General Code/Help

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  Update on position gains
  • oakenstream  

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  Ok, I understand it now! thanks!
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  Issue with positions when live trading
  • CooleRnax  

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  Solved. It actually was not that hard.
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  Continuous working of limit orders
  • chrismo  

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  @ab_trader You are correct on all counts! I did in fact expect that behaviour. As a trader, if Mondays close in the 10yr T-Note Future is 129'05 and I then work a limit sell at 129'10 for Tuesdays session. If I see the Tuesday close is 129'15, I know I was filled at 129'10. But as I write this, I see this is not a reasonable expectation when using a generic backtester that can take any data as a feed. But, as you correctly point out, passing OHLC feed in resolves the problem. Muchas gracias. @backtrader Thanks. One day I'll find it easy...
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  Adding MA to Equity Curve
  • Mango Loco  

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  Thanks for your help. I have the following: class AcctValueSMA(bt.Indicator): lines = ('AcctValue', 'MA') params = dict(ma_len=20) def __init__(self, type): self.l.AcctValue = self._owner.broker.get_value() if type == 'SMA': self.l.MA = bt.ind.MovingAverageSimple(self.l.AcctValue, period=self.p.ma_len) elif type == 'EMA': self.l.MA = bt.ind.ExponentialMovingAverage(self.l.AcctValue, period=self.p.ma_len) But I get: TypeError: 'float' object is not callable Is there a specific way to store and subsequently use the value of the broker in this case?
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  Multiple Timeframes with Multiple Datafeeds
  • Rumen Nenov  

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  @Rumen-Nenov said in Multiple Timeframes with Multiple Datafeeds: For multiple datafeeds however, looks like backtrader includes both the 5 min and daily timeframes in same set of feeds (self.datas) For a single data feed too. Each and every data feed is present in the self.datas iterable, exactly in the order in which they were introduced in the system. @Rumen-Nenov said in Multiple Timeframes with Multiple Datafeeds: and from here on I cannot pass the data I want to the relevant indicators And why not? They are data feeds, they can be passed to any indicator. @Rumen-Nenov said in Multiple Timeframes with Multiple Datafeeds: Not only this but the daily data also messes around with my intraday indicators. Exactly how? This would be the first time. @Rumen-Nenov said in Multiple Timeframes with Multiple Datafeeds: for i, d1 in enumerate(self.data1): Sorry but self.data1 is a data feed and not and array of data feeds. This is for sure not in the documentation. It seems you assume that daily data feeds get magically all packed inside self.data1. No. See here for what self.data1 means: Docs - Platform Concepts What you need is to have a convention for the addition order of the data feeds to cerebro. If you add a 5-min / 1-day data feeds per instrument, you can use something like for i in range(0, len(self.datas), 2), where self.datas[i]will have the5-minfeed andself.datas[i + 1]will have the1-day` feed.
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  Plotting
  • Ben Smith  

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  There is no such thing as old or new. The chart you show below is what you get when executing on the console (which in most cases will use tkAgg) The chart above is what you get in Jupyter. I personally don't use it but iplot=False worked when it was developed. I will have a look (in any case you are still constrained by the Jupyter configuration for the aspect)
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  plotting indicators that are inside another indicator
  • יהודה שפירא  

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  The plotting code doesn't do recursion and doesn't see see the embedded indicators. The solutions you attempted as shown in the documentation page you linked are for the indicators and operations which happen directly in the strategy code. The only trick I can offer you (not tested) Create your indicator. Create moving averages of period 1 which use your embedded indicators as data Something as my_indicator = MyIndicator(....) emb_ind_1 = bt.ind.SMA(my_indicator.embedded_indicator1, period=1) Now, the SMA doesn't know still where to plot itself, because the indicators won't be plotted. Try then: emb_ind_1.plotinfo.plotmaster = self.data emb_ind_1.plotinfo.subplot = True which says that they should be considered indicators of self.data for plotting purposes and be plotted in an own sub-graph.
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  How to ignore 2 headers in a GenericCSV
  • HomunculusK  

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  The subclass from @vladisld does for sure work. You may also read the file with pandas.read_csv, skip what you need and pass it to Cerebro as a PandasData feed.
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  StringIO Object to DataFeed
  • *Jenel Videos*  

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  @Jenel-Videos said in StringIO Object to DataFeed: data = btfeed.GenericCSVData( dataname=d["FETBTC"].getvalue(), After creating file (a pseudo-file) actually, why do you pass a string instead of the file-like object which you have already created? The documentation says it: Specific parameters (or specific meaning): - ``dataname``: The filename to parse or a file-like object
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  Multiple Symbols in one CSV file
  • *Jenel Videos*  

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  Your best approach: Load it with pandas.read_csv Separate by symbol by using, for example, the clause where (that is, you create a mask that considers only the name of a ticker) Write the result of each mask to a separate csv file. The last step can actually be forfeited, because you end up with several pandas.DataFrames which can be directly fed to cerebro via PandasData
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  Trailing stop fired by High and Low instead of Close price
  • fede3u  

