Oanda test

Ivan

Hi,
when I run oandatest.py with minimum parameters (only token, account and data0) I get this error:

Traceback (most recent call last):
File "oandatest.py", line 481, in <module>
runstrategy()
File "oandatest.py", line 202, in runstrategy
timeframe = bt.TimeFrame.TFrame(args.timeframe)
File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\dataseries.py
", line 53, in TFrame
return getattr(cls, name)
AttributeError: type object 'TimeFrame' has no attribute ''

Any help? Thanks!

backtrader

@Ivan run with --timeframe XXXX

The sample made an assumption about an internal structure remaining static ... and the structure moved forward. But if you pass a name like Ticks, Days or other, should still run.

Ivan

@backtrader

python oandatest.py --token XXX --account XXX --data0 EUR_USD --timeframe Days

Strategy Created

Datetime, Open, High, Low, Close, Volume, OpenInterest, SMA
Traceback (most recent call last):
File "oandatest.py", line 481, in <module>
runstrategy()
File "oandatest.py", line 297, in runstrategy
cerebro.run(exactbars=args.exactbars)
File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\cerebro.py",
line 810, in run
runstrat = self.runstrategies(iterstrat)
File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\cerebro.py",
line 940, in runstrategies
self._runnext(runstrats)
File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\cerebro.py",
line 1153, in _runnext
newqcheck = not any(d.haslivedata() for d in datas)
File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\cerebro.py",
line 1153, in <genexpr>
newqcheck = not any(d.haslivedata() for d in datas)
File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\feeds\oanda.p
y", line 255, in haslivedata
return bool(self._storedmsg or self.qlive) # do not return the objs
File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\lineseries.py
", line 429, in getattr
return getattr(self.lines, name)
AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has
no attribute '_storedmsg'

backtrader

Some code should be executed before to create the _storedmsg, but that isn't actually the real problem, because under normal circumstances it should be created, because the feed is started.

An educated guess would be that you are running with Python 3.4.5 and oandpy contains things like the __metaclass__ attribute in some classes, which points to Python 2.x only support.

holicst

Hi,

I also tried to use this but got the error below (only account, token and data0 specified):

Strategy Created

Traceback (most recent call last):
File "C:\Baixinho\oanda_live.py", line 498, in <module>
runstrategy()
File "C:\Baixinho\oanda_live.py", line 310, in runstrategy
cerebro.run(exactbars=args.exactbars)
File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 873, in run
runstrat = self.runstrategies(iterstrat)
File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 988, in runstrategies
strat._start()
File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\strategy.py", line 353, in _start
self.start()
File "C:\Baixinho\oanda_live.py", line 180, in start
if self.data0.contractdetails is not None:
File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\lineseries.py", line 429, in getattr
return getattr(self.lines, name)
AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'contractdetails'

Do you have any idea what can cause this? I use Python 3.5.2 64-bit (Anaconda) on Windows 10. How can I solve this?

Thanks in advance.

Best regards,
Tamás

backtrader

That's insufficient to make any statement beyond that you are running Python 3 and as stated above, oandapy seems to be tailored for Python 2.

At a minimum the execution line would be needed. It might also be that connectivity to Oanda failed.

holicst

Has anyone tested oandatest.py in a Python 3.* environment? Or is the only option for me to set up a Python 2.7 environment for backtesting/trading with Oanda?

Cheers,
Tamás

holicst

Hi,

I've created a 2.7 environment in Anaconda, but I get the same error:

--------------------------------------------------
Strategy Created
--------------------------------------------------
Traceback (most recent call last):
  File "C:\Baixinho\oanda_live.py", line 498, in <module>
    runstrategy()
  File "C:\Baixinho\oanda_live.py", line 310, in runstrategy
    cerebro.run(exactbars=args.exactbars)
  File "C:\Users\peter\Anaconda3\envs\python27\lib\site-packages\backtrader\cerebro.py", line 873, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\peter\Anaconda3\envs\python27\lib\site-packages\backtrader\cerebro.py", line 988, in runstrategies
    strat._start()
  File "C:\Users\peter\Anaconda3\envs\python27\lib\site-packages\backtrader\strategy.py", line 353, in _start
    self.start()
  File "C:\Baixinho\oanda_live.py", line 180, in start
    if self.data0.contractdetails is not None:
  File "C:\Users\peter\Anaconda3\envs\python27\lib\site-packages\backtrader\lineseries.py", line 429, in __getattr__
    return getattr(self.lines, name)
AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'contractdetails'

I run the program - without modifications - with the following arguments:

--token XXX --account YYY --data0 EUR_USD

Best regards,
Tamás

backtrader

Oanda doesn't support Tick historical downloads and you are not specifying neither a historical download nor a specific timeframe/compression (for example: Minutes/5) resampling.

