order is removed due to no enough cash/margin, however, it's a sell order

[zillionare]

Currently position is long and there's buy trade in queue:

<Trade size=476 time=7- price=21.0- pl=652>

Now a sell signal is triggerred, and a sell order is placed, however, the order is removed/cancelled in _process_orders due to no cash/margin:

logger is added by me.

Since this is a sell order, why we need cash/margin?

Expected Behavior

if the order is for sell, we need to check if we hold long position; otherwise, check if cash is enough.

Actual Behavior

the sell order is discarded due to no cash/margin. Thus no more buy/sell even buy/sell signals are fired.

Steps to Reproduce

1. trigger a long trade with size 0.9999
2. trigger a sell order, see if it's placed

Additional info

• Backtesting version: 0.3.1

[gaborvecsei]

(I am not familiar with the codebase, I am a new user)

Since this is a sell order, why we need cash/margin?

Actually I think we need "some" cash as we need to pay a commission.

[kernc]

The commission is already accounted for with spread at trade entry. If we're just selling (buying) some units we already have (owe), we should not be checking available cash.

[gaborvecsei]

@kernc, just for the sake of my understanding:

• When we are closing a position (selling), there is no commissions we need to pay?

I understand that there is a commission when we enter a trade (e.g. buy a stock), but we should also pay a commission when we are selling. At elast for Interactive Brokers, we pay commission when closing a position. (And as I know this is the same for most of the cases).

In theory I could not sell my shares on IB if I would not have enough money to pay the commission at "sell time".

[kernc]

I understand that there is a commission when we enter a trade (e.g. buy a stock), but we should also pay a commission when we are selling. At elast for Interactive Brokers, we pay commission when closing a position. (And as I know this is the same for most of the cases).

Ah, this already came up in https://github.com/kernc/backtesting.py/issues/149. The idea then was to just pass Backtest(commission=2*real_commission), which is approximately valid for all but the instruments with very wide price fluctuation.

In theory I could not sell my shares on IB if I would not have enough money to pay the commission at "sell time".

I don't think that's correct. You pay the commission when and upon exchanging the asset for whatever it's priced.

[kernc]

• trigger a long trade with size 0.9999

• trigger a sell order, see if it's placed

The recommended way of closing existing trades is via Strategy.trades[i].close() or Strategy.position.close().

Alternatively, if after the initial long trade you call self.sell(size=int(long_order_size)) (rather than the equity-relative size), the behavior is as expected.