OCO订单 #
使用模式尽量保持简单。因此，如果策略中的逻辑决定是时候发布订单，可以像这样使用 OCO：
def next(self):
...
o1 = self.buy(...)
...
o2 = self.buy(..., oco=o1)
...
o3 = self.buy(..., oco=o1) # 甚至可以是oco=o2，o2已经在o1组中
很简单，第一个订单 o1 将成为组长。通过指定 oco 命名参数，o2 和 o3 成为 OCO 组的一部分。请注意，代码注释指出 o3 也可以通过指定 o2 成为组的一部分（o2已经是组的一部分）。
一旦成功组成组后，如果组中的任何订单被执行、取消或过期，其他订单将被取消。
下面的示例展示了OCO概念。一个标准执行并绘图：
$ ./oco.py --broker cash=50000 --plot
注意
现金增加到50000，因为资产价值达到4000，3个订单的1个项目至少需要12000货币单位（经纪商默认值为10000）。
以下图表实际上没有提供太多信息（这是一个标准的SMA交叉策略）。
示例执行，当快速SMA上穿慢速SMA时，发布3个订单。
- order1是一个限价订单，在limdays天后到期，限价为收盘价减少一个百分比。
- order2是一个期限更长、限价更低的限价订单。
- order3是一个限价更低的限价订单。
因此，order2 和 order3 不会执行，因为：
- order1将首先执行，这将触发其他订单的取消。
- 或者order1将过期，这将触发其他订单的取消。
系统保存了3个订单的ref标识符，并且只有在notify_order中看到三个ref标识符分别为Completed、Cancelled、Margin或Expired时，才会发布新买单。
退出是在持有一段时间后后简单完成的。
为了跟踪实际执行，生成文本输出。部分内容如下：
2005-01-28: Oref 1 / Buy at 2941.11055
2005-01-28: Oref 2 / Buy at 2896.7722
2005-01-28: Oref 3 / Buy at 2822.87495
2005-01-31: Order ref: 1 / Type Buy / Status Submitted
2005-01-31: Order ref: 2 / Type Buy / Status Submitted
2005-01-31: Order ref: 3 / Type Buy / Status Submitted
2005-01-31: Order ref: 1 / Type Buy / Status Accepted
2005-01-31: Order ref: 2 / Type Buy / Status Accepted
2005-01-31: Order ref: 3 / Type Buy / Status Accepted
2005-02-01: Order ref: 1 / Type Buy / Status Expired
2005-02-01: Order ref: 3 / Type Buy / Status Canceled
2005-02-01: Order ref: 2 / Type Buy / Status Canceled
...
2006-06-23: Oref 49 / Buy at 3532.39925
2006-06-23: Oref 50 / Buy at 3479.147
2006-06-23: Oref 51 / Buy at 3390.39325
2006-06-26: Order ref: 49 / Type Buy / Status Submitted
2006-06-26: Order ref: 50 / Type Buy / Status Submitted
2006-06-26: Order ref: 51 / Type Buy / Status Submitted
2006-06-26: Order ref: 49 / Type Buy / Status Accepted
2006-06-26: Order ref: 50 / Type Buy / Status Accepted
2006-06-26: Order ref: 51 / Type Buy / Status Accepted
2006-06-26: Order ref: 49 / Type Buy / Status Completed
2006-06-26: Order ref: 51 / Type Buy / Status Canceled
2006-06-26: Order ref: 50 / Type Buy / Status Canceled
...