The sample is not a swiss-knife for each and every possible use case, it is just a play tool.

holicst

Hi Backtrader,

Many thanks for the info. Now I managet to get past this error but now I receive a notification from Oanda:

--------------------------------------------------
Strategy Created
--------------------------------------------------
Datetime, Open, High, Low, Close, Volume, OpenInterest, SMA
***** DATA NOTIF: NOTSUBSCRIBED

Do I need to subscribe to instruments at Oanda?

Thanks and BR,
Tamás

holicst

Hi Everybody,

I "fixed it": I used my user name instead of the account number... :D

I hope you haven't debugged this for hours :)

Cheers,
Tamás

holicst

Hi Everybody,

I finally managed to use oandatest.py properly now, but I faced two problems today:

1, The program stops with the following error, when I want to get the data reference using self.getdatabyname():

-- Contract Details:
{'displayName': 'EUR/CZK', 'instrument': 'EUR_CZK', 'maxTradeUnits': 10000000, 'pip': '0.0001'}
Datetime, Open, High, Low, Close, Volume, OpenInterest, SMA
***** DATA NOTIF: DELAYED
Data0, 0001, 733775.787500, 2010-01-03T18:54:00.000000, 26.399000, 26.399000, 26.387500, 26.387500,      3, 0, nan
Traceback (most recent call last):
  File "C:\Program Files\Brainwy\LiClipse 3.4.0\plugins\org.python.pydev_5.5.0.201701191611\pysrc\pydevd.py", line 1537, in <module>
    globals = debugger.run(setup['file'], None, None, is_module)
  File "C:\Program Files\Brainwy\LiClipse 3.4.0\plugins\org.python.pydev_5.5.0.201701191611\pysrc\pydevd.py", line 976, in run
    pydev_imports.execfile(file, globals, locals)  # execute the script
  File "C:\Program Files\Brainwy\LiClipse 3.4.0\plugins\org.python.pydev_5.5.0.201701191611\pysrc\_pydev_imps\_pydev_execfile.py", line 25, in execfile
    exec(compile(contents+"\n", file, 'exec'), glob, loc)
  File "C:\Baixinho\oanda_live.py", line 500, in <module>
    runstrategy()
  File "C:\Baixinho\oanda_live.py", line 312, in runstrategy
    cerebro.run(exactbars=args.exactbars)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 873, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1010, in runstrategies
    self._runnext(runstrats)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1326, in _runnext
    strat._next()
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\strategy.py", line 296, in _next
    super(Strategy, self)._next()
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\lineiterator.py", line 258, in _next
    self.prenext()
  File "C:\Baixinho\oanda_live.py", line 88, in prenext
    self.next(frompre=True)
  File "C:\Baixinho\oanda_live.py", line 106, in next
    d = self.getdatabyname('EUR_CZK')
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\strategy.py", line 556, in getdatabyname
    return self.env.datasbyname[name]
KeyError: 'EUR_CZK'

2, There is no method get_cash() for OandaBroker:


Traceback (most recent call last):
  File "C:\Baixinho\oanda_live.py", line 501, in <module>
    runstrategy()
  File "C:\Baixinho\oanda_live.py", line 313, in runstrategy
    cerebro.run(exactbars=args.exactbars)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 873, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1010, in runstrategies
    self._runnext(runstrats)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1326, in _runnext
    strat._next()
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\strategy.py", line 296, in _next
    super(Strategy, self)._next()
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\lineiterator.py", line 258, in _next
    self.prenext()
  File "C:\Baixinho\oanda_live.py", line 88, in prenext
    self.next(frompre=True)
  File "C:\Baixinho\oanda_live.py", line 106, in next
    print(str(self.broker.get_cash()))
AttributeError: 'OandaBroker' object has no attribute 'get_cash'

Both are executed in the next() method:

    def next(self, frompre=False):
        txt = list()
        txt.append('Data0')
        txt.append('%04d' % len(self.data0))
        dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
        txt.append('{:f}'.format(self.data.datetime[0]))
        txt.append('%s' % self.data.datetime.datetime(0).strftime(dtfmt))
        txt.append('{:f}'.format(self.data.open[0]))
        txt.append('{:f}'.format(self.data.high[0]))
        txt.append('{:f}'.format(self.data.low[0]))
        txt.append('{:f}'.format(self.data.close[0]))
        txt.append('{:6d}'.format(int(self.data.volume[0])))
        txt.append('{:d}'.format(int(self.data.openinterest[0])))
        txt.append('{:f}'.format(self.sma[0]))
        print(', '.join(txt))

        print(str(self.broker.get_cash()))
        d = self.getdatabyname('EUR_CZK')

Am I doing something wrong?

