Backtrader documentation has this page on interest and credit. It is mentioned that the interest is yearly but I can't seem to find how often is the interest charged. Is it charged every n hour/day the position is open or is it always charged every n hour/day? As the value of portfolio changes, I want to know which value it looks at and how often is the interest debited and how this can be changed.
@ab_trader said in Trade at Volume Weighted Average Price (VWAP)?:
https://community.backtrader.com/topic/3040/execute-market-order-on-average-price-on-bt
Thank you. What the guy said there is exactly what I am trying to achieve but I have the VWAP. And, you have posted the solution there. Thank you.
I can achieve this by setting the open price of each candle as VWAP but is there a more elegant method?
I can supply the volume weighted average price manually.
When I open/close a position, it gets executed at next candle's open price. How can i make it happen at next candles volume weighted average price instead (or any other custom price)?
Thank you. This was really foolish of me.
I used this code successfully in a different data a couple of months ago. But now, its not working. All my orders are getting rejected and I don't know why.
My dataframe looks like this:
Time Open Close percentage_12hour percentage_1day
0 2019-07-01 00:00:00 10854.10 10854.10 6.677368 6.183376
1 2019-07-01 00:30:00 11007.65 11007.65 6.677368 6.183376
2 2019-07-01 01:00:00 11091.06 11091.06 6.677368 6.183376
3 2019-07-01 01:30:00 11043.72 11043.72 6.677368 6.183376
4 2019-07-01 02:00:00 10981.15 10981.15 6.677368 6.183376
percentage_12hour and percentage_1day are custom variables I made manually. I use them to determine if i should trade. So, I have defined a custom Pandas feed
class PandasData_Custom(bt.feeds.PandasData):
lines = ('percentage_12hour','percentage_1day',)
params = (
('datetime', 0),
('open', 1),
('high', None),
('low', None),
('close', 2),
('volume', None),
('percentage_12hour', 2),
('percentage_1day', 2),
)
And I have a trivial logic to test the working:
class tradeStrategy(bt.Strategy):
def __init__(self):
self.dataopen = self.datas[0].open
self.dataclose = self.datas[0].close
self.twelve_hour = self.datas[0].percentage_12hour
self.one_day = self.datas[0].percentage_1day
self.buy_percentage = 0
self.order=None
self.buyprice=None
self.buycomm=None
self.trades = io.StringIO()
self.trades_writer = csv.writer(self.trades)
self.operations = io.StringIO()
self.operations_writer = csv.writer(self.operations)
self.portfolioValue = io.StringIO()
self.portfolioValue_writer = csv.writer(self.portfolioValue)
def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.datetime(0)
print("Datetime: {} Message: {} Percentage: {}".format(dt, txt, self.buy_percentage))
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
ordertype = "BUY"
#self.log("BUY EXECUTED, Price: {}, Cost: {}, Comm: {}".format(order.executed.price, order.executed.value, order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
else:
ordertype = "SELL"
#self.log("SELL EXECUTED, Price: {}, Cost: {}, Comm: {}".format(order.executed.price, order.executed.value, order.executed.comm))
self.trades_writer.writerow([self.datas[0].datetime.datetime(0), ordertype, 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.log(order.Rejected)
self.trades_writer.writerow([self.datas[0].datetime.datetime(0) , 'Rejection', 0, 0, 0])
