Hello @backtrader
My apologies if you thought that the code I posted was somehow irrelevant. However, I did follow your advice and reproduce my error in a short script.
Goal: Use the market order executed prices to determine a stop loss price
Issue: When referring the executed prices in the next method, the returned price is 0 for the first order and then the correct prices are produced. I am guessing due to the flow of execution for backtrader.
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 = 0
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
# Check if an order has been completed
# Attention: broker could reject order if not enough cash
if order.status in [order.Completed]:
if order.isbuy():
self.buyprice = order.executed.price
print('-----'*10)
self.log('Notified Executed price: {}'.format(round(self.buyprice,5)))
print('*****'*10)
self.order = None
def next(self):
# 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:
self.order = self.buy()
self.log('BUY executed, {}'.format(round(self.buyprice,5)))
else:
# Already in the market ... we might sell
# SELL, SELL, SELL!!! (with all possible default parameters)
# Keep track of the created order to avoid a 2nd order
self.order = self.sell()
This Produces the Following:
###RESULT
Starting Portfolio Value: 100000.00
2015-12-01, BUY executed, 0 #should be 1.06155
--------------------------------------------------
2015-12-02, Notified Executed price: 1.06155
**************************************************
2015-12-03, BUY executed, 1.06155
--------------------------------------------------
2015-12-06, Notified Executed price: 1.08765
**************************************************
2015-12-07, BUY executed, 1.08765
--------------------------------------------------
2015-12-08, Notified Executed price: 1.08927
**************************************************
If you could provide some direction as to how can I accomplish the goal of retrieving the correct executed prices in the next method so that I can perform some math operations and send in a stop loss order, will be greatly appreciated.