General Code/Help

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  next() method indicator help
  • deedcoin

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  You shouldn't be addressing 100 in any case. That's the future and it only works because you are working with preloaded data (which speeds up things). The len of the data does only tell you how many actual points have been processed by the system for the backtesting so far. It's not about py-foo abilities, it has to do with documentation: Docs - Platform Concepts - Section: Indexing: 0 and -1* Docs - Cerebro and see the available execution options A data feed in backtrader is not a Dataframe.
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  Tick by tick strategy
  • stef30

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  The tool backtrader can backtest tick by tick. But for many people that means using Bid/Ask prices and no, bid/ask is not supported.
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  Bracket order rejection and failure to transmit Interactive Brokers
  • hbf

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  Following with the reasoning from above ... your use is probably best served by this scenario: Issue a Market order Upon confirmation of execution you have the actual execution price and the actual market price (close) You can then issue two OCO orders which will bracket your existing positions. You calculate the stop-loss and take-profit prices from the execution price or from the market price See: Docs - OCO Orders
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  Trading Calendar possible implementation problems?
  • vbs

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  @vbs said in Trading Calendar possible implementation problems?: while True: ... if day > closing: # current time over eos day += ONEDAY continue What this code does: if the current day given as param is not a trading day, go for the next. A day has no time (which can be equaled to 00:00:00, but closing contains a time component which should be greater than 00:00:00) If you pass a Monday and it is an active trading day, the loop won't go to the next day. If you pass a Sunday and it isn't a trading day (which is most likely the case), the loop will go to the next day, i.e.: Monday @vbs said in Trading Calendar possible implementation problems?: Could you maybe comment on my assumption that the interface of the function schedule is to return the opening and closing time of the session that ends next (instead of the opening/closing for the provided day)? As explained above. It will return the closing of the given day if its a trading day and move to the next if it isn't. @vbs said in Trading Calendar possible implementation problems?: I think there is a problem for trading hours that start before UTC midnight ... 2005-05-23 is not greater than 2005-05-23 05:00 UTC (which when comparing carries no timezone payload and is simply 2005-05-23 05:00) so day > closing will not happen @vbs said in Trading Calendar possible implementation problems?: If this is true day > closing then ONEDAY will be added and then searched again for the next day. But there is no check if the next day is a trading day at all. I think this is missing and can lead to returning trading hours for a non-trading day. If day has been found in the database, it won't go over. This is for the case in which the day is not found and the default times from the parameters are taken. In that case there can be no check to see if the day is a trading day or not, because it wasn't found and one works blindly.
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  Can I backtest or do live paper trading using real spread values using Interactive Broker?
  • Ahmed Sobhy

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  You can connect to Interactive Brokers and use the paper trading account or only the input data and the backtesting broker.
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  Multiple exit stop orders at different prices
  • ard9000

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  @ard9000 said in Multiple exit stop orders at different prices: In backtesting, if the #4 stop is hit, it sells all 2000 shares and ignores the size= parameter. This is purely your assumption. Where is the log that shows that a single order has sold 2000 shares? Orders are evaluated individually and not based on your existing position. Of course you have failed to try something very simple to verify that: Buy 100 Place a stop loss for 100 Buy 100 Wait until the stop is hit and see if 100 or 200 are sold.
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  showing only specific orders on the plot
  • siavash

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  You would have to code an Observer which only pays attention to specific orders. It's not something which is a builtin in backtrader
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  Subclass Order and Trade classes
  • josephjospeh

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  Any chance to use backtrader to back test call / put option trade ?
  • Saikee Wong

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  Thank you for the clarification. I don't mean so automatic to renew the option. The renewal should be taken care via coding in the strategy. Just don't know how to do option trading in backtest. Anyhow, I will use other tools to do what I intended to do.
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  importing 4 hour interval csv data
  • darwinps

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  @backtrader Dear All, I figured it out. I had the datetime only: <datetime>, <open>, <so forth> instead of <datetime>, <time>, <open>,<so forth> Thanks again regards darwin
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  PSE commission and fees scheme
  • josephjospeh

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  @josephjospeh said in PSE commission and fees scheme: Nevermind, getoperationcost is not for fees It is not. Fees (commisions) are in getcommission and the method which is expected to be overriden _getcommission)
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  What is a reliable way to deploy a trading strategy?
  • Ahmed Sobhy

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  AWS? Google Cloud Computing? Oracle Cloud? Rackspace? Linode? Any other provider?
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  How to close a previous order then open a new one in the same tick?
  • Ahmed Sobhy

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  self.close() # close the existing position self.sell() # or self.buy() if you want to go long
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  Getting errors when using resample
  • PhillBeck

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  @phillbeck said in Getting errors when using resample: I have data in 1H intervals Your data may be 1-hour, but where do you tell the platform that it is so? @phillbeck said in Getting errors when using resample: data_hour = btfeeds.PandasData( dataname=df, fromdate=datetime(2018, 7, 3), todate=datetime(2018, 10, 24), datetime=0, open=1, high=2, low=3, close=4, volume=5, openinterest=-1 ) There is no artificial intelligence there to parse your data and understand that it is 1-hour. You should clearly state with the timeframe and compression parameters what your data is. See Community - FAQ @phillbeck said in Getting errors when using resample: and I'm trying to resample it to 1D. Apparently not. @phillbeck said in Getting errors when using resample: cerebro.resampledata(data_hour, timeframe=bt.TimeFrame.Weeks, compression=1)
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  Pyfolio Analyzer Integration Error
  • ElliotP

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  Sorry, now that I look at it, it was a silly mistake. I appreciate the quick response. I am having a new issue in pycharm I wasn't having in my jupyter's notebook. When the tear sheets plot, they plot on one figure window all squished up. I have had a look around this internet and I can't find a solution. It looks something like this: https://gyazo.com/0a791878531a6accb0fd92fe21c50c01 I am not as fussed on seeing the graphs but rather being able to extract the raw values. I was about to try and recreate the figures myself only to realise that it would be quite a large task. If there was a way to export the calculated values that would be ideal. I saw another post about using empyrical? and another package but I wasn't sure how to integate them as easily.
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  Use mongodb collection as data feed
  • piby 180

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  Thank you! I will check it out
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  Interactive Broker order OutsideRth attribute
  • z_kvn

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  @bigdavediode thanks I will look into this.
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  keep (custom) observer value in a list.
  • kav

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  @backtrader: Perfect. Thanks for the pointer, it indeed addresses my problem. Just to be sure, could you confirm that the backtrader-preferred way to add an observer as a new column to the original dataframe (that was fed to backtrader) is: dataframe['observer'] = result[0].observers[2].executed_size.get(size = dataframe.shape[0]) thank you
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  Taking positions on options based on futures
  • the_imperium

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  Interactive Brokers "Broker" function issue
  • cwse

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  cerebro is not running, which means there is no communication with the broker. Anything other than 0.0 would be a surprise.