@Paska-Houso

Thanks for the detailed reply!

  cerebro.broker.set_checksubmit(checksubmit=False)

Fixed the problem. Thank you so much! :)

@Paska-Houso

Digging around, I saw there is also the option of Order.Partial, link: https://www.backtrader.com/docu/order.html

However, seems it is not triggered automatically.

is there a way to

• still use the AllInSizer
• if price gap happens, partially execute the order, and cancel the rest that cannot be filled?

Thanks.

Another general question:

If we know that the AllInSizer have this price gap problem, and we cannot use it with the cheat-on-open option, what would be the correct use case for the AllInSizer?

Thanks.

@Paska-Houso

Thank you so much for the detailed reply!

I have modified my code with the cheat_on_open option, but it seems using the current open price in next_open(), not the next day open price.

class BBand_CrossOver(bt.Strategy):
  params = (('period', 20),)

  def log(self, txt, dt=None):
    dt = dt or self.datas[0].datetime.date(0)
    print('{}, {}'.format(dt.isoformat(), txt))

  def __init__(self):
    self.dataclose = self.data0.close
    self.dataopen = self.data0.open

    self.bband = bt.indicators.BollingerBands(self.data0, period=self.params.period)
    self.buysig = bt.indicators.CrossOver(self.data0, self.bband.lines.bot)
    self.sellsig = bt.indicators.CrossOver(self.data0, self.bband.lines.top)

  def next_open(self):
    self.log('Close: %.2f, Open: %.2f' % (self.dataclose[0], self.dataopen[0]))

    if self.position.size:
      if self.sellsig < 0:
        self.log('SELL CREATE, size {}'.format(self.position.size))
        self.sell(size=self.position.size)

    elif self.buysig > 0:
      size = int(self.broker.getcash() / self.data0.open)
      self.log('BUY CREATE, cash {}, size {}, open {}, close {}'.format(self.broker.getcash(), size, self.dataopen[0], self.dataclose[0]))
      self.buy(size=size)

  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 {}, cost {}, comm {}'.format(order.executed.price, order.executed.value,
                                                                   order.executed.comm))
      elif order.issell():
        self.log('SELL EXECUTED, price {}, cost {}, comm {}'.format(order.executed.price, order.executed.value,
                                                                    order.executed.comm))
    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 {}, NET {}'.format(trade.pnl, trade.pnlcomm))

And here is the main program:

  cerebro = bt.Cerebro(cheat_on_open=True)
  data = bt.feeds.YahooFinanceData(dataname='BABA', fromdate=datetime.datetime(2016, 1, 1),
                                   todate=bt.datetime.datetime(2016, 12, 31), timeframe=bt.TimeFrame.Days,
                                   compression=1)
  cerebro.adddata(data)
  cerebro.addstrategy(BBand_CrossOver, period=20)

  cerebro.broker.setcash(10000.0)
  # cerebro.addsizer(bt.sizers.AllInSizer)
  # cerebro.broker.setcommission(commission=0.001)

  cerebro.addwriter(bt.WriterFile, csv=True, out='test.csv')

  print('start: {}'.format(cerebro.broker.getvalue()))
  cerebro.run(optreturn=False)
  print('finish: {}'.format(cerebro.broker.getvalue()))
  cerebro.plot()

To be more specific, in the output, I have:

2016-06-29, Close: 78.04, Open: 76.98
2016-06-29, BUY CREATE, cash 12071.300000000001, size 156, open 76.98, close 78.04
2016-06-29, Order Canceled/Margin/Rejected
2016-06-30, Close: 79.53, Open: 78.31

• if we use close price on 0629, size is 12071.3 / 78.04 = 154
• if we use open price on 0629, size is 12071.3 / 76.98 = 156
• if we use open price on 0630, size is 12071.3 / 78.31 = 154

Seems here it is using the open price on current day, not next day.

Any suggestions?

Hi,

I am trying to work on a simple Bband strategy, where when close up cross the bband bottom line, I buy; when close down cross the bband top line, I sell.

Here is my code:

class BBand_CrossOver(bt.Strategy):
  params = (('period', 20),)

  def __init__(self):
    self.bband = bt.indicators.BollingerBands(self.data0, period=self.params.period)
    self.buysig = bt.indicators.CrossOver(self.data0, self.bband.lines.bot)
    self.sellsig = bt.indicators.CrossOver(self.data0, self.bband.lines.top)

  def next(self):
    if self.position.size:
      if self.sellsig < 0:
        self.sell()

    elif self.buysig > 0:
      self.buy()

I tried symbol 'BABA' on it for 2016 data, code:

  cerebro = bt.Cerebro()
  data = bt.feeds.YahooFinanceData(dataname='BABA', fromdate=datetime.datetime(2016, 1, 1),
                                   todate=bt.datetime.datetime(2016, 12, 31), timeframe=bt.TimeFrame.Days,
                                   compression=1)
  cerebro.adddata(data)
  cerebro.addstrategy(BBand_CrossOver, period=20)

  cerebro.broker.setcash(10000.0)
  cerebro.addsizer(bt.sizers.AllInSizer)

  cerebro.addwriter(bt.WriterFile, csv=True, out='test.csv')

  cerebro.run(optreturn=False)
  cerebro.plot()

Interestingly, it did execute some orders, but it did not trigger on all of them.

link: https://www.dropbox.com/s/ysrsbwzde4f00eh/BABA.png?dl=0

You can see it triggered the buy order around Feb 5th, and Sell order around March 20th, which are expected.

However, around June 28th, there should be a up-cross. but the buy order is not triggered.

Is there a good way to debug this?
Can I output the self.bband.lines and the signals in the writer as well?

Thanks very much!