I used the code Quickstart in the documentation but with my own data (which is on a minute basis). I would like now to understand why my orders are created but not executed at the same price and days later... thanks! I am really a beginner with the platform, so any help is more than welcome. This is the code I used so far:

class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 60),
    )
    
    def log(self, txt, dt=None):
        ''' Logging function for 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
        self.data_cpa = self.datas[0].high
        self.data_cpb = self.datas[0].low
        
        
        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 enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.8f, Cost: %.8f, Comm %.8f' %
                    (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: %.8f, Cost: %.8f, Comm %.8f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            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 %.8f, NET %.f' %
                 (trade.pnl, trade.pnlcomm))
        
        self.htrade = trade
    
    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.8f' % self.dataclose[0])
        
        if self.order:
            return
        
        if not self.position:
            
            if self.dataclose[0] >= self.sma[0]:

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.8f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(price= self.dataclose[0])
        else:
            
            if self.dataclose[0] <= self.sma[0]:
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    self.log('SELL CREATE, %.8f' % self.dataclose[0])

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell(price= self.dataclose[0])

@backtrader the only line of code I needed was: cerebro.broker.set_coc(True)

@backtrader, thanks for your reply. We are a company which does market making on new cryptocurrencies. So your statement saying that I do not have knowledge of trading is irrelevant as my goal is not trading. Stating that I am lost on trading and on your platform is thus a wrong statement as well, because you do not know what is my goal, what is my tragedy and at which end I will be using backtrader.
Anyway, I tried to read a bit more in detail your documentation and I still does not see how I can execute an order on the closing price of the next minute, do you have any other advice? thanks for your time and help!

For now my code looks like this:

class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 60),
    )
    
    def log(self, txt, dt=None):
        ''' Logging function for 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
        self.data_cpa = self.datas[0].high
        self.data_cpb = self.datas[0].low
        
        
        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 enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY EXECUTED, %.8f' % order.executed.price)
            elif order.issell():
                self.log('SELL EXECUTED, %.8f' % order.executed.price)

            self.bar_executed = 0

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

        # Write down: no pending order
        self.order = None
        
    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.8f, NET %.f' %
                 (trade.pnl, trade.pnlcomm))
    
    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.8f' % self.dataclose[0])

        if self.order:
            return

        # Check if we are in the market
        if not self.position:


            if self.dataclose[0] > self.sma[0]:

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.8f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(price= self.dataclose[0])

            
        else:
            
            if self.dataclose[0] < self.sma[0]:
                # SELL, SELL, SELL!!! (with all possible default parameters)
                self.log('SELL CREATE, %.8f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell(price= self.dataclose[0])
         
    
    

if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro(cheat_on_open=True)

    # Add a strategy
    cerebro.addstrategy(TestStrategy)
    
    # retrieve the csv file
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, './datas/zrxeth_sample.txt')

    # Create a Data Feed
    data = bt.feeds.GenericCSVData(
    dataname = datapath,

    fromdate=datetime.datetime(2018, 9, 28),
    todate=datetime.datetime(2018, 12, 3),

    nullvalue=0.0,

    dtformat=('%Y-%m-%d %H:%M:%S'),

        datetime=0,
        high=1,
        low=2,
        open=3,
        close=4,
        volume=5,
        openinterest=-1
    )
    
    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(100.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.8f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.8f' % cerebro.broker.getvalue())

From my understanding of the library, when you use the parameter cheat_on_open=True, you can authorize the order the order to be executed directly and not the day after. However, the executed order takes as price the next open price, how is it possible to choose which price the order will apply? Thanks!

@backtrader , I am still lost with your platform. I simplified my code so that it looks like this:

class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 60),
    )
    
    def log(self, txt, dt=None):
        ''' Logging function for 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
        self.data_cpa = self.datas[0].high
        self.data_cpb = self.datas[0].low
        
        
        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 enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY EXECUTED, %.8f' % order.executed.price)
            elif order.issell():
                self.log('SELL EXECUTED, %.8f' % order.executed.price)

            self.bar_executed = 0

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

        # Write down: no pending order
        self.order = None
        
    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.8f, NET %.f' %
                 (trade.pnl, trade.pnlcomm))
    
    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.8f' % self.dataclose[0])

        if self.order:
            return

        # Check if we are in the market
        if not self.position:


            if self.dataclose[0] > self.sma[0]:

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.8f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(price= self.dataclose[0])

            
        else:
            
            if self.dataclose[0] < self.sma[0]:
                # SELL, SELL, SELL!!! (with all possible default parameters)
                self.log('SELL CREATE, %.8f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell(price= self.dataclose[0])
         
    
    

if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro(cheat_on_open=True)

    # Add a strategy
    cerebro.addstrategy(TestStrategy)
    
    # retrieve the csv file
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, './datas/zrxeth_sample.txt')

    # Create a Data Feed
    data = bt.feeds.GenericCSVData(
    dataname = datapath,

    fromdate=datetime.datetime(2018, 9, 28),
    todate=datetime.datetime(2018, 12, 3),

    nullvalue=0.0,

    dtformat=('%Y-%m-%d %H:%M:%S'),

        datetime=0,
        high=1,
        low=2,
        open=3,
        close=4,
        volume=5,
        openinterest=-1
    )
    
    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(100.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.8f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.8f' % cerebro.broker.getvalue())

I did cerebro 'cheat_on_open' = true , but I do not understand why when the order is created at a price it is not executed at the same price, it looks like that:

2018-09-28, Close, 0.00298747
2018-09-28, BUY CREATE, 0.00298747
2018-09-28, BUY EXECUTED, 0.00299252
2018-09-28, Close, 0.00298747
2018-09-28, Close, 0.00298865
2018-09-28, Close, 0.00298813
2018-09-28, Close, 0.00298808

I used the code Quickstart in the documentation but with my own data (which is on a minute basis). I would like now to understand why my orders are created but not executed at the same price and days later... thanks! I am really a beginner with the platform, so any help is more than welcome. This is the code I used so far:

class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 60),
    )
    
    def log(self, txt, dt=None):
        ''' Logging function for 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
        self.data_cpa = self.datas[0].high
        self.data_cpb = self.datas[0].low
        
        
        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 enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.8f, Cost: %.8f, Comm %.8f' %
                    (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: %.8f, Cost: %.8f, Comm %.8f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            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 %.8f, NET %.f' %
                 (trade.pnl, trade.pnlcomm))
        
        self.htrade = trade
    
    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.8f' % self.dataclose[0])
        
        if self.order:
            return
        
        if not self.position:
            
            if self.dataclose[0] >= self.sma[0]:

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.8f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy(price= self.dataclose[0])
        else:
            
            if self.dataclose[0] <= self.sma[0]:
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    self.log('SELL CREATE, %.8f' % self.dataclose[0])

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell(price= self.dataclose[0])