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Backtrader 文档学习-Order Management and Execution

本章提供了关于order的详细功能测试用例，很好很重要。

最后的示例部分，详细分析总结了不同参数的效果和输出。

如果不能模拟订单交易回测就不会完整。为此，平台中提供了以下功能，对于订单管理3个基本要素:

buy
sell
cancel
对order执行逻辑，有以下类型：
Market
Close
Limit
Stop
StopLimit

1.Order Management

# buy the main data, with sizer default stake, Market order
# 使用默认data ，默认购买数量，市价订单
order = self.buy()

# Market order - valid will be "IGNORED"
# 有效截止日期到当前时间3天后
order = self.buy(valid=datetime.datetime.now() + datetime.timedelta(days=3))

# Market order - price will be IGNORED
# 成交价格用收盘价的+2%
order = self.buy(price=self.data.close[0] * 1.02)

# Market order - manual stake
# 市价单，25股
order = self.buy(size=25)

# Limit order - want to set the price and can set a validity
# 执行类型，限价执行，+2%的收盘价，当前三天内有效
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
# 限价单模式，+2%成交价收盘价，+7%成交价收盘价，止损（盈）
order = self.buy(exectype=Order.StopLimit,
                 price=self.data.close[0] * 1.02,
                 plimit=self.data.close[0] * 1.07)

# Canceling an existing order
# 取消未执行的订单
self.broker.cancel(order)

所有订单类型都可以通过创建订单实例（或其子类之一）来创建，然后通过以下方式传递给代理:

order = self.broker.submit(order)

2.Order Execution Logic

当前数据已经发生，不能用于执行订单。如果策略中的逻辑是:

 if self.data.close > self.sma:  # where sma is a Simple Moving Average
     self.buy()

策略中用收盘价检查是否触发buy，不能期望订单用策略中正在检查的收盘价执行，因为收盘价已经发生了。
策略条件设置，订单可以在下一组开盘/高/低/收盘价格点（以及订单在此规定的条件）的范围内触发执行。修改为，用前一天的收盘价做策略，则可以触发buy 。

 if self.data.close[-1] > self.sma:  # where sma is a Simple Moving Average
     self.buy()

成交量不起作用
在实际交易中，如果交易者买入非流动性资产，或者恰好触及价格的极限（高/低），就会出现这种情况。（不明白？?）

但触及高点/低点的情况很少发生（如果你做了……你就不需要BT），所选资产将有足够的流动性来吸收任何常规交易的订单。（还是不明白？?）

3.Market

执行：
下一组开盘/高/低/收盘价的开盘价（通常称为bar）
逻辑：
如果逻辑已经在时间点X执行并发布了市价单，将发生的下一个价格点就是即下一个bar的开盘价。
说明：
该订单始终执行，不考虑用于创建该订单的price和valid 参数

4.Close

执行:
在下一bar平仓时，使用下一bar实际收盘价执行。

逻辑:
大多数回测加载数据包含已经收盘bar，订单将立即以下一bar收盘价执行。每日数据加载是最常见的示例。

但是系统可以加载“tick”价格，并且实际bar（时间/日期方面）会随着新tick成交点不断更新，不会实际移动到下一个bar（因为时间和/或日期没有改变，同一天内）。
意思是支持加载类似5分钟线，15分钟线，以tick可以触发买点。

只有当时间或日期改变时，bar才能实际上平仓，订单才会执行。

5.Limit

执行:
如果数据触及订单创建时设置的价格，则下一个价格bar开始执行订单。
如果设置了valid条件，达到有效时间点，订单将被取消
价格匹配:
BT尝试为限价单提供最现实的执行价格Limit。
使用4个价格点（开盘/高/低/收盘）可以部分推断出请求的价格是否可以提高。
对于买订单：
- 场景1:
  如果bar开盘价低于限价订单将立即以开盘价执行。订单将在会话的开始阶段清除。
- 场景 2:
  如果开盘价没有跌破限价，但最低价低于限价，则在交易期间达到限价，订单可以执行。

卖单的逻辑显然是颠倒的。

6.Stop

执行:
数据触及订单时设置的触发价格，从下一个bar的价格开始。
如果设置了valid并且达到了时间点，订单将被取消
价格匹配：
BT尝试为止损单提供最现实的触发价格。
使用4个价格点（开盘/高/低/收盘）可以部分推断出请求的价格是否可以提高。

