Getting IndexError: array assignment index out of range in cerebro.run()
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Hi everyone,
I am a backtrader newbie and couldn't solve this problem. I am getting json data from mongodb and converting it into Pandas DataFrame and feeding it into cerebro.
Here is the example data I have
datetime open high low close volume 0 2019-05-04 14:00:00 159.81 160.55 158.85 160.00 5281.80 1 2019-05-04 13:00:00 161.93 162.19 158.00 159.81 12089.68 2 2019-05-04 12:00:00 162.05 162.27 161.27 162.02 3296.24 3 2019-05-04 11:00:00 162.25 162.41 161.90 162.01 7119.30 4 2019-05-04 10:00:00 162.55 162.55 161.45 162.26 4599.58The helloworld example for backtrader can be seen below;
from datetime import datetime import backtrader as bt from mongoengine import connect from pymongo import MongoClient import pandas as pd class TestStrategy(bt.Strategy): def log(self, txt, dt=None): dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def __init__(self): self.dataclose = self.datas[0].close self.order = None self.buyprice = None self.buycomm = None self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=15) self.rsi = bt.indicators.RelativeStrengthIndex() def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: return if order.status in [order.Completed]: if order.isbuy(): self.log( 'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' % (order.executed.price, order.executed.value, order.executed.comm)) self.buyprice = order.executed.price self.buycomm = order.executed.comm else: # Sell self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' % (order.executed.price, order.executed.value, order.executed.comm)) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') # Write down: no pending order self.order = None def notify_trade(self, trade): if not trade.isclosed: return self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' % (trade.pnl, trade.pnlcomm)) def next(self): self.log('Close, %.2f' % self.dataclose[0]) print('rsi:', self.rsi[0]) if self.order: return if not self.position: if (self.rsi[0] < 30): self.log('BUY CREATE, %.2f' % self.dataclose[0]) self.order = self.buy(size=500) else: if (self.rsi[0] > 70): self.log('SELL CREATE, %.2f' % self.dataclose[0]) self.order = self.sell(size=500) class PandasData(bt.feed.DataBase): ''' The ``dataname`` parameter inherited from ``feed.DataBase`` is the pandas DataFrame ''' params = ( # Possible values for datetime (must always be present) # None : datetime is the "index" in the Pandas Dataframe # -1 : autodetect position or case-wise equal name # >= 0 : numeric index to the colum in the pandas dataframe # string : column name (as index) in the pandas dataframe ('datetime', 0), # Possible values below: # None : column not present # -1 : autodetect position or case-wise equal name # >= 0 : numeric index to the colum in the pandas dataframe # string : column name (as index) in the pandas dataframe ('open', 1), ('high', 2), ('low', 3), ('close', 4), ('volume', 5), ('openinterest', None), ) if __name__ == '__main__': cerebro = bt.Cerebro() cerebro.addstrategy(TestStrategy) cerebro.broker.setcommission(commission=0.001) connect('algotrader') client = MongoClient() db = client.get_database('algotrader') candles = db.get_collection('candles') candle_data = candles.find().sort([('time', -1)]) ohlc = [] for candle in candle_data: ohlc.append([datetime.utcfromtimestamp(candle['time']), candle['open'], candle['high'], candle['low'], candle['close'], candle['volume']]) df = pd.DataFrame(ohlc, columns = ['datetime', 'open', 'high', 'low', 'close', 'volume']) data = PandasData(dataname=df, datetime=0, open=1, high=2, low=3, close=4, volume=5) cerebro.adddata(data) cerebro.broker.setcash(1000.0) print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) cerebro.run() print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) cerebro.plot()Finally, here is the error I am getting;
Traceback (most recent call last): File "backtesting.py", line 135, in <module> cerebro.run() File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/cerebro.py", line 1127, in run runstrat = self.runstrategies(iterstrat) File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/cerebro.py", line 1293, in runstrategies self._runonce(runstrats) File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/cerebro.py", line 1652, in _runonce strat._once() File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/lineiterator.py", line 297, in _once indicator._once() File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/lineiterator.py", line 297, in _once indicator._once() File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/lineiterator.py", line 317, in _once self.oncestart(self._minperiod - 1, self._minperiod) File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/lineiterator.py", line 327, in oncestart self.once(start, end) File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/indicators/basicops.py", line 364, in once dst[i] = math.fsum(src[i - period + 1:i + 1]) / period IndexError: array assignment index out of rangI appreciate for any help. Thanks!
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I am not too sure what would the problem is here, however, I think it may be linked to your feeding of data. I would suggest taking a look at the values, see where the error might be.
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@robin-dhillon said in Getting IndexError: array assignment index out of range in cerebro.run():
I think it may be linked to your feeding of data
@burak-aktas said in Getting IndexError: array assignment index out of range in cerebro.run():
0 2019-05-04 14:00:00 159.81 160.55 158.85 160.00 5281.80 1 2019-05-04 13:00:00 161.93 162.19 158.00 159.81 12089.68 2 2019-05-04 12:00:00 162.05 162.27 161.27 162.02 3296.24@burak-aktas said in Getting IndexError: array assignment index out of range in cerebro.run():
candle_data = candles.find().sort([('time', -1)])
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@robin-dhillon Hey Robin. I limited the data to get 30 entries. and checked if there is any invalid data. I verified that there is no any error prone data that will cause an issue. Format is the same as I shared above.
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Yes and the format goes from the future to the past ... hence INVALID. But that's not the core of it.
@burak-aktas said in Getting IndexError: array assignment index out of range in cerebro.run():
The helloworld example for backtrader can be seen below;
This is not a helloworld example. Why?
You are not capable of loading 30 lines of data, so why try connecting to a database, creating indicators, executing orders, receiving notifications and ... and ...
