Backtrader Community

T H

@run-out @ab_trader
I see.
I understood bt's approach to ordering.

I really appreciate all of you.
And thank you so much for your efforts to understand my poor English.

T H

Hi, everyone.
I'm trying to specify the positionFill option when I call close().
But it does not work properly.
I use OANDA live trading.

Thank you very much for your help.

My code:

    kwargs = dict(
        positionFill="REDUCE_ONLY"
    )
    self.close(**kwargs)

notify_store:('positionFill': 'DEFAULT' Why???)

*****, STORE NOTIF:, {'id': '902', 'time': '1605605285.328517100', 'userID': 12345678, 'accountID': '101-009-12345678-001', 'batchID': '902', 'requestID': '78791990707426496', 'type': 'MARKET_ORDER', 'instrument': 'GBP_JPY', 'units': '-20.0', 'timeInForce': 'FOK', 'positionFill': 'DEFAULT', 'reason': 'CLIENT_ORDER', 'clientExtensions': {'id': '1605604583.042589-37'}}

FYI: Oanda V20 API Reference
https://developer.oanda.com/rest-live-v20/order-df/#MarketOrderRequest

T H

Hi!
My program using bt works both PRACTICE and LIVE on my local, but on the server it only works PRACTICE.
The connection to the Oanda server fails in LIVE case.
Of course, I know it's not bt fault.
I would like to know how to check detail of this connection error.
Or, if anyone knows of this event, please advise.

Thanks.

2020-10-05 00:56:29,713 [    INFO] setting up API-client for environment live
2020-10-05 00:56:29,716 [    INFO] *****, STORE NOTIF:, Connection to v20 REST server at https://api-fxtrade.oanda.com:443/v3/accounts/001-001-1234567-001/summary failed
2020-10-05 00:56:29,716 [    INFO] *****, STORE NOTIF:, Connection to v20 REST server at https://stream-fxtrade.oanda.com:443/v3/accounts/001-001-1234567-001/transactions/stream failed
2020-10-05 00:56:29,716 [    INFO] *****, STORE NOTIF:, Connection to v20 REST server at https://api-fxtrade.oanda.com:443/v3/accounts/001-001-1234567-001/openPositions failed
2020-10-05 00:56:29,716 [    INFO] *****, STORE NOTIF:, Trying to reconnect streaming events (1 of -1)
2020-10-05 00:56:29,717 [    INFO] *****, STORE NOTIF:, Connection to v20 REST server at https://api-fxtrade.oanda.com:443/v3/accounts/001-001-1234567-001/instruments failed
2020-10-05 00:56:29,717 [    INFO] *****, STORE NOTIF:, Connection to v20 REST server at https://api-fxtrade.oanda.com:443/v3/accounts/001-001-1234567-001/summary failed
2020-10-05 00:56:29,717 [    INFO] *****, STORE NOTIF:, Connection to v20 REST server at https://stream-fxtrade.oanda.com:443/v3/accounts/001-001-1234567-001/transactions/stream failed

T H

@dasch Got it. Thanks. Please take care of the rest.

T H

@dasch Thank you for understanding it.
But I’m not sure how to open an issue on Github.
Anyways, I tried to open this issue.
This is my first time.
Is this Okay?

https://github.com/happydasch/btoandav20/issues/60

T H

@dasch Yes, That's right.
But this msg_type is current stream's msg_type.
What this code wants to handle is old transactions.

T H

only this "if".

if msg_type == "transaction.Transaction":  # Is this code necessary? *** HERE ***

T H

@dasch Hi. It's been a long time.
Please tell me your opinion.
I think the below code is not necessary.(That is "*** HERE ***" in code below)
Because if msg_type that got from a stream is "transaction.TransactionHeartbeat", this fetching code doesn't work.

oandav20store.py

                response = self.oapi_stream.transaction.stream(
                    self.p.account
                )
                # process response
                for msg_type, msg in response.parts():
                    # if a connection occurred
                    if reconnections > 0:
                        if reconnections > 0 and last_id:
                            # get all transactions between the last seen and first from
                            # reconnected stream
                            old_transactions = self.get_transactions_since(
                                last_id)
                            for t in old_transactions:
                                if msg_type == "transaction.Transaction":  # Is this code necessary? *** HERE ***
                                
                                    if t.id > last_id:
                                        self._transaction(t.dict())
                                        last_id = t.id
                        reconnections = 0
                    if msg_type == "transaction.Transaction":
                        if not last_id or msg.id > last_id:
                            self._transaction(msg.dict())
                            last_id = msg.id

What do you think about this?
(I'm sorry this isn't about backtrader.)

Thanks.

T H

@dasch I might have solved this problem.
Sometimes, I had created a new order and had canceled an other order in the one Next() iteration until now.
I tried to delay the timing of canceling order.
I have been running it all day, but now this problem isn't occurring.

Thank you for everything you've done for me!

T H

@dasch Oh... thank you for your information. Anyway, I'll check all of my code once.
By the way, In general, does this happen frequently with btoandav20? Or Is this rare in my case?

T H

I tried several ways.
Unfortunately, it didn't improve.