For Stop orders which Buy

场景 1:
如果bar开盘价高于止损价，订单将立即以开盘价执行。
目的是在价格相对于现有空头头寸向上移动时止损。做空止损

场景 2:
如果开盘价未突破止损价，但最高价高于止损价，则在交易过程中触发止损，订单执行。
止损订单的逻辑与Sell相反。

7.StopLimit

执行:
触发价格从下一个bar价格开始设置订单。
价格匹配:
触发:使用- 止损匹配逻辑（但仅触发并将订单转换为限价订单）
Limit: 使用限价匹配逻辑。

8.示例

信号出现:使用CrossOver 交叉指标的交叉。
对生成的buy订单调用被保留，在系统中最多只允许一个订单执行。

（1）Execution Type: Market

            if self.p.exectype == 'Market':
                self.buy(exectype=bt.Order.Market)  # default if not given 是默认值

                self.log('BUY CREATE, exectype Market, price %.2f' %
                         self.data.close[0])

<1>图示

Backtrader 文档学习-Order Management and Execution,BackTrader,数据分析,量化,BackTrader

<2>输出

python ./order-execution-samples.py --exectype Market
2006-01-26T23:59:59.999989, BUY CREATE, exectype Market, price 3641.42
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59.999989, BUY EXECUTED, Price: 3643.35, Cost: 3643.35, Comm 0.00
2006-03-02T23:59:59.999989, SELL CREATE, 3763.73
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59.999989, SELL EXECUTED, Price: 3763.95, Cost: 3643.35, Comm 0.00

<3>说明

notify_order() 检查状态：ORDER ACCEPTED/SUBMITTED ，BUY EXPIRED ，BUY EXECUTED ，SELL EXECUTED ，打印输出
next() 执行买卖操作
2006-01-26T23:59:59.999989, BUY CREATE, exectype Market, price 3641.42 ，next触发
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED ，notify_order触发，是两个状态，第一次是提交，第二次是接收，所以有两条记录。
2006-01-27T23:59:59.999989, BUY EXECUTED, Price: 3643.35, Cost: 3643.35, Comm 0.00 ，next触发，以27日的open价格成交买入。
卖出的效果一下

（2）Execution Type: Close

            elif self.p.exectype == 'Close':
                self.buy(exectype=bt.Order.Close)

                self.log('BUY CREATE, exectype Close, price %.2f' %
                         self.data.close[0])

<1> 图示

Backtrader 文档学习-Order Management and Execution,BackTrader,数据分析,量化,BackTrader

<2> 输出

python ./order-execution-samples.py --exectype Close
2006-01-26T23:59:59.999989, BUY CREATE, exectype Close, price 3641.42
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59.999989, BUY EXECUTED, Price: 3685.48, Cost: 3685.48, Comm 0.00
2006-03-02T23:59:59.999989, SELL CREATE, 3763.73
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59.999989, SELL EXECUTED, Price: 3763.95, Cost: 3685.48, Comm 0.00

<3>说明

2006-01-27T23:59:59.999989, BUY EXECUTED, Price: 3685.48, Cost: 3685.48, Comm 0.00 ，执行类型是close ，买入的时候以收盘价买入，1月27日的收盘价。
2006-03-03T23:59:59.999989, SELL EXECUTED, Price: 3763.95, Cost: 3685.48, Comm 0.00 ，卖出的时候，没有指定类型，sell()都没指定参数，默认是Market ，所以还是以3月3日的开票价卖出。
bt.Order.Close 执行模式，是要求以收盘价成交！！
如果做复杂统一点，可以把sell()也加上相应的参数，与buy一直。

（3）Execution Type: Limit

有效性参数传递设置

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

设置低于信号生成价格1%的限价（bar的收盘价）。请注意这是如何阻止上面的许多订单被执行的。

            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)

<1> 图示

Backtrader 文档学习-Order Management and Execution,BackTrader,数据分析,量化,BackTrader

<2> 输出

python ./order-execution-samples.py --exectype Limit --perc1 1
2006-01-26T23:59:59.999989, BUY CREATE, exectype Limit, price 3605.01
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-05-18T23:59:59.999989, BUY EXECUTED, Price: 3605.01, Cost: 3605.01, Comm 0.00
2006-06-05T23:59:59.999989, SELL CREATE, 3604.33
2006-06-05T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-05T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-06T23:59:59.999989, SELL EXECUTED, Price: 3598.58, Cost: 3605.01, Comm 0.00
2006-06-21T23:59:59.999989, BUY CREATE, exectype Limit, price 3491.57
2006-06-21T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-21T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-28T23:59:59.999989, BUY EXECUTED, Price: 3491.57, Cost: 3491.57, Comm 0.00
2006-07-13T23:59:59.999989, SELL CREATE, 3562.56
2006-07-13T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-13T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-14T23:59:59.999989, SELL EXECUTED, Price: 3545.92, Cost: 3491.57, Comm 0.00
2006-07-24T23:59:59.999989, BUY CREATE, exectype Limit, price 3596.60
2006-07-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED

<3>说明

2006-01-26T23:59:59.999989, BUY CREATE, exectype Limit, price 3605.01，next创建了买单，因为是限价单，用1月26日的收盘价，3641.42 * （100 - 1）/100 = 3605.0058 = 3605.01 。即挂单是低于触发时的收盘价-1% 作为限价。
因为没有valid ，所以一直挂单到5月18日
2006-05-18T23:59:59.999989, BUY EXECUTED, Price: 3605.01, Cost: 3605.01, Comm 0.00 ，5月18日的价格区间包括3605.01 ，所以能够成交买单，不用OLHC的价格，使用限价价格成交。

2006-5-18 3607.41 3649.54 3558.27 3606.33

2006-06-06T23:59:59.999989, SELL EXECUTED, Price: 3598.58, Cost: 3605.01, Comm 0.00 ，卖单触发后，因为没有限价参数，所以都是以开盘价成交。

（4）Execution Type: Limit with validity

为了不永远等待限价单（限价单可能仅在价格与buy订单相反执行），该订单的有效期仅为4天（日历）。

<1>图示

Backtrader 文档学习-Order Management and Execution,BackTrader,数据分析,量化,BackTrader

<2>输出

python ./order-execution-samples.py --exectype Limit --perc1 1 --valid 4
2006-01-26T23:59:59.999989, BUY CREATE, exectype Limit, price 3605.01, valid: 2006-01-30
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-30T23:59:59.999989, BUY EXPIRED
2006-03-10T23:59:59.999989, BUY CREATE, exectype Limit, price 3760.48, valid: 2006-03-14
2006-03-10T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-10T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-14T23:59:59.999989, BUY EXPIRED
2006-03-30T23:59:59.999989, BUY CREATE, exectype Limit, price 3835.86, valid: 2006-04-03
2006-03-30T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-30T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-04-03T23:59:59.999989, BUY EXPIRED
2006-04-20T23:59:59.999989, BUY CREATE, exectype Limit, price 3821.40, valid: 2006-04-24
2006-04-20T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-04-20T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-04-24T23:59:59.999989, BUY EXPIRED
2006-05-04T23:59:59.999989, BUY CREATE, exectype Limit, price 3804.65, valid: 2006-05-08
2006-05-04T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-05-04T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-05-08T23:59:59.999989, BUY EXPIRED
2006-06-01T23:59:59.999989, BUY CREATE, exectype Limit, price 3611.85, valid: 2006-06-05
2006-06-01T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-01T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-05T23:59:59.999989, BUY EXPIRED
2006-06-21T23:59:59.999989, BUY CREATE, exectype Limit, price 3491.57, valid: 2006-06-25
2006-06-21T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-21T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-26T23:59:59.999989, BUY EXPIRED
2006-07-24T23:59:59.999989, BUY CREATE, exectype Limit, price 3596.60, valid: 2006-07-28
2006-07-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-28T23:59:59.999989, BUY EXPIRED
2006-09-12T23:59:59.999989, BUY CREATE, exectype Limit, price 3751.07, valid: 2006-09-16
2006-09-12T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-12T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-18T23:59:59.999989, BUY EXPIRED
2006-09-20T23:59:59.999989, BUY CREATE, exectype Limit, price 3802.90, valid: 2006-09-24
2006-09-20T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-20T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-22T23:59:59.999989, BUY EXECUTED, Price: 3802.90, Cost: 3802.90, Comm 0.00
2006-11-02T23:59:59.999989, SELL CREATE, 3974.62
2006-11-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-03T23:59:59.999989, SELL EXECUTED, Price: 3979.73, Cost: 3802.90, Comm 0.00
2006-11-06T23:59:59.999989, BUY CREATE, exectype Limit, price 4004.77, valid: 2006-11-10
2006-11-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-10T23:59:59.999989, BUY EXPIRED
2006-12-11T23:59:59.999989, BUY CREATE, exectype Limit, price 4012.36, valid: 2006-12-15
2006-12-11T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-12-11T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-12-15T23:59:59.999989, BUY EXPIRED

<3>说明

2006-01-26, BUY CREATE, exectype Limit, price 3605.01, valid: 2006-01-30 ，触发买单，注意有valid ，限制在4天内有效，当前是26日，有效期到30日。
2006-01-30T23:59:59.999989, BUY EXPIRED ，30日，没有能够到达限价内，并且时间限制到达，所以买单过期
2006-09-20T23:59:59.999989, BUY CREATE, exectype Limit, price 3802.90, valid: 2006-09-24 ，收盘价：3841.31，限价：3841.31 * 0.99 = 3802.8969 =3802.90 ，9月24日超期。
2006-09-22T23:59:59.999989, BUY EXECUTED, Price: 3802.90, Cost: 3802.90, Comm 0.00 ，在9月22日的价格区间内，并且没有超过4天，买单成交。

2006-9-22 3839.51 3839.65 3800.65 3812.73

（5）Execution Type: Stop

设置高于信号价格1%的止损价格。该策略只在信号产生且价格继续攀升时买入，可解读为强势信号。

            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)

