General Discussion

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  InfluxDB and Backtrader
  • RandyT  

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  The Pull Requests for InfluxDB have been integrated in the main release 1.9.30.111 (the dependencies have been rewritten as frompackages directives)
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  Importing data from pandas_datareader
  • cnimativ  

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  Nevermind, fixed the error by adding 'dataname=' in front of the name of the pandas df. data = bt.feeds.PandasData(dataname=spx)
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  Python and floating point
  • RandyT  

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  Thank you. Good to know.
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  Unable to get closing daily values for SPY
  • RandyT  

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  Thanks Dro, I will give this a try today.
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  Multiple symbols + each symbol multiple time frames issue
  • rastegarr  

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  You can directly upload files into the thread. Not much input would be needed. An alternative is to enclose the data (which is apparently csv) as a code block (with no python specifyer) and it will allow simple copy & paste.
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  Suggestion: caching
  • hans  

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  The idea can in theory work, but needs a complete re-implementation of how the indicators work.
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  Can we replace ibpy with new offical python API?
  • shaoupipi  

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  https://community.backtrader.com/topic/159/tws-api-python
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  Change parameters dynamically according to time period
  • dimitar-petrov  

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  Alright, I got you. Thanks for the prompt response. BR, dpetrov
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  How to implement walk-forward optimization with backtrader
  • dimitar-petrov  

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  Hello, I have the following scenario in mind: Pass the system the following inputs: historical data in period duration (5Y) out period duration (1Y) parameters and ranges Let's say we have 10 years worth of data, then the ideal processing would be as follows: Break the data in multiple chunks according to the periods defined above In Period 1: 2000-2005 Out Period 1: 2005-2006 In Period 2: 2001:2006 Out Period 2: 2006-2007 In Period 3: 2002-2007 Out Period 3: 2007-2008 Than start executiing the execution. Optimize parameters for first In Period (2000-2005) - cerebro.optstrategy() Get best parameters from previous run and test on Out Period 1 - cerebro.addstrategy() Optimize again on the next In Period Test with the parameters from previous step on the next out period Optimize again ...... Test again on the next Out Period ..... At the end plot the combined strategy during all out periods from 2005 to 2010 by taking into consideration that parameters are being changed every year with the optimized values from last 5 years worth of data. I am open for any ideas for implementation. So far I am thinking to read the data in pandas, break it and loop through it in chunks and feed it to cerebro consecuently. I have no idea how to combine the outputs from each cerebro run and how to plot all individual strategy executions into a single figure. BR, dpetrov
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  incorrectly calculated order size in order_target_value
  • Ed Bartosh  

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  @backtrader Why wouldn't you close the position with close? already did that. I used order_target as my zipline code that I'm porting to backtrader used order_target* APIs.
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  How to calculate open position cost basis?
  • Ed Bartosh  

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  @ab_trader true. anyway it's not what I'm looking for as commission is not included into calculation.
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  This topic is deleted!
  • Maxim Korobov  

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  Is exectype parameter of order_target_* ignored?
  • Ed Bartosh  

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  figured that out. the stop price was actually triggered. The high for the bar is higher than the stop price. As always, the explanation is simple, but it takes time to find it out :)
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  Submit order 30 minutes before market close
  • Ed Bartosh  

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  The idea is always to have a generic model, like it is the case with the timezones, in which you may pass pytz instances or something that, more or less, complies to the interface of pytz. A similar approach will be taken.
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  Feature Request: Allow passing of data object to Sizer
  • RandyT  

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  Should be (meaning it will be there as soon as possible, because it should be there in __init__ and not after it)
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  Adding planning tasks
  • ealvarpe  

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  My example was with daily bars, as I think is more close to the reality. At the end, forgetting about the -coc option for a moment, if you have a live order feed sending only daily bars, you could have that planned task at, for example, midday, that send the MOC order and gets executed with the close price of the daily bar. There is difference between backtesting with daily bars and having a live feed which delivers daily bars. The latter probably constantly updates the current daily bar and that's why you think that already at noon time it may be possible to send a MOC order. To achieve the same effect during backtesting you need one of this: intraday data and replay daily bars Set cheat-on-close and allow using the close price Use filters and break the feed into OHL + C steps (see the Pinkfish Challenge - and the sample in the sources) For the MOO I can send it to IB with kwargs as you´re proposing, but I cannot get the same effect with backtesting, basically because 1) Backtrader doesn´t support natively MOO orders (what about more order types support for the future? :slight_smile: ) or 2) as I don´t have "planning tasks capability" I should know which one is the last bar - 1 on the day, to send a Market Order, before it close, and simulate MOO behaviour... Yes you can. If you use daily bars, whenever you get a bar during backtesting, you are at the end of the session. Send for both cases (backtesting and live) a Market order and the extra kwargs. The standard backtesting broker will ignore it and the IB broker will overwrite the order type. if I do it with a background thread as proposed, I understand this is a real time capability, but no way to reproduce it on backtesting mode, isn´t? Not at the moment if implemented as points in lines (kind of time feed), wouldn´t be this more accurate to have same behaviour like in realtime with just 1 code? At least it would have the same behavior right now for both scenarios.
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  Flat Commission - IB
  • ealvarpe  

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  Note: with CFD products you should consider taking the interest into account for both long and short positions. Note2: that's the problem with snippet typing (as opposed to testing it), they usually contain typos. And the same applied partially to the documentation. Both posts have been corrected to avoid future confusion and the docs updated.
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  Leverage Discussion
  leverage margin account • • ab_trader  

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  checksubmit controls if a submitted order can be accepted by the broker by simulating execution and with it checking if the current cash reserves are enough. It actually pseudo-executes all pending orders, because an order could actually be 1st opening a short and increasing the pseudo-cash reserves. But this is only pseudo-execution. When the actual execution takes place, the actual cash level is checked again and execution will be rejected if not possible.
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  Is there a complete pdf version of the documentation of backtrader
  • Usct  

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  There isn't at the moment
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  how to make an expert system based on backtrader?
  • phoenix.che  

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  @backtrader if you don't mind I would correct your summary slightly: @ab_trader is looking to use the signals and position sizes provided by bt, and mirror them to broker account by hands. bt will keep position sizes, cash, value and commissions. In that scenario there is no need to load the positions, cause they are mirrored by trader and are the same in bt and at broker account. In case of the discrepancies bt strategy can be easily adjusted. The broker is being used for signal and position sizes providing as well as for tracking of the cash and value (no need to support the real broker). I believe this summary reflects my proposals better. :)