Backtrader中文笔记之Cerebro(大脑)。

* `None`: in this case the datetime displayed by strategies will be
  in UTC, which has been always the standard behavior
在这种情况下，策略所显示的日期时间将使用UTC，这一直是标准行为

* `pytz` instance. It will be used as such to convert UTC times to
  the chosen timezone
pytz实例，它将用于将UTC时间转换为所选时区
* `string`. Instantiating a `pytz` instance will be attempted.
字符串  实例化一个`pytz`实例将尝试。
* `integer`. Use, for the strategy, the same timezone as the
  corresponding `data` in the `self.datas` iterable (`0` would
  use the timezone from `data0`)
整数 对于策略，使用对应相同的时区。(' 0 '将使用' data0 '的时区)

cheat_on_open (default: False)

The next_open method of strategies will be called. This happens before next and before the broker has had a chance to evaluate orders. The indicators have not yet been recalculated. This allows issuing an orde which takes into account the indicators of the previous day but uses the open price for stake calculations

策略的next_open方法被调用。这发生在next之前，在经纪人评估订单之前。这些指标尚未重新计算。

这允许发布一个订单，该订单考虑了前一天的指标，但使用公开价格计算股份

For cheat_on_open order execution, it is also necessary to make the call

对于cheat_on_open的订单执行，还是需要进行调用的

cerebro.broker.set_coo(True) or instantite a broker with BackBroker(coo=True) (where coo stands for cheat-on-open) or set the broker_coo parameter to True. Cerebro will do it automatically unless disabled below.

这些办法可以将cheat_on_open设置为True，第一实例方法设置cerebro.broker.set_coo(True)，第二类里面添加参数BackBroker(coo=True)，第三直接在类里面修改参数

broker_coo (default: True)

This will automatically invoke the set_coo method of the broker with True to activate cheat_on_open execution. Will only do it if cheat_on_open is also True

这将自动调用代理的set_coo方法(True)来激活cheat_on_open执行。只有在cheat_on_open也为真时才会这样做

quicknotify (default: False)

Broker notifications are delivered right before the delivery of the next prices. For backtesting this has no implications, but with live brokers a notification can take place long before the bar is delivered. When set to True notifications will be delivered as soon as possible (see qcheck in live feeds)

经纪人通知将在下一个价格交割之前送达。对于回溯测试，这没有任何影响，但是对于实时代理来说，通知可以在bar交付之前很久发生。当设置为True时，将尽快发送通知（请参阅livefeeds中的qcheck）

Set to False for compatibility. May be changed to True

为兼容性设置为False。可以将其设置为True

addstorecb(callback)

Adds a callback to get messages which would be handled by the notify_store method

The signature of the callback must support the following:

callback(msg, *args, **kwargs)

The actual msg, *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

notify_store(msg, *args, **kwargs)

Receive store notifications in cerebro

This method can be overridden in Cerebro subclasses

The actual msg, *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

adddatacb(callback)

Adds a callback to get messages which would be handled by the notify_data method

The signature of the callback must support the following:

callback(data, status, *args, **kwargs)

The actual *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

notify_data(data, status, *args, **kwargs)

Receive data notifications in cerebro

This method can be overridden in Cerebro subclasses

The actual *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

adddata(data, name=None)

Adds a Data Feed instance to the mix.

If name is not None it will be put into data._name which is meant for decoration/plotting purposes.

resampledata(dataname, name=None, **kwargs)

Adds a Data Feed to be resample by the system

If name is not None it will be put into data._name which is meant for decoration/plotting purposes.

Any other kwargs like timeframe, compression, todate which are supported by the resample filter will be passed transparently

replaydata(dataname, name=None, **kwargs)

Adds a Data Feed to be replayed by the system

If name is not None it will be put into data._name which is meant for decoration/plotting purposes.

Any other kwargs like timeframe, compression, todate which are supported by the replay filter will be passed transparently

chaindata(*args, **kwargs)

Chains several data feeds into one

If name is passed as named argument and is not None it will be put into data._name which is meant for decoration/plotting purposes.

If None, then the name of the 1^st data will be used

rolloverdata(*args, **kwargs)

Chains several data feeds into one

If name is passed as named argument and is not None it will be put into data._name which is meant for decoration/plotting purposes.

If None, then the name of the 1^st data will be used

Any other kwargs will be passed to the RollOver class

addstrategy(strategy, *args, **kwargs)

Adds a Strategy class to the mix for a single pass run. Instantiation will happen during run time.

args and kwargs will be passed to the strategy as they are during instantiation.

