General Discussion

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  Standard MACD vs Talib MACD - Different Values
  • Rodrigo Brito  

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  Indeed. You seem to be extremely new to indicators, timeframes, periods and resampling. ta-lib has a problem with the implementation of indicators with an "unstable" period, because of a cumbersome implementation, which is easily solved (industry de-facto standard) by using a seed value. An "Exponential Moving Average" is an example, because the definition of that average is that of a first order infinite impulse response filter. All values are always taken into account which leads to a recursive definition for updating values in real-time. Please read: https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average You can see that the problem is a ta-lib well-known issue: https://github.com/mrjbq7/ta-lib/issues/114 Back to square one: a good reason not to use ta-lib
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  error in dispatch
  • rastegarr  

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  You can also shoot yourself in the knee and then see if it hurts. The problem is the data provider and the amount of symbols requested from it. Blocking a thread 15 seconds to try to overcome a structural problem is not the way. Feel free to do it yourself.
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  Reading PANDA CVS
  • Mariano Bengeldorf  

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  Thanks @momentum!. You were right, I've activated the safediv and now it works!! Many thanks!
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  How to get MACD of 1 minute and 5 minute
  • mr-m0nst3r  

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  @backtrader said in How to get MACD of 1 minute and 5 minute: The period is what the indicators use as loo Hi @backtrader , Thank you for your answer. First of all, this is my understanding of timeframe and period: timeframe is an attribute of the data feed; period is the "bar". If the data's timeframe is 1 minute, then 1 period is 1 minute's data (OCHLV); if data's timeframe is 5 minutes, then 1 bar is 5 minutes' data. I use bt.timeframe.Minutes all the time, so why bt.indicators.SMA(data, period=5) is not giving me the 5 minutes SMA value? I directly use the data, not a resampled one. I guess to get SMA of 5 minutes, I have to use 5 minutes timeframe data, seems clearer to me now. Thank you. And I used the Minutes data to resample to a 5 minutes timeframe using cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=5). Am I doing it right? And you're right, I'm confused when it comes to MACD. MACD=12-Period EMA − 26-Period EMA So, if the data's timeframe is 5 minutes, we'll get EMA(12) and EMA(26) of 5 minutes' timeframe, after calculation, it's the 5m MACD value, is that right? From the MACD equation, I see only period calculations, whether this period stands for 1 minute or 5 minutes, it's decided by the data's timeframe, which lead me to the conclusion that to get macd of 5m, the only way is to resample original 1m timeframe data to 5m timeframe data using compression=5. is that right? I'm stuck here, and forgive me if my expression confuses you. Thank you very much for your time.
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  Got nan value when resampling my own lines in data
  • Alicc  

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  @backtrader I think it's more convenient for me to put the lines into data, because what I am testing is option. I have several option hot contracts of current month and next month with different strikes from 2015-2019 in 1 minute freq. It's time consuming to compute greeks and iv every minute when testing, especially when I need to test different strategy parameters. And there are other statistics like strike price and put/call type. So I first compute all the statistics. Anyway, Can I directly put the statistics already computed into indicators. If not , how could I resample these statistic, just keep the last one . the followings are my lines, thanks
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  IB - Interactive Historical Data Download Bug report
  • barton05  

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  @barton05 said in IB - Interactive Historical Data Download Bug report: This code will have no data downloaded instead download data from 18 Jan - 1 Jun 2019. Don't download data before the start of the actual trading start.
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  question about futures margin
  • jlz  

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  The multiplier affects your winnings and losses and not the needed margin. See Docs - Commission Schemes
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  how to sum total size of buy/sell action. then displayed total size.
  • A Former User  

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  If I understand what you want, you could: in ___init__() for the strategy initialize the total size attribute: self.totalSize = 0 Then in notify_order() something like: if order.status in [order.Completed]: self.totalSize += abs(order.executed.size) abs() in case your going short as well
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  How to query data from InfluxDB into Backtrader?
  • Bozz srinikorn  

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  Bug using Pandas hdf?
  • Chapachan  

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  @thatblokedave thanks, that's work for me.
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  Problem on multi datafeeds with different time range
  • Alicc  

