Crypto Trading Bot for Kraken

Thomas Fischer

Hello all,

I am new to Python Coding with Backtrader. I would like to create a Backtrader based Bot for Kraken Crypto exchange, but I ran into an issue with
plotting the data for example. I have been using some SMA example code and add a CCXT Data Stream to it, it basically compiles, but it doesn't plot any data.
I wonder if some one could have a look?

Thank you in advance!

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

'''
def connect_broker():
    config = {'urls': {'api': 'https://api.sandbox.gemini.com'},
                         'apiKey': 'XXXXX',
                         'secret': 'XXXXX',
                         'nonce': lambda: str(int(time.time() * 1000))
                        }
    broker = bt.brokers.CCXTBroker(exchange="kraken",
                                   currency="USD", config=config)
    cerebro.setbroker(broker)

    # Create data feeds
    data_ticks = bt.feeds.CCXT(exchange="kraken", symbol="BTC/USD",
                              name="btc_usd_tick",
                              timeframe=bt.TimeFrame.Ticks,
                              compression=1, config=config)
    cerebro.adddata(data_ticks)
'''

class TestStrategy(bt.Strategy):
    #class SmaCross(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(
        pfast=10,  # period for the fast moving average
        pslow=30   # period for the slow moving average
    )

    def __init__(self):
        sma1 = bt.ind.SMA(period=self.p.pfast)  # fast moving average
        sma2 = bt.ind.SMA(period=self.p.pslow)  # slow moving average
        self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal

    def next(self):
        if not self.position:  # not in the market
            if self.crossover > 0:  # if fast crosses slow to the upside
                self.buy()  # enter long

        elif self.crossover < 0:  # in the market & cross to the downside
            self.close()  # close long position 
   
if __name__ == '__main__':
    
    # Create Data Stream:
    hist_start_date = datetime.utcnow() - timedelta(minutes=60)
    data_min = bt.feeds.CCXT(exchange="kraken", symbol="BTC/USD", name="btc_usd_min", fromdate=hist_start_date,
                             timeframe=bt.TimeFrame.Minutes)
    
    # Create Cerebro Entity
    cerebro = bt.Cerebro()
    cerebro.adddata(data_min)
    cerebro.addstrategy(TestStrategy)
    cerebro.run()
    cerebro.plot()

backtrader

@Thomas-Fischer said in Crypto Trading Bot for Kraken:

def next(self):
    if not self.position:  # not in the market
        if self.crossover > 0:  # if fast crosses slow to the upside
            self.buy()  # enter long

    elif self.crossover < 0:  # in the market & cross to the downside
        self.close()  # close long position

Let me suggest that you add some logging there ... (a couple print statements will suffice). What you will probably see is nothing and that's why there is no plotting. One will then be able to conclude that no data is being downloaded.

You can easily check if your code plots by switching to, for example, a csv-based data feed.

Thomas Fischer

@backtrader Hello, thank you for looking into this.

If I do something stupid like:

# Create data feeds
try:
    hist_start_date = datetime.utcnow() - timedelta(minutes=3)
    data_min = bt.feeds.CCXT(exchange="kraken", symbol="BTC/USD", name="btc_usd_min",
                         timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date, compression=1,
                         config={'rateLimit': 10000, 'enableRateLimit': True}) #, historical=True)


# data_min=bt.feeds.YahooFinanceData(dataname='MSFT',fromdate=datetime(2011,1,1),todate=datetime(2012,12,31))

    cerebro.adddata(data_min)
    print (data_min)
    cerebro.addstrategy(SmaCross)
    cerebro.run()
    cerebro.plot()

except Exception as e:
    logging.error("Exeption", exc_info=True)

I get:

<backtrader.feeds.ccxt.CCXT object at 0x00000183FB3C3C88>

Even with the Yahoo Feed it is not trading, but it is plotting the chart at least.
I have the guts feeling the data needs to be formatted.

Thomas Fischer

backtrader

@Thomas-Fischer said in Crypto Trading Bot for Kraken:

Even with the Yahoo Feed it is not trading, but it is plotting the chart at least.

Sorry, but the chart you show, has clearly trades on it.

@Thomas-Fischer said in Crypto Trading Bot for Kraken:

    print (data_min)

Nobody said you have to print an object.

@backtrader said in Crypto Trading Bot for Kraken:

@Thomas-Fischer said in Crypto Trading Bot for Kraken:
def next(self):
   if not self.position:  # not in the market
       if self.crossover > 0:  # if fast crosses slow to the upside
           self.buy()  # enter long

   elif self.crossover < 0:  # in the market & cross to the downside
       self.close()  # close long position 
Let me suggest that you add some logging there ... (a couple print statements will suffice)

You put the print statements there in the next method, to log things like the close price (please see the Quickstart Guide Docs - Quickstart - https://www.backtrader.com/docu/quickstart/quickstart/) as in print(self.data.close[0])

The fact that the Yahoo data feed "plots" is a very clear indication that your attempt with the other feed delivers no data points at all.

Thomas Fischer

@backtrader Thank you very much for the advice! I will have a closer look.

Wayne Filkins 0

Did you ever finish this? I'm wanting to combine backtrader with Kraken so please let me know if it worked and if it's open source.

rajanprabu

Have a look here..
https://github.com/Dave-Vallance/bt-ccxt-store/blob/master/samples/kraken-example.py

There is a sample script for kraken.