observers-orderobserver.py

#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015, 2016 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime

import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind

from orderobserver import OrderObserver


class MyStrategy(bt.Strategy):
    params = (
        ('smaperiod', 15),
        ('limitperc', 1.0),
        ('valid', 7),
    )

    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:
            # pending order ... do nothing
            return

        # Check if we are in the market
        if self.position:
            if self.buysell < 0:
                self.log('SELL CREATE, %.2f' % self.data.close[0])
                self.sell()

        elif self.buysell > 0:
            plimit = self.data.close[0] * (1.0 - self.p.limitperc / 100.0)
            valid = self.data.datetime.date(0) + \
                datetime.timedelta(days=self.p.valid)
            self.log('BUY CREATE, %.2f' % plimit)
            self.buy(exectype=bt.Order.Limit, price=plimit, valid=valid)


def runstrat():
    cerebro = bt.Cerebro()

    data = bt.feeds.BacktraderCSVData(dataname='../../datas/2006-day-001.txt')
    cerebro.adddata(data)

    cerebro.addobserver(OrderObserver)

    cerebro.addstrategy(MyStrategy)
    cerebro.run()

    cerebro.plot()


if __name__ == '__main__':
    runstrat()