订单管理和执行
原文： https://www.backtrader.com/docu/order-creation-execution/order-creation-execution/
如果无法模拟订单，则回溯测试以及backtrader将无法完成。为此，平台中提供了以下内容。
对于订单管理 3 原语：
-
buy -
sell -
cancel
笔记
update原语显然是合乎逻辑的东西，但常识表明，这种方法主要由手动操作人员使用，他们使用的是判断性交易方法。
对于订单执行逻辑，以下执行类型：
-
Market -
Close -
Limit -
Stop -
StopLimit
订单管理
一些例子：
# buy the main date, with sizer default stake, Market order
order = self.buy()
# Market order - valid will be "IGNORED"
order = self.buy(valid=datetime.datetime.now() + datetime.timedelta(days=3))
# Market order - price will be IGNORED
order = self.buy(price=self.data.close[0] * 1.02)
# Market order - manual stake
order = self.buy(size=25)
# Limit order - want to set the price and can set a validity
order = self.buy(exectype=Order.Limit,
price=self.data.close[0] * 1.02,
valid=datetime.datetime.now() + datetime.timedelta(days=3)))
# StopLimit order - want to set the price, price limit
order = self.buy(exectype=Order.StopLimit,
price=self.data.close[0] * 1.02,
plimit=self.data.close[0] * 1.07)
# Canceling an existing order
self.broker.cancel(order)
笔记
所有订单类型都可以通过创建Order实例（或其子类之一）创建，然后通过以下方式传递给代理：
order = self.broker.submit(order)
笔记
在broker本身中有buy和sell原语，但它们对默认参数的宽容程度较低。
订单执行逻辑
broker使用两个主要准则（假设？）执行订单。
-
当前数据已发生，无法用于执行订单。
如果策略中的逻辑类似于：
py if self.data.close > self.sma: # where sma is a Simple Moving Average self.buy()不能期望订单将以逻辑中正在检查的
close价格执行，因为它已经发生了。订单可以在下一组开盘/高/低/收盘价格点（以及订单中规定的条件）的范围内执行 1st
-
音量不起作用
如果交易者选择非流动资产，或者恰好达到价格条的极端值（高/低），那么在实际交易中确实如此。
但触及高点/低点是很少发生的（如果你这样做了……你不需要
backtrader），所选资产将有足够的流动性来吸收任何常规交易的订单
集市
执行：
- 下一套开盘/高/低/收盘价开盘价（俗称条）
理论基础：
- 如果逻辑在时间点 X 执行并发出
Market订单，则下一个将发生的价格点是即将到来的open价格
笔记
此命令始终执行，并忽略用于创建它的任何price和valid参数
关
执行：
- 当下一个酒吧实际关闭时，使用下一个酒吧的
close价格
理论基础：
-
大多数回溯测试馈送包含已经关闭的条，订单将立即执行，下一条的
close价格。每日数据馈送是最常见的示例。但是系统可以输入“滴答”价格，并且实际的酒吧（时间/日期方面）会不断地使用新的滴答进行预测，而不会实际移动到下一个酒吧（因为时间和/或日期没有改变）
只有当时间或日期发生变化时，酒吧才真正关闭，订单才会执行
限度
执行：
-
如果
data触及price，则在订单创建时设置price，从下一个价格栏开始。如果设置了
valid且到达时间点，订单将被取消
价格匹配：
-
backtrader尝试为Limit订单提供最现实的执行价格。使用 4 个价格点（开盘/高位/低位/收盘），可以部分推断请求的
price是否可以改善。Buy订单-
案例 1：
如果棒材的
open价格低于限价，订单将立即以open价格执行。在会议的开幕阶段，秩序已被扫除 -
案例 2：
如果
open价格未渗透到限价以下，但low价格低于限价，则在会话期间已看到限价，可以执行订单
Sell顺序的逻辑显然是颠倒的。 -
停止
执行：
-
如果
data触到触发器price，则在订单创建时设置触发器price，从下一个价格栏开始。如果设置了
valid且到达时间点，订单将被取消
价格匹配：
-
backtrader尝试为Stop订单提供最现实的触发价格。使用 4 个价格点（开盘/高位/低位/收盘），可以部分推断请求的
price是否可以改善。对于
\停止orders which购买`-
案例 1：
如果棒材的
open价格高于停止价格，则立即以open价格执行订单。旨在在价格相对于现有空头头寸上扬时止损
-
案例 2：
如果
open价格未渗透到止损价格之上，但high价格高于止损价格，则在会话期间已看到止损价格，可以执行订单
对于
Sell的Stop顺序，逻辑明显颠倒。 -
止损
执行：
- 触发器
price设置从下一个价格条开始的移动订单。
价格匹配：
-
触发：使用
Stop匹配逻辑（但仅触发并将订单转换为Limit订单） -
限额：使用
Limit价格匹配逻辑
一些样品
像往常一样，图片（带代码）价值数百万条长长的解释。请注意，这些片段集中在订单创建部分。完整的代码在底部。
价格高于/低于一个简单的移动平均线策略将用于生成买入/卖出信号
信号显示在图表底部：使用交叉指示器的CrossOver。
将保留对生成的“购买”订单的引用，以便在系统中最多只允许一个同时订单。
执行类型：市场
请参见图表中的订单如何在开盘价产生信号后一个小节执行。
if self.p.exectype == 'Market':
self.buy(exectype=bt.Order.Market) # default if not given
self.log('BUY CREATE, exectype Market, price %.2f' %
self.data.close[0])
输出图表。
命令行和输出：
$ ./order-execution-samples.py --exectype Market
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Market, price 3641.42
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59+00:00, BUY EXECUTED, Price: 3643.35, Cost: 3643.35, Comm 0.00
2006-03-02T23:59:59+00:00, SELL CREATE, 3763.73