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  Your problem it's called "survivorship bias". And the reason for not getting into next is that next is a method in which all buffers are guaranteed to deliver data. Docs - Operating the Platform There are several entries in the community discussing this, but there is a recent article which touches, amongst others, the topic https://www.backtrader.com/blog/2019-05-20-momentum-strategy/momentum-strategy/
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  New Documentation Site Search Function
  • algoguy235  

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  Google Custom Search has been integrated. You can now use it to look for quicknotify (for example)
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  For IB, now there is TWS API, is IBPy still valid?
  • sdmovie  

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  Agree with you @backtrader... If it ain't broke, don't fix it
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  STOP TRAIL order questions.
  • ciceron  

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  @ciceron hi again. I was wrong. Oanda broker has StopTrail implementation. if order.exectype == bt.Order.StopTrail: okwargs['distance'] = order.trailamount https://github.com/ftomassetti/backtrader-oandav20/blob/master/btoandav20/stores/oandav20store.py I didn't have any practice with Oanda broker, so i don't know how stoptrail works on Oanda side. But your understanding is correct for backtesting.
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  Interactive Brokers Sub Accounts
  live trading tws ib broker • • J. Javier Gálvez  

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  How to use BT for signal generation
  • alexgiul  

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  Thanks @backtrader for your reply. Today I am working on this part but I am confused and I am not sure doing the right thing. I try to explain the goal, maybe you can give me your opinion and put me on right road. I have a simple channel breakout strategy made by 2 indicators (entry channel breakout, exit channel breakout). The strategy backtested uses the entry channel breakout to enter the market long or short and then uses the "exit channel breakout" to close the position. Now I will run the strategy (the original strategy or the SignalStrategy) every day on latest XX bar and I want to send an email when the entry signal is fired and another when it is time to exit. Actually I was thinking to use original strategy and use order generated as "signals", what do you think? And if it looks like acceptable how can I access the current order situation and type (long/short)?
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  Best IDE for Backtrader
  • kaya  

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  atom.io , with some plugins for python installed, linter, linter-python, autocomplete-python, bracket-colorizer , file-icons, minimap, python-autopep8
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  Cheat on order execution price
  • Aris L  

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  @backtrader14 Try not to mention the price argument, and just add the security. That's what I did and it worked for me : cerebro = bt.Cerebro(cheat_on_open=True) def next(self): #order to sell at close price self.order = self.sell(data=self.datas[0], coo=False, coc=True) def next_open(self): # order to buy at open price self.order=self.buy(data=self.datas[0], coo=True, coc=False) Hope you get it to work !
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  line info lost during resampling
  • JohnShiu  

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  @backtrader it seems that doesn't work now. Custom filter should be added after Resampler filter which always return True. From the sources of feed.py: for ff, fargs, fkwargs in self._filters: # previous filter may have put things onto the stack if self._barstack: for i in range(len(self._barstack)): self._fromstack(forward=True) retff = ff(self, *fargs, **fkwargs) else: retff = ff(self, *fargs, **fkwargs) if retff: # bar removed from systemn break # out of the inner loop And that means that no filters will be executed after Resampler. So, what is the right way to resample custom lines? Thanks.
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  Testing RSI and SMA using bt.feeds.CCXT for Bittrex
  • conr  

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  OK, CCXT was calling BITTREX far to much for offline testing, I applied data=bt.feeds.PandasData(dataname=df,datetime=-1,open=-1,high=-1,low=-1,close=-1,volume=-1,openinterest='openinterest',timeframe=bt.TimeFrame.Days,compression=1) after creating a static extract from the API using from bittrex.bittrex import Bittrex, API_V2_0 trade = 'BTC' currency = 'DOGE' market = '{0}-{1}'.format(trade, currency) tick_interval ='day' my_bittrex = Bittrex(None, None, api_version=API_V2_0) # or defaulting to v1.1 as Bittrex(None, None) t = my_bittrex.get_candles(market,tick_interval) df = pd.DataFrame(t['result']) df['T'] = pd.to_datetime(df['T']) df.set_index(df['T'],inplace=True) df.columns = ['BV','close','high','low','open','datetime','volume'] df['openinterest'] = 0