General Discussion

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  Trying to use Binance Data
  • Jeff Doyle  

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  about YahooFinanceData
  • 김호영  

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  @vladisld thanks so much!! It is really helpful!!!
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  Running multiple strategies individually
  • eric2020  

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  We are talking only about built-in broker class used for backtracking. Real-live broker classes (Oanda, IB, ...) get the position information directly from the real broker , so it doesn't matter if there will be multiple data feeds of the same instrument with different time-frames - the orders will be processed for a specific instrument and the position will be managed appropriately. As for the BackBroker class (built-in broker used for backtracking) - although I never tried to trade on multiple time-frames simultaneously myself - AFAIU the position is maintained per data feed. I'm not sure there is a code in Backtrader that could identify that different data feeds actually belong to the same instrument. Probably more experienced members on this forum could prove otherwise and point us to the corresponding source code.
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  Extract indicators time series
  • TullioTech  

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  Thank You
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  Broker: how to force selling multiple securities to free up cash before buying in the same bar?
  • Nicola Prada  

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  I meant this loop for i, s in enumerate(self.datas): but after more thoughts I think your way is correct one. Otherwise it will be a mix of sell and buy orders.
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  When does the broker update the cash after a trade is closed?
  • Nicola Prada  

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  Cancel Individual Order in IB
  • sickboy_76au  

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  Thanks for your reply Vladsisld, yes recreating the old order to cancel it sounds like a bit of a step too far for me. Yes I have had to build out the position and order management completely separately. I am fortunate that the strategy is fairly simple and runs once a day, this may not be possible for more active traders, so I place orders in to enter positions good for the day that way if they are filled it is in my position and if not filled the strategy won't double up the entry order the following day. I therefore am able to utilise a separate script outside of backtrader to check my positions and orders and update them as needed. I have that script on a schedule running every few hours during trading days. There are other changes to the orders I make, backtrader allows me to place only certain types of orders, so my order management script checks all my working orders each time it runs and updates the bracket orders to allow trailing stops and eventually to utilise the IB algos etc, it also checks the positions and makes sure I have the right amount of orders for each position. its not ideal to run that order management separately but it seems to be working for me for now. I do like using backtrader, it has been an excellent tool and a great way to learn python over the last year or so, I am sure my code is terrible but the simplicity of the platform has allowed me to build a working Algo so thank you to everyone who contributed to it.
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  Question about datas[0] and feeds
  • Yaroslav Horyslavets  

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  @vladisld I am beginnner and I feel that I should go to learn more(very difficult for me). But thank you very much for answer, now i know wheare I should find it.
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  IB fundamental ratios
  • David Gordon  

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  Custom Indicator - Mixing Timeframes - different scenarios
  • monstrar  

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  It seems that the behaviour is for me unexpected in scenario 3 (runonce=False, multiple timeframes) if I do not have the strategyline defined (see in code below the part I commented out). Used a 15 minute data feed as opposed to 1hour data feed here, as I found this error while working on 15 minute data feed. Code used (Scenario 4): class TestCrossIndicator(bt.Indicator): lines = ('crossline',) params = dict(period=25) def __init__(self): self.ema = btind.ExponentialMovingAverage(self.datas[1].close, period=self.params.period) self.lines.crossline = self.datas[1].close > self.ema def next(self): print('LTF Indicator:', len(self.datas[0])) print('HTF Indicator:', len(self.datas[1])) class TestCrossStrategy(bt.Strategy): def __init__(self): self.indicatorline = TestCrossIndicator(self.datas[0], self.datas[1]) # self.ema = btind.ExponentialMovingAverage(self.datas[1].close, period=25) # self.strategyline = self.datas[1].close > self.ema def next(self): print('LTF Strategy: ', len(self.datas[0])) print('HTF Strategy: ', len(self.datas[1])) print('Indicator line', self.indicatorline[0]) # print('Strategy line', self.strategyline[0]) # print(self.indicatorline[0] == self.strategyline[0]) cerebro = bt.Cerebro() ltf_data = PandasData(dataname=ltf_train, timeframe=bt.TimeFrame.Minutes, compression=1, plot=True) htf_data = PandasData(dataname=htf_train, timeframe=bt.TimeFrame.Minutes, compression=15, plot=True) data = cerebro.adddata(ltf_data) data2 = cerebro.adddata(htf_data) cerebro.addstrategy(TestCrossStrategy) cerebro.broker.set_cash(10000) print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) cerebro.run(runonce=False) print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) Output Scenario 4: LTF Indicator: 25 HTF Indicator: 1 LTF Strategy: 25 HTF Strategy: 1 Indicator line nan LTF Indicator: 26 HTF Indicator: 1 LTF Strategy: 26 HTF Strategy: 1 Indicator line nan LTF Indicator: 27 HTF Indicator: 1 LTF Strategy: 27 HTF Strategy: 1 Indicator line nan LTF Indicator: 28 HTF Indicator: 1 LTF Strategy: 28 HTF Strategy: 1 Indicator line nan LTF Indicator: 29 HTF Indicator: 1 LTF Strategy: 29 HTF Strategy: 1 Indicator line nan ..... ..... LTF Indicator: 374 HTF Indicator: 24 LTF Strategy: 374 HTF Strategy: 24 Indicator line nan LTF Indicator: 375 HTF Indicator: 25 LTF Strategy: 375 HTF Strategy: 25 Indicator line 1.0 LTF Indicator: 376 HTF Indicator: 25 LTF Strategy: 376 HTF Strategy: 25 Indicator line 1.0 In this case, the indicator seems to work as expected, providing NaN for the first 24 bars of the HTF data feed. However, the indicator and strategy next method seem to use the minimum period based on the LTF data feed (LTF starts at 25) and not on the HTF data feed. I don't understand why this happens. Once again thanks!
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  How many time frames are supported in backtrader
  • Jincheng Pang  