self.order = None
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log('OPERATION PROFIT, GROSS: {}, NET: {}'.format(trade.pnl, trade.pnlcomm))
self.operations_writer.writerow([self.datas[0].datetime.datetime(0), trade.pnlcomm])
def notify_data(self, data, status, *args, **kwargs):
print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
if status == data.LIVE:
self.datastatus = 1
def notify_store(self, msg, *args, **kwargs):
print('*' * 5, 'STORE NOTIF:', msg)
def get_logs(self):
'''
Returns:
________
portfolioValue (df):
Date and Value of portfolio
trades (df):
'Date', 'Type', 'Price', 'Total Spent', 'Comission'
operations (df):
'Date', 'Profit'
'''
self.portfolioValue.seek(0)
portfolioValueDf = pd.read_csv(self.portfolioValue, names=['Date', 'Value'])
portfolioValueDf['Date'] = pd.to_datetime(portfolioValueDf['Date'])
portfolioValueDf = portfolioValueDf.set_index('Date')
portfolioValueDf = portfolioValueDf.resample('1D').agg({'Date': lambda x: x.iloc[0], 'Value': lambda x: x.iloc[-1]})['Date']
self.trades.seek(0)
tradesDf = pd.read_csv(self.trades, names=['Date', 'Type', 'Price', 'Total Spent', 'Comission'])
self.operations.seek(0)
operationsDf = pd.read_csv(self.operations, names=['Date', 'Profit'])
return portfolioValueDf.reset_index(), tradesDf, operationsDf
def next(self):
self.portfolioValue_writer.writerow([self.datas[0].datetime.datetime(0), self.broker.get_cash()])
if self.order:
return
if not self.position: #buy if value is much greater than the one earlier
if self.twelve_hour[-6] - self.twelve_hour[0] > 1:
self.log("BUY CREATE {}".format(self.dataopen[0]))
self.order = self.buy()
self.buy_percentage = self.twelve_hour[-6] - self.twelve_hour[0]
else: #use better logic ofc
if self.twelve_hour[-6] - self.twelve_hour[0] < self.buy_percentage:
self.log("SELL CREATE {}".format(self.dataopen[0]))
self.order = self.sell()
However, when I run it, all my trades are getting rejected
data = PandasData_Custom(dataname=features)
cerebro = bt.Cerebro()
cerebro.adddata(data)
cerebro.addstrategy(tradeStrategy)
cerebro.addsizer(bt.sizers.SizerFix, stake=100)
cerebro.broker.setcash(10000)
cerebro.broker.setcommission(0.1/100)
run = cerebro.run()
portfolioValue, trades, operations = run[0].get_logs()
My output looks like this:
Datetime: 2019-07-01 06:30:00 Message: BUY CREATE 11063.89 Percentage: 0
Datetime: 2019-07-01 07:00:00 Message: Order Canceled/Margin/Rejected Percentage: 65.44000000000051
Datetime: 2019-07-01 07:00:00 Message: 8 Percentage: 65.44000000000051
Datetime: 2019-07-01 07:00:00 Message: BUY CREATE 10960.4 Percentage: 65.44000000000051
Datetime: 2019-07-01 07:30:00 Message: Order Canceled/Margin/Rejected Percentage: 178.97000000000116
Datetime: 2019-07-01 07:30:00 Message: 8 Percentage: 178.97000000000116
Datetime: 2019-07-01 07:30:00 Message: BUY CREATE 10945.96 Percentage: 178.97000000000116
Datetime: 2019-07-01 08:00:00 Message: Order Canceled/Margin/Rejected Percentage: 159.6200000000008
Datetime: 2019-07-01 08:00:00 Message: 8 Percentage: 159.6200000000008
Datetime: 2019-07-01 08:00:00 Message: BUY CREATE 10983.7 Percentage: 159.6200000000008
Datetime: 2019-07-01 08:30:00 Message: Order Canceled/Margin/Rejected Percentage: 160.90999999999985
Datetime: 2019-07-01 08:30:00 Message: 8 Percentage: 160.90999999999985
Datetime: 2019-07-01 08:30:00 Message: BUY CREATE 10998.0 Percentage: 160.90999999999985