2006-03-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59+00:00, SELL EXECUTED, Price: 3763.95, Cost: 3763.95, Comm 0.00
...
...
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Market, price 4052.89
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-12T23:59:59+00:00, BUY EXECUTED, Price: 4052.55, Cost: 4052.55, Comm 0.00
执行类型：关闭
现在，指令也在信号发出后一个小节执行，但以收盘价执行。
elif self.p.exectype == 'Close':
self.buy(exectype=bt.Order.Close)
self.log('BUY CREATE, exectype Close, price %.2f' %
self.data.close[0])
输出图表。
命令行和输出：
$ ./order-execution-samples.py --exectype Close
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Close, price 3641.42
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59+00:00, BUY EXECUTED, Price: 3685.48, Cost: 3685.48, Comm 0.00
2006-03-02T23:59:59+00:00, SELL CREATE, 3763.73
2006-03-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59+00:00, SELL EXECUTED, Price: 3763.95, Cost: 3763.95, Comm 0.00
...
...
2006-11-06T23:59:59+00:00, BUY CREATE, exectype Close, price 4045.22
2006-11-06T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-07T23:59:59+00:00, BUY EXECUTED, Price: 4072.86, Cost: 4072.86, Comm 0.00
2006-11-24T23:59:59+00:00, SELL CREATE, 4048.16
2006-11-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-27T23:59:59+00:00, SELL EXECUTED, Price: 4045.05, Cost: 4045.05, Comm 0.00
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Close, price 4052.89
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-12T23:59:59+00:00, BUY EXECUTED, Price: 4059.74, Cost: 4059.74, Comm 0.00
执行类型：限制
有效性在前几行计算，以防它作为参数传递。
if self.p.valid:
valid = self.data.datetime.date(0) + \
datetime.timedelta(days=self.p.valid)
else:
valid = None
设定了低于信号生成价格（信号条收盘价）1%的限价。请注意，这是如何阻止执行上述许多命令的。
elif self.p.exectype == 'Limit':
price = self.data.close * (1.0 - self.p.perc1 / 100.0)
self.buy(exectype=bt.Order.Limit, price=price, valid=valid)
if self.p.valid:
txt = 'BUY CREATE, exectype Limit, price %.2f, valid: %s'
self.log(txt % (price, valid.strftime('%Y-%m-%d')))
else:
txt = 'BUY CREATE, exectype Limit, price %.2f'
self.log(txt % price)
输出图表。
仅发出了 4 份订单。限制价格以赶上小幅下跌，已经完全改变了产量。
命令行和输出：
$ ./order-execution-samples.py --exectype Limit --perc1 1
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Limit, price 3605.01
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-05-18T23:59:59+00:00, BUY EXECUTED, Price: 3605.01, Cost: 3605.01, Comm 0.00
2006-06-05T23:59:59+00:00, SELL CREATE, 3604.33
2006-06-05T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-06T23:59:59+00:00, SELL EXECUTED, Price: 3598.58, Cost: 3598.58, Comm 0.00
2006-06-21T23:59:59+00:00, BUY CREATE, exectype Limit, price 3491.57
2006-06-21T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-28T23:59:59+00:00, BUY EXECUTED, Price: 3491.57, Cost: 3491.57, Comm 0.00
2006-07-13T23:59:59+00:00, SELL CREATE, 3562.56
2006-07-13T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-07-14T23:59:59+00:00, SELL EXECUTED, Price: 3545.92, Cost: 3545.92, Comm 0.00
2006-07-24T23:59:59+00:00, BUY CREATE, exectype Limit, price 3596.60
2006-07-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
执行类型：具有有效性的限制
为了避免在限价单上永远等待，限价单只能在价格与“买入”订单相反时执行，该订单的有效期仅为 4（日历）天。
输出图表。
生成了更多订单，但除一个“购买”订单外，所有订单均已过期，进一步限制了操作量。
命令行和输出：
