Add Order.tag for tracking orders and trades (#200)

* Add tagging, object typing, fix pep8

* Fix final pep8 issue

* Change .tag docstrings

* Add Tag column to stats._trades

* Add unit test

Co-authored-by: qacollective <[email protected]>
Co-authored-by: kernc <[email protected]>

Author: 3 people

backtesting/_stats.py

@@ -65,6 +65,7 @@ def compute_stats(
             'ReturnPct': [t.pl_pct for t in trades],
             'EntryTime': [t.entry_time for t in trades],
             'ExitTime': [t.exit_time for t in trades],
+            'Tag': [t.tag for t in trades],
         })
         trades_df['Duration'] = trades_df['ExitTime'] - trades_df['EntryTime']
     del trades

backtesting/backtesting.py

@@ -199,7 +199,8 @@ def buy(self, *,
             limit: Optional[float] = None,
             stop: Optional[float] = None,
             sl: Optional[float] = None,
-            tp: Optional[float] = None):
+            tp: Optional[float] = None,
+            tag: object = None):
         """
         Place a new long order. For explanation of parameters, see `Order` and its properties.
 
@@ -209,14 +210,15 @@ def buy(self, *,
         """
         assert 0 < size < 1 or round(size) == size, \
             "size must be a positive fraction of equity, or a positive whole number of units"
-        return self._broker.new_order(size, limit, stop, sl, tp)
+        return self._broker.new_order(size, limit, stop, sl, tp, tag)
 
     def sell(self, *,
              size: float = _FULL_EQUITY,
              limit: Optional[float] = None,
              stop: Optional[float] = None,
              sl: Optional[float] = None,
-             tp: Optional[float] = None):
+             tp: Optional[float] = None,
+             tag: object = None):
         """
         Place a new short order. For explanation of parameters, see `Order` and its properties.
 
@@ -228,7 +230,7 @@ def sell(self, *,
         """
         assert 0 < size < 1 or round(size) == size, \
             "size must be a positive fraction of equity, or a positive whole number of units"
-        return self._broker.new_order(-size, limit, stop, sl, tp)
+        return self._broker.new_order(-size, limit, stop, sl, tp, tag)
 
     @property
     def equity(self) -> float:
@@ -386,7 +388,8 @@ def __init__(self, broker: '_Broker',
                  stop_price: Optional[float] = None,
                  sl_price: Optional[float] = None,
                  tp_price: Optional[float] = None,
-                 parent_trade: Optional['Trade'] = None):
+                 parent_trade: Optional['Trade'] = None,
+                 tag: object = None):
         self.__broker = broker
         assert size != 0
         self.__size = size
@@ -395,6 +398,7 @@ def __init__(self, broker: '_Broker',
         self.__sl_price = sl_price
         self.__tp_price = tp_price
         self.__parent_trade = parent_trade
+        self.__tag = tag
 
     def _replace(self, **kwargs):
         for k, v in kwargs.items():
@@ -410,6 +414,7 @@ def __repr__(self):
                                                  ('sl', self.__sl_price),
                                                  ('tp', self.__tp_price),
                                                  ('contingent', self.is_contingent),
+                                                 ('tag', self.__tag),
                                              ) if value is not None))
 
     def cancel(self):
@@ -481,6 +486,14 @@ def tp(self) -> Optional[float]:
     def parent_trade(self):
         return self.__parent_trade
 
+    @property
+    def tag(self):
+        """
+        Arbitrary value (such as a string) which, if set, enables tracking
+        of this order and the associated `Trade` (see `Trade.tag`).
+        """
+        return self.__tag
+
     __pdoc__['Order.parent_trade'] = False
 
     # Extra properties
@@ -515,7 +528,7 @@ class Trade:
     When an `Order` is filled, it results in an active `Trade`.
     Find active trades in `Strategy.trades` and closed, settled trades in `Strategy.closed_trades`.
     """
-    def __init__(self, broker: '_Broker', size: int, entry_price: float, entry_bar):
+    def __init__(self, broker: '_Broker', size: int, entry_price: float, entry_bar, tag):
         self.__broker = broker
         self.__size = size
         self.__entry_price = entry_price
@@ -524,10 +537,12 @@ def __init__(self, broker: '_Broker', size: int, entry_price: float, entry_bar):
         self.__exit_bar: Optional[int] = None
         self.__sl_order: Optional[Order] = None
         self.__tp_order: Optional[Order] = None
+        self.__tag = tag
 
     def __repr__(self):
         return f'<Trade size={self.__size} time={self.__entry_bar}-{self.__exit_bar or ""} ' \
-               f'price={self.__entry_price}-{self.__exit_price or ""} pl={self.pl:.0f}>'
+               f'price={self.__entry_price}-{self.__exit_price or ""} pl={self.pl:.0f}' \
+               f'{" tag="+str(self.__tag) if self.__tag is not None else ""}>'
 