Thanks and best regards,
Tamás

holicst

Hi,

Additionally, I found that self.datas[0]._name does not exist with Oanda, but there is self.datas[0]._dataname. And vice versa, so depending on my data source, I have to use different code. Would it be possible to have an attribute for all data sources (IB, VC, Oanda, Pandas etc.) with the same name, holding the name of the instrument?

The only other way is for me to write a getname() method that returns either _name or _dataname based on the data source, right?

Cheers,
Tamás

holicst

Hi,

Sorry, I don't want to spam this topic but I encountered another error:

Exception in thread Thread-60:
Traceback (most recent call last):
  File "C:\Users\peter\Anaconda3\lib\threading.py", line 914, in _bootstrap_inner
    self.run()
  File "C:\Users\peter\Anaconda3\lib\threading.py", line 862, in run
    self._target(*self._args, **self._kwargs)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\stores\oandastore.py", line 379, in _t_candles
    **dtkwargs)
  File "C:\Users\peter\Anaconda3\lib\site-packages\oandapy\oandapy.py", line 38, in get_history
    return self.request(endpoint, params=params)
  File "C:\Users\peter\Anaconda3\lib\site-packages\backtrader\stores\oandastore.py", line 89, in request****
    content = json.loads(content)
  File "C:\Users\peter\Anaconda3\lib\json\__init__.py", line 319, in loads
    return _default_decoder.decode(s)
  File "C:\Users\peter\Anaconda3\lib\json\decoder.py", line 339, in decode
    obj, end = self.raw_decode(s, idx=_w(s, 0).end())
  File "C:\Users\peter\Anaconda3\lib\json\decoder.py", line 357, in raw_decode
    raise JSONDecodeError("Expecting value", s, err.value) from None
json.decoder.JSONDecodeError: Expecting value: line 1 column 1 (char 0)

I subscribed for all 70 forex instruments Oanda offers, could this be a problem?

Best regards,
Tamás

backtrader

@holicst said in Oanda test:

I subscribed for all 70 forex instruments Oanda offers, could this be a problem?

That's for sure outside of the backtrader scope. The messages returned by Oanda are in JSON format. Something was very wrong in that request.

Notwithstanding that the code could be more robust.

backtrader

@holicst said in Oanda test:

Hi,
Additionally, I found that self.datas[0]._name does not exist with Oanda

You probably mean that _name is the empty string. This is so because you haven't added a name during adddata(data, name='xxxx')

_dataname is what was specified as ticker for the specific data source.
_name is what specified by the user (call it 'alias')

That's the same reason that breaks getdatabyname. In any case it seems reasonable to make a default assignment of the actual dataname to name if nothing has been specified.

holicst

Hi,

Thanks for the quick answers. I've adjusted the programs and the _name stuff is solved.

Do you maybe have plans to tune the performance for subscribing to 100 instruments? Or should I try to take care of it and feed my data to my strategy?

Cheers,
Tamás

backtrader

@holicst said in Oanda test:

There is no method get_cash() for OandaBroker:

The canonical name was getcash (and also getvalue) but along the way the simulation broker got the aliases get_cash and get_value. The latest commit in the development branch supports always filling in a _name if none was provided by the user and adding the get_cash and get_value aliases if missing in broker subclasses.

@holicst said in Oanda test:

Do you maybe have plans to tune the performance for subscribing to 100 instruments? Or should I try to take care of it and feed my data to my strategy?

100 or 1000 instruments in backtesting mode should be no problem because the data feeds are (there could be exceptions) taken from frozen data and provide prices when requested to.

Without knowing what the actual json decoder error above is (and what causes it) there is not an actual performance to be tuned. The explanation:

Many platforms choose a 100% event oriented approach. A tick comes in, a tick is delivered. If you have 70 instruments, there will be 70 ticks.

To overcome this, some platforms add this constraint:

Only deliver ticks every x milliseconds. This buffers some of the ticks and reduces the number of calls, but obviously delays some of the ticks. But the delivery is not tied to the resampling target

backtrader takes another approach which favors working with (so to say) resampled data rather than ticks. Considering a 1-minute timeframe, backtrader resamples all data feeds to the 1-minute timeframe and delivers all of them at the same time, because it is synchronizing the data feeds.

Each approach has advantages and disadvantages.

Latest commit: https://github.com/mementum/backtrader/commit/e79404a4db3aaf4d7dea841cb4505dec92adae78

holicst

@backtrader Hi,

This is great. I'll try to figure out what the problem is today.

Cheers,
Tamás

Taewoo Kim

get_orders_open() seems to be missing from OandaBroker too

AttributeError: 'OandaBroker' object has no attribute 'get_orders_open'

Is it also possible to get bracket_order information (including stopprice and limitprice) passed on to the broker as well?