Hello,
I there a way we can use the oandastore.getdata and access the datas[0], datas[1], etc for each asset? I want to make calculations for each asset in the next of the strategy.

Thank you.

Is it possible to access trade.ref inside next() in strategy? How?

Ok, thanks once again.

@backtrader

Thanks for the answer but I still did not get part of it.

So here is the issue:
Before I choose to put cerebro.broker.set_coc(True)the price for the Buy executed and Sell executed would always be from the bid from the execution time. (correct price for the sell order)

Once I set cerebro.broker.set_coc(True), the Buy executed and Sell executed would always be from the ask price from the created time (not from executed time).

Setting self.sell(data=self.datas[0], coc=False) would correct the problem for the sell order and the price used is now the bid from the execution time (correct price for sell order). However, for the buy order, the ask from the created time is the price used. My question is, if it is possible to use the ask price from the execution time for the buy order?

Thanks for your time in helping!

@backtrader

Thank you for the reply.

I changed the code and added: bt.TimeFrame.Ticks, compression, cerebro.broker.set_coc(True) and self.order = self.sell(data=self.datas[0], coc=False).

The code is here:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import argparse

import backtrader as bt
import backtrader.feeds as btfeeds
#import backtrader.indicators as btind
import random


class BidAskCSV(btfeeds.GenericCSVData):
    linesoverride = True  # discard usual OHLC structure
    # datetime must be present and last
    lines = ('bid', 'ask', 'close', 'open','low', 'high', 'datetime')
    # datetime (always 1st) and then the desired order for
    params = (
        # (datetime, 0), # inherited from parent class
        ('bid', 1),  # default field pos 1
        ('ask', 2),  # default field pos 2
        ('close', 2), ('open', 1), ('low', 1), ('high',2),
        ('timeframe', bt.TimeFrame.Ticks))
    
    def __init__(self):
        super(BidAskCSV, self).__init__()
    


class St(bt.Strategy):

    def log(self, txt, dt= None):
        """Logging function """
        dt= dt or self.datas[0].datetime[0]
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))


    def __init__(self):
        self.order = None
        self.dataclose= self.datas[0].close
        #self.dataclose = self.datas[0].close[0]
            
            
    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]:
           if order.isbuy():
               self.log(
                   'BUY EXECUTED, Price: %.4f, Cost: %.4f, bid: %.4f, ask: %.4f' %
                   (order.executed.price,
                    order.executed.value,
                    self.data.bid[0],
                    self.data.ask[0]))

               self.buyprice = order.executed.price
               
           else:  # Sell
               self.log('SELL EXECUTED, Price: %.4f, Cost: %.4f' %
                        (order.executed.price,
                         order.executed.value))

           self.bar_executed = len(self)
       elif order.status in [order.Canceled, order.Margin, order.Rejected]:
           self.log('Order Canceled/Margin/Rejected')

       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):
        dtstr = self.datas[0].datetime.datetime().isoformat()
        txt = '%4d: %s - Bid %.4f - %.4f Ask, CLOSE %.4f ' % (
            (len(self), dtstr, self.datas[0].bid[0], self.datas[0].ask[0],
             self.datas[0].close[0]))
        
        print (self.broker.getvalue())

        print(txt)
        
        position = self.getposition(data=self.datas[0])
        rand = random.random()
        print('-------------')
        print ('Random:', rand)
        print('-------------')          
        if rand < 0.2:
            if position:
                # SELL (with all possible default parameters)
                self.log('SELL CREATE '.format(self.data.bid[0]))

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell(data=self.datas[0], coc=False)
                print ('Bid', self.data.bid[0])
        elif rand > 0.5:
            if not position:
                # BUY (with all possible default parameters)
                self.log('BUY CREATE {}'.format(self.data.ask[0]))

