Hello everyone,
I am trying to test @Rodrigo-Brito 's repo on Binance live.
https://github.com/rodrigo-brito/backtrader-binance-bot
Here is the base code class for strategy.
class StrategyBase(bt.Strategy):
def __init__(self):
self.order = None
self.last_operation = "SELL"
self.status = "DISCONNECTED"
self.bar_executed = 0
self.buy_price_close = None
self.soft_sell = False
self.hard_sell = False
self.log("Base strategy initialized")
def reset_sell_indicators(self):
self.soft_sell = False
self.hard_sell = False
self.buy_price_close = None
def notify_data(self, data, status, *args, **kwargs):
self.status = data._getstatusname(status)
print(self.status)
if status == data.LIVE:
self.log("LIVE DATA - Ready to trade")
def short(self):
if self.last_operation == "SELL":
return
if config.ENV == config.DEVELOPMENT:
self.log("Sell ordered: $%.2f" % self.data0.close[0])
return self.sell()
cash, value = self.broker.get_wallet_balance(config.COIN_TARGET)
amount = value*0.99
self.log("Sell ordered: $%.2f. Amount %.6f %s - $%.2f USDT" % (self.data0.close[0],
amount, config.COIN_TARGET, value), True)
return self.sell(size=amount)
def long(self):
if self.last_operation == "BUY":
return
self.log("Buy ordered: $%.2f" % self.data0.close[0], True)
self.buy_price_close = self.data0.close[0]
price = self.data0.close[0]
if config.ENV == config.DEVELOPMENT:
return self.buy()
cash, value = self.broker.get_wallet_balance(config.COIN_REFER)
amount = (value / price) * 0.99 # Workaround to avoid precision issues
self.log("Buy ordered: $%.2f. Amount %.6f %s. Ballance $%.2f USDT" % (self.data0.close[0],
amount, config.COIN_TARGET, value), True)
return self.buy(size=amount)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
self.log('ORDER ACCEPTED/SUBMITTED')
self.order = order
return
if order.status in [order.Expired]:
self.log('BUY EXPIRED', True)
elif order.status in [order.Completed]:
if order.isbuy():
self.last_operation = "BUY"
self.log(
'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm), True)
if config.ENV == config.PRODUCTION:
print(order.__dict__)
print(
'BUY EXECUTED, Price: %.8f, Cost: %.8f, Comm %.8f' %
(order.executed.price,
order.executed.value,
order.executed.comm), True)
else: # Sell
self.last_operation = "SELL"
self.reset_sell_indicators()
self.log('SELL EXECUTED, Price: %.8f, Cost: %.8f, Comm %.8f' %
(order.executed.price,
order.executed.value,
order.executed.comm), True)
print(
'SELL EXECUTED, Price: %.8f, Cost: %.8f, Comm %.8f' %
(order.executed.price,
order.executed.value,
order.executed.comm), True)
# Sentinel to None: new orders allowed
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected: Status %s - %s' % (order.Status[order.status],
self.last_operation), True)
self.order = None
It works for a while then crashes. I couldn't figure out why. Also order.executed.XXX returns zero and gets unsupported operand type for backtrader/position.py
What am i missing?
Here is the output:
ENV = production
Starting Portfolio Value: 0.00045425
DELAYED
LIVE
{'dteos': 737246.9999999999, 'exectype': 0, 'ordtype': 0, 'size': 0.017, 'position': 0, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffaced6b940>, 'ref': 1, 'status': 4, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7ffad7e55f28>, 'executed': <backtrader.order.OrderData object at 0x7ffae95f9438>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffaced6b940>, 'broker': None, '_active': True, 'ccxt_order': {'price': 0.02231764705882353, 'datetime': '2019-07-26T19:53:19.784Z', 'symbol': 'ETH/BTC', 'lastTradeTimestamp': None, 'amount': 0.017, 'remaining': 0.0, 'average': 0.02231764705882353, 'fee': None, 'side': 'buy', 'type': 'market', 'id': '441732094', 'cost': 0.0003794, 'timestamp': 1564170799784, 'status': 'closed', 'info': {'price': '0.00000000', 'icebergQty': '0.00000000', 'type': 'MARKET', 'cummulativeQuoteQty': '0.00037940', 'orderId': 441732094, 'executedQty': '0.01700000', 'side': 'BUY', 'isWorking': True, 'stopPrice': '0.00000000', 'time': 1564170799784, 'origQty': '0.01700000', 'symbol': 'ETHBTC', 'updateTime': 1564170799784, 'clientOrderId': 'Ma4x8A2WqBudmPuOtdVEPB', 'timeInForce': 'GTC', 'status': 'FILLED'}, 'filled': 0.017, 'trades': None}, 'owner': <live_strategy.bt_bandtrader_v3_trend.Strategy object at 0x7ffad7e55cc0>, 'info': AutoOrderedDict(), 'created': <backtrader.order.OrderData object at 0x7ffad7e77828>, '_limitoffset': 0.0, '_plimit': None, 'comminfo': None, 'triggered': False}
BUY EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
