General Code/Help

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  Running multiple symbols data feeds in live IB
  • orenshkol  

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  You may take a patch from my fork here.
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  Bracket order only with Stop
  • Rumen Nenov  

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  @backtrader thank you for the guidance. I read the documentation but I struggle to implement it. Why it seems pointless and illogical? In fact many brokers give you a choice what to include in the bracket order (stop only, limit only, or stop/limit). What is wrong in having a stop to prevent you from excessive loss while working your own logic about the closing conditions.
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  Crossover indicator doesn't plot as expected
  • xyshell  

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  @backtrader said in Crossover indicator doesn't plot as expected: plotmaster=self.data Thanks for reply, according to your suggestion, I added plotmaster=self.data. But the adx_crossover still don't show up at the bottom. import datetime import backtrader as bt class SMACross(bt.Strategy): params = ( ('pfast', 10), ('pslow', 30), ) def __init__(self): self.sma_fast = bt.talib.SMA(self.datas[0].close, timeperiod=self.p.pfast) self.sma_slow = bt.talib.SMA(self.datas[0].close, timeperiod=self.p.pslow) self.sma_crossover = bt.ind.CrossOver(self.sma_fast, self.sma_slow) self.adx = bt.talib.ADX(self.datas[0].high, self.datas[0].low, self.datas[0].close) self.adx_fast = bt.talib.SMA(self.adx, timeperiod=self.p.pfast) self.adx_slow = bt.talib.SMA(self.adx, timeperiod=self.p.pslow) self.adx_crossover = bt.ind.CrossOver( self.adx_fast, self.adx_slow, plotmaster=self.data, plot=True, subplot=True) def next(self): if not self.position: if self.sma_crossover > 0: self.buy() elif self.position: if self.sma_crossover < 0: self.sell() if __name__ == '__main__': cerebro = bt.Cerebro() cerebro.addstrategy(SMACross) datapath = 'datas/orcl-1995-2014.txt' # Create a Data Feed data = bt.feeds.YahooFinanceCSVData( dataname=datapath, # Do not pass values before this date fromdate=datetime.datetime(2000, 1, 1), # Do not pass values before this date todate=datetime.datetime(2000, 12, 31), # Do not pass values after this date reverse=False) cerebro.adddata(data) cerebro.run() cerebro.plot()
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  Options for forward filling in Live mode
  • vbs  

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  strategy.getposition returning different values for same ticker on different timeframes
  • Mark Weaver  

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  @backtrader OK thanks for response :) It has nothing to do with me expecting an AI to have belief in other AI entities or any of whatever you're trying to imply. It has to do with the simple expectation--of a framework--that a BUY order executed for a given symbol will have a position size reflected in any query on that same symbol, regardless of whatever timeframe the orders or queries are being executed on. It is counter-intuitive to operate in any other way. I will work around that, and I will see what Alpaca has to say and post back here if its relevant. Cheers!
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  Issue with extending a data feed
  • sirbradflies  

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  The resampler filter wouldn't know what to do with extra lines (add, max, min, sub, multiply, take the 3rd one, take the last ...) and works only with the fields for which it has a rule, the standard ones. You can create a 2nd data feed, assign your desired fields to open (keep 1st), high/low (keep max/min), close (keep last), volume (add) and use that resampled to match the timeframe of your master data feed. Or create your own resampling filter.
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  two PivotPoints in different data，how to getvalue at same datetime?
  • magieva  

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  Since your other compression is 60*24 and 24 > 20, the answer is 0 (and depending on the stage of the resampling even partially 1, which is actually the future)
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  "Ambiguous contract: non/multiple answers received" error
  • vladisld  

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  After further check - it seems the problem was caused by my own changes. The warning messages were pushed by mistake to the same message queue that was used by 'reqContractDetails'. My apologies. Please ignore this topic.
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  position problem：how to get order Index？（when I print position show “Opened: 0.01” ）
  • magieva  

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  Thank you for your answer. I am used to MT4. The operation habit of order affects my understanding. After understanding, I can think of an application: Calculate used margin if order.status in [order.Completed]: # marginUsed for bit in order.executed.exbits: self.marginUsed += bit.openedvalue - bit.closedvalue If this is not right, please give me suggestions and thank you again for your reply
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  TypeError: __init__() got an unexpected keyword argument 'size'
  • Ross Coates  

