BackTrader 中文文档（二十八）（1）-阿里云开发者社区

原文：www.backtrader.com/

订单管理和执行

原文：www.backtrader.com/blog/posts/2015-08-08-order-creation-execution/order-creation-execution/

回测，因此 backtrader，如果不能模拟订单，将不完整。为此，平台提供了以下功能。

对于订单管理有 3 个原语：

购买
卖出
取消

注意

update原语显然是一种逻辑，但常识告诉我们，这种方法主要由使用判断性交易方法的手动操作员使用。

对于订单执行逻辑，以下执行类型：

市价
关闭
限价
停止
StopLimit

订单管理

主要目标是易于使用，因此进行订单管理的最直接（和简单）的方法是从策略本身开始。

buy和self原语具有以下签名作为Strategy方法：

def buy(self, data=None, size=None, price=None, plimit=None, exectype=None, valid=None):
def buy(self, data=None, size=None, price=None, exectype=None, valid=None)

data -> 数据源引用，用于购买的资产

如果传递None，则策略的主要数据将用作目标

size -> 确定要应用的股份的 int/long

如果传递None，则策略中可用的Sizer将被用于自动确定股份。默认的Sizer使用固定状态1

price -> 对于Market将被忽略并且可以留空，但对于其他订单类型必须是浮点数。如果留空，则将使用当前收盘价
plimit -> 在StopLimit订单中的限价，其中price将被用作触发价格

如果留空，则price将被用作限价（触发和限价相同）

exectype -> 订单执行类型之一。如果传递None，则将假定为Market

执行类型在Order中被枚举。例如：Order.Limit

valid -> 从 date2num（或数据源）获取的浮点值或 datetime.datetime Python 对象

注意：Market订单将在不考虑valid参数的情况下执行
返回值：一个Order实例
def sell(self, data=None, size=None, price=None, exectype=None, valid=None)

因为取消订单只需要buy或self返回的order引用，所以经纪人的原语可以使用（见下文）

一些例子：

# buy the main date, with sizer default stake, Market order
order = self.buy()
# Market order - valid will be "IGNORED"
order = self.buy(valid=datetime.datetime.now() + datetime.timedelta(days=3))
# Market order - price will be IGNORED
order = self.buy(price=self.data.close[0] * 1.02)
# Market order - manual stake
order = self.buy(size=25)
# Limit order - want to set the price and can set a validity
order = self.buy(exectype=Order.Limit,
                 price=self.data.close[0] * 1.02,
                 valid=datetime.datetime.now() + datetime.timedelta(days=3)))
# StopLimit order - want to set the price, price limit
order = self.buy(exectype=Order.StopLimit,
                 price=self.data.close[0] * 1.02,
                 plimit=self.data.close[0] * 1.07)
# Canceling an existing order
self.broker.cancel(order)

注意

所有订单类型都可以通过创建Order实例（或其子类之一），然后通过以下方式传递给经纪人：

order = self.broker.submit(order)

注意

broker本身有buy和sell原语，但对于默认参数要求更严格。

订单执行逻辑

broker使用 2 个主要准则（假设？）进行订单执行。

当前数据已经发生，不能用于执行订单。
如果策略中的逻辑如下：

if self.data.close > self.sma:  # where sma is a Simple Moving Average
     self.buy()
The expectation CANNOT be that the order will be executed with the
``close`` price which is being examined in the logic BECAUSE it has already
happened.
The order CAN BE 1st EXECUTED withing the bounds of the next set of
Open/High/Low/Close price points (and the conditions set forth herein by
the order)`

交易量不起作用
实际上，在真实交易中，如果交易员选择非流动性资产，或者精确地击中了价格条的极值（高/低），订单将被取消。
但是击中高/低点是个罕见的事件（如果你这么做…你就不需要backtrader了），并且所选择的资产将有足够的流动性来吸收任何常规交易的订单

