Backtrader：订单已创建，我希望订单立即执行（而不是第二天执行），该怎么做？

Question

I am rather new to backtrader, and I do not really understand how it works. My code is rather simple and 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 next(self):
            # Simply log the closing price of the series from the reference
            self.log('Close, %.8f' % self.dataclose[0])


            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()
            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()
                    print(self.order)



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

    # 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())

When I do print(self.order) it print the order status as 'submitted', 1)how can I know at which price and when it was executed? 2)how can I ensure that it enters the market (buy side), only after the last order (sell) was executed? Thanks!!

Answer 1

Try adding this after the def init (self): block of code

    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: %.2f, Cost: %.2f, Comm %.2f' %
                (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: %.2f, Cost: %.2f, Comm %.2f' %
                     (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('GROSS %.2f, NET %.2f' %
             (trade.pnl, trade.pnlcomm)) 

Answer 2

I found the answer.

data = MyTVFeed(dataname=datapath,timeframe=bt.TimeFrame.Minutes, compression=30)

in my case I created a custom class for the feed called MyTVFeed. When you set the data you have to specify the time frame or it assumes day!

You can read about this here ( https://community.backtrader.com/topic/381/faq )

In my case I set the time to be every 30 minutes since I was using a 30 minute chart.