<1>图示

Backtrader 文档学习-Order Management and Execution,BackTrader,数据分析,量化,BackTrader

<2>输出

python ./order-execution-samples.py --exectype Stop --perc1 1
2006-01-26T23:59:59.999989, BUY CREATE, exectype Stop, price 3677.83
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-27T23:59:59.999989, BUY EXECUTED, Price: 3677.83, Cost: 3677.83, Comm 0.00
2006-03-02T23:59:59.999989, SELL CREATE, 3763.73
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59.999989, SELL EXECUTED, Price: 3763.95, Cost: 3677.83, Comm 0.00
2006-03-10T23:59:59.999989, BUY CREATE, exectype Stop, price 3836.44
2006-03-10T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-10T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-15T23:59:59.999989, BUY EXECUTED, Price: 3836.44, Cost: 3836.44, Comm 0.00
2006-03-28T23:59:59.999989, SELL CREATE, 3811.45
2006-03-28T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-28T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-29T23:59:59.999989, SELL EXECUTED, Price: 3811.85, Cost: 3836.44, Comm 0.00
2006-03-30T23:59:59.999989, BUY CREATE, exectype Stop, price 3913.36
2006-03-30T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-30T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-29T23:59:59.999989, BUY EXECUTED, Price: 3913.36, Cost: 3913.36, Comm 0.00
2006-11-02T23:59:59.999989, SELL CREATE, 3974.62
2006-11-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-03T23:59:59.999989, SELL EXECUTED, Price: 3979.73, Cost: 3913.36, Comm 0.00
2006-11-06T23:59:59.999989, BUY CREATE, exectype Stop, price 4085.67
2006-11-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-13T23:59:59.999989, BUY EXECUTED, Price: 4085.67, Cost: 4085.67, Comm 0.00
2006-11-24T23:59:59.999989, SELL CREATE, 4048.16
2006-11-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-27T23:59:59.999989, SELL EXECUTED, Price: 4045.05, Cost: 4085.67, Comm 0.00
2006-12-11T23:59:59.999989, BUY CREATE, exectype Stop, price 4093.42
2006-12-11T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-12-11T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-12-13T23:59:59.999989, BUY EXECUTED, Price: 4093.42, Cost: 4093.42, Comm 0.00

<3>说明

2006-01-26T23:59:59.999989, BUY CREATE, exectype Stop, price 3677.83 ，收盘价：3641.42 ，限价：3641.42 *1.01 = 3677.8342 = 3677.83

2006-1-26 3578.92 3641.42 3577.98 3641.42

2006-01-27T23:59:59.999989, BUY EXECUTED, Price: 3677.83, Cost: 3677.83, Comm 0.00 ，限价包括在27日的价格中，成交。

2006-1-27 3643.35 3685.48 3643.35 3685.48

从Limit 和 Stop 对比，区别在于设置限价，Limit是降低1个百分点，stop 是升高1个百分点。把Stop的增加1个百分点，修改为降低1个百分点，也可以执行。对比理解：
Limit降低1个百分点的结果：

python ./order-execution-samples.py --exectype Limit --perc1 1
2006-01-26, BUY CREATE, exectype Limit, price 3605.01
2006-01-26, ORDER ACCEPTED/SUBMITTED
2006-01-26, ORDER ACCEPTED/SUBMITTED
2006-05-18, BUY EXECUTED, Price: 3605.01, Cost: 3605.01, Comm 0.00

Stop降低1个百分点的结果：

python ./order-execution-samples.py --exectype Stop --perc1 1
2006-01-26, BUY CREATE, exectype Stop, price 3605.01
2006-01-26, ORDER ACCEPTED/SUBMITTED
2006-01-26, ORDER ACCEPTED/SUBMITTED
2006-01-27, BUY EXECUTED, Price: 3643.35, Cost: 3643.35, Comm 0.00

Limit 和Stop 的区别：

Limit 执行的价格，要市价达到 3605.01 价格，才能成交，以限价价格成交。
Stop 执行的价格，只要市价大于 3605.01 价格，就可以成交，以市价的开盘价成交。所以有止损的功能！

（6）Execution Type: StopLimit

设置高于信号价格1%的止损价格。但是限价设置在信号（收盘）价以上0.5%，解释为等待力量出现，但不要购买峰值，等待下落。
有效期上限为20天（日历）。

            elif self.p.exectype == 'StopLimit':
                price = self.data.close * (1.0 + self.p.perc1 / 100.0)

                plimit = self.data.close * (1.0 + self.p.perc2 / 100.0)

                self.buy(exectype=bt.Order.StopLimit, price=price, valid=valid,
                         plimit=plimit)

                if self.p.valid:
                    txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
                           ' valid: %s, pricelimit: %.2f')
                    self.log(txt % (price, valid.strftime('%Y-%m-%d'), plimit))
                else:
                    txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
                           ' pricelimit: %.2f')
                    self.log(txt % (price, plimit))