Then I changed create_new_order() method in the following.

def create_new_order(self, price, exec_type):
    stopprice = price - (self.order_type_sign * self.max_range_price)
    limitprice = price + (self.order_type_sign * self.interval_price)

    self.tradeid_seq +=1
    
    orders = None
    if self.order_type == bt.Order.Buy:
        # orders = self.buy_bracket(size=self.order_size, price=price, exectype=exec_type, 
        #                     # tradeid=self.tradeid_seq, 
        #                     stopprice=stopprice, stopexec=bt.Order.Stop, 
        #                     limitprice=limitprice, limitexec=bt.Order.Limit)

        main_order = self.buy(size=self.order_size, price=price, exectype=exec_type, transmit=False)
        stop_order  = self.sell(price=stopprice, size=main_order.size, exectype=bt.Order.Stop,
                            transmit=False, parent=main_order)
        limit_order = self.sell(price=limitprice, size=main_order.size, exectype=bt.Order.Limit,
                            transmit=True, parent=main_order)
        
        orders = [main_order, stop_order, limit_order]
    elif self.order_type == bt.Order.Sell:
        # orders = self.sell_bracket(size=self.order_size, price=price, exectype=exec_type, 
        #                     # tradeid=self.tradeid_seq, 
        #                     stopprice=stopprice, stopexec=bt.Order.Stop, 
        #                     limitprice=limitprice, limitexec=bt.Order.Limit)

        main_order = self.sell(size=self.order_size, price=price, exectype=exec_type, transmit=False)
        stop_order  = self.buy(price=stopprice, size=main_order.size, exectype=bt.Order.Stop,
                            transmit=False, parent=main_order)
        limit_order = self.buy(price=limitprice, size=main_order.size, exectype=bt.Order.Limit,
                            transmit=True, parent=main_order)
        
        orders = [main_order, stop_order, limit_order]
    
    return orders

But, it still didn't improve.
There is cases where the order object differs from the actual state.

But then I realized that there is no id of transactions from 1845 to 1847.

Do you have any good solutions in regards to that?

NEW ORDER
( type:Sell, size:300, price:136.18999999999988, exectype:2(Limit), stopprice:146.18999999999988, limitprice:136.13999999999987 )

2020-09-11 19:36:37,706 [    INFO] *****, STORE NOTIF:, {'id': '1844', 'time': '1599820561.598982864', 'userID': 10733067, 'accountID': '101-009-10733067-005', 'batchID': '1844', 'requestID': '24724532290588330', 'type': 'LIMIT_ORDER', 'instrument': 'GBP_JPY', 'units': '-300.0', 'price': 136.19, 'timeInForce': 'GTC', 'positionFill': 'DEFAULT', 'triggerCondition': 'DEFAULT', 'reason': 'CLIENT_ORDER', 'clientExtensions': {'id': '1599755079.86117-565'}, 'takeProfitOnFill': {'price': 136.14, 'timeInForce': 'GTC', 'clientExtensions': {'id': '1599755079.86117-567'}}, 'stopLossOnFill': {'price': 146.19, 'timeInForce': 'GTC', 'clientExtensions': {'id': '1599755079.86117-566'}}}

2020-09-11 19:37:20,039 [    INFO] *****, STORE NOTIF:, Connection to v20 REST server at https://stream-fxpractice.oanda.com:443/v3/accounts/101-009-10733067-005/transactions/stream failed
2020-09-11 19:37:25,790 [    INFO] *****, STORE NOTIF:, Trying to reconnect streaming events (1 of -1)


2020-09-11 19:48:21,639 [    INFO] *****, STORE NOTIF:, {'id': '1848', 'time': '1599821264.782127550', 'userID': 10733067, 'accountID': '101-009-10733067-005', 'batchID': '1848', 'type': 'ORDER_FILL', 'orderID': '1846', 'clientOrderID': '1599755079.86117-567', 'instrument': 'GBP_JPY', 'units': '300.0', 'gainQuoteHomeConversionFactor': '1.0', 'lossQuoteHomeConversionFactor': '1.0', 'price': 136.14, 'fullVWAP': 136.14, 'fullPrice': {'type': 'PRICE', 'bids': [{'price': 136.126, 'liquidity': '250000'}], 'asks': [{'price': 136.14, 'liquidity': '250000'}], 'closeoutBid': 136.117, 'closeoutAsk': 136.149}, 'reason': 'TAKE_PROFIT_ORDER', 'pl': '15.0', 'financing': '0.0', 'commission': '0.0', 'guaranteedExecutionFee': '0.0', 'accountBalance': '3001745.978', 'tradesClosed': [{'tradeID': '1845', 'units': '300.0', 'price': 136.14, 'realizedPL': '15.0', 'financing': '0.0', 'guaranteedExecutionFee': '0.0', 'halfSpreadCost': '2.1'}], 'halfSpreadCost': '2.1'}
2020-09-11 19:48:21,640 [    INFO] *****, STORE NOTIF:, {'id': '1849', 'time': '1599821264.782127550', 'userID': 10733067, 'accountID': '101-009-10733067-005', 'batchID': '1848', 'type': 'ORDER_CANCEL', 'orderID': '1847', 'clientOrderID': '1599755079.86117-566', 'reason': 'LINKED_TRADE_CLOSED'}
2020-09-11 19:48:21,640 [    INFO] *****, STORE NOTIF:, Received external transaction ORDER_CANCEL with id 1849. Skipping transaction.

After this, the status of the previous new order(s) in the following.

Main Order: Accepted
TP Order: Submitted
SL Order: Submitted

Naturally, the main order have already been executed in the market.

T H

@T H

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