backtrader.order module

Backtrader Order Module.

This module provides order data structures and execution tracking.

Key Classes:

OrderExecutionBit: Holds information about a single order execution. OrderData: Holds the full order data including creation and execution details.

The order system supports:

• Order creation and execution tracking

• Partial execution handling

• Commission calculation

• PnL calculation for closed positions

• Position size and price tracking

class backtrader.order.OrderExecutionBit

Bases: object

Intended to hold information about order execution. A “bit” does not determine if the order has been fully/partially executed, it just holds information.

Member Attributes:

• dt: datetime (float) execution time

# Execution time, float - size: how much was executed # How much was executed - price: execution price # Execution price - closed: how much of the execution closed an existing position # How much of existing position was closed - opened: how much of the execution opened a new position # How much new position was opened - openedvalue: market value of the “opened” part # Market value of opened position - closedvalue: market value of the “closed” part # Market value of closed position part - closedcomm: commission for the “closed” part # Commission for closed position part - openedcomm: commission for the “opened” part # Commission for opened position part - value: market value for the entire bit size # Market value of entire position - comm: commission for the entire bit execution # Commission for entire position - pnl: pnl generated by this bit (if something was closed) # PnL from closing part of position - psize: current open position size # Size of already opened position - pprice: current open position price # Price of already opened position

__init__(dt=None, size=0, price=0.0, closed=0, closedvalue=0.0, closedcomm=0.0, opened=0, openedvalue=0.0, openedcomm=0.0, pnl=0.0, psize=0, pprice=0.0)

Initialize order execution bit information.

Parameters:

• dt – Execution datetime.

• size – Executed size.

• price – Execution price.

• closed – Size of position closed.

• closedvalue – Value of closed position.

• closedcomm – Commission for closed position.

• opened – Size of new position opened.

• openedvalue – Value of opened position.

• openedcomm – Commission for opened position.

• pnl – Profit/loss from closed position.

• psize – Current position size.

• pprice – Current position price.

class backtrader.order.OrderData

Bases: object

Holds actual order data for Creation and Execution.

In the case of Creation the request made and in the case of Execution the actual outcome.

Member Attributes:

• exbits : iterable of OrderExecutionBits for this OrderData # Serialized order execution information for this order

• dt: datetime (float) creation/execution time # Order creation or execution time, string format

• size: requested/executed size # Creation or execution size

• price: execution price # Execution price. If no price or limit price is given, the order creation # or current closing price will be used as reference Note: if no price is given and no pricelimite is given, the closing price at the time or order creation will be used as reference

• pricelimit: holds pricelimit for StopLimit (which has trigger first) # Limit price for stop limit (triggered first)

• trailamount: absolute price distance in trailing stops # Absolute price distance in trailing stop

• trailpercent: percentage price distance in trailing stops # Percentage distance in trailing stop

• value: market value for the entire bit size # Market value of entire position

• comm: commission for the entire bit execution # Commission for entire position execution

• pnl: pnl generated by this bit (if something was closed) # PnL after closing position

• margin: margin incurred by the Order (if any) # Margin required for order

• psize: current open position size # Current position size

• pprice: current open position price # Current position price

__init__(dt=None, size=0, price=0.0, pricelimit=0.0, remsize=0, pclose=0.0, trailamount=0.0, trailpercent=0.0)

Initialize order data.

Parameters:

• dt – Order datetime.

• size – Order size.

• price – Order price.

• pricelimit – Limit price for stop orders.

• remsize – Remaining size to execute.

• pclose – Previous close price.

• trailamount – Trailing amount for stop orders.

• trailpercent – Trailing percent for stop orders.

property plimit

add(dt, size, price, closed=0, closedvalue=0.0, closedcomm=0.0, opened=0, openedvalue=0.0, openedcomm=0.0, pnl=0.0, psize=0, pprice=0.0)

Add execution information to this order.

Parameters:

• dt – Execution datetime.

• size – Executed size.

• price – Execution price.

• closed – Size of position closed.

• closedvalue – Value of closed position.

• closedcomm – Commission for closed position.

• opened – Size of new position opened.

• openedvalue – Value of opened position.

• openedcomm – Commission for opened position.

• pnl – Profit/loss from closed position.

• psize – Current position size.

• pprice – Current position price.

addbit(exbit)

Store an execution bit and recalculate order values.

Parameters:

exbit – OrderExecutionBit to add.

getpending()

Get list of pending execution bits.

Returns:

List of pending OrderExecutionBit objects.

Return type:

list

iterpending()

Iterate over pending execution bits.

Returns:

Iterator over pending OrderExecutionBit objects.

Return type:

iterator

markpending()

Mark current execution bits as pending.

Rebuilds the indices to mark which exbits are pending in clone.

clone()

Clone the OrderData object.

Returns:

A cloned copy with marked pending bits.

Return type:

OrderData

class backtrader.order.OrderParams

Bases: object

Simple parameter container for Order classes.

Stores order parameters like owner, data, size, price, execution type, etc.

__init__(**kwargs)

Initialize order parameters with defaults.

Parameters:

**kwargs – Keyword arguments to override default parameters.

Raises:

AttributeError – If an invalid parameter is provided.

class backtrader.order.OrderBase

Bases: object

Base class for order objects.

Provides the foundation for all order types with common attributes and methods for order tracking, status management, and execution.

