奥运会组委会命令
原文： https://www.backtrader.com/docu/order-creation-execution/oco/oco/
发布版1.9.34.116将OCO（又名一个取消其他添加到回溯测试库中。
笔记
这只在回溯测试中实现，还没有针对实时代理的实现
笔记
更新版本为1.9.36.116。交互代理对StopTrail、StopTrailLimit和OCO的支持。
-
OCO始终指定组中的 1st顺序作为参数oco -
StopTrailLimit：经纪人模拟和IB经纪人具有 asme 行为。指定：price为初始停止触发价（同时指定trailamount），然后指定plimi为初始限价。两者之间的差异将决定limitoffset（限制价格与停止触发价格之间的距离）
使用模式试图保持用户友好。因此，如果策略中的逻辑已经决定是发布订单的时候，那么可以这样使用OCO：
def next(self):
...
o1 = self.buy(...)
...
o2 = self.buy(..., oco=o1)
...
o3 = self.buy(..., oco=o1) # or even oco=o2, o2 is already in o1 group
容易的第 1条命令o1将有点像组长。o2和o3通过使用oco命名参数指定o1而成为OCO 组的一部分。请注意，代码段中的注释表明，o3也可以通过指定o2（已经是组的一部分）成为组的一部分
组建团队后，将发生以下情况：
- 如果组中的任何订单被执行、取消或过期，其他订单将被取消
下面的示例说明了OCO的概念。带有绘图的标准执行：
$ ./oco.py --broker cash=50000 --plot
笔记
现金增加至50000，因为资产达到4000的价值，1项目的 3 个订单至少需要12000货币单位（经纪人默认为10000）
用下面的图表。
这实际上并没有提供太多的信息（这是一个标准的SMA Crossover策略）。该示例执行以下操作：
-
当快速SMA越过慢速SMA向上时，发出 3 个指令
-
order1为Limit订单，将在limdays天后到期（策略参数），以close价格降低一个百分比作为限价 -
order2是一个Limit订单，有效期更长，限价更低。 -
order3是进一步降低限价的Limit订单
因此，不会执行order2和order3，因为：
order1将首先执行，这将触发其他的取消
或
order1将到期，这将触发其他的取消
系统保留 3 张订单的ref标识，仅当notify_order中的三张ref标识为Completed、Cancelled、Margin或Expired时，系统才会发出新的buy订单
退出只需在保持某些杆的位置后进行。
为了尝试跟踪实际执行，将生成文本输出。其中一些：
2005-01-28: Oref 1 / Buy at 2941.11055
2005-01-28: Oref 2 / Buy at 2896.7722
2005-01-28: Oref 3 / Buy at 2822.87495
2005-01-31: Order ref: 1 / Type Buy / Status Submitted
2005-01-31: Order ref: 2 / Type Buy / Status Submitted
2005-01-31: Order ref: 3 / Type Buy / Status Submitted
2005-01-31: Order ref: 1 / Type Buy / Status Accepted
2005-01-31: Order ref: 2 / Type Buy / Status Accepted
2005-01-31: Order ref: 3 / Type Buy / Status Accepted
2005-02-01: Order ref: 1 / Type Buy / Status Expired
2005-02-01: Order ref: 3 / Type Buy / Status Canceled
2005-02-01: Order ref: 2 / Type Buy / Status Canceled
...
2006-06-23: Oref 49 / Buy at 3532.39925
2006-06-23: Oref 50 / Buy at 3479.147
2006-06-23: Oref 51 / Buy at 3390.39325
2006-06-26: Order ref: 49 / Type Buy / Status Submitted
2006-06-26: Order ref: 50 / Type Buy / Status Submitted
2006-06-26: Order ref: 51 / Type Buy / Status Submitted
2006-06-26: Order ref: 49 / Type Buy / Status Accepted
2006-06-26: Order ref: 50 / Type Buy / Status Accepted
2006-06-26: Order ref: 51 / Type Buy / Status Accepted
2006-06-26: Order ref: 49 / Type Buy / Status Completed
2006-06-26: Order ref: 51 / Type Buy / Status Canceled
2006-06-26: Order ref: 50 / Type Buy / Status Canceled
...
