Allow canceling submitted broker orders

Author: cloudQuant

README.md

@@ -49,6 +49,7 @@ An enhanced version of the backtrader Python library for quantitative trading an
   - Trade statistics and performance metrics
   - PyFolio integration
 - 🎯 **Flexible Order Types**: Market, Limit, Stop, Stop-Limit, OCO orders
+- 🔁 **Cancelable Submitted Orders**: Orders that have been submitted but not yet accepted by the broker can be canceled, matching event-driven broker behavior for strategies that adjust protective stop/limit orders within the same cycle.
 - 💼 **Position Sizing**: Built-in position sizers and custom sizing strategies
 - 📉 **Data Processing**: Resampling, replaying, and multi-timeframe analysis
 

backtrader/brokers/bbroker.py

@@ -448,10 +448,23 @@ def get_fundvalue(self):
 
     # 取消订单
     def cancel(self, order, bracket=False):
-        try:
-            self.pending.remove(order)
-        except ValueError:
-            # If the list didn't have the element we didn't cancel anything
+        if order is None or not order.alive():
+            return False
+
+        if order.status not in (Order.Submitted, Order.Accepted, Order.Partial):
+            return False
+
+        removed = False
+        for queue in (self.pending, self.submitted):
+            try:
+                queue.remove(order)
+            except ValueError:
+                continue
+            removed = True
+            break
+
+        if not removed:
+            # If neither queue had the element we didn't cancel anything
             return False
 
         order.cancel()

scripts/run_strategy_branch_compare.py

@@ -21,7 +21,7 @@
     "run_id",
 }
 
-DEFAULT_BRANCHES = ["current", "dev"]
+DEFAULT_BRANCHES = ["current", "master"]
 LOG_FILE_NAMES = {
     "bar.log",
     "error.log",
@@ -73,7 +73,7 @@ def parse_args() -> argparse.Namespace:
         action="append",
         help=(
             "Branch/ref to run. Use 'current' for the current working tree including uncommitted changes. "
-            "Can be repeated. Default: current and dev."
+            "Can be repeated. Default: current and master."
         ),
     )
     parser.add_argument("--timeout", type=int, default=300, help="Timeout for run.py in seconds.")

tests/strategies/test_05_stop_order_strategy.py

@@ -625,14 +625,14 @@ def test_stop_order_strategy():
     # Assert test results (exact values)
     # Tolerance: 1e-6 for most metrics, 0.01 for final_value
     assert strat.bar_num == 4414, f"Expected bar_num=4414, got {strat.bar_num}"
-    assert strat.buy_count == 4, f"Expected buy_count=4, got {strat.buy_count}"
-    assert strat.sell_count == 1, f"Expected sell_count=1, got {strat.sell_count}"
-    assert strat.stop_count == 3, f"Expected stop_count=3, got {strat.stop_count}"
-    assert total_trades == 5, f"Expected total_trades=5, got {total_trades}"
-    assert abs(sharpe_ratio - (-0.11532400124757156)) < 1e-6, f"Expected sharpe_ratio=-0.11532400124757156, got {sharpe_ratio}"
-    assert abs(annual_return - (-0.02594445655033843)) < 1e-6, f"Expected annual_return=-0.02594445655033843, got {annual_return}"
-    assert abs(max_drawdown - 0.75241098463008) < 1e-6, f"Expected max_drawdown=0.75241098463008, got {max_drawdown}"
-    assert abs(final_value - 62969.156504940926) < 0.01, f"Expected final_value=62969.156504940926, got {final_value}"
+    assert strat.buy_count == 211, f"Expected buy_count=211, got {strat.buy_count}"
+    assert strat.sell_count == 104, f"Expected sell_count=104, got {strat.sell_count}"
+    assert strat.stop_count == 106, f"Expected stop_count=106, got {strat.stop_count}"
+    assert total_trades == 210, f"Expected total_trades=210, got {total_trades}"
+    assert abs(sharpe_ratio - (-0.7549783580584405)) < 1e-6, f"Expected sharpe_ratio=-0.7549783580584405, got {sharpe_ratio}"
+    assert abs(annual_return - (-0.14437349885291842)) < 1e-6, f"Expected annual_return=-0.14437349885291842, got {annual_return}"
+    assert abs(max_drawdown - 0.9428371118168646) < 1e-6, f"Expected max_drawdown=0.9428371118168646, got {max_drawdown}"
+    assert abs(final_value - 6434.648954130735) < 0.01, f"Expected final_value=6434.648954130735, got {final_value}"
 
     print("\nAll tests passed!")