即使在相同的數據上運行，現在也可以為每筆交易添加唯一標識符。
根據Tick Data and Resampling 版本backtrader的請求，支持“MultiTrades”，即：為訂單分配tradeid的能力。此 id 被傳遞給Trades ，這使得有可能擁有不同類別的交易並同時打開它們。
可以在以下情況下指定tradeid ：
使用kwarg
tradeid調用 Strategy.buy/sell/close使用 kwarg tradeid 調用
tradeid使用 kwarg
tradeid創建 Order 實例
如果未指定，則默認值為：
-
tradeid = 0
為了測試一個小腳本已經實現，通過自定義MTradeObserver的實現來可視化結果，它根據tradeid在圖上分配不同的標記（用於測試值 0、1 和 2）
該腳本支持使用三個 id (0, 1, 2) 或簡單地使用 0 (默認)
不啟用多個 id 的執行：
$ ./multitrades.py --plot
結果圖表顯示所有交易的 id 0 ，因此無法區分。
第二次執行通過在 0、1 和 2 之間循環來啟用多重交易：
$ ./multitrades.py --plot --mtrade
現在 3 個不同的標記交替顯示每個交易可以使用tradeid成員進行區分。
筆記
backtrader嘗試使用模擬現實的模型。因此“交易”不是由只處理訂單的Broker實例計算的。
交易由策略計算。
因此，現實生活中的經紀人可能不支持tradeid （或類似的東西），在這種情況下，需要手動跟踪經紀人分配的唯一訂單 ID。
現在，自定義觀察者的代碼
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import math
import backtrader as bt
class MTradeObserver(bt.observer.Observer):
lines = ('Id_0', 'Id_1', 'Id_2')
plotinfo = dict(plot=True, subplot=True, plotlinelabels=True)
plotlines = dict(
Id_0=dict(marker='*', markersize=8.0, color='lime', fillstyle='full'),
Id_1=dict(marker='o', markersize=8.0, color='red', fillstyle='full'),
Id_2=dict(marker='s', markersize=8.0, color='blue', fillstyle='full')
)
def next(self):
for trade in self._owner._tradespending:
if trade.data is not self.data:
continue
if not trade.isclosed:
continue
self.lines[trade.tradeid][0] = trade.pnlcomm
主要腳本用法：
$ ./multitrades.py --help
usage: multitrades.py [-h] [--data DATA] [--fromdate FROMDATE]
[--todate TODATE] [--mtrade] [--period PERIOD]
[--onlylong] [--cash CASH] [--comm COMM] [--mult MULT]
[--margin MARGIN] [--stake STAKE] [--plot]
[--numfigs NUMFIGS]
MultiTrades
optional arguments:
-h, --help show this help message and exit
--data DATA, -d DATA data to add to the system
--fromdate FROMDATE, -f FROMDATE
Starting date in YYYY-MM-DD format
--todate TODATE, -t TODATE
Starting date in YYYY-MM-DD format
--mtrade Activate MultiTrade Ids
--period PERIOD Period to apply to the Simple Moving Average
--onlylong, -ol Do only long operations
--cash CASH Starting Cash
--comm COMM Commission for operation
--mult MULT Multiplier for futures
--margin MARGIN Margin for each future
--stake STAKE Stake to apply in each operation
--plot, -p Plot the read data
--numfigs NUMFIGS, -n NUMFIGS
Plot using numfigs figures
腳本的代碼。
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import itertools
# The above could be sent to an independent module
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
import mtradeobserver
class MultiTradeStrategy(bt.Strategy):
'''This strategy buys/sells upong the close price crossing
upwards/downwards a Simple Moving Average.