2006-11-10: Order ref: 61 / Type Buy / Status Canceled
2006-12-11: Oref 63 / Buy at 4032.62555
2006-12-11: Oref 64 / Buy at 3971.8322
2006-12-11: Oref 65 / Buy at 3870.50995
2006-12-12: Order ref: 63 / Type Buy / Status Submitted
2006-12-12: Order ref: 64 / Type Buy / Status Submitted
2006-12-12: Order ref: 65 / Type Buy / Status Submitted
2006-12-12: Order ref: 63 / Type Buy / Status Accepted
2006-12-12: Order ref: 64 / Type Buy / Status Accepted
2006-12-12: Order ref: 65 / Type Buy / Status Accepted
2006-12-15: Order ref: 63 / Type Buy / Status Expired
2006-12-15: Order ref: 65 / Type Buy / Status Canceled
2006-12-15: Order ref: 64 / Type Buy / Status Canceled
发生以下情况：
-
第 1st批订单发出。订单 1 过期，订单 2 和订单 3 被取消。正如所料。
-
几个月后，又发出了一批 3 份订单。在这种情况下，49 号订单得到
Completed，50 号和 51 号订单立即取消 -
最后一批就像 1st一样
现在让我们检查一下没有OCO的行为：
$ ./oco.py --strat do_oco=False --broker cash=50000
2005-01-28: Oref 1 / Buy at 2941.11055
2005-01-28: Oref 2 / Buy at 2896.7722
2005-01-28: Oref 3 / Buy at 2822.87495
2005-01-31: Order ref: 1 / Type Buy / Status Submitted
2005-01-31: Order ref: 2 / Type Buy / Status Submitted
2005-01-31: Order ref: 3 / Type Buy / Status Submitted
2005-01-31: Order ref: 1 / Type Buy / Status Accepted
2005-01-31: Order ref: 2 / Type Buy / Status Accepted
2005-01-31: Order ref: 3 / Type Buy / Status Accepted
2005-02-01: Order ref: 1 / Type Buy / Status Expired
就这样，这并不多（没有订单执行，也不太需要图表）
-
该批订单已发出
-
订单 1 过期，但由于策略已获得参数
do_oco=False，订单 2 和订单 3 不属于OCO组 -
因此，订单 2 和订单 3 不会被取消，因为默认的到期时间差为
1000天后，它们不会因样本的可用数据（2 年的数据）而到期 -
系统从不发出第 2和批订单。
样本使用
$ ./oco.py --help
usage: oco.py [-h] [--data0 DATA0] [--fromdate FROMDATE] [--todate TODATE]
[--cerebro kwargs] [--broker kwargs] [--sizer kwargs]
[--strat kwargs] [--plot [kwargs]]
Sample Skeleton
optional arguments:
-h, --help show this help message and exit
--data0 DATA0 Data to read in (default:
../../datas/2005-2006-day-001.txt)
--fromdate FROMDATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )
--todate TODATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )
--cerebro kwargs kwargs in key=value format (default: )
--broker kwargs kwargs in key=value format (default: )
--sizer kwargs kwargs in key=value format (default: )
--strat kwargs kwargs in key=value format (default: )
--plot [kwargs] kwargs in key=value format (default: )
示例代码
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import backtrader as bt
class St(bt.Strategy):
params = dict(
ma=bt.ind.SMA,
p1=5,
p2=15,
limit=0.005,
limdays=3,
limdays2=1000,
hold=10,
switchp1p2=False, # switch prices of order1 and order2
oco1oco2=False, # False - use order1 as oco for order3, else order2
do_oco=True, # use oco or not
)
def notify_order(self, order):
print('{}: Order ref: {} / Type {} / Status {}'.format(
self.data.datetime.date(0),
order.ref, 'Buy' * order.isbuy() or 'Sell',
order.getstatusname()))
if order.status == order.Completed:
self.holdstart = len(self)
if not order.alive() and order.ref in self.orefs:
self.orefs.remove(order.ref)
def __init__(self):
ma1, ma2 = self.p.ma(period=self.p.p1), self.p.ma(period=self.p.p2)
self.cross = bt.ind.CrossOver(ma1, ma2)
self.orefs = list()
def next(self):
if self.orefs:
return # pending orders do nothing
if not self.position:
if self.cross > 0.0: # crossing up
p1 = self.data.close[0] * (1.0 - self.p.limit)
p2 = self.data.close[0] * (1.0 - 2 * 2 * self.p.limit)
p3 = self.data.close[0] * (1.0 - 3 * 3 * self.p.limit)
if self.p.switchp1p2:
p1, p2 = p2, p1
o1 = self.buy(exectype=bt.Order.Limit, price=p1,
valid=datetime.timedelta(self.p.limdays))
print('{}: Oref {} / Buy at {}'.format(
self.datetime.date(), o1.ref, p1))
oco2 = o1 if self.p.do_oco else None
o2 = self.buy(exectype=bt.Order.Limit, price=p2,
valid=datetime.timedelta(self.p.limdays2),
oco=oco2)
print('{}: Oref {} / Buy at {}'.format(
self.datetime.date(), o2.ref, p2))
if self.p.do_oco:
oco3 = o1 if not self.p.oco1oco2 else oco2
else:
oco3 = None
o3 = self.buy(exectype=bt.Order.Limit, price=p3,
valid=datetime.timedelta(self.p.limdays2),
oco=oco3)
print('{}: Oref {} / Buy at {}'.format(
self.datetime.date(), o3.ref, p3))
self.orefs = [o1.ref, o2.ref, o3.ref]
else: # in the market
if (len(self) - self.holdstart) >= self.p.hold:
self.close()
def runstrat(args=None):
args = parse_args(args)
cerebro = bt.Cerebro()
# Data feed kwargs
kwargs = dict()
# Parse from/to-date
dtfmt, tmfmt = '%Y-%m-%d', 'T%H:%M:%S'
for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']):
if a:
strpfmt = dtfmt + tmfmt * ('T' in a)
kwargs[d] = datetime.datetime.strptime(a, strpfmt)
# Data feed
data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **kwargs)
cerebro.adddata(data0)
# Broker
cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')'))
# Sizer
cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')'))
# Strategy
cerebro.addstrategy(St, **eval('dict(' + args.strat + ')'))
# Execute
cerebro.run(**eval('dict(' + args.cerebro + ')'))
if args.plot: # Plot if requested to
cerebro.plot(**eval('dict(' + args.plot + ')'))
def parse_args(pargs=None):
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description=(
'Sample Skeleton'
)
)
parser.add_argument('--data0', default='../../datas/2005-2006-day-001.txt',
required=False, help='Data to read in')
# Defaults for dates
parser.add_argument('--fromdate', required=False, default='',
help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
parser.add_argument('--todate', required=False, default='',
help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
parser.add_argument('--cerebro', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--broker', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--sizer', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--strat', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--plot', required=False, default='',
nargs='?', const='{}',
metavar='kwargs', help='kwargs in key=value format')
return parser.parse_args(pargs)
if __name__ == '__main__':
runstrat()
