BackTrader 中文文档（八）（2）https://developer.aliyun.com/article/1505279
order_target_percent
在这种情况下，它只是当前投资组合价值的百分比。
$ ./order_target.py --target-percent --plot 0001 - 2005-01-03 - Position Size: 00 - Value 1000000.00 0001 - 2005-01-03 - data percent 0.00 0001 - 2005-01-03 - Order Target Percent: 0.03 0002 - 2005-01-04 - Position Size: 785 - Value 998532.05 0002 - 2005-01-04 - data percent 0.03 0002 - 2005-01-04 - Order Target Percent: 0.04 0003 - 2005-01-05 - Position Size: 1091 - Value 998007.44 0003 - 2005-01-05 - data percent 0.04 0003 - 2005-01-05 - Order Target Percent: 0.05 0004 - 2005-01-06 - Position Size: 1381 - Value 996985.64 ... 0020 - 2005-01-31 - Position Size: 7985 - Value 991966.28 0020 - 2005-01-31 - data percent 0.28 0020 - 2005-01-31 - Order Target Percent: 0.31 0021 - 2005-02-01 - Position Size: 8733 - Value 988008.94 0021 - 2005-02-01 - data percent 0.31 0021 - 2005-02-01 - Order Target Percent: 0.30 0022 - 2005-02-02 - Position Size: 8530 - Value 995005.45 0022 - 2005-02-02 - data percent 0.30 0022 - 2005-02-02 - Order Target Percent: 0.29 0023 - 2005-02-03 - Position Size: 8120 - Value 991240.75 0023 - 2005-02-03 - data percent 0.29 0023 - 2005-02-03 - Order Target Percent: 0.28 ...
数据信息已更改，以查看投资组合中数据所代表的%。
示例用法
$ ./order_target.py --help usage: order_target.py [-h] [--data DATA] [--fromdate FROMDATE] [--todate TODATE] [--cash CASH] (--target-size | --target-value | --target-percent) [--plot [kwargs]] Sample for Order Target optional arguments: -h, --help show this help message and exit --data DATA Specific data to be read in (default: ../../datas/yhoo-1996-2015.txt) --fromdate FROMDATE Starting date in YYYY-MM-DD format (default: 2005-01-01) --todate TODATE Ending date in YYYY-MM-DD format (default: 2006-12-31) --cash CASH Ending date in YYYY-MM-DD format (default: 1000000) --target-size Use order_target_size (default: False) --target-value Use order_target_value (default: False) --target-percent Use order_target_percent (default: False) --plot [kwargs], -p [kwargs] Plot the read data applying any kwargs passed For example: --plot style="candle" (to plot candles) (default: None)
示例代码
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse from datetime import datetime import backtrader as bt class TheStrategy(bt.Strategy): ''' This strategy is loosely based on some of the examples from the Van K. Tharp book: *Trade Your Way To Financial Freedom*. The logic: - Enter the market if: - The MACD.macd line crosses the MACD.signal line to the upside - The Simple Moving Average has a negative direction in the last x periods (actual value below value x periods ago) - Set a stop price x times the ATR value away from the close - If in the market: - Check if the current close has gone below the stop price. If yes, exit. - If not, update the stop price if the new stop price would be higher than the current ''' params = ( ('use_target_size', False), ('use_target_value', False), ('use_target_percent', False), ) def notify_order(self, order): if order.status == order.Completed: pass if not order.alive(): self.order = None # indicate no order is pending def start(self): self.order = None # sentinel to avoid operrations on pending order def next(self): dt = self.data.datetime.date() portfolio_value = self.broker.get_value() print('%04d - %s - Position Size: %02d - Value %.2f' % (len(self), dt.isoformat(), self.position.size, portfolio_value)) data_value = self.broker.get_value([self.data]) if self.p.use_target_value: print('%04d - %s - data value %.2f' % (len(self), dt.isoformat(), data_value)) elif self.p.use_target_percent: port_perc = data_value / portfolio_value print('%04d - %s - data percent %.2f' % (len(self), dt.isoformat(), port_perc)) if self.order: return # pending order execution size = dt.day if (dt.month % 2) == 0: size = 31 - size if self.p.use_target_size: target = size print('%04d - %s - Order Target Size: %02d' % (len(self), dt.isoformat(), size)) self.order = self.order_target_size(target=size) elif self.p.use_target_value: value = size * 1000 print('%04d - %s - Order Target Value: %.2f' % (len(self), dt.isoformat(), value)) self.order = self.order_target_value(target=value) elif self.p.use_target_percent: percent = size / 100.0 print('%04d - %s - Order Target Percent: %.2f' % (len(self), dt.isoformat(), percent)) self.order = self.order_target_percent(target=percent) def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() cerebro.broker.setcash(args.cash) dkwargs = dict() if args.fromdate is not None: dkwargs['fromdate'] = datetime.strptime(args.fromdate, '%Y-%m-%d') if args.todate is not None: dkwargs['todate'] = datetime.strptime(args.todate, '%Y-%m-%d') # data data = bt.feeds.YahooFinanceCSVData(dataname=args.data, **dkwargs) cerebro.adddata(data) # strategy cerebro.addstrategy(TheStrategy, use_target_size=args.target_size, use_target_value=args.target_value, use_target_percent=args.target_percent) cerebro.run() if args.plot: pkwargs = dict(style='bar') if args.plot is not True: # evals to True but is not True npkwargs = eval('dict(' + args.plot + ')') # args were passed pkwargs.update(npkwargs) cerebro.plot(**pkwargs) def parse_args(pargs=None): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, description='Sample for Order Target') parser.add_argument('--data', required=False, default='../../datas/yhoo-1996-2015.txt', help='Specific data to be read in') parser.add_argument('--fromdate', required=False, default='2005-01-01', help='Starting date in YYYY-MM-DD format') parser.add_argument('--todate', required=False, default='2006-12-31', help='Ending date in YYYY-MM-DD format') parser.add_argument('--cash', required=False, action='store', type=float, default=1000000, help='Ending date in YYYY-MM-DD format') pgroup = parser.add_mutually_exclusive_group(required=True) pgroup.add_argument('--target-size', required=False, action='store_true', help=('Use order_target_size')) pgroup.add_argument('--target-value', required=False, action='store_true', help=('Use order_target_value')) pgroup.add_argument('--target-percent', required=False, action='store_true', help=('Use order_target_percent')) # Plot options parser.add_argument('--plot', '-p', nargs='?', required=False, metavar='kwargs', const=True, help=('Plot the read data applying any kwargs passed\n' '\n' 'For example:\n' '\n' ' --plot style="candle" (to plot candles)\n')) if pargs is not None: return parser.parse_args(pargs) return parser.parse_args() if __name__ == '__main__': runstrat()
OCO 订单
原文：
www.backtrader.com/docu/order-creation-execution/oco/oco/
版本1.9.34.116添加了OCO（也称为One Cancel Others）到回测工具中。
注意
这仅在回测中实现，尚未为实时经纪人实现
注意
更新至版本1.9.36.116。交互经纪人支持StopTrail、StopTrailLimit和OCO。
OCO总是将组中的第 1 个订单指定为参数ocoStopTrailLimit: 经纪人模拟和IB经纪人具有相同的行为。指定：price作为初始止损触发价格（还要指定trailamount），然后plimi作为初始限价。两者之间的差异将确定limitoffset（限价与止损触发价格之间的距离）
使用模式尽量保持用户友好。因此，如果策略中的逻辑决定发出订单，使用OCO可以这样做：
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
简单。第 1 个订单o1将成为组长。o2和o3通过指定o1的oco命名参数成为OCO 组的一部分。请注意代码片段中的注释指出，o3也可以通过指定o2（已经是组的一部分）成为组的一部分
组成后将发生以下情况：
- 如果组中的任何订单被执行、取消或到期，其他订单将被取消
下面的示例展示了OCO概念的运用。一个带有绘图的标准执行：
$ ./oco.py --broker cash=50000 --plot
注意
现金增加到50000，因为资产达到4000的值，3 个1个项目的订单至少需要12000货币单位（经纪人的默认值为10000）
使用以下图表。
实际上并没有提供太多信息（这是一个标准的SMA Crossover策略）。示例执行以下操作：
- 当快速SMA向上穿越慢速SMA时，将发出 3 个订单
order1是一个Limit订单，将在limdays天（策略的参数）内到期，限价为close价格减少的百分比order2是一个Limit订单，具有更长的到期时间和更低的限价。order3是一个Limit订单，进一步降低了限价
因此，order2和order3的执行不会发生，因为：
order1将首先执行，这应该触发其他订单的取消
或
order1将到期，这将触发其他订单的取消
系统保留 3 个订单的ref标识符，并且只有在notify_order中看到这三个ref标识符为Completed、Cancelled、Margin或Expired时才会发出新的buy订单
退出只需在持有头寸一段时间后进行。
为了尝试跟踪实际执行情况，会产生文本输出。其中一些内容：
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
出现了以下情况：
- 第 1 个订单批次被下发。订单 1 到期，而 2 和 3 被取消。正如预期的那样。
- 几个月后，又下发了另一批 3 个订单。在这种情况下，订单 49 被标记为
已完成，而 50 和 51 则立即被取消。 - 最后一个批次与第 1 个批次完全相同
现在让我们来检查一下没有OCO时的行为：
$ ./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
这就是全部，其实并不多（没有顺序执行，也不需要太多图表）
- 订单批次被下发
- 订单 1 到期了，但是因为策略已经设置了参数
do_oco=False，订单 2 和 3 没有被纳入OCO组 - 因此，订单 2 和 3 并没有被取消，而且由于默认到期时间差为
1000天后，根据样本数据（2 年的数据）它们永远不会到期。 - 系统从未下发第 2 批订单。
使用示例
$ ./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: )
代码示例
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()
BackTrader 中文文档（八）（4）https://developer.aliyun.com/article/1505282
