Backtrader + ccxt for bitMex online transactions, how to modify

[黄光裕]

from future import (absolute_import, division, print_function,
unicode_literals)

from datetime import datetime, timedelta
import os.path # To manage paths
import sys # To find out the script name (in argv[0])
import pandas as pd

from WindPy import w

import time
import backtrader as bt

def connect_broker():
config = {'urls': {'api': 'https://api.sandbox.gemini.com'},
'apiKey': '',
'secret': '',
'nonce': lambda: str(int(time.time() * 1000))
}
# Create data feeds
data_ticks = bt.feeds.CCXT(exchange='bitmex', symbol='BTC/USD',
name="btc_usd_tick",
timeframe=bt.TimeFrame.Minutes,
compression=5, config=config)
cerebro.adddata(data_ticks)

Create a Stratey

class TestStrategy(bt.Strategy):
params = (
('sma1', 40),
('sma2', 200),
('oneplot', True)
)

def __init__(self):
    '''
    Create an dictionary of indicators so that we can dynamically add the
    indicators to the strategy using a loop. This mean the strategy will
    work with any numner of data feeds.
    '''
    self.inds = dict()
    for i, d in enumerate(self.datas):
        self.inds[d] = dict()
        self.inds[d]['sma1'] = bt.indicators.SimpleMovingAverage(
            d.close, period=self.params.sma1)
        self.inds[d]['sma2'] = bt.indicators.SimpleMovingAverage(
            d.close, period=self.params.sma2)
        self.inds[d]['cross'] = bt.indicators.CrossOver(self.inds[d]['sma1'], self.inds[d]['sma2'])

        if i > 0:  # Check we are not on the first loop of data feed:
            if self.p.oneplot == True:
                d.plotinfo.plotmaster = self.datas[0]

def next(self):
    for i, d in enumerate(self.datas):
        dt, dn = self.datetime.date(), d._name
        pos = self.getposition(d).size
        if not pos:  # no market / no orders
            if self.inds[d]['cross'][0] == 1:
                self.buy(data=d, size=0.01)

            elif self.inds[d]['cross'][0] == -1:
                self.sell(data=d, size=0.01)

        else:
            if self.inds[d]['cross'][0] == 1:
                self.close(data=d._name)
                self.buy(data=d, size=0.01)

            elif self.inds[d]['cross'][0] == -1:
                self.close(data=d)
                self.sell(data=d, size=0.01)


def notify_trade(self, trade):
    dt = self.data.datetime.date()
    if trade.isclosed:
        print('{} {} Closed: PnL Gross {}, Net {}'.format(
            dt,
            trade.data._name,
            round(trade.pnl, 2),
            round(trade.pnlcomm, 2)))

if name == 'main':
# Create a cerebro entity
cerebro = bt.Cerebro()
# Variable for our starting cash
startcash = 0.1
# Add a strategy
cerebro.addstrategy(TestStrategy)

# hist_start_date = datetime.utcnow() - timedelta(minutes=10)
# data = bt.feeds.CCXT(exchange='bitmex', symbol="BTC/USD", name="btc_usd_min", fromdate=hist_start_date,
#                      timeframe=bt.TimeFrame.Minutes)

hist_start_date = datetime.utcnow() - timedelta(days=30)
hist_end_date = datetime.utcnow() - timedelta(days=0)

# data = bt.feeds.CCXT(exchange='bitmex', symbol='BTC/USD',
#                      timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date, todate=hist_end_date,
#                      ohlcv_limit=500)

data = bt.feeds.CCXT(exchange='bitmex', symbol='BTC/USD',
                     timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date, todate=hist_end_date,
                     ohlcv_limit=500, compression=5)
cerebro.adddata(data)
# Set our desired cash start
cerebro.broker.setcash(startcash)

# Run over everything
cerebro.run()

# Get final portfolio Value
portvalue = cerebro.broker.getvalue()
pnl = portvalue - startcash
# Add a FixedSize sizer according to the stake
# cerebro.addsizer(bt.sizers.FixedSize, stake=0.05)

# Set the commission
cerebro.broker.setcommission(commission=0.001)

# Print out the final result
print('Final Portfolio Value: ${}'.format(portvalue))
print('P/L: ${}'.format(pnl))

# Finally plot the end results
cerebro.plot()

[黄光裕]

This strategy test results are very good. I want to use it to verify real transactions. How can I modify the above code?

[黄光裕]


[黄光裕]

[黄光裕]

How should this code be modified to enable BitMex real-time online transactions

[Robin Dhillon]

I am actually a bit confused. First off use those backticks for future reference
"For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/"
Coming back to your question, what do you mean by verifying real transactions?

[黄光裕]

@robin-dhillon Sorry, I'll pay attention next time.
Real transactions means to actually trade in bitMex, not retest.

[黄光裕]

I hope that after testing through backtrader and ccxt, I will use the strategy directly to the production transaction.
Can you tell me how to do it? Thank you

[黄光裕]

Get rid of this code and just keep executing it?
todate=hist_end_date

[黄光裕]

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