经纪人#

参考资料#

class backtrader.brokers.BackBroker(*args, **kwargs)#

Broker Simulator

The simulation supports different order types, checking a submitted order cash requirements against current cash, keeping track of cash and value for each iteration of cerebro and keeping the current position on different datas.

cash is adjusted on each iteration for instruments like futures for: which a price change implies in real brokers the addition/substracion of cash.

Supported order types:

Market: to be executed with the 1st tick of the next bar (namely the open price)

Close: meant for intraday in which the order is executed with the closing price of the last bar of the session

Limit: executes if the given limit price is seen during the session

Stop: executes a Market order if the given stop price is seen

StopLimit: sets a Limit order in motion if the given stop price is seen

Because the broker is instantiated by Cerebro and there should be (mostly) no reason to replace the broker, the params are not controlled by the user for the instance. To change this there are two options:

Manually create an instance of this class with the desired params and use cerebro.broker = instance to set the instance as the broker for the run execution

Use the set_xxx to set the value using cerebro.broker.set_xxx where `xxx stands for the name of the parameter to set

备注

cerebro.broker is a property supported by the getbroker and setbroker methods of Cerebro

Params:

cash (default: 10000): starting cash

commission (default: CommInfoBase(percabs=True)) base commission scheme which applies to all assets

checksubmit (default: True) check margin/cash before accepting an order into the system

eosbar (default: False): With intraday bars consider a bar with the same time as the end of session to be the end of the session. This is not usually the case, because some bars (final auction) are produced by many exchanges for many products for a couple of minutes after the end of the session

filler (default: None)

A callable with signature: callable(order, price, ago)

order: obviously the order in execution. This provides access to the data (and with it the ohlc and volume values), the execution type, remaining size (order.executed.remsize) and others.

Please check the Order documentation and reference for things available inside an Order instance

price the price at which the order is going to be executed in the ago bar

ago: index meant to be used with order.data for the extraction of the ohlc and volume prices. In most cases this will be 0 but on a corner case for Close orders, this will be -1.

In order to get the bar volume (for example) do: volume = order.data.voluume[ago]

The callable must return the executed size (a value >= 0)

The callable may of course be an object with __call__ matching the aforementioned signature

With the default None orders will be completely executed in a single shot

slip_perc (default: 0.0) Percentage in absolute termns (and positive) that should be used to slip prices up/down for buy/sell orders

Note:

0.01 is 1%

0.001 is 0.1%

slip_fixed (default: 0.0) Percentage in units (and positive) that should be used to slip prices up/down for buy/sell orders

Note: if slip_perc is non zero, it takes precendence over this.

slip_open (default: False) whether to slip prices for order execution which would specifically used the opening price of the next bar. An example would be Market order which is executed with the next available tick, i.e: the opening price of the bar.

This also applies to some of the other executions, because the logic tries to detect if the opening price would match the requested price/execution type when moving to a new bar.

slip_match (default: True)

If True the broker will offer a match by capping slippage at high/low prices in case they would be exceeded.

If False the broker will not match the order with the current prices and will try execution during the next iteration

slip_limit (default: True)

Limit orders, given the exact match price requested, will be matched even if slip_match is False.

This option controls that behavior.

If True, then Limit orders will be matched by capping prices to the limit / high/low prices

If False and slippage exceeds the cap, then there will be no match

slip_out (default: False)

Provide slippage even if the price falls outside the high - low range.

coc (default: False)

Cheat-On-Close Setting this to True with set_coc enables
matching a Market order to the closing price of the bar in which the order was issued. This is actually cheating, because the bar is closed and any order should first be matched against the prices in the next bar

coo (default: False)

Cheat-On-Open Setting this to True with set_coo enables
matching a Market order to the opening price, by for example using a timer with cheat set to True, because such a timer gets executed before the broker has evaluated

int2pnl (default: True)

Assign generated interest (if any) to the profit and loss of operation that reduces a position (be it long or short). There may be cases in which this is undesired, because different strategies are competing and the interest would be assigned on a non-deterministic basis to any of them.

shortcash (default: True)

If True then cash will be increased when a stocklike asset is shorted and the calculated value for the asset will be negative.

If False then the cash will be deducted as operation cost and the calculated value will be positive to end up with the same amount

fundstartval (default: 100.0)

This parameter controls the start value for measuring the performance in a fund-like way, i.e.: cash can be added and deducted increasing the amount of shares. Performance is not measured using the net asset value of the porftoflio but using the value of the fund

fundmode (default: False)

If this is set to True analyzers like TimeReturn can automatically calculate returns based on the fund value and not on the total net asset value

set_cash(cash)#: Sets the cash parameter (alias: setcash)

get_cash()#: Returns the current cash (alias: getcash)

get_value(datas=None, mkt=False, lever=False)#: Returns the portfolio value of the given datas (if datas is None, then the total portfolio value will be returned (alias: getvalue)

set_eosbar(eosbar)#: Sets the eosbar parameter (alias: seteosbar

set_checksubmit(checksubmit)#: Sets the checksubmit parameter

set_filler(filler)#: Sets a volume filler for volume filling execution

set_coc(coc)#: Configure the Cheat-On-Close method to buy the close on order bar

set_coo(coo)#: Configure the Cheat-On-Open method to buy the close on order bar

set_int2pnl(int2pnl)#: Configure assignment of interest to profit and loss

set_fundstartval(fundstartval)#: Set the starting value of the fund-like performance tracker

set_slippage_perc(perc, slip_open=True, slip_limit=True, slip_match=True, slip_out=False)#: Configure slippage to be percentage based

set_slippage_fixed(fixed, slip_open=True, slip_limit=True, slip_match=True, slip_out=False)#: Configure slippage to be fixed points based

get_orders_open(safe=False)#

Returns an iterable with the orders which are still open (either not executed or partially executed

The orders returned must not be touched.

If order manipulation is needed, set the parameter safe to True

getcommissioninfo(data)#: Retrieves the CommissionInfo scheme associated with the given data

setcommission(commission=0.0, margin=None, mult=1.0, commtype=None, percabs=True, stocklike=False, interest=0.0, interest_long=False, leverage=1.0, automargin=False, name=None)#

This method sets a `` CommissionInfo`` object for assets managed in the broker with the parameters. Consult the reference for CommInfoBase

If name is None, this will be the default for assets for which no other CommissionInfo scheme can be found

get_fundshares()#: Returns the current number of shares in the fund-like mode

get_fundvalue()#: Returns the Fund-like share value