2006-11-10: Order ref: 61 / Type Buy / Status Canceled
2006-12-11: Oref 63 / Buy at 4032.62555
2006-12-11: Oref 64 / Buy at 3971.8322
2006-12-11: Oref 65 / Buy at 3870.50995
2006-12-12: Order ref: 63 / Type Buy / Status Submitted
2006-12-12: Order ref: 64 / Type Buy / Status Submitted
2006-12-12: Order ref: 65 / Type Buy / Status Submitted
2006-12-12: Order ref: 63 / Type Buy / Status Accepted
2006-12-12: Order ref: 64 / Type Buy / Status Accepted
2006-12-12: Order ref: 65 / Type Buy / Status Accepted
2006-12-15: Order ref: 63 / Type Buy / Status Expired
2006-12-15: Order ref: 65 / Type Buy / Status Canceled
2006-12-15: Order ref: 64 / Type Buy / Status Canceled
以下情况发生：
- 第一批订单发布。订单1到期，订单2和3被取消。预期结果。
- 几个月后发布另一批3个订单。在这种情况下，订单49完成，订单50和51立即取消。
- 最后一批订单与第一批订单相同。
现在检查不使用 OCO 的行为：
$ ./oco.py --strat do_oco=False --broker cash=50000
2005-01-28: Oref 1 / Buy at 2941.11055
2005-01-28: Oref 2 / Buy at 2896.7722
2005-01-28: Oref 3 / Buy at 2822.87495
2005-01-31: Order ref: 1 / Type Buy / Status Submitted
2005-01-31: Order ref: 2 / Type Buy / Status Submitted
2005-01-31: Order ref: 3 / Type Buy / Status Submitted
2005-01-31: Order ref: 1 / Type Buy / Status Accepted
2005-01-31: Order ref: 2 / Type Buy / Status Accepted
2005-01-31: Order ref: 3 / Type Buy / Status Accepted
2005-02-01: Order ref: 1 / Type Buy / Status Expired
结果不多（没有订单执行，图表也没有太多需求）。
发布了一批订单。
订单1过期，但因为策略参数 do_oco =False，订单2和3未加入OCO组，因此订单2和3未被取消，由于默认到期时间为1000天，样本可用数据（2年数据）内它们永不过期。
系统从未发布第二批订单。
示例使用 #
$ ./oco.py --help
usage: oco.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: )
示例代码 #
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import backtrader as bt
class St(bt.Strategy):
params = dict(
ma=bt.ind.SMA,
p1=5,
p2=15,
limit=0.005,
limdays=3,
limdays2=1000,
hold=10,
switchp1p2=False, # switch prices of order1 and order2
oco1oco2=False,
# False - use order1 as oco for order3, else order2
do_oco=True, # use oco or not
)
def notify_order(self, order):
print('{}: Order ref: {} / Type {} / Status {}'.format(
self.data.datetime.date(0),
order.ref, 'Buy' * order.isbuy() or 'Sell',
order.getstatusname()))
if order.status == order.Completed:
self.holdstart = len(self)
if not order.alive() and order.ref in self.orefs:
self.orefs.remove(order.ref)
def __init__(self):
ma1, ma2 = self.p.ma(period=self.p.p1), self.p.ma(period=self.p.p2)
self.cross = bt.ind.CrossOver(ma1, ma2)
self.orefs = list()
def next(self):
if self.orefs:
return # pending orders do nothing
if not self.position:
if self.cross > 0.0: # crossing up
p1 = self.data.close[0] * (1.0 - self.p.limit)
p2 = self.data.close[0] * (1.0 - 2 * 2 * self.p.limit)
p3 = self.data.close[0] * (1.0 - 3 * 3 * self.p.limit)
if self.p.switchp1p2:
p1, p2 = p2, p1
o1 = self.buy(exectype=bt.Order.Limit, price=p1,
valid=datetime.timedelta(self.p.limdays))
print('{}: Oref {} / Buy at {}'.format(
self.datetime.date(), o1.ref, p1))
oco2 = o1 if self.p.do_oco else None
o2 = self.buy(exectype=bt.Order.Limit, price=p2,
valid=datetime.timedelta(self.p.limdays2),
oco=oco2)
print('{}: Oref {} / Buy at {}'.format(
self.datetime.date(), o2.ref, p2))
if self.p.do_oco:
oco3 = o1 if not self.p.oco1oco2 else oco2
else:
oco3 = None
o3 = self.buy(exectype=bt.Order.Limit, price=p3,
valid=datetime.timedelta(self.p.limdays2),
oco=oco3)
print('{}: Oref {} / Buy at {}'.format(
self.datetime.date(), o3.ref, p3))
self.orefs = [o1.ref, o2.ref, o3.ref]
else: # in the market
if (len(self) - self.holdstart) >= self.p.hold:
self.close()
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.BacktraderCSVData(dataname=args.data0, **kwargs)
cerebro.adddata(data0)
# Broker
cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')'))
# Sizer
cerebro.addsizer(bt.sizers.FixedSize, **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=(
'Sample Skeleton'
)
)
parser.add_argument('--data0', default='../../datas/2005-2006-day-001.txt',
required=False, help='Data to read in')
# Defaults for dates
parser.add_argument('--fromdate', required=False, default='',
help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
parser.add_argument('--todate', required=False, default='',
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()