General Code/Help

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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.
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  array assignment index out of range
  • Mohamad Rafiee  

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  You need to post your code and the full error message. It's impossible to help you with only the error message.
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  array assignment index out of range
  • Mohamad Rafiee  

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  You may want to share the full script.
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  Interactive Brokers Multiple reqMktData
  • esteve  

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  Just to bring one more point regarding the throttling mechanism. Starting from v.974 of TWS API there is a '+PACEAPI' connection option that is effectively pacing the incoming messages. Quoting (https://www.interactivebrokers.com/en/index.php?f=5061): """ API messages sent at a higher rate than 50/second can now be paced by TWS at the 50/second rate instead of potentially causing a disconnection. This is now done automatically by the RTD Server API and can be done with other API technologies by invoking SetConnectOptions("+PACEAPI") prior to eConnect. """ Unfortunately I'm not sure IbPy library is updated to include the SetConnectOptions method. AFAIU the IbPy is just generating its source code from the official TWS Java API (by translating it to Python), but it hasn't been updated to the latest version yet. This is probably one of the reasons to directly use the official TWS Python API instead of IbPy.
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  Getting IB data source to work
  • Mango Loco  

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  Hi, IB tells you "No market data permissions for NYSE STK". Have you subscribed to NYSE stocks? If not, that is probably the root cause. If I remember correctly, seeing hist data on TWS and getting this data through API are 2 different things from a subscription perspective. Regards, Lamp'
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  During market closing hours double buy or double sell orders are placed for multiple stocks back trading.
  • Suraj Thorat  

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  @ab_trader Thank you for the reply. I wasn't using the condition to check if self.order exists then return. It worked for me. So anyone having the same issue in the future kindly make sure these 3 things are taken care of. I think I have solved the issue entirely but if not I'll update this in the future. Use self.order condition in code to check if we already have a similar order in place. if not pos: # no market / no orders if self.inds[d]['atr14'][-1] * 10 < (d.high[0]-d.low[0]) and (d.close[0]-d.open[0])>0: # self.buy(data=d, size=1) if self.order[d._name]: self.log('We already have a buy order for %s in place' % d._name) return self.log(' BUYING. ||| symbol: %s , atr14 : %.2f , close-open : %.2f , rsi3crossD: %.2f' % (d._name,self.inds[d]['atr14'][0],(d.close[0]-d.open[0]),self.inds[d]['rsi3crossD'][0])) self.order[d._name] = self.order_target_value(data=d, target = 30000) # elif self.inds[d]['cross'][0] == -1: # # self.sell(data=d, size=1) # self.order_target_percent(data=d, target = -0.16) elif pos: if self.inds[d]['rsi3'][0]<65: if self.order[d._name]: self.log('We already have a sell order for %s in place' % d._name) return self.order[d._name] = self.close(data=d) self.log(' SELLING. ||| symbol: %s ,rsi3crossD: %.2f' % (d._name,self.inds[d]['rsi3crossD'][0])) # Make sure that crossovers are used in the way above i.e. crossovercondition==1 Make sure you add the pandas data with parameters timeframe, compression, session start and session end.
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  Custom Indicator Arnaud Legoux Moving Average (Vectorised or Nan-Vec): Help Needed
  • Ender Kina  

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  Margin on shorting stocks
  • John Hegstrom  

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  you may want to elaborate more on what you expect and what doesn't work. As usual simple script and outputs will expedite the solution.
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  Easier way to access "active" orders
  • nistrup  

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  if it works correct, than yes.
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  Portfolio value in strategy
  • jean-jacques vesperini  

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  IIRC self.broker.getvalue()
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  Different number of instruments available over time
  • Federico Bassetto  

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  In order to run strategy from the very beginning of the oldest data feed call strategy logic in both prenext() and next() functions. But you need to put some checks if data feed exists in the prenext(). Check out Docs - Strategy
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  Can't pickle: it's not the same object as
  • André  

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  I found the problem. Instead of bt.feeds.PandasData, I had to use my PandasClass class The name PandasData had to be renamed to PandasClass2. There was a conflict with the internal one.
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  Problems for Order.Market and Order.Close
  • DarkHemisphere  

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  Ok..I found the problems. Ordre.Market is supposed to execute in the next ticks, but my DataFeed has some problems. Maybe it is better to use only one parameter 'datetime' in DataFeed. I met problems when I use 'datetime' and 'time' two parameters though I could run the Backtrader.