATE, 36.84
      2000-07-21, BUY EXECUTED, Price: 36.51, Cost: 839.73, Comm 0.00
      2000-07-21, SELL CREATE, 35.57
      2000-07-24, SELL EXECUTED, Price: 36.36, Cost: 839.73, Comm 0.00
      2000-07-24, OPERATION PROFIT, GROSS -3.45, NET -3.45
      2000-07-25, BUY CREATE, 35.83
      2000-07-26, BUY EXECUTED, Price: 35.28, Cost: 811.44, Comm 0.00
      2000-07-27, SELL CREATE, 35.39
      2000-07-28, SELL EXECUTED, Price: 35.42, Cost: 811.44, Comm 0.00
      2000-07-28, OPERATION PROFIT, GROSS 3.22, NET 3.22
      2000-07-31, BUY CREATE, 35.45
      2000-08-01, BUY EXECUTED, Price: 35.46, Cost: 851.04, Comm 0.00
      2000-08-01, SELL CREATE, 34.48
      2000-08-02, SELL EXECUTED, Price: 34.42, Cost: 851.04, Comm 0.00
      2000-08-02, OPERATION PROFIT, GROSS -24.96, NET -24.96
      2000-08-03, BUY CREATE, 36.51
      2000-08-04, BUY EXECUTED, Price: 36.93, Cost: 812.46, Comm 0.00
      2000-09-08, SELL CREATE, 40.81
      2000-09-11, SELL EXECUTED, Price: 40.58, Cost: 812.46, Comm 0.00
      2000-09-11, OPERATION PROFIT, GROSS 80.30, NET 80.30
      2000-09-28, BUY CREATE, 38.42
      2000-09-29, BUY EXECUTED, Price: 38.36, Cost: 882.28, Comm 0.00
      2000-09-29, SELL CREATE, 37.13
      2000-10-02, SELL EXECUTED, Price: 37.60, Cost: 882.28, Comm 0.00
      2000-10-02, OPERATION PROFIT, GROSS -17.48, NET -17.48
      2000-10-19, BUY CREATE, 34.30
      2000-10-20, BUY EXECUTED, Price: 34.06, Cost: 851.50, Comm 0.00
      2000-10-30, SELL CREATE, 29.82
      2000-10-31, SELL EXECUTED, Price: 30.76, Cost: 851.50, Comm 0.00
      2000-10-31, OPERATION PROFIT, GROSS -82.50, NET -82.50
      2000-11-17, BUY CREATE, 27.17
      2000-11-20, BUY EXECUTED, Price: 22.93, Cost: 664.97, Comm 0.00
      2000-11-20, SELL CREATE, 23.34
      2000-11-21, SELL EXECUTED, Price: 23.39, Cost: 664.97, Comm 0.00
      2000-11-21, OPERATION PROFIT, GROSS 13.34, NET 13.34
      2000-11-30, BUY CREATE, 24.99
      2000-12-01, BUY EXECUTED, Price: 24.87, Cost: 795.84, Comm 0.00
      2000-12-14, SELL CREATE, 25.93
      2000-12-15, SELL EXECUTED, Price: 27.76, Cost: 795.84, Comm 0.00
      2000-12-15, OPERATION PROFIT, GROSS 92.48, NET 92.48
      2000-12-15, BUY CREATE, 26.93
      2000-12-18, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-18, BUY CREATE, 30.18
      2000-12-19, BUY EXECUTED, Price: 30.00, Cost: 900.00, Comm 0.00
      2000-12-20, SELL CREATE, 26.88
      2000-12-21, SELL EXECUTED, Price: 26.23, Cost: 900.00, Comm 0.00
      2000-12-21, OPERATION PROFIT, GROSS -113.10, NET -113.10
      2000-12-21, BUY CREATE, 27.82
      2000-12-22, BUY EXECUTED, Price: 0.00, Cost: 0.00, Comm 0.00
      2000-12-22, BUY CREATE, 30.06
      2000-12-26, BUY EXECUTED, Price: 29.70, Cost: 772.20, Comm 0.00
      2000-12-29, SELL CREATE, 27.41
      Final Portfolio Value: 739.73
      
      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • How to buy maximum stakes?

      Dear all
      I want to do buy max stakes what I can buy by my assets. I write codes following, but Sell and Buy are outpuy many times and it is strange. Are there any misses?

      class TestStake(bt.Sizer):
      	params = (('stake', 1),)
      
      	def _getsizing(self, comminfo, cash, data, isbuy):
      		if isbuy:
      			divide = math.floor(cash/data.close[0])
      			self.p.stake = divide
      			return self.p.stake
      
      		# Sell situation
      		position = self.broker.getposition(data)
      		if not position.size:
      			return 0  # do not sell if nothing is open
      
      		return self.p.stake
          ...
          ...
          ...
       	cerebro.addsizer(TestStake)
      
      posted in General Code/Help
      Reo Inoue
      Reo Inoue
    • Question: How to decide buy and sell order for once?

      Dear all
      I make the strategy to use RSI. I make easy example code to make sure the behavior follows.

      if self.RSI[0] < -80, I buy.
      if self.dataclose[0] > -20, I sell.
      And I check the command prompt, there are many sell order.
      2014-02-24, SELL CREATE, 14837.68
      2014-02-25, SELL EXECUTED, Price: 15002.51, Cost: 14803.64, Comm 0.00
      2014-03-06, SELL CREATE, 15134.75
      2014-03-07, SELL EXECUTED, Price: 15280.76, Cost: 14933.76, Comm 0.00
      ....
      

      I want to do buy and next time should be sell. How to do these?

      posted in General Code/Help
      Reo Inoue
      Reo Inoue