<1>图示

Backtrader 文档学习-Order Management and Execution,BackTrader,数据分析,量化,BackTrader

<2>输出

python ./order-execution-samples.py --exectype StopLimit --perc1 1 --perc2 0.5 --valid 20
2006-01-26T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3677.83, valid: 2006-02-15, pricelimit: 3659.63
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-01-26T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-02-03T23:59:59.999989, BUY EXECUTED, Price: 3659.63, Cost: 3659.63, Comm 0.00
2006-03-02T23:59:59.999989, SELL CREATE, 3763.73
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-03T23:59:59.999989, SELL EXECUTED, Price: 3763.95, Cost: 3659.63, Comm 0.00
2006-03-10T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3836.44, valid: 2006-03-30, pricelimit: 3817.45
2006-03-10T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-10T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-21T23:59:59.999989, BUY EXECUTED, Price: 3817.45, Cost: 3817.45, Comm 0.00
2006-03-28T23:59:59.999989, SELL CREATE, 3811.45
2006-03-28T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-28T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-29T23:59:59.999989, SELL EXECUTED, Price: 3811.85, Cost: 3817.45, Comm 0.00
2006-03-30T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3913.36, valid: 2006-04-19, pricelimit: 3893.98
2006-03-30T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-03-30T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-04-19T23:59:59.999989, BUY EXPIRED
2006-04-20T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3898.60, valid: 2006-05-10, pricelimit: 3879.30
2006-04-20T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-04-20T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-05-10T23:59:59.999989, BUY EXPIRED
2006-06-01T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3684.81, valid: 2006-06-21, pricelimit: 3666.57
2006-06-01T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-01T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-02T23:59:59.999989, BUY EXECUTED, Price: 3666.57, Cost: 3666.57, Comm 0.00
2006-06-05T23:59:59.999989, SELL CREATE, 3604.33
2006-06-05T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-05T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-06T23:59:59.999989, SELL EXECUTED, Price: 3598.58, Cost: 3666.57, Comm 0.00
2006-06-21T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3562.11, valid: 2006-07-11, pricelimit: 3544.47
2006-06-21T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-21T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-06-23T23:59:59.999989, BUY EXECUTED, Price: 3544.47, Cost: 3544.47, Comm 0.00
2006-07-13T23:59:59.999989, SELL CREATE, 3562.56
2006-07-13T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-13T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-14T23:59:59.999989, SELL EXECUTED, Price: 3545.92, Cost: 3544.47, Comm 0.00
2006-07-24T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3669.26, valid: 2006-08-13, pricelimit: 3651.09
2006-07-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-07-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-08-01T23:59:59.999989, BUY EXECUTED, Price: 3651.09, Cost: 3651.09, Comm 0.00
2006-09-06T23:59:59.999989, SELL CREATE, 3772.21
2006-09-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-07T23:59:59.999989, SELL EXECUTED, Price: 3766.80, Cost: 3651.09, Comm 0.00
2006-09-12T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3826.85, valid: 2006-10-02, pricelimit: 3807.90
2006-09-12T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-12T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-09-22T23:59:59.999989, BUY EXECUTED, Price: 3807.90, Cost: 3807.90, Comm 0.00
2006-11-02T23:59:59.999989, SELL CREATE, 3974.62
2006-11-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-02T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-03T23:59:59.999989, SELL EXECUTED, Price: 3979.73, Cost: 3807.90, Comm 0.00
2006-11-06T23:59:59.999989, BUY CREATE, exectype StopLimit, price 4085.67, valid: 2006-11-26, pricelimit: 4065.45
2006-11-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-06T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-20T23:59:59.999989, BUY EXECUTED, Price: 4065.45, Cost: 4065.45, Comm 0.00
2006-11-24T23:59:59.999989, SELL CREATE, 4048.16
2006-11-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-24T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-11-27T23:59:59.999989, SELL EXECUTED, Price: 4045.05, Cost: 4065.45, Comm 0.00
2006-12-11T23:59:59.999989, BUY CREATE, exectype StopLimit, price 4093.42, valid: 2006-12-31, pricelimit: 4073.15
2006-12-11T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-12-11T23:59:59.999989, ORDER ACCEPTED/SUBMITTED
2006-12-22T23:59:59.999989, BUY EXECUTED, Price: 4073.15, Cost: 4073.15, Comm 0.00

<3>说明

2006-01-26T23:59:59.999989, BUY CREATE, exectype StopLimit, price 3677.83, valid: 2006-02-15, pricelimit: 3659.63