{'dteos': 737246.9999999999, 'exectype': 0, 'ordtype': 0, 'size': 0.017, 'position': 0, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffaced6b940>, 'ref': 1, 'status': 4, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7ffad7e55f28>, 'executed': <backtrader.order.OrderData object at 0x7ffae95f9438>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffaced6b940>, 'broker': None, '_active': True, 'ccxt_order': {'price': 0.02231764705882353, 'datetime': '2019-07-26T19:53:19.784Z', 'symbol': 'ETH/BTC', 'lastTradeTimestamp': None, 'amount': 0.017, 'remaining': 0.0, 'average': 0.02231764705882353, 'fee': None, 'side': 'buy', 'type': 'market', 'id': '441732094', 'cost': 0.0003794, 'timestamp': 1564170799784, 'status': 'closed', 'info': {'price': '0.00000000', 'icebergQty': '0.00000000', 'type': 'MARKET', 'cummulativeQuoteQty': '0.00037940', 'orderId': 441732094, 'executedQty': '0.01700000', 'side': 'BUY', 'isWorking': True, 'stopPrice': '0.00000000', 'time': 1564170799784, 'origQty': '0.01700000', 'symbol': 'ETHBTC', 'updateTime': 1564170799784, 'clientOrderId': 'Ma4x8A2WqBudmPuOtdVEPB', 'timeInForce': 'GTC', 'status': 'FILLED'}, 'filled': 0.017, 'trades': None}, 'owner': <live_strategy.bt_bandtrader_v3_trend.Strategy object at 0x7ffad7e55cc0>, 'info': AutoOrderedDict(), 'created': <backtrader.order.OrderData object at 0x7ffad7e77828>, '_limitoffset': 0.0, '_plimit': None, 'comminfo': None, 'triggered': False}
BUY EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
SELL EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
SELL EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
{'dteos': 737246.9999999999, 'exectype': 0, 'ordtype': 0, 'size': 0.127, 'position': 0, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef8a3c8>, 'ref': 3, 'status': 4, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7ffad7e55f28>, 'executed': <backtrader.order.OrderData object at 0x7ffacef46518>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef8a3c8>, 'broker': None, '_active': True, 'ccxt_order': {'price': 0.022296929133858265, 'datetime': '2019-07-26T19:55:23.200Z', 'symbol': 'ETH/BTC', 'lastTradeTimestamp': None, 'amount': 0.127, 'remaining': 0.0, 'average': 0.022296929133858265, 'fee': None, 'side': 'buy', 'type': 'market', 'id': '441732983', 'cost': 0.00283171, 'timestamp': 1564170923200, 'status': 'closed', 'info': {'price': '0.00000000', 'icebergQty': '0.00000000', 'type': 'MARKET', 'cummulativeQuoteQty': '0.00283171', 'orderId': 441732983, 'executedQty': '0.12700000', 'side': 'BUY', 'isWorking': True, 'stopPrice': '0.00000000', 'time': 1564170923200, 'origQty': '0.12700000', 'symbol': 'ETHBTC', 'updateTime': 1564170923200, 'clientOrderId': '2ZWJFmhksnBVwpql2Ur0C4', 'timeInForce': 'GTC', 'status': 'FILLED'}, 'filled': 0.127, 'trades': None}, 'owner': <live_strategy.bt_bandtrader_v3_trend.Strategy object at 0x7ffad7e55cc0>, 'info': AutoOrderedDict(), 'created': <backtrader.order.OrderData object at 0x7ffacef465f8>, '_limitoffset': 0.0, '_plimit': None, 'comminfo': None, 'triggered': False}
BUY EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
{'dteos': 737246.9999999999, 'exectype': 0, 'ordtype': 0, 'size': 0.127, 'position': 0, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef8a3c8>, 'ref': 3, 'status': 4, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7ffad7e55f28>, 'executed': <backtrader.order.OrderData object at 0x7ffacef46518>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef8a3c8>, 'broker': None, '_active': True, 'ccxt_order': {'price': 0.022296929133858265, 'datetime': '2019-07-26T19:55:23.200Z', 'symbol': 'ETH/BTC', 'lastTradeTimestamp': None, 'amount': 0.127, 'remaining': 0.0, 'average': 0.022296929133858265, 'fee': None, 'side': 'buy', 'type': 'market', 'id': '441732983', 'cost': 0.00283171, 'timestamp': 1564170923200, 'status': 'closed', 'info': {'price': '0.00000000', 'icebergQty': '0.00000000', 'type': 'MARKET', 'cummulativeQuoteQty': '0.00283171', 'orderId': 441732983, 'executedQty': '0.12700000', 'side': 'BUY', 'isWorking': True, 'stopPrice': '0.00000000', 'time': 1564170923200, 'origQty': '0.12700000', 'symbol': 'ETHBTC', 'updateTime': 1564170923200, 'clientOrderId': '2ZWJFmhksnBVwpql2Ur0C4', 'timeInForce': 'GTC', 'status': 'FILLED'}, 'filled': 0.127, 'trades': None}, 'owner': <live_strategy.bt_bandtrader_v3_trend.Strategy object at 0x7ffad7e55cc0>, 'info': AutoOrderedDict(), 'created': <backtrader.order.OrderData object at 0x7ffacef465f8>, '_limitoffset': 0.0, '_plimit': None, 'comminfo': None, 'triggered': False}