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  See here: https://community.backtrader.com/topic/2330/typeerror-init-got-an-unexpected-keyword-argument-size
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  TypeError: __init__() got an unexpected keyword argument 'size'
  • Ross Coates  

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  @Ross-Coates said in TypeError: __init__() got an unexpected keyword argument 'size': ''' In any case let me point out that those three ticks (i.e ' vertical) are not backticks as in ` You may want to directly copy the ticks from the announcement at the top of the forum For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/
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  IB Data subscriptions stop working upon 2105/2106 errors during live trading in paper account
  • vladisld  

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  Strategy execution on different timeframes and multi-data
  • RandyT  

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  @stochastick Just enumerate through the datas in a pythonic way by referencing d. if len(d) > self.lenofdata.... If you reference self.datas[1] you'll only ever access self.datas[1]. Each timeframe and datafeed will have its own data in datas. datas[0] datas[1] datas[2]... datas[n]. Also self.len has the potential for a keyword conflict. I suggest following backtraders example above. Have you reviewed the multiple datas example? You might want to search that out.
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  Problem occurring when I change 'cerebro.adddata(data, name = i)' to 'cerebro.resampledata(data , timeframe = bt.TimeFrame.Minutes, compression=15,name = i)' Error: return self.array[self.idx + ago] IndexError: array index out of range
  • Suraj Thorat  

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  You are trying to access the prices which don't yet exist during prenext(). Therefore bt returns you an error. You need to put additional check in the script to avoid it.
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  Custom Indicator: Schaff Cycle
  • Vincenzo Timmel  

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  I don't think that this is the only thing you are missing. To initialize the value is very easy: def nextstart(self): self.l.f1[0] = 0.0 But here is couple other items to correct: you call undefined variables such as self.f1 or self.pf - this is the main reason of the error returned this in the next() self.v3 = bt.ind.Lowest(self.pf, period=self.p.length) self.v4 = bt.ind.Highest(self.pf, period=self.p.length) - self.v3 and then .... self.v3[0] .... .... self.v4[0] .... doesn't work.
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  Evaluate Weekly Trend, Execute Trades on Minute basis
  multiple data execution datafeed timeframe • • Andrew M  

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  Interesting. In your script you apply the indicator to the self.data0 ie 5 min data feed, but indicator itself works with the self.data1 which is daily bars. I would assume that self.addminperiod is also applied to minutes data feed, so you need lot to get 5 bars of daily data feed. Try this (didn' run it by myself): indicator: class dummyIndicator(bt.Indicator,): lines = ('dayHigh',) params = (('period', 5),) def __init__(self): self.addminperiod(self.p.period) def next(self): self.dayHigh[0] = self.data.high[-self.p.period] call in the strategy: self.dayHigh = dummyIndicator(self.data1)
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  Interactive Brokers historical data error when resampling into daily bars.
  • sullyai  

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  Thank you so much! I changed the datakwargs from: datakwargs = dict(dataname = epic, historical = historical, latethrough = False, fromdate = dt.datetime.strptime(fromdate, '%Y-%m-%d'), qcheck = 0.5) to this: datakwargs = dict(dataname = epic, timeframe = bt.TimeFrame.Minutes, historical = historical, latethrough = False, fromdate = dt.datetime.strptime(fromdate, '%Y-%m-%d'), qcheck = 0.5) with the obvious import of import backtrader as bt Thank you again!
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  Backtesting Using Intraday Data
  • chaT123  

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  Hi, it should be compresssion = 15. Note: if your data is large, you may want to consider bt.feed.PandasDataDirect that seems to be faster than PandasData. Someone has conducted a perf analysis on this forum. you should be able to find easily. Cheers
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  Memory saving with orders
  • Nicolás Alberto Henao Avendaño  

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  ERROR: __len__() should return >= 0 on liveFeed
  • LAbrk  

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  Thanks a lot @Zachary-Harris I've got the same error during live trading through IB (see my post here: https://community.backtrader.com/topic/642/iqfeed-store-and-feed-help-needed/12 ) and your fix seems to be working great. This seems to be a pretty serious issue that should be fixed in the official source. I just wonder why there are so little reports about it - it should have happen pretty often to everyone using backtrader for live trading.