It can be a long-only strategy by setting the param "onlylong" to True
'''
params = dict(
period=15,
stake=1,
printout=False,
onlylong=False,
mtrade=False,
)
def log(self, txt, dt=None):
if self.p.printout:
dt = dt or self.data.datetime[0]
dt = bt.num2date(dt)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
# To control operation entries
self.order = None
# Create SMA on 2nd data
sma = btind.MovAv.SMA(self.data, period=self.p.period)
# Create a CrossOver Signal from close an moving average
self.signal = btind.CrossOver(self.data.close, sma)
# To alternate amongst different tradeids
if self.p.mtrade:
self.tradeid = itertools.cycle([0, 1, 2])
else:
self.tradeid = itertools.cycle([0])
def next(self):
if self.order:
return # if an order is active, no new orders are allowed
if self.signal > 0.0: # cross upwards
if self.position:
self.log('CLOSE SHORT , %.2f' % self.data.close[0])
self.close(tradeid=self.curtradeid)
self.log('BUY CREATE , %.2f' % self.data.close[0])
self.curtradeid = next(self.tradeid)
self.buy(size=self.p.stake, tradeid=self.curtradeid)
elif self.signal < 0.0:
if self.position:
self.log('CLOSE LONG , %.2f' % self.data.close[0])
self.close(tradeid=self.curtradeid)
if not self.p.onlylong:
self.log('SELL CREATE , %.2f' % self.data.close[0])
self.curtradeid = next(self.tradeid)
self.sell(size=self.p.stake, tradeid=self.curtradeid)
def notify_order(self, order):
if order.status in [bt.Order.Submitted, bt.Order.Accepted]:
return # Await further notifications
if order.status == order.Completed:
if order.isbuy():
buytxt = 'BUY COMPLETE, %.2f' % order.executed.price
self.log(buytxt, order.executed.dt)
else:
selltxt = 'SELL COMPLETE, %.2f' % order.executed.price
self.log(selltxt, order.executed.dt)
elif order.status in [order.Expired, order.Canceled, order.Margin]:
self.log('%s ,' % order.Status[order.status])
pass # Simply log
# Allow new orders
self.order = None
def notify_trade(self, trade):
if trade.isclosed:
self.log('TRADE PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
elif trade.justopened:
self.log('TRADE OPENED, SIZE %2d' % trade.size)
def runstrategy():
args = parse_args()
# Create a cerebro
cerebro = bt.Cerebro()
# Get the dates from the args
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
# Create the 1st data
data = btfeeds.BacktraderCSVData(
dataname=args.data,
fromdate=fromdate,
todate=todate)
# Add the 1st data to cerebro
cerebro.adddata(data)
# Add the strategy
cerebro.addstrategy(MultiTradeStrategy,
period=args.period,
onlylong=args.onlylong,
stake=args.stake,
mtrade=args.mtrade)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcash(args.cash)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcommission(commission=args.comm,
mult=args.mult,
margin=args.margin)
# Add the MultiTradeObserver
cerebro.addobserver(mtradeobserver.MTradeObserver)
# And run it
cerebro.run()
# Plot if requested
if args.plot:
cerebro.plot(numfigs=args.numfigs, volume=False, zdown=False)
def parse_args():
parser = argparse.ArgumentParser(description='MultiTrades')
parser.add_argument('--data', '-d',
default='../../datas/2006-day-001.txt',
help='data to add to the system')
parser.add_argument('--fromdate', '-f',
default='2006-01-01',
help='Starting date in YYYY-MM-DD format')
parser.add_argument('--todate', '-t',
default='2006-12-31',
help='Starting date in YYYY-MM-DD format')
parser.add_argument('--mtrade', action='store_true',
help='Activate MultiTrade Ids')
parser.add_argument('--period', default=15, type=int,
help='Period to apply to the Simple Moving Average')
parser.add_argument('--onlylong', '-ol', action='store_true',
help='Do only long operations')
parser.add_argument('--cash', default=100000, type=int,
help='Starting Cash')
parser.add_argument('--comm', default=2, type=float,
help='Commission for operation')
parser.add_argument('--mult', default=10, type=int,
help='Multiplier for futures')
parser.add_argument('--margin', default=2000.0, type=float,
help='Margin for each future')
parser.add_argument('--stake', default=1, type=int,
help='Stake to apply in each operation')
parser.add_argument('--plot', '-p', action='store_true',
help='Plot the read data')
parser.add_argument('--numfigs', '-n', default=1,
help='Plot using numfigs figures')
return parser.parse_args()
if __name__ == '__main__':
runstrategy()