2006-1-26 3578.92 3641.42 3577.98 3641.42
用收盘价计算：
3641.42 * 1.01 = 3677.8342 = 3677.83
3641.42 * 1.005 = 3659.6271 = 3659.63

数据一致：
price: 3677.83
pricelimit: 3659.63

2006-02-03T23:59:59.999989, BUY EXECUTED, Price: 3659.63, Cost: 3659.63, Comm 0.00

2006-2-3 3677.05 3696 3652.76 3678.48
不是以限价3677.83成交，而是以止损限价3659.63成交。

再理解一下：
设置高于信号价格1%的止损价格。但是限价设置在信号（收盘）价以上0.5%，解释为等待力量出现，但不要购买峰值，等待下落。

（7）Test Script Execution Help

python ./order-execution-samples.py --help
usage: order-execution-samples.py [-h] [--infile INFILE]
                                  [--csvformat {bt,visualchart,sierrachart,yahoo,yahoo_unreversed}]
                                  [--fromdate FROMDATE] [--todate TODATE]
                                  [--plot] [--plotstyle {bar,line,candle}]
                                  [--numfigs NUMFIGS] [--smaperiod SMAPERIOD]
                                  [--exectype EXECTYPE] [--valid VALID]
                                  [--perc1 PERC1] [--perc2 PERC2]

Showcase for Order Execution Types

optional arguments:
  -h, --help            show this help message and exit
  --infile INFILE, -i INFILE
                        File to be read in
  --csvformat {bt,visualchart,sierrachart,yahoo,yahoo_unreversed}, -c {bt,visualchart,sierrachart,yahoo,yahoo_unreversed}
                        CSV Format
  --fromdate FROMDATE, -f FROMDATE
                        Starting date in YYYY-MM-DD format
  --todate TODATE, -t TODATE
                        Ending date in YYYY-MM-DD format
  --plot, -p            Plot the read data
  --plotstyle {bar,line,candle}, -ps {bar,line,candle}
                        Plot the read data
  --numfigs NUMFIGS, -n NUMFIGS
                        Plot using n figures
  --smaperiod SMAPERIOD, -s SMAPERIOD
                        Simple Moving Average Period
  --exectype EXECTYPE, -e EXECTYPE
                        Execution Type: Market (default), Close, Limit, Stop,
                        StopLimit
  --valid VALID, -v VALID
                        Validity for Limit sample: default 0 days
  --perc1 PERC1, -p1 PERC1
                        % distance from close price at order creation time for
                        the limit/trigger price in Limit/Stop orders
  --perc2 PERC2, -p2 PERC2
                        % distance from close price at order creation time for
                        the limit price in StopLimit orders

（8）源码

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import argparse
import datetime
import os.path
import time
import sys


import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind


class OrderExecutionStrategy(bt.Strategy):
    params = (
        ('smaperiod', 15),
        ('exectype', 'Market'),
        ('perc1', 3),
        ('perc2', 1),
        ('valid', 4),
    )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.data.datetime[0]
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            self.log('ORDER ACCEPTED/SUBMITTED', dt=order.created.dt)
            self.order = order
            return

        if order.status in [order.Expired]:
            self.log('BUY EXPIRED')

        elif 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))

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

        # Sentinel to None: new orders allowed
        self.order = None

    def __init__(self):
        # SimpleMovingAverage on main data
        # Equivalent to -> sma = btind.SMA(self.data, period=self.p.smaperiod)
        sma = btind.SMA(period=self.p.smaperiod)

        # CrossOver (1: up, -1: down) close / sma
        self.buysell = btind.CrossOver(self.data.close, sma, plot=True)

        # Sentinel to None: new ordersa allowed
        self.order = None

    def next(self):
        if self.order:
            # An order is pending ... nothing can be done
            return

        # Check if we are in the market
        if self.position:
            # In the maerket - check if it's the time to sell
            if self.buysell < 0:
                self.log('SELL CREATE, %.2f' % self.data.close[0])
                self.sell()

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

            # Not in the market and signal to buy
            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])

            elif self.p.exectype == 'Close':
                self.buy(exectype=bt.Order.Close)

                self.log('BUY CREATE, exectype Close, price %.2f' %
                         self.data.close[0])

            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)