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(data=self.datas[0])
                #self.log('Executed Price:{}'.format(self.order.executed.price))
                #print ('Executed Price:', self.order.executed.price)
                print ('ASK', self.data.ask[0])
                
def parse_args():
    parser = argparse.ArgumentParser(
        description='Bid/Ask Line Hierarchy',
        formatter_class=argparse.ArgumentDefaultsHelpFormatter,
    )

    parser.add_argument('--data', '-d', action='store',
                        required=False, default='bidask.csv',
                        help='data to add to the system')

    parser.add_argument('--dtformat', '-dt',
                        required=False, default='%m/%d/%Y %H:%M:%S',
                        help='Format of datetime in input')
    
    parser.add_argument('--compression', required=False, default=2, type=int,
                        help='How much to compress the bars')

    return parser.parse_args()


def runstrategy():
    args = parse_args()

    cerebro = bt.Cerebro()  # Create a cerebro
           
    data = BidAskCSV(dataname=args.data, dtformat=args.dtformat)
    cerebro.adddata(data)  # Add the 1st data to cerebro
    # Set our desired cash start
    cerebro.broker.setcash(100000.0)
    cerebro.broker.set_coc(True)
    
    cerebro.resampledata(data,
                         timeframe=bt.TimeFrame.Ticks,
                         compression = args.compression)
    
    # Add the strategy to cerebro
    cerebro.addstrategy(St)    
    
        # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=10)
    
    # 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())
  

if __name__ == '__main__':
    runstrategy()

For sell order it executes with the bid price from the SELL EXECUTED time but for the buy order it executes with the ask price from the BUY CREATE time and not with the ask price from the BUY EXECUTED time.

the output is here:

Starting Portfolio Value: 100000.00
100000.0
   2: 2010-02-03T16:53:51 - Bid 0.5343 - 0.5347 Ask, CLOSE 0.5347 
-------------
Random: 0.7585227506318774
-------------
2010-02-03T16:53:51, BUY CREATE 0.5347
ASK 0.5347
2010-02-03T16:53:52, BUY EXECUTED, Price: 0.5347, Cost: 5.3470, bid: 0.5543, ask: 0.5545
100000.198
   3: 2010-02-03T16:53:52 - Bid 0.5543 - 0.5545 Ask, CLOSE 0.5545 
-------------
Random: 0.7866456795035222
-------------
99999.997
   4: 2010-02-03T16:53:53 - Bid 0.5342 - 0.5344 Ask, CLOSE 0.5344 
-------------
Random: 0.5313830132332052
-------------
100000.11700000001
   5: 2010-02-03T16:53:54 - Bid 0.5245 - 0.5464 Ask, CLOSE 0.5464 
-------------
Random: 0.409841893004643
-------------
100000.123
   6: 2010-02-03T16:53:54 - Bid 0.5460 - 0.5470 Ask, CLOSE 0.5470 
-------------
Random: 0.009108455433875506
-------------
2010-02-03T16:53:54, SELL CREATE 
Bid 0.546
2010-02-03T16:53:56, SELL EXECUTED, Price: 0.5824, Cost: 5.3470
2010-02-03T16:53:56, OPERATION PROFIT, GROSS 0.48, NET 0.48
100000.477
   7: 2010-02-03T16:53:56 - Bid 0.5824 - 0.5826 Ask, CLOSE 0.5826 
-------------
Random: 0.4250130075545223
-------------
100000.477
   8: 2010-02-03T16:53:57 - Bid 0.5371 - 0.5374 Ask, CLOSE 0.5374 
-------------
Random: 0.9467974453210086
-------------
2010-02-03T16:53:57, BUY CREATE 0.5374
ASK 0.5374
2010-02-03T16:53:58, BUY EXECUTED, Price: 0.5374, Cost: 5.3740, bid: 0.5793, ask: 0.5794
100000.897
   9: 2010-02-03T16:53:58 - Bid 0.5793 - 0.5794 Ask, CLOSE 0.5794 
-------------
Random: 0.4769590069462516
-------------
100000.791
  10: 2010-02-03T16:53:59 - Bid 0.5684 - 0.5688 Ask, CLOSE 0.5688 
-------------
Random: 0.21570733606386583
-------------
Final Portfolio Value: 100000.79

How can I correct the ask price?

Another question, why is cost different than price? Is that the correct value?