$ ./order-execution-samples.py --exectype Limit --perc1 1 --valid 4
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Limit, price 3605.01, valid: 2006-01-30
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-30T23:59:59+00:00, BUY EXPIRED
2006-03-10T23:59:59+00:00, BUY CREATE, exectype Limit, price 3760.48, valid: 2006-03-14
2006-03-10T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-14T23:59:59+00:00, BUY EXPIRED
2006-03-30T23:59:59+00:00, BUY CREATE, exectype Limit, price 3835.86, valid: 2006-04-03
2006-03-30T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-04-03T23:59:59+00:00, BUY EXPIRED
2006-04-20T23:59:59+00:00, BUY CREATE, exectype Limit, price 3821.40, valid: 2006-04-24
2006-04-20T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-04-24T23:59:59+00:00, BUY EXPIRED
2006-05-04T23:59:59+00:00, BUY CREATE, exectype Limit, price 3804.65, valid: 2006-05-08
2006-05-04T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-05-08T23:59:59+00:00, BUY EXPIRED
2006-06-01T23:59:59+00:00, BUY CREATE, exectype Limit, price 3611.85, valid: 2006-06-05
2006-06-01T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-05T23:59:59+00:00, BUY EXPIRED
2006-06-21T23:59:59+00:00, BUY CREATE, exectype Limit, price 3491.57, valid: 2006-06-25
2006-06-21T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-26T23:59:59+00:00, BUY EXPIRED
2006-07-24T23:59:59+00:00, BUY CREATE, exectype Limit, price 3596.60, valid: 2006-07-28
2006-07-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-07-28T23:59:59+00:00, BUY EXPIRED
2006-09-12T23:59:59+00:00, BUY CREATE, exectype Limit, price 3751.07, valid: 2006-09-16
2006-09-12T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-09-18T23:59:59+00:00, BUY EXPIRED
2006-09-20T23:59:59+00:00, BUY CREATE, exectype Limit, price 3802.90, valid: 2006-09-24
2006-09-20T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-09-22T23:59:59+00:00, BUY EXECUTED, Price: 3802.90, Cost: 3802.90, Comm 0.00
2006-11-02T23:59:59+00:00, SELL CREATE, 3974.62
2006-11-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-03T23:59:59+00:00, SELL EXECUTED, Price: 3979.73, Cost: 3979.73, Comm 0.00
2006-11-06T23:59:59+00:00, BUY CREATE, exectype Limit, price 4004.77, valid: 2006-11-10
2006-11-06T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-10T23:59:59+00:00, BUY EXPIRED
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Limit, price 4012.36, valid: 2006-12-15
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-15T23:59:59+00:00, BUY EXPIRED
执行类型：停止
设定高于信号价 1%的止损价。这意味着，只有当信号产生且价格继续攀升时，该策略才会买入，这可能被视为实力的信号。
这完全改变了执行全景。
elif self.p.exectype == 'Stop':
price = self.data.close * (1.0 + self.p.perc1 / 100.0)
self.buy(exectype=bt.Order.Stop, price=price, valid=valid)
if self.p.valid:
txt = 'BUY CREATE, exectype Stop, price %.2f, valid: %s'
self.log(txt % (price, valid.strftime('%Y-%m-%d')))
else:
txt = 'BUY CREATE, exectype Stop, price %.2f'
self.log(txt % price)
输出图表。
命令行和输出：
$ ./order-execution-samples.py --exectype Stop --perc1 1
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Stop, price 3677.83
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59+00:00, BUY EXECUTED, Price: 3677.83, Cost: 3677.83, Comm 0.00
2006-03-02T23:59:59+00:00, SELL CREATE, 3763.73
