Exception has occurred: ValueError day is out of range for month File "F:\IBBackTradeLiveDataEx.py", line 165, in <module> cerebro.run()

Ravi Vidap

Getting above error. Trying to replay data, higherTF=Daily, LowerTimeFrame=5 min
Code below:

from future import absolute_import, division, print_function, unicode_literals
import backtrader as bt
from backtrader import Order
import matplotlib as plt
import datetime
import pytz
import ta

cerebro = bt.Cerebro()
store = bt.stores.IBStore(host="127.0.0.1", port=7496, clientId= 4)
cerebro.addstrategy(IntraTrendStrategy)
stockkwargs = dict(
timeframe=bt.TimeFrame.Minutes,
compression=5,
rtbar=False, # use RealTime 5 seconds bars
historical=True, # only historical download
qcheck=0.5, # timeout in seconds (float) to check for events
fromdate=datetime.datetime(2020, 1, 1), # get data from..
todate=datetime.datetime(2020, 9, 20), # get data from..
latethrough=False, # let late samples through
tradename=None, # use a different asset as order target
tz="Asia/Kolkata"
)

data0 = store.getdata(dataname="TCS-STK-NSE-INR", **stockkwargs)
cerebro.replaydata(data0, timeframe=bt.TimeFrame.Days, compression=1)
cerebro.broker.setcash(100000.0)
cerebro.broker.setcommission(commission=0.001)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

cerebro.run()

print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

vladisld

Seems to be an embarrassing bug in the way the IBStore calculates the minimal possible number of historical requests.

BTW it doesn't crash if you just use the different fromdate like datetime(2020,1,2) for example.

The problem is with the following code in IBStore.py:

    def dt_plus_duration(self, dt, duration):
        size, dim = duration.split()
        size = int(size)
        if dim == 'S':
            return dt + timedelta(seconds=size)

        if dim == 'D':
            return dt + timedelta(days=size)

        if dim == 'W':
            return dt + timedelta(days=size * 7)

        if dim == 'M':
            month = dt.month - 1 + size  # -1 to make it 0 based, readd below
            years, month = divmod(month, 12)
            try:
                return dt.replace(year=dt.year + years, month=month + 1)  # <=-- the bug is here
            except:
                pass

        if dim == 'Y':
            return dt.replace(year=dt.year + size)

        return dt  # could do nothing with it ... return it intact

It's plain wrong to replace the month of the date without taking care of the day of the month. In our case the date '2019.12.31' was replaced with '2020.02.31' which is definitely wrong.

vladisld

New issue submitted: https://github.com/backtrader2/backtrader/issues/41

Ravi Vidap

Thank you!