python - Backtrader : order created, 我希望订单立即执行(而不是第二天)，该怎么做？

Question

我对 backtrader 相当陌生，我不太明白它是如何工作的。我的代码相当简单，如下所示:

    class TestStrategy(bt.Strategy):
        params = (
            ('maperiod', 60),
        )

        def log(self, txt, dt=None):
            ''' Logging function for this strategy'''
            dt = dt or self.datas[0].datetime.date(0)
            print('%s, %s' % (dt.isoformat(), txt))

        def __init__(self):
            # Keep a reference to the "close" line in the data[0] dataseries
            self.dataclose = self.datas[0].close
            self.data_cpa = self.datas[0].high
            self.data_cpb = self.datas[0].low


            self.order = None
            self.buyprice = None
            self.buycomm = None

            self.sma = bt.indicators.SimpleMovingAverage(
            self.datas[0], period=self.params.maperiod)

        def next(self):
            # Simply log the closing price of the series from the reference
            self.log('Close, %.8f' % self.dataclose[0])


            if self.dataclose[0] >= self.sma[0]:

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.8f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy()
            else:

                if self.dataclose[0] <= self.sma[0]:
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    self.log('SELL CREATE, %.8f' % self.dataclose[0])

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell()
                    print(self.order)



if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(TestStrategy)

    # retrieve the csv file
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, './datas/zrxeth_sample.txt')

    # Create a Data Feed
    data = bt.feeds.GenericCSVData(
    dataname = datapath,

    fromdate=datetime.datetime(2018, 9, 28),
    todate=datetime.datetime(2018, 12, 3),

    nullvalue=0.0,

    dtformat=('%Y-%m-%d %H:%M:%S'),

        datetime=0,
        high=1,
        low=2,
        open=3,
        close=4,
        volume=5,
        openinterest=-1
    )

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(100.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.8f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.8f' % cerebro.broker.getvalue())

当我执行 print(self.order) 时，它将订单状态打印为“已提交”，1)我如何知道以什么价格以及何时执行？2)如何确保只有在最后一个订单(卖出)执行后才进入市场(买方)？谢谢!!

Answer 1

尝试在 def init(self): 代码块之后添加此内容

    def notify_order(self, order):
    if order.status in [order.Submitted, order.Accepted]:
        # Buy/Sell order submitted/accepted to/by broker - Nothing to do
        return

    # Check if an order has been completed
    # Attention: broker could reject order if not enough cash
    if 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))

            self.buyprice = order.executed.price
            self.buycomm = order.executed.comm
        else:  # Sell
            self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                     (order.executed.price,
                      order.executed.value,
                      order.executed.comm))

        self.bar_executed = len(self)

    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        self.log('Order Canceled/Margin/Rejected')
    self.order = None

def notify_trade(self, trade):
    if not trade.isclosed:
        return

    self.log('GROSS %.2f, NET %.2f' %
             (trade.pnl, trade.pnlcomm))