BackTrader 中文文档（十七）（2）https://developer.aliyun.com/article/1505385
示例代码
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import backtrader as bt class TestSizer(bt.Sizer): params = dict(stake=1) def _getsizing(self, comminfo, cash, data, isbuy): dt, i = self.strategy.datetime.date(), data._id s = self.p.stake * (1 + (not isbuy)) print('{} Data {} OType {} Sizing to {}'.format( dt, data._name, ('buy' * isbuy) or 'sell', s)) return s class St(bt.Strategy): params = dict( enter=[1, 3, 4], # data ids are 1 based hold=[7, 10, 15], # data ids are 1 based usebracket=True, rawbracket=True, pentry=0.015, plimits=0.03, valid=10, ) def notify_order(self, order): if order.status == order.Submitted: return dt, dn = self.datetime.date(), order.data._name print('{} {} Order {} Status {}'.format( dt, dn, order.ref, order.getstatusname()) ) whichord = ['main', 'stop', 'limit', 'close'] if not order.alive(): # not alive - nullify dorders = self.o[order.data] idx = dorders.index(order) dorders[idx] = None print('-- No longer alive {} Ref'.format(whichord[idx])) if all(x is None for x in dorders): dorders[:] = [] # empty list - New orders allowed def __init__(self): self.o = dict() # orders per data (main, stop, limit, manual-close) self.holding = dict() # holding periods per data def next(self): for i, d in enumerate(self.datas): dt, dn = self.datetime.date(), d._name pos = self.getposition(d).size print('{} {} Position {}'.format(dt, dn, pos)) if not pos and not self.o.get(d, None): # no market / no orders if dt.weekday() == self.p.enter[i]: if not self.p.usebracket: self.o[d] = [self.buy(data=d)] print('{} {} Buy {}'.format(dt, dn, self.o[d][0].ref)) else: p = d.close[0] * (1.0 - self.p.pentry) pstp = p * (1.0 - self.p.plimits) plmt = p * (1.0 + self.p.plimits) valid = datetime.timedelta(self.p.valid) if self.p.rawbracket: o1 = self.buy(data=d, exectype=bt.Order.Limit, price=p, valid=valid, transmit=False) o2 = self.sell(data=d, exectype=bt.Order.Stop, price=pstp, size=o1.size, transmit=False, parent=o1) o3 = self.sell(data=d, exectype=bt.Order.Limit, price=plmt, size=o1.size, transmit=True, parent=o1) self.o[d] = [o1, o2, o3] else: self.o[d] = self.buy_bracket( data=d, price=p, stopprice=pstp, limitprice=plmt, oargs=dict(valid=valid)) print('{} {} Main {} Stp {} Lmt {}'.format( dt, dn, *(x.ref for x in self.o[d]))) self.holding[d] = 0 elif pos: # exiting can also happen after a number of days self.holding[d] += 1 if self.holding[d] >= self.p.hold[i]: o = self.close(data=d) self.o[d].append(o) # manual order to list of orders print('{} {} Manual Close {}'.format(dt, dn, o.ref)) if self.p.usebracket: self.cancel(self.o[d][1]) # cancel stop side print('{} {} Cancel {}'.format(dt, dn, self.o[d][1])) 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.YahooFinanceCSVData(dataname=args.data0, **kwargs) cerebro.adddata(data0, name='d0') data1 = bt.feeds.YahooFinanceCSVData(dataname=args.data1, **kwargs) data1.plotinfo.plotmaster = data0 cerebro.adddata(data1, name='d1') data2 = bt.feeds.YahooFinanceCSVData(dataname=args.data2, **kwargs) data2.plotinfo.plotmaster = data0 cerebro.adddata(data2, name='d2') # Broker cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')')) cerebro.broker.setcommission(commission=0.001) # Sizer # cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')')) cerebro.addsizer(TestSizer, **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=( 'Multiple Values and Brackets' ) ) parser.add_argument('--data0', default='../../datas/nvda-1999-2014.txt', required=False, help='Data0 to read in') parser.add_argument('--data1', default='../../datas/yhoo-1996-2014.txt', required=False, help='Data1 to read in') parser.add_argument('--data2', default='../../datas/orcl-1995-2014.txt', required=False, help='Data1 to read in') # Defaults for dates parser.add_argument('--fromdate', required=False, default='2001-01-01', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--todate', required=False, default='2007-01-01', 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() • 193
括号订单
原文：
www.backtrader.com/blog/posts/2017-04-01-bracket/bracket/
发行 1.9.37.116 版本添加了 bracket 订单，提供了由回测经纪人支持的非常广泛的订单范围（Market，Limit，Close，Stop，StopLimit，StopTrail，StopTrailLimit，OCO）
注意
这是为了 回测 和 交互经纪人 商店而实现的
bracket 订单不是单个订单，而实际上是由 3 个订单组成的。让我们考虑长边
- 主边
buy订单，通常设置为Limit或StopLimit订单 - 低边
sell订单，通常设置为Stop订单以限制损失 - 高边
sell订单，通常设置为Limit订单以获利
对于短边，相应的 sell 和 2 x buy 订单。
低/高边订单实际上确实围绕主边订单创建了一个括号。
为了加入一些逻辑，以下规则适用：
- 为了避免它们中的任何一个被独立触发，三个订单一起提交
- 低/高边订单标记为主边的子订单
- 直到主边执行完毕，子订单都不活跃
- 主边取消则低边和高边都取消
- 主边的执行激活了低边和高边
- 一旦活跃
- 任何低/高边订单的执行或取消都会自动取消另一个
使用模式
创建括号订单集的两种可能性
- 单次发行 3 个订单
- 手动发行 3 个订单
单次发行一个括号
backtrader 在 Strategy 中提供了两种控制 bracket 订单的新方法。
buy_bracket和sell_bracket
注意
签名和信息在下方或在 Strategy 参考部分。
通过一条语句完整发行 3 个订单集。例如：
brackets = self.buy_bracket(limitprice=14.00, price=13.50, stopprice=13.00)
注意 stopprice 和 limitprice 如何包裹主 price
这应该足够了。实际的目标 data 将是 data0，而 size 将由默认大小器自动确定。当然，可以指定许多其他参数以对执行进行精细控制。
返回值是：
- 包含 3 个订单的列表，顺序为
[main, stop, limit]
因为当发出 sell_bracket 订单时，低边和高边将被转向，参数按照惯例命名为 stop 和 limit
stop旨在停止损失（在长操作中是低边，在短操作中是高边）limit旨在获利（在长操作中是高边，在短操作中是低边）
手动发行一个括号
这涉及生成 3 个订单并调整 transmit 和 parent 参数。规则如下：
- 主边订单必须首先创建，且
transmit=False - 低/高边订单必须具有
parent=main_side_order - 要创建的第一个低/高边订单必须具有
transmit=False - 要创建的最后一个订单（低端或高端）设置
transmit=True
一个实际示例，执行上述单个命令所做的事情：
mainside = self.buy(price=13.50, exectype=bt.Order.Limit, transmit=False) lowside = self.sell(price=13.00, size=mainsize.size, exectype=bt.Order.Stop, transmit=False, parent=mainside) highside = self.sell(price=14.00, size=mainsize.size, exectype=bt.Order.Limit, transmit=True, parent=mainside)
还有很多事情要做：
- 跟踪
mainside的顺序以指示它是其他订单的父订单 - 控制
transmit以确保只有最后一个订单触发联合传输 - 指定执行类型
- 为低端和高端指定
size
因为size必须相同。如果参数没有手动指定，并且最终用户引入了一个 sizer，那么 sizer 实际上可能为订单指示一个不同的值。这就是为什么在为mainside订单设置后，必须手动添加到调用中的原因。
它的一个示例
运行下面的示例会产生以下输出（为简洁起见）
$ ./bracket.py --plot 2005-01-28: Oref 1 / Buy at 2941.11055 2005-01-28: Oref 2 / Sell Stop at 2881.99275 2005-01-28: Oref 3 / Sell Limit at 3000.22835 2005-01-31: Order ref: 1 / Type Buy / Status Submitted 2005-01-31: Order ref: 2 / Type Sell / Status Submitted 2005-01-31: Order ref: 3 / Type Sell / Status Submitted 2005-01-31: Order ref: 1 / Type Buy / Status Accepted 2005-01-31: Order ref: 2 / Type Sell / Status Accepted 2005-01-31: Order ref: 3 / Type Sell / Status Accepted 2005-02-01: Order ref: 1 / Type Buy / Status Expired 2005-02-01: Order ref: 2 / Type Sell / Status Canceled 2005-02-01: Order ref: 3 / Type Sell / Status Canceled ... 