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Update to enable tracking id from order to trade #199

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a9cb1ca
Update to enable tracking id from order to trade
qacollective Dec 16, 2020
f322f51
Further update to pass flake8 linting verification
qacollective Dec 16, 2020
693feef
Change id to tag, add typing, fix pep8
qacollective Dec 17, 2020
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63 changes: 50 additions & 13 deletions backtesting/backtesting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -47,6 +47,7 @@ class Strategy(metaclass=ABCMeta):
`backtesting.backtesting.Strategy.next` to define
your own strategy.
"""

def __init__(self, broker, data, params):
self._indicators = []
self._broker: _Broker = broker
Expand Down Expand Up @@ -193,30 +194,32 @@ def buy(self, *,
limit: float = None,
stop: float = None,
sl: float = None,
tp: float = None):
tp: float = None,
tag: object = None):
"""
Place a new long order. For explanation of parameters, see `Order` and its properties.

See also `Strategy.sell()`.
"""
assert 0 < size < 1 or round(size) == size, \
"size must be a positive fraction of equity, or a positive whole number of units"
return self._broker.new_order(size, limit, stop, sl, tp)
return self._broker.new_order(size, limit, stop, sl, tp, tag)

def sell(self, *,
size: float = 1 - sys.float_info.epsilon,
limit: float = None,
stop: float = None,
sl: float = None,
tp: float = None):
tp: float = None,
tag: object = None):
"""
Place a new short order. For explanation of parameters, see `Order` and its properties.

See also `Strategy.buy()`.
"""
assert 0 < size < 1 or round(size) == size, \
"size must be a positive fraction of equity, or a positive whole number of units"
return self._broker.new_order(-size, limit, stop, sl, tp)
return self._broker.new_order(-size, limit, stop, sl, tp, tag)

@property
def equity(self) -> float:
Expand Down Expand Up @@ -277,6 +280,7 @@ class _Orders(tuple):
"""
TODO: remove this class. Only for deprecation.
"""

def cancel(self):
"""Cancel all non-contingent (i.e. SL/TP) orders."""
for order in self:
Expand Down Expand Up @@ -304,6 +308,7 @@ class Position:
if self.position:
... # we have a position, either long or short
"""

def __init__(self, broker: '_Broker'):
self.__broker = broker

Expand Down Expand Up @@ -368,13 +373,15 @@ class Order:
[filled]: https://www.investopedia.com/terms/f/fill.asp
[Good 'Til Canceled]: https://www.investopedia.com/terms/g/gtc.asp
"""

def __init__(self, broker: '_Broker',
size: float,
limit_price: float = None,
stop_price: float = None,
sl_price: float = None,
tp_price: float = None,
parent_trade: 'Trade' = None):
parent_trade: 'Trade' = None,
tag: object = None):
self.__broker = broker
assert size != 0
self.__size = size
Expand All @@ -383,6 +390,7 @@ def __init__(self, broker: '_Broker',
self.__sl_price = sl_price
self.__tp_price = tp_price
self.__parent_trade = parent_trade
self.__tag = tag

def _replace(self, **kwargs):
for k, v in kwargs.items():
Expand All @@ -398,6 +406,7 @@ def __repr__(self):
('sl', self.__sl_price),
('tp', self.__tp_price),
('contingent', self.is_contingent),
('tag', self.__tag),
) if value is not None))

def cancel(self):
Expand Down Expand Up @@ -468,6 +477,15 @@ def tp(self) -> Optional[float]:
def parent_trade(self):
return self.__parent_trade

@property
def tag(self) -> Optional[object]:
"""
An attribute which, if set, persists to enable tracking of this order
by an external identifier if it becomes a trade in `Strategy.trades`
and when closed in `Strategy.closed_trades`.
"""
return self.__tag

