3. Is backtrader event driven or vectorized?
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Is backtrader event driven or vectorized?

  • T

    Sorry for the complete noob question. I am new to backtrader, but it looks promising

    0
  • B
    administrators

    backtrader takes a dual approach to the problem. This is controlled with the runonce (boolean) parameter to either a instantiation of Cerebro or to cerebro.run like in

    The default is runonce=True

    cerebro = Cerebro(runonce=True)  # or False

    or

    cerebro = Cerebro()
...
...
cerebro.run(runonce=True)  # or False

    1. runonce=True

    This could be called a pseudo-vectorized of half-vectorized approach. Built-in operations feature a once method which calculate things in batch mode in a tight inner loop.

    • Data feeds are fully pre-loaded

    • Indicators (and sub-indicators thereof) are pre-calculated in batch-mode

    • Then, the Strategy instance(s) are run step-by-step

    Being the goal to offer an increase in speed, but still allow for fine grained logic in the next method of the strategy

    Rough calculations indicate that it is somehow between 20-30% than runonce=False

    Drawback: Because indicators are precalculated (and therefore the buffers are preallocated), the data synchronization mechanism cannot pause the actual movement of a data feed when synchronizing the timestamps for the strategy, keeping the buffers to the final same length. This has no actual impact for backtesting but because matplotlib expects all things to have the same x length for plotting, it may not be possible to create a plot of the backtesting.

    Drawback 2: The implementation of this mode prevented that some indicators can be fully defined in recursive terms with a single formula. A choice had to be made between having this or having the recursive formulas.

    Nice Thing: If a user implements a custom Indicator and only provides a next method (intented for step-by-step, see below), the code automatically detects it and will still pre-calculate the indicator using the next method instead of the missing once method. The calculation loop will not be so tight as it could be, but users don't have to worry about implementing once

    2. runonce=False

    This is a 100% step-by-step mode. Also named next because only the next method of the different indicators, strategies et al., play a role.

    Everything is calculated one step at a time. The reason being the addition of data feeds which would be providing the data points one step at a time (not necessarily live feeds, it could have been reading out of a socket from a database connection).

    If cerebro is run with preload=False (disable the preloading of data feeds) it will switch to this mode.

    1