     def _replace(self, **kwargs):
         for k, v in kwargs.items():
@@ -541,7 +556,7 @@ def close(self, portion: float = 1.):
         """Place new `Order` to close `portion` of the trade at next market price."""
         assert 0 < portion <= 1, "portion must be a fraction between 0 and 1"
         size = copysign(max(1, round(abs(self.__size) * portion)), -self.__size)
-        order = Order(self.__broker, size, parent_trade=self)
+        order = Order(self.__broker, size, parent_trade=self, tag=self.__tag)
         self.__broker.orders.insert(0, order)
 
     # Fields getters
@@ -574,6 +589,19 @@ def exit_bar(self) -> Optional[int]:
         """
         return self.__exit_bar
 
+    @property
+    def tag(self):
+        """
+        A tag value inherited from the `Order` that opened
+        this trade.
+
+        This can be used to track trades and apply conditional
+        logic / subgroup analysis.
+
+        See also `Order.tag`.
+        """
+        return self.__tag
+
     @property
     def _sl_order(self):
         return self.__sl_order
@@ -665,7 +693,7 @@ def __set_contingent(self, type, price):
             order.cancel()
         if price:
             kwargs = {'stop': price} if type == 'sl' else {'limit': price}
-            order = self.__broker.new_order(-self.size, trade=self, **kwargs)
+            order = self.__broker.new_order(-self.size, trade=self, tag=self.tag, **kwargs)
             setattr(self, attr, order)
 
 
@@ -700,6 +728,7 @@ def new_order(self,
                   stop: Optional[float] = None,
                   sl: Optional[float] = None,
                   tp: Optional[float] = None,
+                  tag: object = None,
                   *,
                   trade: Optional[Trade] = None):
         """
@@ -725,7 +754,7 @@ def new_order(self,
                     "Short orders require: "
                     f"TP ({tp}) < LIMIT ({limit or stop or adjusted_price}) < SL ({sl})")
 
-        order = Order(self, size, limit, stop, sl, tp, trade)
+        order = Order(self, size, limit, stop, sl, tp, trade, tag)
         # Put the new order in the order queue,
         # inserting SL/TP/trade-closing orders in-front
         if trade:
@@ -905,7 +934,12 @@ def _process_orders(self):
 
             # Open a new trade
             if need_size:
-                self._open_trade(adjusted_price, need_size, order.sl, order.tp, time_index)
+                self._open_trade(adjusted_price,
+                                 need_size,
+                                 order.sl,
+                                 order.tp,
+                                 time_index,
+                                 order.tag)
 
                 # We need to reprocess the SL/TP orders newly added to the queue.
                 # This allows e.g. SL hitting in the same bar the order was open.
@@ -964,8 +998,8 @@ def _close_trade(self, trade: Trade, price: float, time_index: int):
         self._cash += trade.pl
 
     def _open_trade(self, price: float, size: int,
-                    sl: Optional[float], tp: Optional[float], time_index: int):
-        trade = Trade(self, size, price, time_index)
+                    sl: Optional[float], tp: Optional[float], time_index: int, tag):
+        trade = Trade(self, size, price, time_index, tag)
         self.trades.append(trade)
         # Create SL/TP (bracket) orders.
         # Make sure SL order is created first so it gets adversarially processed before TP order

backtesting/test/_test.py

@@ -304,7 +304,7 @@ def almost_equal(a, b):
         self.assertSequenceEqual(
             sorted(stats['_trades'].columns),
             sorted(['Size', 'EntryBar', 'ExitBar', 'EntryPrice', 'ExitPrice',
-                    'PnL', 'ReturnPct', 'EntryTime', 'ExitTime', 'Duration']))
+                    'PnL', 'ReturnPct', 'EntryTime', 'ExitTime', 'Duration', 'Tag']))
 
     def test_compute_stats_bordercase(self):
 
@@ -506,6 +506,18 @@ def coroutine(self):
         stats = self._Backtest(coroutine).run()
         self.assertEqual(len(stats._trades), 1)
 
+    def test_order_tag(self):
+        def coroutine(self):
+            yield self.buy(size=2, tag=1)
+            yield self.sell(size=1, tag='s')
+            yield self.sell(size=1)
+
+            yield self.buy(tag=2)
+            yield self.position.close()
+
+        stats = self._Backtest(coroutine).run()
+        self.assertEqual(list(stats._trades.Tag), [1, 1, 2])
+
 
 class TestOptimize(TestCase):
     def test_optimize(self):