Module `backtrader.fillers`

Expand source code

#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)


from backtrader.utils.py3 import MAXINT, with_metaclass

from backtrader.metabase import MetaParams


class FixedSize(with_metaclass(MetaParams, object)):
    '''Returns the execution size for a given order using a *percentage* of the
    volume in a bar.

    This percentage is set with the parameter ``perc``

    Params:

      - ``size`` (default: ``None``)  maximum size to be executed. The actual
        volume of the bar at execution time is also a limit if smaller than the
        size

        If the value of this parameter evaluates to False, the entire volume
        of the bar will be used to match the order
    '''
    params = (('size', None),)

    def __call__(self, order, price, ago):
        size = self.p.size or MAXINT
        return min((order.data.volume[ago], abs(order.executed.remsize), size))


class FixedBarPerc(with_metaclass(MetaParams, object)):
    '''Returns the execution size for a given order using a *percentage* of the
    volume in a bar.

    This percentage is set with the parameter ``perc``

    Params:

      - ``perc`` (default: ``100.0``) (valied values: ``0.0 - 100.0``)

        Percentage of the volume bar to use to execute an order
    '''
    params = (('perc', 100.0),)

    def __call__(self, order, price, ago):
        # Get the volume and scale it to the requested perc
        maxsize = (order.data.volume[ago] * self.p.perc) // 100
        # Return the maximum possible executed volume
        return min(maxsize, abs(order.executed.remsize))


class BarPointPerc(with_metaclass(MetaParams, object)):
    '''Returns the execution size for a given order. The volume will be
    distributed uniformly in the range *high*-*low* using ``minmov`` to
    partition.

    From the allocated volume for the given price, the ``perc`` percentage will
    be used

    Params:

      - ``minmov`` (default: ``0.01``)

        Minimum price movement. Used to partition the range *high*-*low* to
        proportionally distribute the volume amongst possible prices

      - ``perc`` (default: ``100.0``) (valied values: ``0.0 - 100.0``)

        Percentage of the volume allocated to the order execution price to use
        for matching

    '''
    params = (
        ('minmov', None),
        ('perc', 100.0),
    )

    def __call__(self, order, price, ago):
        data = order.data
        minmov = self.p.minmov

        parts = 1
        if minmov:
            # high - low + minmov to account for open ended minus op
            parts = (data.high[ago] - data.low[ago] + minmov) // minmov

        alloc_vol = ((data.volume[ago] / parts) * self.p.perc) // 100.0

        # return max possible executable volume
        return min(alloc_vol, abs(order.executed.remsize))

Classes

class BarPointPerc (*args, **kwargs)

Returns the execution size for a given order. The volume will be distributed uniformly in the range high-low using minmov to partition.

From the allocated volume for the given price, the perc percentage will be used

Params

minmov (default: 0.01)

Minimum price movement. Used to partition the range high-low to proportionally distribute the volume amongst possible prices

perc (default: 100.0) (valied values: 0.0 - 100.0)

Percentage of the volume allocated to the order execution price to use for matching

Expand source code

class BarPointPerc(with_metaclass(MetaParams, object)):
    '''Returns the execution size for a given order. The volume will be
    distributed uniformly in the range *high*-*low* using ``minmov`` to
    partition.

    From the allocated volume for the given price, the ``perc`` percentage will
    be used

    Params:

      - ``minmov`` (default: ``0.01``)

        Minimum price movement. Used to partition the range *high*-*low* to
        proportionally distribute the volume amongst possible prices

      - ``perc`` (default: ``100.0``) (valied values: ``0.0 - 100.0``)

        Percentage of the volume allocated to the order execution price to use
        for matching

    '''
    params = (
        ('minmov', None),
        ('perc', 100.0),
    )

    def __call__(self, order, price, ago):
        data = order.data
        minmov = self.p.minmov

        parts = 1
        if minmov:
            # high - low + minmov to account for open ended minus op
            parts = (data.high[ago] - data.low[ago] + minmov) // minmov

        alloc_vol = ((data.volume[ago] / parts) * self.p.perc) // 100.0

        # return max possible executable volume
        return min(alloc_vol, abs(order.executed.remsize))

Class variables

var frompackages
var packages
var params

class FixedBarPerc (*args, **kwargs)

Returns the execution size for a given order using a percentage of the volume in a bar.

This percentage is set with the parameter perc

Params

perc (default: 100.0) (valied values: 0.0 - 100.0)

Percentage of the volume bar to use to execute an order

Expand source code

class FixedBarPerc(with_metaclass(MetaParams, object)):
    '''Returns the execution size for a given order using a *percentage* of the
    volume in a bar.

    This percentage is set with the parameter ``perc``

    Params:

      - ``perc`` (default: ``100.0``) (valied values: ``0.0 - 100.0``)

        Percentage of the volume bar to use to execute an order
    '''
    params = (('perc', 100.0),)

    def __call__(self, order, price, ago):
        # Get the volume and scale it to the requested perc
        maxsize = (order.data.volume[ago] * self.p.perc) // 100
        # Return the maximum possible executed volume
        return min(maxsize, abs(order.executed.remsize))

Class variables

var frompackages
var packages
var params

class FixedSize (*args, **kwargs)

Returns the execution size for a given order using a percentage of the volume in a bar.

This percentage is set with the parameter perc

Params

size (default: None) maximum size to be executed. The actual volume of the bar at execution time is also a limit if smaller than the size

If the value of this parameter evaluates to False, the entire volume of the bar will be used to match the order

Expand source code

class FixedSize(with_metaclass(MetaParams, object)):
    '''Returns the execution size for a given order using a *percentage* of the
    volume in a bar.

    This percentage is set with the parameter ``perc``

    Params:

      - ``size`` (default: ``None``)  maximum size to be executed. The actual
        volume of the bar at execution time is also a limit if smaller than the
        size

        If the value of this parameter evaluates to False, the entire volume
        of the bar will be used to match the order
    '''
    params = (('size', None),)

    def __call__(self, order, price, ago):
        size = self.p.size or MAXINT
        return min((order.data.volume[ago], abs(order.executed.remsize), size))

Class variables

var frompackages
var packages
var params