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  Don't take me for rude, but you say "trailing stop fired ...." and I could also say "trailing stop not fired ...". There is no indication as to what you are doing, what's happening, if that is actually the right behavior. Even if what you say would make some sense ... the following is completely wrong: @fede3u said in Trailing stop fired by High and Low instead of Close price: How can I modify the logic of the bt.Order.StopTrail. You can also go and try to modify how the markets work. It may be easier and it will probably fit what you have backtested with something you have modified to fit your wishes and not to try to model how things work in the reality. If StopTrail doesn't do what you expect, these are the possible reasons: You don't know how such an order works in real markets You do, but it's not the order type which fits what you try to model, but you have still chosen to do it. Imho: very wrong way to approach your backtesting.
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  Is there some ways to add and drop data dynamicly?
  • tianjixuetu  

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  @ab_trader I don't agree your opinion,but I try my best to use english.The reason which I use chinese,maybe @Jingsi is a chinese,who can speak chinese more accurately. just as two persons who speaks english,they have a trip to Japan,when they communicate,you let them use Japanese?
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  Why do analyzers seem to start calculating on data feeds' start date instead of first order date?
  • Laurentvw  

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  I have the opposite result. I have multiple feeds, about ~100. My annual return gets calculated from 2016, but most of my data starts in 2007. =============================================================================== AnnualReturn: - 2016: 0.17989527927894033 - 2017: 0.2342377414639476 - 2018: -0.04878029921676286 - 2019: 0.6714767320608188 - 2020: 0.13523159391989115 I would like to see a full list of annual returns from 2007.
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  I can't run the example datafeed from quickstart. can anyone help me? Thanks a lot!
  data feed • • 戴美涛  

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  https://community.backtrader.com/topic/1035/code-in-quickstart-no-longer-working/3 I got the answer from here.
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  How am i sure buy and sell order are executed immediately ?
  • JS Park  

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  @ab_trader Thanks i read all of you give me and I understood enough about what i asked before
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  Partial order execution question
  • vladisld  

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  It seems the 'fix' worked pretty well on real time (paper) trading. 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:notify_order: Market Buy Partial, price: 14.63, size: 400, cost: 5852.0, comm: 2.0, ref: 7 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:order bits: p1: 0, p2: 3 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 0, dt: 2020-01-17 15:45:06, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 1, dt: 2020-01-17 15:45:06, bit size:200, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 2, dt: 2020-01-17 15:45:06, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:order bits done. ... 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:notify_order: Market Buy Partial, price: 14.63, size: 500, cost: 7315.0, comm: 2.5, ref: 7 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:order bits: p1: 3, p2: 4 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 0, dt: 2020-01-17 15:45:06, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 1, dt: 2020-01-17 15:45:06, bit size:200, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 2, dt: 2020-01-17 15:45:06, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 3, dt: 2020-01-17 15:45:08, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 4, dt: 2020-01-17 15:45:09, bit size:182, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:order bits done. ... 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:notify_order: Market Buy Completed, price: 14.629999999999999, size: 682, cost: 9977.66, comm: 3.41, ref: 7 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:order bits: p1: 4, p2: 5 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 0, dt: 2020-01-17 15:45:06, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 1, dt: 2020-01-17 15:45:06, bit size:200, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 2, dt: 2020-01-17 15:45:06, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 3, dt: 2020-01-17 15:45:08, bit size:100, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:idx: 4, dt: 2020-01-17 15:45:09, bit size:182, bit price:14.63 2020-01-17 15:45:00:HMI-STK-SMART-USD:track:order bits done. Now I wonder how such 'fix' would have been tested in normal scenario ( in dev environment). Usually this requires 'component level testing' of IBStore/IBBroker/IBFeed components. However this will in turn require some mockups for interfaces below (celebro) and above the IB implementation (IBPy2) that are not existing today. How are you usually testing the components outside the core ? I couldn't find such tests in the package, but given that this is already a second issue I've seen in IBStore/IBBroker/IBFeed component it is a good idea to add some tests (at least to cover the issues already found) - volunteering to help with it if accepted by maintainer. Thanks Vlad
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  Oanda data feed
  data feed data oanda backtraderv20 • • boblef  

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  @boblef In addition, I have already generated API token on my Oanda account and defined it and account id in my local code so you don't see them in the code I provided.
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  Fast Stochastic with low period
  • oakenstream  

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  Explanation here: https://community.backtrader.com/topic/98/float-division-by-zero/5
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  analyzers erro: AttributeError: 'list' object has no attribute 'analyzers'
  • Evgeniy  

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  @vladisld Thanks a lot!
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  Rebalancing at the end of the month with timers
  • Laurentvw  

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  I've got it working, here's some boilerplate code: class EndOfMonth(object): def __init__(self, cal): self.cal = cal def __call__(self, d): if self.cal.last_monthday(d): return True return False class AssetAllocation(bt.Strategy): params = ( ('cal', None), ) def __init__(self): self.add_timer( when=bt.Timer.SESSION_START, allow=EndOfMonth(self.p.cal), ) if __name__ == '__main__': # Create a cerebro entity cerebro = bt.Cerebro() cal = bt.TradingCalendar() cerebro.addcalendar(cal) # Add a strategy cerebro.addstrategy(AssetAllocation, cal=cal) Thanks again.