2005-08-11: Oref 16 / Buy at 3337.3892 2005-08-11: Oref 17 / Sell Stop at 3270.306 2005-08-11: Oref 18 / Sell Limit at 3404.4724 2005-08-12: Order ref: 16 / Type Buy / Status Submitted 2005-08-12: Order ref: 17 / Type Sell / Status Submitted 2005-08-12: Order ref: 18 / Type Sell / Status Submitted 2005-08-12: Order ref: 16 / Type Buy / Status Accepted 2005-08-12: Order ref: 17 / Type Sell / Status Accepted 2005-08-12: Order ref: 18 / Type Sell / Status Accepted 2005-08-12: Order ref: 16 / Type Buy / Status Completed 2005-08-18: Order ref: 17 / Type Sell / Status Completed 2005-08-18: Order ref: 18 / Type Sell / Status Canceled ... 2005-09-26: Oref 22 / Buy at 3383.92535 2005-09-26: Oref 23 / Sell Stop at 3315.90675 2005-09-26: Oref 24 / Sell Limit at 3451.94395 2005-09-27: Order ref: 22 / Type Buy / Status Submitted 2005-09-27: Order ref: 23 / Type Sell / Status Submitted 2005-09-27: Order ref: 24 / Type Sell / Status Submitted 2005-09-27: Order ref: 22 / Type Buy / Status Accepted 2005-09-27: Order ref: 23 / Type Sell / Status Accepted 2005-09-27: Order ref: 24 / Type Sell / Status Accepted 2005-09-27: Order ref: 22 / Type Buy / Status Completed 2005-10-04: Order ref: 24 / Type Sell / Status Completed 2005-10-04: Order ref: 23 / Type Sell / Status Canceled ...
显示了 3 种不同的结果：
- 在第 1 种情况下，主订单已过期，这自动取消了其他两个订单
- 在第 2 种情况下，主订单已完成，低端（在买入情况下为止损）已执行，限制损失
- 在第 3 种情况下，主订单已完成，高端（限价）已执行
这可以注意到，因为Completed的 id 分别为22和24，而high方订单是最后发出的，这意味着未执行的 low side 订单的 id 为 23。
视觉上
可以立即看到，亏损交易和盈利交易都围绕着相同的数值对齐，这就是 bracketing 的目的。控制双方。
运行示例手动发出 3 个订单，但可以告诉它使用buy_bracket。让我们看看输出：
$ ./bracket.py --strat usebracket=True
产生相同的结果
一些参考
查看新的buy_bracket和sell_bracket方法
def buy_bracket(self, data=None, size=None, price=None, plimit=None, exectype=bt.Order.Limit, valid=None, tradeid=0, trailamount=None, trailpercent=None, oargs={}, stopprice=None, stopexec=bt.Order.Stop, stopargs={}, limitprice=None, limitexec=bt.Order.Limit, limitargs={}, **kwargs): ''' Create a bracket order group (low side - buy order - high side). The default behavior is as follows: - Issue a **buy** order with execution ``Limit`` - Issue a *low side* bracket **sell** order with execution ``Stop`` - Issue a *high side* bracket **sell** order with execution ``Limit``. See below for the different parameters - ``data`` (default: ``None``) For which data the order has to be created. If ``None`` then the first data in the system, ``self.datas[0] or self.data0`` (aka ``self.data``) will be used - ``size`` (default: ``None``) Size to use (positive) of units of data to use for the order. If ``None`` the ``sizer`` instance retrieved via ``getsizer`` will be used to determine the size. **Note**: The same size is applied to all 3 orders of the bracket - ``price`` (default: ``None``) Price to use (live brokers may place restrictions on the actual format if it does not comply to minimum tick size requirements) ``None`` is valid for ``Market`` and ``Close`` orders (the market determines the price) For ``Limit``, ``Stop`` and ``StopLimit`` orders this value determines the trigger point (in the case of ``Limit`` the trigger is obviously at which price the order should be matched) - ``plimit`` (default: ``None``) Only applicable to ``StopLimit`` orders. This is the price at which to set the implicit *Limit* order, once the *Stop* has been triggered (for which ``price`` has been used) - ``trailamount`` (default: ``None``) If the order type is StopTrail or StopTrailLimit, this is an absolute amount which determines the distance to the price (below for a Sell order and above for a buy order) to keep the trailing stop - ``trailpercent`` (default: ``None``) If the order type is StopTrail or StopTrailLimit, this is a percentage amount which determines the distance to the price (below for a Sell order and above for a buy order) to keep the trailing stop (if ``trailamount`` is also specified it will be used) - ``exectype`` (default: ``bt.Order.Limit``) Possible values: (see the documentation for the method ``buy`` - ``valid`` (default: ``None``) Possible values: (see the documentation for the method ``buy`` - ``tradeid`` (default: ``0``) Possible values: (see the documentation for the method ``buy`` - ``oargs`` (default: ``{}``) Specific keyword arguments (in a ``dict``) to pass to the main side order. Arguments from the default ``**kwargs`` will be applied on top of this. - ``**kwargs``: additional broker implementations may support extra parameters. ``backtrader`` will pass the *kwargs* down to the created order objects Possible values: (see the documentation for the method ``buy`` **Note**: this ``kwargs`` will be applied to the 3 orders of a bracket. See below for specific keyword arguments for the low and high side orders - ``stopprice`` (default: ``None``) Specific price for the *low side* stop order - ``stopexec`` (default: ``bt.Order.Stop``) Specific execution type for the *low side* order - ``stopargs`` (default: ``{}``) Specific keyword arguments (in a ``dict``) to pass to the low side order. Arguments from the default ``**kwargs`` will be applied on top of this. - ``limitprice`` (default: ``None``) Specific price for the *high side* stop order - ``stopexec`` (default: ``bt.Order.Limit``) Specific execution type for the *high side* order - ``limitargs`` (default: ``{}``) Specific keyword arguments (in a ``dict``) to pass to the high side order. Arguments from the default ``**kwargs`` will be applied on top of this. Returns: - A list containing the 3 orders [order, stop side, limit side] ''' def sell_bracket(self, data=None, size=None, price=None, plimit=None, exectype=bt.Order.Limit, valid=None, tradeid=0, trailamount=None, trailpercent=None, oargs={}, stopprice=None, stopexec=bt.Order.Stop, stopargs={}, limitprice=None, limitexec=bt.Order.Limit, limitargs={}, **kwargs): ''' Create a bracket order group (low side - buy order - high side). The default behavior is as follows: - Issue a **sell** order with execution ``Limit`` - Issue a *high side* bracket **buy** order with execution ``Stop`` - Issue a *low side* bracket **buy** order with execution ``Limit``. See ``bracket_buy`` for the meaning of the parameters Returns: - A list containing the 3 orders [order, stop side, limit side] '''
示例用法
$ ./bracket.py --help usage: bracket.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: )
BackTrader 中文文档（十七）（4）https://developer.aliyun.com/article/1505389
