Backtesting#
Backtesting Broker#
- class lumibot.backtesting.backtesting_broker.BacktestingBroker(data_source, connect_stream=True, max_workers=20, config=None, **kwargs)#
Bases:
Broker- IS_BACKTESTING_BROKER = True#
- calculate_trade_cost(order: Order, strategy, price: float)#
Calculate the trade cost of an order for a given strategy
- cancel_order(order)#
Cancel an order
- cash_settle_options_contract(position, strategy)#
Cash settle an options contract position. This method will calculate the profit/loss of the position and add it to the cash position of the strategy. This method will not actually sell the contract, it will just add the profit/loss to the cash position and set the position to 0. Note: only for backtesting
- property datetime#
- get_historical_account_value()#
Get the historical account value of the account. TODO: Fill out the docstring with more information.
- get_last_bar(asset)#
Returns OHLCV dictionary for last bar of the asset.
- get_time_to_close()#
Return the remaining time for the market to close in seconds
- get_time_to_open()#
Return the remaining time for the market to open in seconds
- is_market_open()#
Return True if market is open else false
- limit_order(limit_price, side, open_, high, low)#
Limit order logic.
- process_expired_option_contracts(strategy)#
Checks if options or futures contracts have expried and converts to cash.
- Parameters:
strategy (Strategy object.) – Strategy object.
- Return type:
List of orders
- process_pending_orders(strategy)#
Used to evaluate and execute open orders in backtesting.
This method will evaluate the open orders at the beginning of every new bar to determine if any of the open orders should have been filled. This method will execute order events as needed, mostly fill events.
- Parameters:
strategy (Strategy object) –
- should_continue()#
In production mode always returns True. Needs to be overloaded for backtesting to check if the limit datetime was reached
- stop_order(stop_price, side, open_, high, low)#
Stop order logic.
- submit_order(order)#
Submit an order for an asset
- submit_orders(orders, **kwargs)#
Submit orders