[BUG] Execution price does not fit between High and Close

jbdelmundo commented 3 years ago

Problem description

When setting custom buy/sell signals, the order was executed the following day. However the execution price was still based on the current day. The execution price can be impossible because it was trying to execute today's price that may not be available the following day.

	dt	open	high	low	close	entry_signal	exit_signal	type	price
0	2017-01-03 00:00:00	730	733	722.5	727	1	0	nan	nan
1	2017-01-04 00:00:00	735	760	735	760	0	0	buy	727
2	2017-01-05 00:00:00	767	790	760.5	790	0	0	nan	nan
3	2017-01-06 00:00:00	780	794.5	780	786.5	0	0	nan	nan
4	2017-01-09 00:00:00	786.5	790	770.5	784.5	0	0	nan	nan
5	2017-01-10 00:00:00	787.5	797	784	793	0	1	nan	nan
6	2017-01-11 00:00:00	794	797	787	796	0	0	sell	796
7	2017-01-12 00:00:00	796.5	799.5	790.5	793.5	0	0	nan	nan
8	2017-01-13 00:00:00	793.5	797.5	790	792	0	0	nan	nan
9	2017-01-16 00:00:00	795.5	795.5	773	786.5	0	0	nan	nan

When the entry signal is generated at 2017-01-03, the closing price is 727 Then the order is executed the following day. However the price (727) is not within the bounds of high and low at 2017-01-04

Example

Use fastquant.indicators.custom.CustomIndicator for creating entry and exit signals
Create a custom strategy that uses the your custom entry and exit signals (example here: https://github.com/enzoampil/fastquant/blob/master/examples/2020-10-26-user_defined_strategy.ipynb)
Run backtest and merge the order history with the original data

Expected behavior

It can be modified in strategies/base.py by specifying the exectype here: https://github.com/enzoampil/fastquant/blob/94d938397b7ee61aa82bf0f72875d6499458200c/python/fastquant/strategies/base.py#L358

# Explicitly setting exectype=bt.Order.Close will make the next day's closing the reference price
                    self.order = self.buy(size=final_size, exectype=bt.Order.Close)

Environment

platform: Linux
fastquant version : commit: 94d938397b7ee61aa82bf0f72875d6499458200c ("Update setup version")
installation method: source

jbdelmundo commented 3 years ago

Also, the size (or amount of shares) is determined on the day the signal is generated

However, if the size * price > cash, where price is based on the execution date and not on the signal day (exectype=bt.Order.Close), the buy order will fail (order.status == order.Margin)

This usually happens when BUY_PROP = 1

jpdeleon commented 2 years ago

@jbdelmundo what's your proposed fix?

mikeejazmines commented 2 years ago

@jpdeleon in a recent PR, enzo and i were looking at the execution type and making the execution type bt.Close caused issues in intraday. Removing it has then fixed the problem.

By default it reverts to bt.Market which gets the close of the day the signal was created.

In line 496 here https://github.com/enzoampil/fastquant/pull/396/commits/329fb5e01678dd5dc8a45fef358e035b571dc611 the exectype=bt.Order.Close was removed

enzoampil / fastquant