python - Backtrader - 卖单上的 order.executed.value 错误？

问题描述

使用样板策略假设买卖 1 股（仅限多头/每个买入订单都与卖出订单相结合）。

出于某种原因，当我卖出股票时，它会以与开仓时相同的金额记录交易价值（股票 * 价格），尽管股价不同。

输出：

2018-02-15 10:30:00, BUY ORDER PLACED,    Price:  169.79, Cost:    0.00, Comm:    0.00
2018-02-15 10:30:00, BUY ORDER EXECUTED,  Price:  172.06, Cost:  172.06, Comm:    0.17

2018-03-19 14:30:00, SELL ORDER PLACED,   Price:  174.19, Cost:    0.00, Comm:    0.00
2018-03-19 14:30:00, SELL ORDER EXECUTED, Price:  174.88, Cost:  172.06, Comm:    0.17

上图我们可以看到买单在 172.06 执行（交易价值（即成本）在交易 1 股时是相同的），但是卖单以不同的价格执行（174.88）但仍然具有相同的交易价值和佣金？

示例代码：

class Test(bt.SignalStrategy):

    def __init__(self):
        self.sma1 = bt.ind.SMA(period=100)
        self.dataclose= self.datas[0].close    
        self.order = None 
        self.buyprice = None
        self.buycomm = None
        self.sellprice = None
        self.sellcomm = None

    def log(self, txt, dt=None):
        dt = dt or self.data.datetime.datetime(0)
        print('%s, %s' % (dt, txt)) 

    def notify_order(self, order):
        # 1. If order is submitted/accepted, do nothing 
        if order.status in [order.Submitted, order.Accepted]:
            return
        # 2. If order is buy/sell executed, report price executed
        if order.status in [order.Completed]: 

            if order.isbuy():
                self.log('BUY ORDER PLACED,    Price:{0:8.2f}, Cost:{1:8.2f}, Comm:{2:8.2f}'.format(order.created.price,order.created.value,order.created.comm))
                self.log('BUY ORDER EXECUTED,  Price:{0:8.2f}, Cost:{1:8.2f}, Comm:{2:8.2f}'.format(order.executed.price,order.executed.value,order.executed.comm))
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm


            if order.issell():
                self.log('SELL ORDER PLACED,   Price:{0:8.2f}, Cost:{1:8.2f}, Comm:{2:8.2f}'.format(order.created.price,order.created.value,order.created.comm))
                self.log('SELL ORDER EXECUTED, Price:{0:8.2f}, Cost:{1:8.2f}, Comm:{2:8.2f}'.format(order.executed.price, order.executed.value,order.executed.comm))
                self.sellprice = order.executed.price
                self.sellcomm = order.executed.comm

        self.bar_executed = len(self) #when was trade executed
    # 3. If order is canceled/margin/rejected, report order canceled
    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        self.log('Order Canceled/Margin/Rejected')

    self.order = None

def next(self):

    if self.order: 
        return

    if self.getposition(data=self.data).size == 0:
        if data.close[0] > self.sma1:
            self.buy()

    else:
        if data.close[0] < self.sma1:
            self.close()

标签： pythonalgorithmic-tradingbacktrader

python - Backtrader - 卖单上的 order.executed.value 错误？

问题描述

解决方案

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