(I am using the bidask.csv file from backtrader data)

@Nigel said in Execute on bid/ask:

BidAskCSV

Hello,

I am also using Bid/ask data. Wanted to do a test where I buy and sell like @Nigel did.
But it seems like the orders are not being executed because when I access the order.Exuecuted.price is always 0.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import argparse

import backtrader as bt
import backtrader.feeds as btfeeds
#import backtrader.indicators as btind
import random


class BidAskCSV(btfeeds.GenericCSVData):
    linesoverride = True  # discard usual OHLC structure
    # datetime must be present and last
    lines = ('bid', 'ask', 'close', 'open','low', 'high', 'datetime')
    # datetime (always 1st) and then the desired order for
    params = (
        # (datetime, 0), # inherited from parent class
        ('bid', 1),  # default field pos 1
        ('ask', 2),  # default field pos 2
        ('close', 2), ('open', 1), ('low', 1), ('high',2)
    )
    
    def __init__(self):
        super(BidAskCSV, self).__init__()

The strategy:

class St(bt.Strategy):

    def log(self, txt, dt= None):
        """Logging function """
        dt= dt or self.datas[0].datetime[0]
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))


    def __init__(self):
        self.order = None
        self.dataclose= self.datas[0].close
        #self.dataclose = self.datas[0].close[0]
            
            
    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]:
           if order.isbuy():
               self.log(
                   'BUY EXECUTED, Price: %.2f, Cost: %.2f' %
                   (order.executed.price,
                    order.executed.value))

               self.buyprice = order.executed.price
               
           else:  # Sell
               self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f' %
                        (order.executed.price,
                         order.executed.value))

           self.bar_executed = len(self)
       elif order.status in [order.Canceled, order.Margin, order.Rejected]:
           self.log('Order Canceled/Margin/Rejected')

       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):
        dtstr = self.datas[0].datetime.datetime().isoformat()
        txt = '%4d: %s - Bid %.4f - %.4f Ask, CLOSE %.4f ' % (
            (len(self), dtstr, self.datas[0].bid[0], self.datas[0].ask[0],
             self.datas[0].close[0]))

        print(txt)
        
        position = self.getposition(data=self.datas[0])
        rand = random.random()
        print('-------------')
        print ('Random:', rand)
        print('-------------')
        if rand < 0.2:
            if position:
                # SELL (with all possible default parameters)
                self.log('SELL CREATE '.format(self.data.bid[0]))

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell(data=self.datas[0])
                print ('Bid', self.data.bid[0])
        elif rand > 0.8:
            if not position:
                # BUY (with all possible default parameters)
                self.log('BUY CREATE {}'.format(self.data.ask[0]))

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(data=self.datas[0])
                self.log('Executed Price:{}'.format(self.order.executed.price))
                print ('Executed Price:', self.order.executed.price)
                print ('ASK', self.data.ask[0])
                

and finale code:

def parse_args():
    parser = argparse.ArgumentParser(
        description='Bid/Ask Line Hierarchy',
        formatter_class=argparse.ArgumentDefaultsHelpFormatter,
    )

    parser.add_argument('--data', '-d', action='store',
                        required=False, default='bidask.csv',
                        help='data to add to the system')

    parser.add_argument('--dtformat', '-dt',
                        required=False, default='%m/%d/%Y %H:%M:%S',
                        help='Format of datetime in input')

    return parser.parse_args()


def runstrategy():
    args = parse_args()

    cerebro = bt.Cerebro()  # Create a cerebro
       
    data = BidAskCSV(dataname=args.data, dtformat=args.dtformat)
    cerebro.adddata(data)  # Add the 1st data to cerebro
    # Set our desired cash start
    cerebro.broker.setcash(100000.0)
    
    # Add the strategy to cerebro
    cerebro.addstrategy(St)    
    
        # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=10)
    
    # 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())
  

if __name__ == '__main__':
    runstrategy()

This is what I get as output:

Starting Portfolio Value: 100000.00
   1: 2010-02-03T23:59:59.999989 - Bid 0.5346 - 0.5347 Ask, CLOSE 0.5347 
-------------
Random: 0.329840335116921
-------------
   2: 2010-02-03T23:59:59.999989 - Bid 0.5343 - 0.5347 Ask, CLOSE 0.5347 
-------------
Random: 0.680459956622627
-------------
   3: 2010-02-03T23:59:59.999989 - Bid 0.5543 - 0.5545 Ask, CLOSE 0.5545 
-------------
Random: 0.04838233726017549
-------------
   4: 2010-02-03T23:59:59.999989 - Bid 0.5342 - 0.5344 Ask, CLOSE 0.5344 
-------------
Random: 0.7977225266469058
-------------
   5: 2010-02-03T23:59:59.999989 - Bid 0.5245 - 0.5464 Ask, CLOSE 0.5464 
-------------
Random: 0.8661165246756014
-------------
2010-02-03T23:59:59.999989, BUY CREATE 0.5464
2010-02-03T23:59:59.999989, Executed Price:0.0
Executed Price: 0.0
ASK 0.5464
   6: 2010-02-03T23:59:59.999989 - Bid 0.5460 - 0.5470 Ask, CLOSE 0.5470 
-------------
Random: 0.7797905933237207
-------------
   7: 2010-02-03T23:59:59.999989 - Bid 0.5824 - 0.5826 Ask, CLOSE 0.5826 
-------------
Random: 0.585687043100518
-------------
   8: 2010-02-03T23:59:59.999989 - Bid 0.5371 - 0.5374 Ask, CLOSE 0.5374 
-------------
Random: 0.2171674683269379
-------------
   9: 2010-02-03T23:59:59.999989 - Bid 0.5793 - 0.5794 Ask, CLOSE 0.5794 
-------------
Random: 0.6576887524911412
-------------
  10: 2010-02-03T23:59:59.999989 - Bid 0.5684 - 0.5688 Ask, CLOSE 0.5688 
-------------
Random: 0.406599019686264
-------------
Final Portfolio Value: 100000.00

I don't understand what I am doing wrong, and why the orders are not being executed. Can I get some help here? Thanks!

@Nigel said in Execute on bid/ask:

BidAskCSV

Hello,

I am also using Bid/ask data. Wanted to do a test where I buy and sell like @Nigel did.
But it seems like the orders are not being executed because when I access the order.Exuecuted.price is always 0.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import argparse

import backtrader as bt
import backtrader.feeds as btfeeds
#import backtrader.indicators as btind
import random


class BidAskCSV(btfeeds.GenericCSVData):
    linesoverride = True  # discard usual OHLC structure
    # datetime must be present and last
    lines = ('bid', 'ask', 'close', 'open','low', 'high', 'datetime')
    # datetime (always 1st) and then the desired order for
    params = (
        # (datetime, 0), # inherited from parent class
        ('bid', 1),  # default field pos 1
        ('ask', 2),  # default field pos 2
        ('close', 2), ('open', 1), ('low', 1), ('high',2)
    )
    
    def __init__(self):
        super(BidAskCSV, self).__init__()

The strategy:

class St(bt.Strategy):

    def log(self, txt, dt= None):
        """Logging function """
        dt= dt or self.datas[0].datetime[0]
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))


    def __init__(self):
        self.order = None
        self.dataclose= self.datas[0].close
        #self.dataclose = self.datas[0].close[0]
            
            
    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]:
           if order.isbuy():
               self.log(
                   'BUY EXECUTED, Price: %.2f, Cost: %.2f' %
                   (order.executed.price,
                    order.executed.value))

               self.buyprice = order.executed.price
               
           else:  # Sell
               self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f' %
                        (order.executed.price,
                         order.executed.value))

           self.bar_executed = len(self)
       elif order.status in [order.Canceled, order.Margin, order.Rejected]:
           self.log('Order Canceled/Margin/Rejected')

       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):
        dtstr = self.datas[0].datetime.datetime().isoformat()
        txt = '%4d: %s - Bid %.4f - %.4f Ask, CLOSE %.4f ' % (
            (len(self), dtstr, self.datas[0].bid[0], self.datas[0].ask[0],
             self.datas[0].close[0]))

        print(txt)
        
        position = self.getposition(data=self.datas[0])
        rand = random.random()
        print('-------------')
        print ('Random:', rand)
        print('-------------')
        if rand < 0.2:
            if position:
                # SELL (with all possible default parameters)
                self.log('SELL CREATE '.format(self.data.bid[0]))

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell(data=self.datas[0])
                print ('Bid', self.data.bid[0])
        elif rand > 0.8:
            if not position:
                # BUY (with all possible default parameters)
                self.log('BUY CREATE {}'.format(self.data.ask[0]))