市场

执行：

下一个一组 Open/High/Low/Close 价格（通常称为bar）的开盘价

理由：

如果逻辑在时间点 X 执行并发出了Market订单，则接下来会发生的价格点是即将到来的open价格

注意

这个订单总是执行，忽略任何用于创建它的price和valid参数

关闭

执行：

当下一个价格条实际上关闭时，使用下一个价格条的close价格

理由：

大多数回测数据源已经包含了已关闭的价格条，订单将立即执行，使用下一个价格条的close价格。每日数据源是最常见的例子。

但是系统可以被喂入“tick”价格，实际的条（按时间/日期）正在不断地随着新的 ticks 更新，而实际上并没有移动到下一个条（因为时间和/或日期没有改变）

只有当时间或日期改变时，条才会实际上被关闭，订单才会执行

限价

执行：

订单创建时设置的price，如果data触及它，则从下一个价格条开始。

如果设置了valid并且到达了时间点，订单将被取消

价格匹配：

backtrader试图为Limit订单提供最真实的执行价格。

使用 4 个价格点（Open/High/Low/Close），可以部分推断请求的price是否可以改善。

对于Buy订单

- Case 1:
  If the `open` price of the bar is below the limit price the order
  executes immediately with the `open` price. The order has been swept
  during the opening phase of the session
- Case 2:
  If the `open` price has not penetrated below the limit price but the
  `low` price is below the limit price, then the limit price has been
  seen during the session and the order can be executed

对于Sell订单，逻辑显然是相反的。

止损

执行：

订单创建时设置的触发器price，如果data触及它，则从下一个价格条开始。

如果设置了valid并且到达了时间点，订单将被取消

价格匹配：

backtrader试图为Stop订单提供最真实的触发价格。

使用 4 个价格点（Open/High/Low/Close），可以部分推断请求的price是否可以改善。

对于\Stoporders whichBuy`

- Case 1:
  If the `open` price of the bar is above the stop price the order is
  executed immediately with the `open` price.
  Intended to stop a loss if the price is moving upwards against an
  existing short position
- Case 2:
  If the `open` price has not penetrated above the stop price but the
  `high` price is above the stop price, then the stop price has been
  seen during the session and the order can be executed

对于Sell订单，逻辑显然是相反的。

止损限价

执行：

触发器price设置了订单的启动，从下一个价格条开始。

价格匹配：

触发器：使用Stop匹配逻辑（但仅触发并将订单转换为Limit订单）
限制：使用Limit价格匹配逻辑

一些样本

像往常一样，图片（带代码）价值数百万长的解释。请注意，代码片段集中在订单创建部分。完整代码在底部。

一个价格高于/低于简单移动平均线策略将用于生成买入/卖出信号

信号在图表底部可见：使用交叉指标的CrossOver。

仅保留对生成的“买入”订单的引用，以允许系统中最多只有一个同时订单。

执行类型：市价

请在图表中查看订单如何在生成信号后一根棒棒后以开盘价执行。

if self.p.exectype == 'Market':
                self.buy(exectype=bt.Order.Market)  # default if not given
                self.log('BUY CREATE, exectype Market, price %.2f' %
                         self.data.close[0])

输出图表。

命令行和输出：

$ ./order-execution-samples.py --exectype Market
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Market, price 3641.42
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59+00:00, BUY EXECUTED, Price: 3643.35, Cost: 3643.35, Comm 0.00
2006-03-02T23:59:59+00:00, SELL CREATE, 3763.73
2006-03-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59+00:00, SELL EXECUTED, Price: 3763.95, Cost: 3763.95, Comm 0.00
...
...
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Market, price 4052.89
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-12T23:59:59+00:00, BUY EXECUTED, Price: 4052.55, Cost: 4052.55, Comm 0.00

执行类型：收盘

注意

在Issue＃11之后，创建了一个开发分支，更新了图表和输出。错误的收盘价格被使用。

现在订单也是在信号后一根棒棒后执行，但是使用的是收盘价。

elif self.p.exectype == 'Close':
                self.buy(exectype=bt.Order.Close)
                self.log('BUY CREATE, exectype Close, price %.2f' %
                         self.data.close[0])

输出图表。

命令行和输出：

$ ./order-execution-samples.py --exectype Close
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Close, price 3641.42
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59+00:00, BUY EXECUTED, Price: 3685.48, Cost: 3685.48, Comm 0.00
2006-03-02T23:59:59+00:00, SELL CREATE, 3763.73
2006-03-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59+00:00, SELL EXECUTED, Price: 3763.95, Cost: 3763.95, Comm 0.00
...
...
2006-11-06T23:59:59+00:00, BUY CREATE, exectype Close, price 4045.22
2006-11-06T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-07T23:59:59+00:00, BUY EXECUTED, Price: 4072.86, Cost: 4072.86, Comm 0.00
2006-11-24T23:59:59+00:00, SELL CREATE, 4048.16
2006-11-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-27T23:59:59+00:00, SELL EXECUTED, Price: 4045.05, Cost: 4045.05, Comm 0.00
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Close, price 4052.89
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-12T23:59:59+00:00, BUY EXECUTED, Price: 4059.74, Cost: 4059.74, Comm 0.00

