BaseStrategy.py

import backtrader as bt
import coloredlogs, logging

logger = logging.getLogger(__name__)
coloredlogs.install(fmt='%(name)s - %(levelname)s %(message)s', level='DEBUG')


class BaseStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        logger.info('%s, %s' % (dt.isoformat(), txt))

    def trailing_stop_loss_buy(self, trailamount=0.1):
        # self.buy()
        self.order = self.buy(exectype=bt.Order.StopTrail, trailamount=trailamount)
        return self.order

    def __init__(self):
        self.dataclose = self.datas[0].close
        self.order = None
        self.buyprice = None
        self.buycomm = None
        self.sell_message = ''

    def sell(self,msg='',**kwargs):
        self.sell_message = msg
        super().sell(**kwargs)
        self.order = None



    def notify_order(self, order):
        dt = '{}:{}'.format(self.datas[0].datetime.date(0), self.datas[0].datetime.time(0))

        if order.status in [order.Submitted, order.Accepted]:
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                logger.debug('  {}, Buying {} at Price: {}, Cost: {}, Comm: {}'.format(dt,self.data._name, order.executed.price,order.executed.value,order.executed.comm))
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                logger.error('  {}, Selling {} at Price: {}, Cost: {}, Comm: {}  - {} '.format(dt,self.data._name, order.executed.price,order.executed.value,order.executed.comm,self.sell_message))

                # 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')

        # Write down: no pending order
        self.order = None

    def notify_trade(self, trade):
        dt = '{}:{}'.format(self.datas[0].datetime.date(0), self.datas[0].datetime.time(0))
        if not trade.isclosed:
            return
        if (trade.pnlcomm < 0):
            logger.error(
                '{},{},{} - {}'.format(dt, self.data._name, trade.pnlcomm,self.sell_message))
        else:
            logger.debug(
                '{},{},{} - {}'.format(dt, self.data._name, trade.pnlcomm,self.sell_message))