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  I don't think that there is any limits for amount of the timeframes in the backtrader.
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  Difference between params and p
  • 김진원  

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  Short: In your class methods you may use self.p and self.params interchangeably - they are actually the same object. (see the 'Parameters' section in the docs: https://www.backtrader.com/docu/concepts/) Longer: One need to distinguish between the params class variable and the self.params (or self.p for that matter) instance variable. params class variable (list of tuples or dict) defines the custom parameters and their default values that will be later used to "magically" create and populate the self.params (or self.p) instance variable This self.params (or self.p) instance variable will have members for each tuple originally present in params class variable but their value could be different depending of which parameters where passed during class instantiation ( or have their default values if no matching parameters were passed ) TLDR: The params class variable may be defined in classes that use MetaParams metaclass (or its derivatives) during their instantiation sequences (like Cerebro, Strategy, Analyzer, BrokerBase, Filter, Indicator, an so on and all their inherited classes ). During the instantiation the meta-class "hijack" the instantiation sequence and creates additional instance variables (self.p and self.params in particular, but also many others like 'datas', 'data0' and other aliazes for LineSeries inherited classes for example), intializing them in various ways. You may take a look at the with_metaclass method in utils\py3.py for technical details of how this is implemented. For example one of such meta-classes is MetaParams class which is particularly responsible for creating the self.p and self.params instance variables ( see its donew method ) During your strategy (derived from Strategy class which uses MetaParams meta-class) instantiation process a new auto-generated class (let's call it X) will be used to hold the parameter values. For each tuple in the 'params' class variable there will be a member in X class. The instance of this X class will be created, where each member will get its value either from the parameters passed during the Cerebro.addstrategy call or from the default value in the params class variable tuples. For example let's assume your strategy params variable defined as: class SMACrossOver(bt.Strategy): params = ( ('stake', 1), ('period', 30), ) and you add this strategy to Cerebro using: cerebro.addstrategy(SMACrossOver, period=15) The values for 'self.p' members inside your strategy will be: self.p.stake == 1 # from default value in `params` class variable self.p.period == 15 # from parameters to cerebro.addstrategy
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  Chennai To Colombo Flight
  • sagar sharma  

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  DataCls does autoregister
  • Kevin Galkov  

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  @Kevin-Galkov said in DataCls does autoregister: If I run the mementum/backtrader/samples/oandatest/oandatest.py , it complains: In any, it does complay because you don't have the proper package installed, you have something for v20.
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  How does GenericCSVData work?
  • dlscodes  

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  Sorry, it's a stupid question. I found that i set a wrong todate in instantiating GenericCSVData. Because the todate is earlier thanfromdate.
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  Broker Value , what does this mean?
  • greg nwosu  

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  If you want to get the cash value after the buy/sell, use the get_cash() method (ex: self.broker.get_cash())
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  Broker cash adjust delay
  • exu  

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  How to deal with multiple stocks data with multiple timeframes?
  • Suraj Thorat  

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  What is your particular concern? It seems an approach is straight forward - in for loop add daily data feed, then resample it to weekly data feed. Now all odd data feeds are daily, all even data feeds are weekly. In the for loop apply signal indicators to even data feeds, apply confirmation indicators to odd data feeds. Check the signals and then issue the orders against odd data feeds.
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  OptStrategy not running to end
  • mohammad amin hasan abadi  

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  Order modification feature request
  • exu  

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  thanks guys, I'll try and implement just that...