执行类型：限价

在几行之前计算有效性以防已作为参数传递。

if self.p.valid:
                valid = self.data.datetime.date(0) + \
                        datetime.timedelta(days=self.p.valid)
            else:
                valid = None

设置了信号生成价格（信号条的收盘价）下跌 1％的限价。请注意，这阻止了上面许多订单的执行。

elif self.p.exectype == 'Limit':
                price = self.data.close * (1.0 - self.p.perc1 / 100.0)
                self.buy(exectype=bt.Order.Limit, price=price, valid=valid)
                if self.p.valid:
                    txt = 'BUY CREATE, exectype Limit, price %.2f, valid: %s'
                    self.log(txt % (price, valid.strftime('%Y-%m-%d')))
                else:
                    txt = 'BUY CREATE, exectype Limit, price %.2f'
                    self.log(txt % price)

输出图表。

仅发布了 4 个订单。尝试捕捉小幅度下跌的价格完全改变了输出。

命令行和输出：

$ ./order-execution-samples.py --exectype Limit --perc1 1
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Limit, price 3605.01
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-05-18T23:59:59+00:00, BUY EXECUTED, Price: 3605.01, Cost: 3605.01, Comm 0.00
2006-06-05T23:59:59+00:00, SELL CREATE, 3604.33
2006-06-05T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-06T23:59:59+00:00, SELL EXECUTED, Price: 3598.58, Cost: 3598.58, Comm 0.00
2006-06-21T23:59:59+00:00, BUY CREATE, exectype Limit, price 3491.57
2006-06-21T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-28T23:59:59+00:00, BUY EXECUTED, Price: 3491.57, Cost: 3491.57, Comm 0.00
2006-07-13T23:59:59+00:00, SELL CREATE, 3562.56
2006-07-13T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-07-14T23:59:59+00:00, SELL EXECUTED, Price: 3545.92, Cost: 3545.92, Comm 0.00
2006-07-24T23:59:59+00:00, BUY CREATE, exectype Limit, price 3596.60
2006-07-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED

执行类型：限价与有效期

为了不会永远等待一个限价订单，该订单仅在 4（日历）天内有效，该订单可能只有在价格对“买入”订单不利时才执行。

输出图表。

更多订单已生成，但除了一个“买入”订单过期外，其他所有订单都过期了，进一步限制了操作数量。

命令行和输出：

$ ./order-execution-samples.py --exectype Limit --perc1 1 --valid 4
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Limit, price 3605.01, valid: 2006-01-30
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-30T23:59:59+00:00, BUY EXPIRED
2006-03-10T23:59:59+00:00, BUY CREATE, exectype Limit, price 3760.48, valid: 2006-03-14
2006-03-10T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-14T23:59:59+00:00, BUY EXPIRED
2006-03-30T23:59:59+00:00, BUY CREATE, exectype Limit, price 3835.86, valid: 2006-04-03
2006-03-30T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-04-03T23:59:59+00:00, BUY EXPIRED
2006-04-20T23:59:59+00:00, BUY CREATE, exectype Limit, price 3821.40, valid: 2006-04-24
2006-04-20T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-04-24T23:59:59+00:00, BUY EXPIRED
2006-05-04T23:59:59+00:00, BUY CREATE, exectype Limit, price 3804.65, valid: 2006-05-08
2006-05-04T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-05-08T23:59:59+00:00, BUY EXPIRED
2006-06-01T23:59:59+00:00, BUY CREATE, exectype Limit, price 3611.85, valid: 2006-06-05
2006-06-01T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-05T23:59:59+00:00, BUY EXPIRED
2006-06-21T23:59:59+00:00, BUY CREATE, exectype Limit, price 3491.57, valid: 2006-06-25
2006-06-21T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-06-26T23:59:59+00:00, BUY EXPIRED
2006-07-24T23:59:59+00:00, BUY CREATE, exectype Limit, price 3596.60, valid: 2006-07-28
2006-07-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-07-28T23:59:59+00:00, BUY EXPIRED
2006-09-12T23:59:59+00:00, BUY CREATE, exectype Limit, price 3751.07, valid: 2006-09-16
2006-09-12T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-09-18T23:59:59+00:00, BUY EXPIRED
2006-09-20T23:59:59+00:00, BUY CREATE, exectype Limit, price 3802.90, valid: 2006-09-24
2006-09-20T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-09-22T23:59:59+00:00, BUY EXECUTED, Price: 3802.90, Cost: 3802.90, Comm 0.00
2006-11-02T23:59:59+00:00, SELL CREATE, 3974.62
2006-11-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-03T23:59:59+00:00, SELL EXECUTED, Price: 3979.73, Cost: 3979.73, Comm 0.00
2006-11-06T23:59:59+00:00, BUY CREATE, exectype Limit, price 4004.77, valid: 2006-11-10
2006-11-06T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-10T23:59:59+00:00, BUY EXPIRED
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Limit, price 4012.36, valid: 2006-12-15
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-15T23:59:59+00:00, BUY EXPIRED

