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Fillers

The backtrader broker simulation has a default strategy when it comes to using volume for order execution:

  • Ignore volume

This is based on 2 premises:

  • Trade in markets liquid enough to fully absorb buy/sell orders in one go

  • Real volume matching requires a real wolrd

    A quick example is a Fill or Kill order. Even down to the tick resolution and with enough volume for a fill, the backtrader broker cannot know how many extra actors happen to be in the market to discriminate if such an order would be or would not be matched to stick to the Fill part or if the order should be Kill

But the broker can accept Volume Fillers which determine how much of the volume at a given point in time has to be used for order matching.

The fillers signature

A filler in the backtrader ecosystem can be any callable which matches the following signature:

callable(order, price, ago)

Where:

  • order is the order which is going to be executed

    This object gives access to the data object which is the target of the operation, creation sizes/prices, execution prices/sizes/remaining sizes and other details

  • price at which the order is going to be executed

  • ago is the index to the data in the order in which to look for the volume and price elements

    In almost all cases this will be 0 (current point in time) but in a corner case to cover Close orders this may be -1

    To for example access the bar volume do:

    barvolume = order.data.volume[ago]

The callable can be a function or for example an instance of a class supporting the __call__ method, like in:

class MyFiller(object):
    def __call__(self, order, price, ago):
        pass

Adding a Filler to the broker

The most straightforward method is to use the set_filler:

import backtrader as bt

cerebro = Cerebro()
cerebro.broker.set_filler(bt.broker.fillers.FixedSize())

The second choice is to completely replace the broker, although this is probably only meant for subclasses of BrokerBack which have rewritten portions of the functionality:

import backtrader as bt

cerebro = Cerebro()
filler = bt.broker.fillers.FixedSize()
newbroker = bt.broker.BrokerBack(filler=filler)
cerebro.broker = newbroker

The sample

The backtrader sources contain a sample named volumefilling which allows to test some of the integrated fillers (initially all)

Reference

class backtrader.fillers.FixedSize()

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

class backtrader.fillers.FixedBarPerc()

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

class backtrader.fillers.BarPointPerc()

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