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(data=self.datas[0])
                self.log('Executed Price:{}'.format(self.order.executed.price))
                print ('Executed Price:', self.order.executed.price)
                print ('ASK', self.data.ask[0])
                

and finale code:

def parse_args():
    parser = argparse.ArgumentParser(
        description='Bid/Ask Line Hierarchy',
        formatter_class=argparse.ArgumentDefaultsHelpFormatter,
    )

    parser.add_argument('--data', '-d', action='store',
                        required=False, default='bidask.csv',
                        help='data to add to the system')

    parser.add_argument('--dtformat', '-dt',
                        required=False, default='%m/%d/%Y %H:%M:%S',
                        help='Format of datetime in input')

    return parser.parse_args()


def runstrategy():
    args = parse_args()

    cerebro = bt.Cerebro()  # Create a cerebro
       
    data = BidAskCSV(dataname=args.data, dtformat=args.dtformat)
    cerebro.adddata(data)  # Add the 1st data to cerebro
    # Set our desired cash start
    cerebro.broker.setcash(100000.0)
    
    # Add the strategy to cerebro
    cerebro.addstrategy(St)    
    
        # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=10)
    
    # 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())
  

if __name__ == '__main__':
    runstrategy()

This is what I get as output:

Starting Portfolio Value: 100000.00
   1: 2010-02-03T23:59:59.999989 - Bid 0.5346 - 0.5347 Ask, CLOSE 0.5347 
-------------
Random: 0.329840335116921
-------------
   2: 2010-02-03T23:59:59.999989 - Bid 0.5343 - 0.5347 Ask, CLOSE 0.5347 
-------------
Random: 0.680459956622627
-------------
   3: 2010-02-03T23:59:59.999989 - Bid 0.5543 - 0.5545 Ask, CLOSE 0.5545 
-------------
Random: 0.04838233726017549
-------------
   4: 2010-02-03T23:59:59.999989 - Bid 0.5342 - 0.5344 Ask, CLOSE 0.5344 
-------------
Random: 0.7977225266469058
-------------
   5: 2010-02-03T23:59:59.999989 - Bid 0.5245 - 0.5464 Ask, CLOSE 0.5464 
-------------
Random: 0.8661165246756014
-------------
2010-02-03T23:59:59.999989, BUY CREATE 0.5464
2010-02-03T23:59:59.999989, Executed Price:0.0
Executed Price: 0.0
ASK 0.5464
   6: 2010-02-03T23:59:59.999989 - Bid 0.5460 - 0.5470 Ask, CLOSE 0.5470 
-------------
Random: 0.7797905933237207
-------------
   7: 2010-02-03T23:59:59.999989 - Bid 0.5824 - 0.5826 Ask, CLOSE 0.5826 
-------------
Random: 0.585687043100518
-------------
   8: 2010-02-03T23:59:59.999989 - Bid 0.5371 - 0.5374 Ask, CLOSE 0.5374 
-------------
Random: 0.2171674683269379
-------------
   9: 2010-02-03T23:59:59.999989 - Bid 0.5793 - 0.5794 Ask, CLOSE 0.5794 
-------------
Random: 0.6576887524911412
-------------
  10: 2010-02-03T23:59:59.999989 - Bid 0.5684 - 0.5688 Ask, CLOSE 0.5688 
-------------
Random: 0.406599019686264
-------------
Final Portfolio Value: 100000.00

I don't understand what I am doing wrong, and why the orders are not being executed. Can I get some help here? Thanks!

Hello,
I have my own data and a strategy that I want to apply and want to use backtrader to backtest this strategy. Can bt.Strategy receive other arguments or only self? For example, can bt.Strategy receive a dictionary of pairs in the init part?

@gindeleo thanks for your answer. I am not using Oanda data feed. I want to use an internal data feed that I have. Will try to understand the one implemented with Oanda (in the link I sent) and see if I can adapt for my case.

@gindeleo I would also like to know more about implementing our own broker. I am already looking at https://github.com/mementum/backtrader/blob/master/backtrader/brokers/oandabroker.py. Did you get the answers you needed from there?