I seem to have some problems when I trade with CCXT

[kemoduodejuxi]

This code is correct when doing a backtest.But when I pass in real-time data from CCXT, I get an error.I used the CCXT branch of backtrader.By the way, how to set the leverage ratio for Bitmex in this branch.Thx.

class HFT(bt.Strategy):
    params = (
        ('highest_high', 20), 
        ('StdDev', 100),  
    )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.dataclose = self.datas[0].close
        self.datavolume = self.datas[0].volume
        self.datalow = self.datas[0].low
        self.sma_veryfast = btind.MovingAverageSimple(self.dataclose, period=10)
        self.sma_fast = btind.MovingAverageSimple(self.dataclose, period=20)
        self.sma_mid = btind.MovingAverageSimple(self.dataclose, period=50)
        self.sma_slow = btind.MovingAverageSimple(self.dataclose, period=100)
        self.sma_veryslow = btind.MovingAverageSimple(self.dataclose, period=200)

        # BollingerBandsWidth = upperband - lowerband/middleband.
        self.bbw = BollingerBandsW()
        self.boll = btind.BollingerBands()
        self.std = btind.StdDev(self.bbw.l.bbw, period=self.params.StdDev)
        self.lines_bbw = (self.boll.l.top - self.boll.l.bot) / self.boll.l.mid

        self.volatility_level = VolatilityLevel()
        self.low_volatility_level = self.volatility_level.l.VLI_fast < self.volatility_level.l.VLI_slow
        self.high_volatility_level = self.volatility_level.l.VLI_fast > self.volatility_level.l.VLI_slow
        self.extreme_volatility_level = self.bbw.l.bbw > self.volatility_level.l.VLI_top
        self.vol_condition = (btind.MovingAverageSimple(self.datavolume, period=10) >
                              btind.MovingAverageSimple(self.datavolume, period=50))
        self.crossdown_boll_top = bt.ind.CrossDown(self.dataclose, self.boll.top)
        self.crossup_boll_bot = bt.ind.CrossUp(self.dataclose, self.boll.bot)

        self.highest_high = btind.Highest(self.dataclose, period=self.params.highest_high)
        self.low_of_last_candle = self.datalow[0]
        self.close_of_price = self.dataclose[0]# IndexError: array index out of range
        self.stop_win = None
        self.stop_loss = None
        self.order = None

......
if __name__ == '__main__':
    cerebro = bt.Cerebro()
    hist_start_date = datetime.utcnow() - timedelta(minutes=10)
    cerebro = bt.Cerebro()

    broker_config = {
        # 'verbose': True,
        'apiKey': 'xxxx',
        'secret': "xxx"
    }
    broker = bt.brokers.CCXTBroker(exchange='bitmex', currency='BTC/USD', config=broker_config)
    cerebro.setbroker(broker)

    hist_start_date = datetime.utcnow() - timedelta(minutes=15)
    data = bt.feeds.CCXT(
        exchange='bitmex',
        symbol='BTC/USD',
        timeframe=bt.TimeFrame.Minutes,
        fromdate=hist_start_date,
        historical='False',
        )

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)
    cerebro.addstrategy(HFT)
    cerebro.run()

Traceback (most recent call last):
  File "C:/Users/Administrator/PycharmProjects/this/bitmex_HFT.py", line 201, in <module>
    cerebro.run()
  File "C:\ProgramData\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\ProgramData\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1217, in runstrategies
    strat = stratcls(*sargs, **skwargs)
  File "C:\ProgramData\Anaconda3\lib\site-packages\backtrader\metabase.py", line 88, in __call__
    _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
  File "C:\ProgramData\Anaconda3\lib\site-packages\backtrader\metabase.py", line 78, in doinit
    _obj.__init__(*args, **kwargs)
  File "C:/Users/Administrator/PycharmProjects/this/bitmex_HFT.py", line 89, in __init__
    self.low_of_last_candle = self.datalow[0]
  File "C:\ProgramData\Anaconda3\lib\site-packages\backtrader\linebuffer.py", line 163, in __getitem__
    return self.array[self.idx + ago]
IndexError: array index out of range

[vladisld]

@kemoduodejuxi said in I seem to have some problems when I trade with CCXT:

self.low_of_last_candle = self.datalow[0]

You are trying to access the datafeed's data in your __init__ method. The datafeed will have no data loaded at this point.

Please see the following docs: https://www.backtrader.com/docu/concepts/#lines-delayed-indexing