Datetime: 2019-07-01 09:00:00 Message: Order Canceled/Margin/Rejected Percentage: 165.35000000000036
Datetime: 2019-07-01 09:00:00 Message: 8 Percentage: 165.35000000000036
Datetime: 2019-07-01 11:30:00 Message: BUY CREATE 10964.0 Percentage: 165.35000000000036
Datetime: 2019-07-01 12:00:00 Message: Order Canceled/Margin/Rejected Percentage: 34.0
Datetime: 2019-07-01 12:00:00 Message: 8 Percentage: 34.0
Datetime: 2019-07-01 12:00:00 Message: BUY CREATE 11020.87 Percentage: 34.0
Datetime: 2019-07-01 12:30:00 Message: Order Canceled/Margin/Rejected Percentage: 157.2599999999984
Datetime: 2019-07-01 12:30:00 Message: 8 Percentage: 157.2599999999984
Datetime: 2019-07-01 12:30:00 Message: BUY CREATE 10748.3 Percentage: 157.2599999999984
Datetime: 2019-07-01 13:00:00 Message: Order Canceled/Margin/Rejected Percentage: 342.3299999999999
Datetime: 2019-07-01 13:00:00 Message: 8 Percentage: 342.3299999999999
Datetime: 2019-07-01 13:00:00 Message: BUY CREATE 10665.04 Percentage: 342.3299999999999
Datetime: 2019-07-01 13:30:00 Message: Order Canceled/Margin/Rejected Percentage: 442.1299999999992
Datetime: 2019-07-01 13:30:00 Message: 8 Percentage: 442.1299999999992
Datetime: 2019-07-01 13:30:00 Message: BUY CREATE 10708.9 Percentage: 442.1299999999992
Datetime: 2019-07-01 14:00:00 Message: Order Canceled/Margin/Rejected Percentage: 295.77000000000044
Datetime: 2019-07-01 14:00:00 Message: 8 Percentage: 295.77000000000044
Datetime: 2019-07-01 14:00:00 Message: BUY CREATE 10578.21 Percentage: 295.77000000000044
Datetime: 2019-07-01 14:30:00 Message: Order Canceled/Margin/Rejected Percentage: 416.2400000000016
Datetime: 2019-07-01 14:30:00 Message: 8 Percentage: 416.2400000000016
Datetime: 2019-07-01 14:30:00 Message: BUY CREATE 10606.07 Percentage: 416.2400000000016
Datetime: 2019-07-01 15:00:00 Message: Order Canceled/Margin/Rejected Percentage: 357.9300000000003
Datetime: 2019-07-01 15:00:00 Message: 8 Percentage: 357.9300000000003
Datetime: 2019-07-01 15:00:00 Message: BUY CREATE 10294.35 Percentage: 357.9300000000003
Datetime: 2019-07-01 15:30:00 Message: Order Canceled/Margin/Rejected Percentage: 726.5200000000004
Datetime: 2019-07-01 15:30:00 Message: 8 Percentage: 726.5200000000004
Datetime: 2019-07-01 15:30:00 Message: BUY CREATE 10109.56 Percentage: 726.5200000000004
Datetime: 2019-07-01 16:00:00 Message: Order Canceled/Margin/Rejected Percentage: 638.7399999999998
Datetime: 2019-07-01 16:00:00 Message: 8 Percentage: 638.7399999999998
Datetime: 2019-07-01 16:00:00 Message: BUY CREATE 10390.17 Percentage: 638.7399999999998
Datetime: 2019-07-01 16:30:00 Message: Order Canceled/Margin/Rejected Percentage: 274.8700000000008
Datetime: 2019-07-01 16:30:00 Message: 8 Percentage: 274.8700000000008
Datetime: 2019-07-01 16:30:00 Message: BUY CREATE 10451.0 Percentage: 274.8700000000008
Datetime: 2019-07-01 17:00:00 Message: Order Canceled/Margin/Rejected Percentage: 257.89999999999964
Datetime: 2019-07-01 17:00:00 Message: 8 Percentage: 257.89999999999964
Datetime: 2019-07-01 17:00:00 Message: BUY CREATE 10317.18 Percentage: 257.89999999999964
Datetime: 2019-07-01 17:30:00 Message: Order Canceled/Margin/Rejected Percentage: 261.02999999999884
My trades are getting rejected but notify_store does not notify anything. It is written here. "The reason will be notified via the notify_store method of the strategy". But it seems I am not getting notified. What am I doing wrong?