Returns the index with which addition of other objects (like sizers) can be referenced

optstrategy(strategy, *args, **kwargs)

Adds a Strategy class to the mix for optimization. Instantiation will happen during run time.

args and kwargs MUST BE iterables which hold the values to check.

Example: if a Strategy accepts a parameter period, for optimization purposes the call to optstrategy looks like:

cerebro.optstrategy(MyStrategy, period=(15, 25))

This will execute an optimization for values 15 and 25. Whereas

cerebro.optstrategy(MyStrategy, period=range(15, 25))

will execute MyStrategy with period values 15 -> 25 (25 not included, because ranges are semi-open in Python)

If a parameter is passed but shall not be optimized the call looks like:

cerebro.optstrategy(MyStrategy, period=(15,))

Notice that period is still passed as an iterable … of just 1 element

backtrader will anyhow try to identify situations like:

cerebro.optstrategy(MyStrategy, period=15)

and will create an internal pseudo-iterable if possible

optcallback(cb)

Adds a callback to the list of callbacks that will be called with the optimizations when each of the strategies has been run

The signature: cb(strategy)

addindicator(indcls, *args, **kwargs)

Adds an Indicator class to the mix. Instantiation will be done at run time in the passed strategies

addobserver(obscls, *args, **kwargs)

Adds an Observer class to the mix. Instantiation will be done at run time

addobservermulti(obscls, *args, **kwargs)

Adds an Observer class to the mix. Instantiation will be done at run time

It will be added once per “data” in the system. A use case is a buy/sell observer which observes individual datas.

A counter-example is the CashValue, which observes system-wide values

addanalyzer(ancls, *args, **kwargs)

Adds an Analyzer class to the mix. Instantiation will be done at run time

addwriter(wrtcls, *args, **kwargs)

Adds an Writer class to the mix. Instantiation will be done at run time in cerebro

run(**kwargs)

The core method to perform backtesting. Any kwargs passed to it will affect the value of the standard parameters Cerebro was instantiated with.

If cerebro has not datas the method will immediately bail out.

It has different return values:

For No Optimization: a list contanining instances of the Strategy classes added with addstrategy
For Optimization: a list of lists which contain instances of the Strategy classes added with addstrategy

runstop()

If invoked from inside a strategy or anywhere else, including other threads the execution will stop as soon as possible.

setbroker(broker)

Sets a specific broker instance for this strategy, replacing the one inherited from cerebro.

getbroker()

Returns the broker instance.

This is also available as a property by the name broker

plot(plotter=None, numfigs=1, iplot=True, start=None, end=None, width=16, height=9, dpi=300, tight=True, use=None, **kwargs)

Plots the strategies inside cerebro

If plotter is None a default Plot instance is created and kwargs are passed to it during instantiation.

numfigs split the plot in the indicated number of charts reducing chart density if wished

iplot: if True and running in a notebook the charts will be displayed inline

use: set it to the name of the desired matplotlib backend. It will take precedence over iplot

start: An index to the datetime line array of the strategy or a datetime.date, datetime.datetime instance indicating the start of the plot

end: An index to the datetime line array of the strategy or a datetime.date, datetime.datetime instance indicating the end of the plot

width: in inches of the saved figure

height: in inches of the saved figure

dpi: quality in dots per inches of the saved figure

tight: only save actual content and not the frame of the figure

addsizer(sizercls, *args, **kwargs)

Adds a Sizer class (and args) which is the default sizer for any strategy added to cerebro

addsizer_byidx(idx, sizercls, *args, **kwargs)

Adds a Sizer class by idx. This idx is a reference compatible to the one returned by addstrategy. Only the strategy referenced by idx will receive this size

add_signal(sigtype, sigcls, *sigargs, **sigkwargs)

Adds a signal to the system which will be later added to a SignalStrategy

signal_concurrent(onoff)

If signals are added to the system and the concurrent value is set to True, concurrent orders will be allowed

signal_accumulate(onoff)

If signals are added to the system and the accumulate value is set to True, entering the market when already in the market, will be allowed to increase a position

signal_strategy(stratcls, *args, **kwargs)

Adds a SignalStrategy subclass which can accept signals

addcalendar(cal)

Adds a global trading calendar to the system. Individual data feeds may have separate calendars which override the global one

cal can be an instance of TradingCalendar a string or an instance of pandas_market_calendars. A string will be will be instantiated as a PandasMarketCalendar (which needs the module pandas_market_calendar installed in the system.