            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)

            elif self.p.exectype == 'StopLimit':
                price = self.data.close * (1.0 + self.p.perc1 / 100.0)

                plimit = self.data.close * (1.0 + self.p.perc2 / 100.0)

                self.buy(exectype=bt.Order.StopLimit, price=price, valid=valid,
                         plimit=plimit)

                if self.p.valid:
                    txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
                           ' valid: %s, pricelimit: %.2f')
                    self.log(txt % (price, valid.strftime('%Y-%m-%d'), plimit))
                else:
                    txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
                           ' pricelimit: %.2f')
                    self.log(txt % (price, plimit))


def runstrat():
    args = parse_args()

    cerebro = bt.Cerebro()

    data = getdata(args)
    cerebro.adddata(data)

    cerebro.addstrategy(
        OrderExecutionStrategy,
        exectype=args.exectype,
        perc1=args.perc1,
        perc2=args.perc2,
        valid=args.valid,
        smaperiod=args.smaperiod
    )
    cerebro.run()

    if args.plot:
        cerebro.plot(numfigs=args.numfigs, style=args.plotstyle)


def getdata(args):

    dataformat = dict(
        bt=btfeeds.BacktraderCSVData,
        visualchart=btfeeds.VChartCSVData,
        sierrachart=btfeeds.SierraChartCSVData,
        yahoo=btfeeds.YahooFinanceCSVData,
        yahoo_unreversed=btfeeds.YahooFinanceCSVData
    )

    dfkwargs = dict()
    if args.csvformat == 'yahoo_unreversed':
        dfkwargs['reverse'] = True

    if args.fromdate:
        fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
        dfkwargs['fromdate'] = fromdate

    if args.todate:
        fromdate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
        dfkwargs['todate'] = todate

    dfkwargs['dataname'] = args.infile

    dfcls = dataformat[args.csvformat]

    return dfcls(**dfkwargs)


def parse_args():
    parser = argparse.ArgumentParser(
        description='Showcase for Order Execution Types')

    parser.add_argument('--infile', '-i', required=False,
                        default='./datas/2006-day-001.txt',
                        help='File to be read in')

    parser.add_argument('--csvformat', '-c', required=False, default='bt',
                        choices=['bt', 'visualchart', 'sierrachart',
                                 'yahoo', 'yahoo_unreversed'],
                        help='CSV Format')

    parser.add_argument('--fromdate', '-f', required=False, default=None,
                        help='Starting date in YYYY-MM-DD format')

    parser.add_argument('--todate', '-t', required=False, default=None,
                        help='Ending date in YYYY-MM-DD format')

    parser.add_argument('--plot', '-p', action='store_false', required=False,
                        help='Plot the read data')

    parser.add_argument('--plotstyle', '-ps', required=False, default='bar',
                        choices=['bar', 'line', 'candle'],
                        help='Plot the read data')

    parser.add_argument('--numfigs', '-n', required=False, default=1,
                        help='Plot using n figures')

    parser.add_argument('--smaperiod', '-s', required=False, default=15,
                        help='Simple Moving Average Period')

    parser.add_argument('--exectype', '-e', required=False, default='Market',
                        help=('Execution Type: Market (default), Close, Limit,'
                              ' Stop, StopLimit'))

    parser.add_argument('--valid', '-v', required=False, default=0, type=int,
                        help='Validity for Limit sample: default 0 days')

    parser.add_argument('--perc1', '-p1', required=False, default=0.0,
                        type=float,
                        help=('%% distance from close price at order creation'
                              ' time for the limit/trigger price in Limit/Stop'
                              ' orders'))

    parser.add_argument('--perc2', '-p2', required=False, default=0.0,
                        type=float,
                        help=('%% distance from close price at order creation'
                              ' time for the limit price in StopLimit orders'))

    return parser.parse_args()


if __name__ == '__main__':
    runstrat()

（9）修改为ipython版本

把所有输入参数都内置到程序中，通过调整参数，实现命令行方式的参数测试。文章来源地址https://www.toymoban.com/news/detail-820776.html

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

#import argparse
import datetime
import os.path
import time
import sys


import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind

%matplotlib inline

class OrderExecutionStrategy(bt.Strategy):
    params = (
        ('smaperiod', 15),
        ('exectype', 'Market'),
        ('perc1', 3),
        ('perc2', 1),
        ('valid', 4),
    )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.data.datetime[0]
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat()[:10], txt)) # 字符串，仅显示日期，不显示时分秒

    def notify_order(self, order):
        
        # 订单提交、接收状态处理
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            self.log('ORDER ACCEPTED/SUBMITTED', dt=order.created.dt)
            self.order = order
            return

        #订单过期处理
        if order.status in [order.Expired]:
            self.log('BUY EXPIRED')

        #订单完成处理
        elif order.status in [order.Completed]:
            #买单操作
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

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

        # Sentinel to None: new orders allowed
        self.order = None

    def __init__(self):
        # SimpleMovingAverage on main data
        # Equivalent to -> sma = btind.SMA(self.data, period=self.p.smaperiod)
        # SMA赋值，用params参数中的周期 15 天
        sma = btind.SMA(period=self.p.smaperiod)

        # CrossOver (1: up, -1: down) close / sma
        # 买卖标志，收盘上穿SMA 1 ,收盘下穿SMA -1 
        self.buysell = btind.CrossOver(self.data.close, sma, plot=True)

        # Sentinel to None: new orders allowed
        self.order = None

    def next(self):
        