2006-03-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59+00:00, SELL EXECUTED, Price: 3763.95, Cost: 3763.95, Comm 0.00
2006-03-10T23:59:59+00:00, BUY CREATE, exectype Stop, price 3836.44
2006-03-10T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-15T23:59:59+00:00, BUY EXECUTED, Price: 3836.44, Cost: 3836.44, Comm 0.00
2006-03-28T23:59:59+00:00, SELL CREATE, 3811.45
2006-03-28T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-29T23:59:59+00:00, SELL EXECUTED, Price: 3811.85, Cost: 3811.85, Comm 0.00
2006-03-30T23:59:59+00:00, BUY CREATE, exectype Stop, price 3913.36
2006-03-30T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-09-29T23:59:59+00:00, BUY EXECUTED, Price: 3913.36, Cost: 3913.36, Comm 0.00
2006-11-02T23:59:59+00:00, SELL CREATE, 3974.62
2006-11-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-03T23:59:59+00:00, SELL EXECUTED, Price: 3979.73, Cost: 3979.73, Comm 0.00
2006-11-06T23:59:59+00:00, BUY CREATE, exectype Stop, price 4085.67
2006-11-06T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-13T23:59:59+00:00, BUY EXECUTED, Price: 4085.67, Cost: 4085.67, Comm 0.00
2006-11-24T23:59:59+00:00, SELL CREATE, 4048.16
2006-11-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-27T23:59:59+00:00, SELL EXECUTED, Price: 4045.05, Cost: 4045.05, Comm 0.00
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Stop, price 4093.42
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-13T23:59:59+00:00, BUY EXECUTED, Price: 4093.42, Cost: 4093.42, Comm 0.00
执行类型：StopLimit
设定高于信号价 1%的止损价。但限价设定为高于信号（收盘）价 0.5%，这可以解释为：等待涨势出现，但不要买入峰值。等待下潜。
有效期上限为 20（日历）天
elif self.p.exectype == 'StopLimit':
price = self.data.close * (1.0 + self.p.perc1 / 100.0)
plimit = self.data.close * (1.0 + self.p.perc2 / 100.0)
self.buy(exectype=bt.Order.StopLimit, price=price, valid=valid,
plimit=plimit)
if self.p.valid:
txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
' valid: %s, pricelimit: %.2f')
self.log(txt % (price, valid.strftime('%Y-%m-%d'), plimit))
else:
txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
' pricelimit: %.2f')
self.log(txt % (price, plimit))
输出图表。
命令行和输出：
$ ./order-execution-samples.py --exectype StopLimit --perc1 1 --perc2 0.5 --valid 20
2006-01-26T23:59:59+00:00, BUY CREATE, exectype StopLimit, price 3677.83, valid: 2006-02-15, pricelimit: 3659.63
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-02-03T23:59:59+00:00, BUY EXECUTED, Price: 3659.63, Cost: 3659.63, Comm 0.00
2006-03-02T23:59:59+00:00, SELL CREATE, 3763.73
2006-03-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59+00:00, SELL EXECUTED, Price: 3763.95, Cost: 3763.95, Comm 0.00
2006-03-10T23:59:59+00:00, BUY CREATE, exectype StopLimit, price 3836.44, valid: 2006-03-30, pricelimit: 3817.45
2006-03-10T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-21T23:59:59+00:00, BUY EXECUTED, Price: 3817.45, Cost: 3817.45, Comm 0.00
2006-03-28T23:59:59+00:00, SELL CREATE, 3811.45
2006-03-28T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-29T23:59:59+00:00, SELL EXECUTED, Price: 3811.85, Cost: 3811.85, Comm 0.00
2006-03-30T23:59:59+00:00, BUY CREATE, exectype StopLimit, price 3913.36, valid: 2006-04-19, pricelimit: 3893.98
2006-03-30T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-04-19T23:59:59+00:00, BUY EXPIRED
...
