BackTrader 6 : Orders

Orders

• Orders translate the decisions made by the logic in a Strategy into a message suitable for the Broker to execute an action - strategy <-> broker 에서 order 중요
•  This is done with:
  • • Creation
      • buy,sell
      • close(Strategy) ->  return order instance
    • Cancellation
      • cancel(Strategy) -> operate order instance
    • Notification
      • notify_order (Strategy) -> report order instance

Order creation

Strategy param 과 유사

• data (default: None) 
• size (default: None)
• price (default: None)
• plimit (default: None)
• exectype (default: None)
• valid (default: None)
• tradeid (default: 0)
• **kwargs

Order notification

receive notifications the notify_order, 3 notifications will happen with the following status values

• Order.Submitted - because the order was sent to the broker
• Order.Accepted - because the order was taken by the broker and awaits potential execution
• Order.Completed - because in the example it was quickly matched and completely filled (which may be the case usually for Market orders)
• Order.Partial 
  • Notifications may happen even several times for the same status
  • Real brokers may issue one or more executions before updating a position
    

Order Status values

• Order.Created : 
  • set when the Order instance is created.
• Order.Submitted :
  • set when the order instance has been transmitted to the broker
  • bactesting 모드에서는 한번에, live 모드에서는 exchange 까지 시간걸림
• Order.Accepted :
  • the broker has taken the order and it is in the system (or already in a exchange) awaiting execution
• Order.Partial :
  • the order has been partially executed
  • partial 별 정도 -> order.executed contains the current filled size and average price.
  • detail -> order.executed.exbits contains a complete list of ExecutionBits detailing the partial fillings
• Order.Complete :
  • the order has been completely filled average price. 
• Order.Rejected :
  • the broker has rejected the order.
• Order.Margin :
  • the order execution would imply a margin call 
  • the previously accepted order has been taken off the system
• Order.Cancelled (or Order.Canceled) :
  • confirmation of the user requested cancellation
  • 하지만 주문이 이미 실행되어있을수도 있음으로 장담 못함
• Order.Expired : 
  •  previously accepted order which had a time validity has expired
  • been taken off the system

Reference: Order and associated classes

class backtrader.order.Order()

The order may have the following status:

• Submitted: sent to the broker and awaiting confirmation
• Accepted: accepted by the broker
• Partial: partially executed
• Completed: fully exexcuted
• Canceled/Cancelled: canceled by the user
• Expired: expired
• Margin: not enough cash to execute the order.
• Rejected: Rejected by the broker

Member Attributes:

• ref: unique order identifier
• created: OrderData holding creation data
• executed: OrderData holding execution data
• info: custom information passed over method addinfo().

User Methods:

• isbuy(): returns bool indicating if the order buys
• issell(): returns bool indicating if the order sells
• alive(): returns bool if order is in status Partial or Accepted

class backtrader.order.OrderData(dt=None, size=0, price=0.0, pricelimit=0.0, remsize=0, pclose=0.0, trailamount=0.0, trailpercent=0.0)

Holds actual order data for Creation and Executio

 

Member Attributes:

• exbits : iterable of OrderExecutionBits for this OrderData
• dt: datetime (float) creation/execution time
• size: requested/executed size
• price: execution price Note: if no price is given and no pricelimite is given, the closing price at the time or order creation will be used as reference
• pricelimit: holds pricelimit for StopLimit (which has trigger first)
• trailamount: absolute price distance in trailing stops
• trailpercent: percentage price distance in trailing stops
• value: market value for the entire bit size
• comm: commission for the entire bit execution
• pnl: pnl generated by this bit (if something was closed)
• margin: margin incurred by the Order (if any)
• psize: current open position size
• pprice: current open position price

class backtrader.order.OrderExecutionBit(dt=None, size=0, price=0.0, closed=0, closedvalue=0.0, closedcomm=0.0, opened=0, openedvalue=0.0, openedcomm=0.0, pnl=0.0, psize=0, pprice=0.0)

Intended to hold information about order execution. A “bit” does not determine if the order has been fully/partially executed, it just holds information.

 

Member Attributes:

• dt: datetime (float) execution time
• size: how much was executed
• price: execution price
• closed: how much of the execution closed an existing postion
• opened: how much of the execution opened a new position
• openedvalue: market value of the “opened” part
• closedvalue: market value of the “closed” part
• closedcomm: commission for the “closed” part
• openedcomm: commission for the “opened” part
• value: market value for the entire bit size
• comm: commission for the entire bit execution
• pnl: pnl generated by this bit (if something was closed)
• psize: current open position size
• pprice: current open position price