__pdoc__['Order.parent_trade'] = False

# Extra properties
Expand Down Expand Up @@ -502,7 +520,8 @@ class Trade:
When an `Order` is filled, it results in an active `Trade`.
Find active trades in `Strategy.trades` and closed, settled trades in `Strategy.closed_trades`.
"""
def __init__(self, broker: '_Broker', size: int, entry_price: float, entry_bar):

def __init__(self, broker: '_Broker', size: int, entry_price: float, entry_bar, tag: object):
self.__broker = broker
self.__size = size
self.__entry_price = entry_price
Expand All @@ -511,10 +530,12 @@ def __init__(self, broker: '_Broker', size: int, entry_price: float, entry_bar):
self.__exit_bar: Optional[int] = None
self.__sl_order: Optional[Order] = None
self.__tp_order: Optional[Order] = None
self.__tag = tag

def __repr__(self):
return f'<Trade size={self.__size} time={self.__entry_bar}-{self.__exit_bar or ""} ' \
f'price={self.__entry_price}-{self.__exit_price or ""} pl={self.pl:.0f}>'
f'price={self.__entry_price}-{self.__exit_price or ""} pl={self.pl:.0f}' \
f'{" tag="+str(self.__tag) if self.__tag is not None else ""}>'

def _replace(self, **kwargs):
for k, v in kwargs.items():
Expand All @@ -528,7 +549,7 @@ def close(self, portion: float = 1.):
"""Place new `Order` to close `portion` of the trade at next market price."""
assert 0 < portion <= 1, "portion must be a fraction between 0 and 1"
size = copysign(max(1, round(abs(self.__size) * portion)), -self.__size)
order = Order(self.__broker, size, parent_trade=self)
order = Order(self.__broker, size, parent_trade=self, tag=self.__tag)
self.__broker.orders.insert(0, order)

# Fields getters
Expand Down Expand Up @@ -561,6 +582,15 @@ def exit_bar(self) -> Optional[int]:
"""
return self.__exit_bar

@property
def tag(self) -> Optional[object]:
"""
A tag attribute optionally set when placing an order with
`Strategy.buy()` or `Strategy.sell()`.
See `Order.tag`.
"""
return self.__tag

@property
def _sl_order(self):
return self.__sl_order
Expand Down Expand Up @@ -652,7 +682,7 @@ def __set_contingent(self, type, price):
order.cancel()
if price:
kwargs = dict(stop=price) if type == 'sl' else dict(limit=price)
order = self.__broker.new_order(-self.size, trade=self, **kwargs)
order = self.__broker.new_order(-self.size, trade=self, tag=self.tag, **kwargs)
setattr(self, attr, order)


Expand Down Expand Up @@ -685,6 +715,7 @@ def new_order(self,
stop: float = None,
sl: float = None,
tp: float = None,
tag: object = None,
*,
trade: Trade = None):
"""
Expand All @@ -710,7 +741,7 @@ def new_order(self,
"Short orders require: "
f"TP ({tp}) < LIMIT ({limit or stop or adjusted_price}) < SL ({sl})")

order = Order(self, size, limit, stop, sl, tp, trade)
order = Order(self, size, limit, stop, sl, tp, trade, tag)
# Put the new order in the order queue,
# inserting SL/TP/trade-closing orders in-front
if trade:
Expand Down Expand Up @@ -890,7 +921,12 @@ def _process_orders(self):

# Open a new trade
if need_size:
self._open_trade(adjusted_price, need_size, order.sl, order.tp, time_index)
self._open_trade(adjusted_price,
need_size,
order.sl,
order.tp,
time_index,
order.tag)

# We need to reprocess the SL/TP orders newly added to the queue.
# This allows e.g. SL hitting in the same bar the order was open.
Expand Down Expand Up @@ -948,8 +984,8 @@ def _close_trade(self, trade: Trade, price: float, time_index: int):
self.closed_trades.append(trade._replace(exit_price=price, exit_bar=time_index))
self._cash += trade.pl

def _open_trade(self, price: float, size: int, sl: float, tp: float, time_index: int):
trade = Trade(self, size, price, time_index)
def _open_trade(self, price: float, size: int, sl: float, tp: float, time_index: int, tag: object):
trade = Trade(self, size, price, time_index, tag)
self.trades.append(trade)
# Create SL/TP (bracket) orders.
# Make sure SL order is created first so it gets adversarially processed before TP order
Expand All @@ -971,6 +1007,7 @@ class Backtest:
instance, or `backtesting.backtesting.Backtest.optimize` to
optimize it.
"""

def __init__(self,
data: pd.DataFrame,
strategy: Type[Strategy],
Expand Down