BUY EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
SELL EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
SELL EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
{'dteos': 737246.9999999999, 'exectype': 0, 'ordtype': 0, 'size': 0.126, 'position': 0, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef46d68>, 'ref': 5, 'status': 4, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7ffad7e55f28>, 'executed': <backtrader.order.OrderData object at 0x7ffacef464a8>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef46d68>, 'broker': None, '_active': True, 'ccxt_order': {'price': 0.022314285714285714, 'datetime': '2019-07-26T19:56:20.376Z', 'symbol': 'ETH/BTC', 'lastTradeTimestamp': None, 'amount': 0.126, 'remaining': 0.0, 'average': 0.022314285714285714, 'fee': None, 'side': 'buy', 'type': 'market', 'id': '441733466', 'cost': 0.0028116, 'timestamp': 1564170980376, 'status': 'closed', 'info': {'price': '0.00000000', 'icebergQty': '0.00000000', 'type': 'MARKET', 'cummulativeQuoteQty': '0.00281160', 'orderId': 441733466, 'executedQty': '0.12600000', 'side': 'BUY', 'isWorking': True, 'stopPrice': '0.00000000', 'time': 1564170980376, 'origQty': '0.12600000', 'symbol': 'ETHBTC', 'updateTime': 1564170980376, 'clientOrderId': 'TwXVKXWuXd1MRZ7Fcmjruk', 'timeInForce': 'GTC', 'status': 'FILLED'}, 'filled': 0.126, 'trades': None}, 'owner': <live_strategy.bt_bandtrader_v3_trend.Strategy object at 0x7ffad7e55cc0>, 'info': AutoOrderedDict(), 'created': <backtrader.order.OrderData object at 0x7ffacef46eb8>, '_limitoffset': 0.0, '_plimit': None, 'comminfo': None, 'triggered': False}
BUY EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
{'dteos': 737246.9999999999, 'exectype': 0, 'ordtype': 0, 'size': 0.126, 'position': 0, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef46d68>, 'ref': 5, 'status': 4, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7ffad7e55f28>, 'executed': <backtrader.order.OrderData object at 0x7ffacef464a8>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7ffacef46d68>, 'broker': None, '_active': True, 'ccxt_order': {'price': 0.022314285714285714, 'datetime': '2019-07-26T19:56:20.376Z', 'symbol': 'ETH/BTC', 'lastTradeTimestamp': None, 'amount': 0.126, 'remaining': 0.0, 'average': 0.022314285714285714, 'fee': None, 'side': 'buy', 'type': 'market', 'id': '441733466', 'cost': 0.0028116, 'timestamp': 1564170980376, 'status': 'closed', 'info': {'price': '0.00000000', 'icebergQty': '0.00000000', 'type': 'MARKET', 'cummulativeQuoteQty': '0.00281160', 'orderId': 441733466, 'executedQty': '0.12600000', 'side': 'BUY', 'isWorking': True, 'stopPrice': '0.00000000', 'time': 1564170980376, 'origQty': '0.12600000', 'symbol': 'ETHBTC', 'updateTime': 1564170980376, 'clientOrderId': 'TwXVKXWuXd1MRZ7Fcmjruk', 'timeInForce': 'GTC', 'status': 'FILLED'}, 'filled': 0.126, 'trades': None}, 'owner': <live_strategy.bt_bandtrader_v3_trend.Strategy object at 0x7ffad7e55cc0>, 'info': AutoOrderedDict(), 'created': <backtrader.order.OrderData object at 0x7ffacef46eb8>, '_limitoffset': 0.0, '_plimit': None, 'comminfo': None, 'triggered': False}
BUY EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True
Finished with error: unsupported operand type(s) for *: 'NoneType' and 'float'
Traceback (most recent call last):
File "/home/tunc/PycharmProjects/backtesting/main.py", line 109, in <module>
except KeyboardInterrupt:
File "/home/tunc/PycharmProjects/backtesting/main.py", line 94, in main
File "/home/tunc/PycharmProjects/backtesting/venv/lib/python3.5/site-packages/backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "/home/tunc/PycharmProjects/backtesting/venv/lib/python3.5/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
self._runnext(runstrats)
File "/home/tunc/PycharmProjects/backtesting/venv/lib/python3.5/site-packages/backtrader/cerebro.py", line 1623, in _runnext
self._brokernotify()
File "/home/tunc/PycharmProjects/backtesting/venv/lib/python3.5/site-packages/backtrader/cerebro.py", line 1360, in _brokernotify
self._broker.next()
File "/home/tunc/PycharmProjects/backtesting/venv/lib/python3.5/site-packages/ccxtbt/ccxtbroker.py", line 203, in next
pos.update(o_order.size, o_order.price)
File "/home/tunc/PycharmProjects/backtesting/venv/lib/python3.5/site-packages/backtrader/position.py", line 193, in update
self.price = (self.price * oldsize + size * price) / self.size
TypeError: unsupported operand type(s) for *: 'NoneType' and 'float'