        # 如有订单，无操作，返回
        if self.order:
            # An order is pending ... nothing can be done
            return

        # Check if we are in the market
        # 如无订单，检查仓位
        if self.position:
            # In the maerket - check if it's the time to sell
            # 小于0 ，卖出
            if self.buysell < 0:
                self.log('SELL CREATE, %.2f' % self.data.close[0])
                self.sell()

        # 大于0 ，买入
        elif self.buysell > 0:
            # 买入时，（1）先检查param的参数valid ，使用valid参数，设置订单有效期限
            if self.p.valid:
                valid = self.data.datetime.date(0) + \
                        datetime.timedelta(days=self.p.valid)
            else:
                valid = None

            # Not in the market and signal to buy
            # 买入时，（2）检查执行类型 ，默认是 Market 
            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])

            # 买入时，执行类型，Close
            elif self.p.exectype == 'Close':
                self.buy(exectype=bt.Order.Close)

                self.log('BUY CREATE, exectype Close, price %.2f' %
                         self.data.close[0])

            # 买入时，执行类型，限价Limit
            elif self.p.exectype == 'Limit':
                price = self.data.close * (1.0 - self.p.perc1 / 100.0)

                # 执行买入操作，限价，执行参数： price valid
                self.buy(exectype=bt.Order.Limit, price=price, valid=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)

            # 买入时，执行类型，止损止盈 Stop
            elif self.p.exectype == 'Stop':
                # 执行价格：收盘价的 +3% 
                price = self.data.close * (1.0 + self.p.perc1 / 100.0)

                # 执行买入操作， Stop操作
                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)

            # 设置高于信号价格3%的止损止盈价格，限价设置在信号（收盘）价以上1%
            elif self.p.exectype == 'StopLimit':
                price = self.data.close * (1.0 + self.p.perc1 / 100.0)

                plimit = self.data.close * (1.0 + self.p.perc2 / 100.0)

                self.buy(exectype=bt.Order.StopLimit, price=price, valid=valid,
                         plimit=plimit)

                if self.p.valid:
                    txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
                           ' valid: %s, pricelimit: %.2f')
                    self.log(txt % (price, valid.strftime('%Y-%m-%d'), plimit))
                
                else:
                    txt = ('BUY CREATE, exectype StopLimit, price %.2f,'
                           ' pricelimit: %.2f')
                    self.log(txt % (price, plimit))

'''
--exectype Market
--exectype Close
--exectype Limit --perc1 1
--exectype Limit --perc1 1 --valid 4
--exectype Stop --perc1 1
--exectype StopLimit --perc1 1 --perc2 0.5 --valid 20
'''

def runstrat():
    param_exectype = ['Market', 'Close', 'Limit','Stop', 'StopLimit']
    param_plotstyle=['bar', 'line', 'candle']
    param_numfigs = 1 # no use 
    param_perc1 = 0
    param_perc2 = 0
    param_valid = 0
    param_smaperiod = 15
    param_plot = False

    cerebro = bt.Cerebro()

    data = getdata()
    #print(data)
    
    cerebro.adddata(data)
    #print('add data finished!')

    cerebro.addstrategy(
        OrderExecutionStrategy,
        exectype=param_exectype[3],
        perc1=param_perc1,
        perc2=param_perc2,
        valid=param_valid,
        smaperiod=param_smaperiod
    )
    #print('add strategy finished!')
    
    cerebro.run()

    if param_plot:
        cerebro.plot(iplot=False, style=param_plotstyle[0])


def getdata():

    dataformat = dict(
        bt=btfeeds.BacktraderCSVData,
        visualchart=btfeeds.VChartCSVData,
        sierrachart=btfeeds.SierraChartCSVData,
        yahoo=btfeeds.YahooFinanceCSVData,
        yahoo_unreversed=btfeeds.YahooFinanceCSVData
    )
    choices=['bt', 'visualchart', 'sierrachart','yahoo', 'yahoo_unreversed']

    param_infile = './datas/2006-day-001.txt'
    param_csvformat = choices[0] # default : bt
    
    param_fromdate = None
    param_todate = None
    
    dfkwargs = dict()
    if param_csvformat == 'yahoo_unreversed':
        dfkwargs['reverse'] = True

    if param_fromdate:
        fromdate = datetime.datetime.strptime(param_fromdate, '%Y-%m-%d')
        dfkwargs['fromdate'] = fromdate

    if param_todate:
        tomdate = datetime.datetime.strptime(param_todate, '%Y-%m-%d')
        dfkwargs['todate'] = todate

    dfkwargs['dataname'] = param_infile

    dfcls = dataformat[param_csvformat]
    #print (dfkwargs)
    
    return dfcls(**dfkwargs)


if __name__ == '__main__':
    runstrat()

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Backtrader 文档学习-Order Management and Execution