Class Attributes:

DAY: Constant for day order identification. Market, Close, Limit, Stop, StopLimit, StopTrail, StopTrailLimit: Order execution types. Buy, Sell: Order direction types. Created, Submitted, Accepted, Partial, Completed, Canceled, Expired, Margin, Rejected: Order status codes.

ref

Unique order reference number.

broker

Broker instance handling this order.

p

OrderParams instance containing order parameters.

DAY = datetime.timedelta(0)

T_Close = 0

T_Day = 1

T_Date = 2

T_None = 3

V_None = range(0, 1)

Market = 0

Close = 1

Limit = 2

Stop = 3

StopLimit = 4

StopTrail = 5

StopTrailLimit = 6

Historical = 7

ExecTypes = ['Market', 'Close', 'Limit', 'Stop', 'StopLimit', 'StopTrail', 'StopTrailLimit', 'Historical']

OrdTypes = ['Buy', 'Sell']

Buy = 0

Sell = 1

Created = 0

Submitted = 1

Accepted = 2

Partial = 3

Completed = 4

Canceled = 5

Expired = 6

Margin = 7

Rejected = 8

Cancelled = 5

Status = ['Created', 'Submitted', 'Accepted', 'Partial', 'Completed', 'Canceled', 'Expired', 'Margin', 'Rejected']

refbasis = count(1)

__init__(**kwargs)

Initialize the order base instance.

Parameters:

**kwargs – Order parameters (owner, data, size, price, etc.).

property plimit

clone()

Clone the order.

Returns:

A cloned copy with cloned executed OrderData.

Return type:

OrderBase

getstatusname(status=None)

Returns the name for a given status or the one of the order

getordername(exectype=None)

Returns the name for a given exectype or the one of the order

classmethod ExecType(exectype)

Get the execution type constant from the class.

Parameters:

exectype – String name of the execution type.

Returns:

The execution type constant.

Return type:

int

ordtypename(ordtype=None)

Returns the name for a given ordtype or the one of the order

active()

Check if the order is active.

Returns:

True if order is active, False otherwise.

Return type:

bool

activate()

Activate the order.

alive()

Returns True if the order is in a status in which it can still be executed

addcomminfo(comminfo)

Stores a CommInfo scheme associated with the asset

addinfo(**kwargs)

Add the keys, values of kwargs to the internal info dictionary to hold custom information in the order

isbuy()

Returns True if the order is a Buy order

issell()

Returns True if the order is a Sell order

setposition(position)

Receives the current position for the asset and stores it

submit(broker=None)

Marks an order as submitted and stores the broker to which it was submitted

accept(broker=None)

Marks an order as accepted

brokerstatus()

Tries to retrieve the status from the broker in which the order is.

Defaults to last known status if no broker is associated

reject(broker=None)

Marks an order as rejected

cancel()

Marks an order as cancelled

margin()

Marks an order as having met a margin call

completed()

Marks an order as completely filled

partial()

Marks an order as partially filled

execute(dt, size, price, closed, closedvalue, closedcomm, opened, openedvalue, openedcomm, margin, pnl, psize, pprice)

Receives data execution input and stores it

expire()

Marks an order as expired. Returns True if it worked

trailadjust(price)

Adjust trailing stop price.

Parameters:

price – Current price for trailing calculation.

Note

Generic interface - override in subclasses for specific behavior.

class backtrader.order.Order

Bases: OrderBase

Order class for buy/sell orders.

Extends OrderBase with order type (buy/sell) and session end time handling. This is the main order class used for creating and managing trading orders.

ordtype

Order type (Buy or Sell).

dteos

Date/time of end of session for order validity.

ordtype = None

__init__(**kwargs)

Initialize the order instance.

Parameters:

**kwargs – Order parameters (owner, data, size, price, etc.).

execute(dt, size, price, closed, closedvalue, closedcomm, opened, openedvalue, openedcomm, margin, pnl, psize, pprice)

Execute the order with given parameters.

Parameters:

• dt – Execution datetime.

• size – Executed size.

• price – Execution price.

• closed – Size of position closed.

• closedvalue – Value of closed position.

• closedcomm – Commission for closed position.

• opened – Size of new position opened.

• openedvalue – Value of opened position.

• openedcomm – Commission for opened position.

• margin – Margin required for the order.

• pnl – Profit/loss from closed position.

• psize – Current position size.

• pprice – Current position price.

expire()

Check if order should be expired

Returns:

If order has expired False: If order has not expired

Return type:

True

trailadjust(price)

Adjust trailing stop order price.

Parameters:

price – Current market price for trailing calculation.

For buy orders: stop price moves up as price increases. For sell orders: stop price moves down as price decreases.

class backtrader.order.BuyOrder

Bases: Order

Buy order class.

Represents a buy order with ordtype set to Order.Buy.

ordtype = 0

class backtrader.order.StopBuyOrder

Bases: BuyOrder

Stop buy order class.

Used for buy orders that trigger when price crosses a threshold.

class backtrader.order.StopLimitBuyOrder

Bases: BuyOrder

Stop limit buy order class.

Used for buy orders that become limit orders after stop price is triggered.

class backtrader.order.SellOrder

Bases: Order

Sell order class.

Represents a sell order with ordtype set to Order.Sell.

ordtype = 1

class backtrader.order.StopSellOrder

Bases: SellOrder

Stop sell order class.

Used for sell orders that trigger when price crosses a threshold.

class backtrader.order.StopLimitSellOrder

Bases: SellOrder

Stop limit sell order class.

Used for sell orders that become limit orders after stop price is triggered.