3. Testing RSI and SMA using bt.feeds.CCXT for Bittrex
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Testing RSI and SMA using bt.feeds.CCXT for Bittrex


  • Hi,
    New to backtrader, but reasonable python experience.
    Having some problems getting a datafeed from Bittrex using CCXT.
    The data appears to come through, but I can't get the RSI & SMA indicators to work.

    I am quite sure it's something to do with the data structures coming back from CCXT, but I can't be sure.

    Please see the code that WORKS below (using APPL data from Yahoo).

    from __future__ import (absolute_import, division, print_function,
                    unicode_literals)
 from datetime import datetime, timedelta
import backtrader as bt

class TestStrategy(bt.Strategy):

def __init__(self):
    self.rsi = bt.indicators.RSI_SMA(period=14)
    self.sma = bt.indicators.SMA(period=15)

if __name__ == '__main__':

cerebro = bt.Cerebro()
data = bt.feeds.YahooFinanceData(
     dataname='AAPL',
     fromdate = datetime(2019,1,1),
     todate = datetime(2020,1,1),
     buffered= True
     )


cerebro.adddata(data)
cerebro.addstrategy(TestStrategy)
cerebro.run()
cerebro.plot()

    However when I change the time periods the data feed fails;

    from __future__ import (absolute_import, division, print_function,
 
                         unicode_literals)
 
 from datetime import datetime, timedelta
 
 import backtrader as bt
 
 
 
 class SmaCross(bt.SignalStrategy):
 
     def __init__(self):
 
         sma1, sma2 = bt.ind.SMA(period=10), bt.ind.SMA(period=30)
 
         crossover = bt.ind.CrossOver(sma1, sma2)
 
         self.signal_add(bt.SIGNAL_LONG, crossover)
 
 
 
 if __name__ == '__main__':
 
 
 
     cerebro = bt.Cerebro()
 
 #     data = bt.feeds.YahooFinanceData(
 
 #          dataname='AAPL',
 
 #          fromdate = datetime(2019,1,1),
 
 #          todate = datetime(2020,1,1),
 
 #          buffered= True
 
 #          )
 
     symbol = 'BTC/USDT'
 
     hist_start_date = datetime.utcnow() - timedelta(minutes=3600)
 
     #broker = bt.brokers.CCXTBroker(exchange='bittrex')
 
     data = bt.feeds.CCXT(exchange = 'bittrex', symbol='BTC/USDT', 
 
                               name="btc_usdt_bittrex", timeframe=bt.TimeFrame.Minutes,
 
                               #compression = 1,
 
                               fromdate = hist_start_date)
 
 
 
     cerebro.adddata(data)
 
     cerebro.addstrategy(SmaCross)
 
     cerebro.run()
 
     cerebro.plot()nd fails to plot.

    Would anyone have a link to how to interogate the feeds I would be most grateful.
    Thanks

    0

  • OK, CCXT was calling BITTREX far to much for offline testing,
    I applied

          data=bt.feeds.PandasData(dataname=df,datetime=-1,open=-1,high=-1,low=-1,close=-1,volume=-1,openinterest='openinterest',timeframe=bt.TimeFrame.Days,compression=1)

    after creating a static extract from the API using

    from bittrex.bittrex import Bittrex, API_V2_0
      trade = 'BTC'
     currency = 'DOGE'
    market = '{0}-{1}'.format(trade, currency)
   tick_interval ='day'
   my_bittrex = Bittrex(None, None, api_version=API_V2_0)  # or defaulting to v1.1 as Bittrex(None, None)
 
    t = my_bittrex.get_candles(market,tick_interval)

   df = pd.DataFrame(t['result'])
  df['T'] = pd.to_datetime(df['T']) 
 df.set_index(df['T'],inplace=True)

  df.columns = ['BV','close','high','low','open','datetime','volume']

  df['openinterest'] = 0
    0
 
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