A helloworld example
import backtrader as bt class MyStrategy(bt.Strategy): def next(self): print(','.join(str(x) for x in [self.datetime.datetime(0), self.data.close[0]])) cerebro = bt.Cerebro() # It would be wise to start reading from a simple plain csv file. data = bt.MyChosenDataFeed(dataname='mydataname', otherparams=myotherparams) cerebro.adddata(data) cerebro.run()@burak-aktas said in Getting IndexError: array assignment index out of range in cerebro.run():
class PandasData(bt.feed.DataBase): ''' The ``dataname`` parameter inherited from ``feed.DataBase`` is the pandas DataFrame ''' params = ( # Possible values for datetime (must always be present) # None : datetime is the "index" in the Pandas Dataframe # -1 : autodetect position or case-wise equal name # >= 0 : numeric index to the colum in the pandas dataframe # string : column name (as index) in the pandas dataframe ('datetime', 0), ... ...You probably want to use the real
PandasData. Instead of blindly copying the first lines of this page of documentation Docs - Pandas DataFeed Example, which simply serve illustrative purposes (and are prefixed with this header: "The important declarations for the Datafeed." and then followed by "The above excerpt from the PandasData class ..."), you may want to scroll down and see how apandasdataframe is actually loaded in the full code which comes afterwards.See the reference for the
PandasData: Docs - Data Feed Reference
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@backtrader Thanks. I guess I started to understand. I made the code much more clear. I basically converting data from mongodb into a csv then reading data from csv file. However, now I am getting a different error which is
Traceback (most recent call last): File "backtesting.py", line 38, in <module> cerebro.adddata(data) File "/Users/buraktas/.virtualenvs/alga-trader/lib/python3.7/site-packages/backtrader/cerebro.py", line 758, in adddata data.setenvironment(self) AttributeError: 'OHLCData' object has no attribute 'setenvironmentAnd this is the code I am running
from __future__ import (absolute_import, division, print_function, unicode_literals) from datetime import datetime import backtrader as bt class TestStrategy(bt.Strategy): def next(self): print(','.join(str(x) for x in [self.datetime.datetime(0), self.data.close[0]])) class OHLCData(bt.feeds.GenericCSV): params = ( ('dtformat', '%Y-%m-%d %H:%M:%S'), ('datetime', 0), ('time', -1), ('open', 1), ('high', 2), ('low', 3), ('close', 4), ('volume', 5), ('openinterest', -1), ('timeframe', bt.TimeFrame.Minutes), ('compression', 60) ) if __name__ == '__main__': cerebro = bt.Cerebro() cerebro.addstrategy(TestStrategy) cerebro.broker.setcommission(commission=0.001) data = OHLCData(dataname='/Users/buraktas/algotrader/algotrader/backtesting/test_data.csv') cerebro.adddata(data) cerebro.broker.setcash(1000.0) print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) cerebro.run() print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) cerebro.plot(style='bar')And finally here is the example csv file I have;
datetime,open,high,low,close,volume 2017-07-15 13:00:00,183.33,189.0,181.34,181.54,9797.22 2017-07-15 14:00:00,181.52,184.0,178.0,180.26,24246.76 2017-07-15 15:00:00,180.26,180.27,176.35,178.82,22395.28 2017-07-15 16:00:00,178.82,182.0,177.11,180.52,11845.78 2017-07-15 17:00:00,180.52,184.0,178.2,182.49,11625.9 2017-07-15 18:00:00,182.49,183.2,179.05,179.32,6882.71 2017-07-15 19:00:00,179.32,181.2,179.28,181.2,8096.29 2017-07-15 20:00:00,181.19,181.21,175.51,175.51,14454.75 2017-07-15 21:00:00,175.51,178.12,175.05,176.18,10333.21 2017-07-15 22:00:00,176.17,177.05,173.5,174.48,15422.67 2017-07-15 23:00:00,174.49,176.0,167.0,167.72,32336.96 2017-07-16 00:00:00,168.22,172.0,165.24,165.64,27662.9 2017-07-16 01:00:00,165.67,171.1,164.0,166.86,24991.78 2017-07-16 02:00:00,166.86,172.3,166.85,169.78,11534.34 2017-07-16 03:00:00,169.77,171.21,166.41,167.03,8431.53 2017-07-16 04:00:00,166.87,168.16,165.05,165.54,6999.98 2017-07-16 05:00:00,165.33,165.47,160.53,160.79,13150.77 2017-07-16 06:00:00,160.64,164.0,154.42,160.66,34607.19 2017-07-16 07:00:00,160.97,162.16,155.0,156.79,11609.98 2017-07-16 08:00:00,156.78,157.55,154.5,154.53,7494.6 2017-07-16 09:00:00,154.53,154.63,151.17,152.42,16870.68 2017-07-16 10:00:00,152.45,152.59,145.0,145.12,21192.75 2017-07-16 11:00:00,145.28,147.54,137.0,137.99,38179.05 2017-07-16 12:00:00,137.99,141.7,132.54,134.32,37655.74 2017-07-16 13:00:00,134.26,155.5,130.26,153.0,77604.66 2017-07-16 14:00:00,152.12,152.57,140.34,146.93,38863.56 2017-07-16 15:00:00,146.99,154.56,146.99,152.07,31752.34 2017-07-16 16:00:00,152.07,163.88,151.01,162.49,34226.85 2017-07-16 17:00:00,162.47,164.55,157.18,159.0,28391.9 2017-07-16 18:00:00,158.89,158.93,151.0,153.0,22441.2
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Hey @backtrader do you have any chance to look at it? Thanks!
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See here: Community - Getting AttributeError: 'GenericCSV' object has no attribute 'setenvironment' error
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@backtrader Thanks! I opened another thread since the error I getting was a different one.