If a subclass of TradingCalendarBase is passed (not an instance) it will be instantiated

addtz(tz)

This can also be done with the parameter tz

Adds a global timezone for strategies. The argument tz can be

None: in this case the datetime displayed by strategies will be in UTC, which has been always the standard behavior
pytz instance. It will be used as such to convert UTC times to the chosen timezone
string. Instantiating a pytz instance will be attempted.
integer. Use, for the strategy, the same timezone as the corresponding data in the self.datas iterable (0 would use the timezone from data0)

add_timer(when, offset=datetime.timedelta(0), repeat=datetime.timedelta(0), weekdays=[], weekcarry=False, monthdays=[], monthcarry=True, allow=None, tzdata=None, strats=False, cheat=False, *args, **kwargs)

Schedules a timer to invoke notify_timer

Parameters

when (-) – can be
- datetime.time instance (see below tzdata)
- bt.timer.SESSION_START to reference a session start
- bt.timer.SESSION_END to reference a session end
- offset which must be a datetime.timedelta instance
Used to offset the value when. It has a meaningful use in combination with SESSION_START and SESSION_END, to indicated things like a timer being called 15 minutes after the session start.
- repeat which must be a datetime.timedelta instance
  
  Indicates if after a 1^st call, further calls will be scheduled within the same session at the scheduled repeat delta
  
  Once the timer goes over the end of the session it is reset to the original value for when
- weekdays: a sorted iterable with integers indicating on which days (iso codes, Monday is 1, Sunday is 7) the timers can be actually invoked
  
  If not specified, the timer will be active on all days
- weekcarry (default: False). If True and the weekday was not seen (ex: trading holiday), the timer will be executed on the next day (even if in a new week)
- monthdays: a sorted iterable with integers indicating on which days of the month a timer has to be executed. For example always on day 15 of the month
  
  If not specified, the timer will be active on all days
- monthcarry (default: True). If the day was not seen (weekend, trading holiday), the timer will be executed on the next available day.
- allow (default: None). A callback which receives a datetime.date` instance and returns True if the date is allowed for timers or else returns False
- tzdata which can be either None (default), a pytz instance or a data feed instance.
  
  None: when is interpreted at face value (which translates to handling it as if it where UTC even if it’s not)
  
  pytz instance: when will be interpreted as being specified in the local time specified by the timezone instance.
  
  data feed instance: when will be interpreted as being specified in the local time specified by the tz parameter of the data feed instance.
  
  Note
  
  If when is either SESSION_START or SESSION_END and tzdata is None, the 1^st data feed in the system (aka self.data0) will be used as the reference to find out the session times.
- strats (default: False) call also the notify_timer of strategies
- cheat (default False) if True the timer will be called before the broker has a chance to evaluate the orders. This opens the chance to issue orders based on opening price for example right before the session starts
- *args: any extra args will be passed to notify_timer
- **kwargs: any extra kwargs will be passed to notify_timer

Return Value:

The created timer

notify_timer(timer, when, *args, **kwargs)

Receives a timer notification where timer is the timer which was returned by add_timer, and when is the calling time. args and kwargs are any additional arguments passed to add_timer

The actual when time can be later, but the system may have not be able to call the timer before. This value is the timer value and no the system time.

add_order_history(orders, notify=True)

Add a history of orders to be directly executed in the broker for performance evaluation

orders: is an iterable (ex: list, tuple, iterator, generator) in which each element will be also an iterable (with length) with the following sub-elements (2 formats are possible)

[datetime, size, price] or [datetime, size, price, data]

Note

it must be sorted (or produce sorted elements) by datetime ascending

where:
- datetime is a python date/datetime instance or a string with format YYYY-MM-DD[THH:MM:SS[.us]] where the elements in brackets are optional
- size is an integer (positive to buy, negative to sell)
- price is a float/integer
- data if present can take any of the following values
  - None - The 1^st data feed will be used as target
  - integer - The data with that index (insertion order in Cerebro) will be used
  - string - a data with that name, assigned for example with cerebro.addata(data, name=value), will be the target
notify (default: True)

If True the 1^st strategy inserted in the system will be notified of the artificial orders created following the information from each order in orders

Note

Implicit in the description is the need to add a data feed which is the target of the orders. This is for example needed by analyzers which track for example the returns