Alpha Vantage

Aill3urs 2019

Hello
In this code i try to import data from alpha vantage but look like doesn't work

Thanks for your help

from alpha_vantage.timeseries import TimeSeries
import backtrader as bt

Create a subclass of Strategy to define the indicators and logic

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

cerebro = bt.Cerebro() # create a "Cerebro" engine instance

Create a data feed

#data = bt.feeds.YahooFinanceData(dataname='MSFT', fromdate=datetime(2011, 1, 1), todate=datetime(2012, 12, 31))
ts = TimeSeries(key='MYKEY', output_format='pandas')
data, meta_data = ts.get_intraday(symbol='MSF',interval='1min', outputsize='full')

cerebro.adddata(data) # Add the data feed

cerebro.addstrategy(SmaCross) # Add the trading strategy
cerebro.run() # run it all
cerebro.plot() # and plot it with a single command

Aill3urs 2019

@Aill3urs-2019 My errors

File "/xxxxxx/Trading001/Entrainement_Data_Ok.py", line 64, in <module>
cerebro.adddata(data) # Add the data feed

File "/xxxxxx/site-packages/backtrader/cerebro.py", line 758, in adddata
data.setenvironment(self)

File "/xxxxx/site-packages/pandas/core/generic.py", line 5274, in getattr
return object.getattribute(self, name)

AttributeError: 'DataFrame' object has no attribute 'setenvironment'

ab_trader

Please read the statement about using backticks on top of the page and repost your code. Hard to understand your code right now. Seems you are not providing data in the format of the backtrader.

Aill3urs 2019

oops sorry, here is the code

from alpha_vantage.timeseries import TimeSeries
import backtrader as bt

# Create a subclass of Strategy to define the indicators and logic

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


cerebro = bt.Cerebro() 

ts = TimeSeries(key='MYKEY', output_format='pandas')
data = ts.get_intraday(symbol='BTCUSD',interval='1min', outputsize='full')
print(data)
cerebro.adddata(data)  # Add the data feed

cerebro.addstrategy(SmaCross)  # Add the trading strategy
cerebro.run()  # run it all
cerebro.plot()  # and plot it with a single command

vladisld

Not familiar with alpha_vantage API, but it seems that ts.get_intraday method just returns the Panda's DataFrame which can't be directly consumed by cerebro.adddata.

You probably need to wrap it using bt.PandasData. Please take a look at the following blog post for more info: https://www.backtrader.com/blog/posts/2015-08-21-pandas-datafeed/pandas-datafeed/

Aill3urs 2019

Thanks for your answer.
Where do you get data ?

ThatBlokeDave

@Aill3urs-2019

You might find this post useful. A template for working with Alpha Vantage

https://backtest-rookies.com/2019/01/04/backtrader-alpha-vantage-data-direct-ingest/

Aill3urs 2019

Thanks i try it but no result at all :-)
Ouput nothing :-)

ThatBlokeDave

@Aill3urs-2019

Did you follow the article? I.e. add your api keys etc? Did you change anything e.g. tickers?

Whatever, it did output you could post here along with details of anything you changed.