...
2006-12-11T23:59:59+00:00, BUY CREATE, exectype StopLimit, price 4093.42, valid: 2006-12-31, pricelimit: 4073.15
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-22T23:59:59+00:00, BUY EXECUTED, Price: 4073.15, Cost: 4073.15, Comm 0.00
测试脚本执行
在命令行help中详细说明：
$ ./order-execution-samples.py --help
usage: order-execution-samples.py [-h] [--infile INFILE]
[--csvformat {bt,visualchart,sierrachart,yahoo,yahoo_unreversed}]
[--fromdate FROMDATE] [--todate TODATE]
[--plot] [--plotstyle {bar,line,candle}]
[--numfigs NUMFIGS] [--smaperiod SMAPERIOD]
[--exectype EXECTYPE] [--valid VALID]
[--perc1 PERC1] [--perc2 PERC2]
Showcase for Order Execution Types
optional arguments:
-h, --help show this help message and exit
--infile INFILE, -i INFILE
File to be read in
--csvformat {bt,visualchart,sierrachart,yahoo,yahoo_unreversed},
-c {bt,visualchart,sierrachart,yahoo,yahoo_unreversed}
CSV Format
--fromdate FROMDATE, -f FROMDATE
Starting date in YYYY-MM-DD format
--todate TODATE, -t TODATE
Ending date in YYYY-MM-DD format
--plot, -p Plot the read data
--plotstyle {bar,line,candle}, -ps {bar,line,candle}
Plot the read data
--numfigs NUMFIGS, -n NUMFIGS
Plot using n figures
--smaperiod SMAPERIOD, -s SMAPERIOD
Simple Moving Average Period
--exectype EXECTYPE, -e EXECTYPE
Execution Type: Market (default), Close, Limit,
Stop, StopLimit
--valid VALID, -v VALID
Validity for Limit sample: default 0 days
--perc1 PERC1, -p1 PERC1
% distance from close price at order creation time for
the limit/trigger price in Limit/Stop orders
--perc2 PERC2, -p2 PERC2
% distance from close price at order creation time for
the limit price in StopLimit orders
完整代码
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import os.path
import time
import sys
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
class OrderExecutionStrategy(bt.Strategy):
params = (
('smaperiod', 15),
('exectype', 'Market'),
('perc1', 3),
('perc2', 1),
('valid', 4),
)
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.data.datetime[0]
if isinstance(dt, float):
dt = bt.num2date(dt)
print('%s, %s' % (dt.isoformat(), txt))
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
self.log('ORDER ACCEPTED/SUBMITTED', dt=order.created.dt)
self.order = order
return
if order.status in [order.Expired]:
self.log('BUY EXPIRED')
elif 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))
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
# Sentinel to None: new orders allowed
self.order = None
def __init__(self):
# SimpleMovingAverage on main data
# Equivalent to -> sma = btind.SMA(self.data, period=self.p.smaperiod)
sma = btind.SMA(period=self.p.smaperiod)
# CrossOver (1: up, -1: down) close / sma
self.buysell = btind.CrossOver(self.data.close, sma, plot=True)
# Sentinel to None: new ordersa allowed
self.order = None
def next(self):
if self.order:
# An order is pending ... nothing can be done
return
# Check if we are in the market
if self.position:
# In the maerket - check if it's the time to sell
if self.buysell < 0:
self.log('SELL CREATE, %.2f' % self.data.close[0])
self.sell()
elif self.buysell > 0:
if self.p.valid:
valid = self.data.datetime.date(0) + \
datetime.timedelta(days=self.p.valid)
else:
valid = None
# Not in the market and signal to buy
if self.p.exectype == 'Market':
self.buy(exectype=bt.Order.Market) # default if not given
self.log('BUY CREATE, exectype Market, price %.2f' %
self.data.close[0])
elif self.p.exectype == 'Close':
self.buy(exectype=bt.Order.Close)
self.log('BUY CREATE, exectype Close, price %.2f' %
self.data.close[0])
elif self.p.exectype == 'Limit':
price = self.data.close * (1.0 - self.p.perc1 / 100.0)
self.buy(exectype=bt.Order.Limit, price=price, valid=valid)
if self.p.valid:
txt = 'BUY CREATE, exectype Limit, price %.2f, valid: %s'
self.log(txt % (price, valid.strftime('%Y-%m-%d')))
else:
txt = 'BUY CREATE, exectype Limit, price %.2f'
self.log(txt % price)
elif self.p.exectype == 'Stop':
price = self.data.close * (1.0 + self.p.perc1 / 100.0)
self.buy(exectype=bt.Order.Stop, price=price, valid=valid)
if self.p.valid:
txt = 'BUY CREATE, exectype Stop, price %.2f, valid: %s'
self.log(txt % (price, valid.strftime('%Y-%m-%d')))
else:
txt = 'BUY CREATE, exectype Stop, price %.2f'
self.log(txt % price)
elif self.p.exectype == 'StopLimit':
price = self.data.close * (1.0 + self.p.perc1 / 100.0)
plimit = self.data.close * (1.0 + self.p.perc2 / 100.0)
self.buy(exectype=bt.Order.StopLimit, price=price, valid=valid,
plimit=plimit)
if self.p.valid:
txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
' valid: %s, pricelimit: %.2f')
self.log(txt % (price, valid.strftime('%Y-%m-%d'), plimit))
else:
txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
' pricelimit: %.2f')
self.log(txt % (price, plimit))
def runstrat():
args = parse_args()
cerebro = bt.Cerebro()
data = getdata(args)
cerebro.adddata(data)
cerebro.addstrategy(
OrderExecutionStrategy,
exectype=args.exectype,
perc1=args.perc1,
perc2=args.perc2,
valid=args.valid,
smaperiod=args.smaperiod
)
cerebro.run()
if args.plot:
cerebro.plot(numfigs=args.numfigs, style=args.plotstyle)
def getdata(args):
dataformat = dict(
bt=btfeeds.BacktraderCSVData,
visualchart=btfeeds.VChartCSVData,
sierrachart=btfeeds.SierraChartCSVData,
yahoo=btfeeds.YahooFinanceCSVData,
yahoo_unreversed=btfeeds.YahooFinanceCSVData
)
dfkwargs = dict()
if args.csvformat == 'yahoo_unreversed':
dfkwargs['reverse'] = True
if args.fromdate:
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
dfkwargs['fromdate'] = fromdate
if args.todate:
fromdate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
dfkwargs['todate'] = todate
dfkwargs['dataname'] = args.infile
dfcls = dataformat[args.csvformat]
return dfcls(**dfkwargs)
def parse_args():
parser = argparse.ArgumentParser(
description='Showcase for Order Execution Types')
parser.add_argument('--infile', '-i', required=False,
default='../../datas/2006-day-001.txt',
help='File to be read in')
parser.add_argument('--csvformat', '-c', required=False, default='bt',
choices=['bt', 'visualchart', 'sierrachart',
'yahoo', 'yahoo_unreversed'],
help='CSV Format')
parser.add_argument('--fromdate', '-f', required=False, default=None,
help='Starting date in YYYY-MM-DD format')
parser.add_argument('--todate', '-t', required=False, default=None,
help='Ending date in YYYY-MM-DD format')
parser.add_argument('--plot', '-p', action='store_false', required=False,
help='Plot the read data')
parser.add_argument('--plotstyle', '-ps', required=False, default='bar',
choices=['bar', 'line', 'candle'],
help='Plot the read data')
parser.add_argument('--numfigs', '-n', required=False, default=1,
help='Plot using n figures')
parser.add_argument('--smaperiod', '-s', required=False, default=15,
help='Simple Moving Average Period')
parser.add_argument('--exectype', '-e', required=False, default='Market',
help=('Execution Type: Market (default), Close, Limit,'
' Stop, StopLimit'))
parser.add_argument('--valid', '-v', required=False, default=0, type=int,
help='Validity for Limit sample: default 0 days')
parser.add_argument('--perc1', '-p1', required=False, default=0.0,
type=float,
help=('%% distance from close price at order creation'
' time for the limit/trigger price in Limit/Stop'
' orders'))
parser.add_argument('--perc2', '-p2', required=False, default=0.0,
type=float,
help=('%% distance from close price at order creation'
' time for the limit price in StopLimit orders'))
return parser.parse_args()
if __name__ == '__main__':
runstrat()