执行类型：止损

设置了信号价格上涨 1％的止损价。这意味着策略仅在生成信号并价格继续上涨时购买，这可以被解释为强势信号。

这完全改变了执行情况。

elif self.p.exectype == 'Stop':
                price = self.data.close * (1.0 + self.p.perc1 / 100.0)
                self.buy(exectype=bt.Order.Stop, price=price, valid=valid)
                if self.p.valid:
                    txt = 'BUY CREATE, exectype Stop, price %.2f, valid: %s'
                    self.log(txt % (price, valid.strftime('%Y-%m-%d')))
                else:
                    txt = 'BUY CREATE, exectype Stop, price %.2f'
                    self.log(txt % price)

输出图表。

命令行和输出：

$ ./order-execution-samples.py --exectype Stop --perc1 1
2006-01-26T23:59:59+00:00, BUY CREATE, exectype Stop, price 3677.83
2006-01-26T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59+00:00, BUY EXECUTED, Price: 3677.83, Cost: 3677.83, Comm 0.00
2006-03-02T23:59:59+00:00, SELL CREATE, 3763.73
2006-03-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59+00:00, SELL EXECUTED, Price: 3763.95, Cost: 3763.95, Comm 0.00
2006-03-10T23:59:59+00:00, BUY CREATE, exectype Stop, price 3836.44
2006-03-10T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-15T23:59:59+00:00, BUY EXECUTED, Price: 3836.44, Cost: 3836.44, Comm 0.00
2006-03-28T23:59:59+00:00, SELL CREATE, 3811.45
2006-03-28T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-03-29T23:59:59+00:00, SELL EXECUTED, Price: 3811.85, Cost: 3811.85, Comm 0.00
2006-03-30T23:59:59+00:00, BUY CREATE, exectype Stop, price 3913.36
2006-03-30T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-09-29T23:59:59+00:00, BUY EXECUTED, Price: 3913.36, Cost: 3913.36, Comm 0.00
2006-11-02T23:59:59+00:00, SELL CREATE, 3974.62
2006-11-02T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-03T23:59:59+00:00, SELL EXECUTED, Price: 3979.73, Cost: 3979.73, Comm 0.00
2006-11-06T23:59:59+00:00, BUY CREATE, exectype Stop, price 4085.67
2006-11-06T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-13T23:59:59+00:00, BUY EXECUTED, Price: 4085.67, Cost: 4085.67, Comm 0.00
2006-11-24T23:59:59+00:00, SELL CREATE, 4048.16
2006-11-24T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-11-27T23:59:59+00:00, SELL EXECUTED, Price: 4045.05, Cost: 4045.05, Comm 0.00
2006-12-11T23:59:59+00:00, BUY CREATE, exectype Stop, price 4093.42
2006-12-11T23:59:59+00:00, ORDER ACCEPTED/SUBMITTED
2006-12-13T23:59:59+00:00, BUY EXECUTED, Price: 4093.42, Cost: 4093.42, Comm 0.00

BackTrader 中文文档（二十八）（2）https://developer.aliyun.com/article/1505487

BackTrader 中文文档（二十八）（1）

订单管理和执行

订单管理

订单执行逻辑

市场

关闭

限价

止损

止损限价

一些样本

执行类型：市价

执行类型：收盘

执行类型：限价

执行类型：限价与有效期

执行类型：止损

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