Prevent live trading during "warm up" period

joeyy

Hey all!
I've setup a strategy which seem to work alright and I've run simulations using backtrader and would now like to use it for live trading too.
The problem is that if I let it run for several candles to "warm up" the strategy, it will get buy/sell signals and try to execute trades on these historical candles. The reason being is that for instance for a 1 day candle and a 21 EMA I don't have to wait a few weeks to get a signal.
Is there a way to run it's "warm up" period and only make trades when it makes it to the ***** DATA NOTIF: LIVE period ?

I've run it using these two CCXT implementations, one by Dave-Vallance
and the other by Ed Bartosh':

from_date = datetime.utcnow() - timedelta(days=1)
data_ticks = bt.feeds.CCXT(
        exchange='binance',
        symbol='BTC/USDT',
        timeframe=bt.TimeFrame.Minutes,
        config={'rateLimit': 1000, 'enableRateLimit': True},
        fromdate=from_date,
        compression=5
    )

store = CCXTStore(exchange='binance', currency='USDT', config={
                      'rateLimit': 1000, 'enableRateLimit': True}, retries=5, debug=False)

    hist_start_date = datetime.utcnow() - timedelta(days=3)
    data_ticks = store.getdata(dataname='BTC/USDT',
                               name="BTCUSDT",
                               timeframe=bt.TimeFrame.Minutes,
                               fromdate=hist_start_date,
                               compression=60,
                               ohlcv_limit=500,
                               drop_newest=True)

thanks in advance!

rajanprabu

hi @joeyy

I haven't used CCXT feed but IBKR one, but logic should be the same. You need to have a condition for your code to test if your data is live or not. And take trades only when live data coming through and not during backfilling.

if self.datastatus and awesome_secret_code :
          self.buy()

joeyy

thanks for the quick reply. I'm indeed looking for a flag that will tell me if it's a live, delayed or simulated trade.
Unfortunately self.datastatus doesn't seem to work

 def next(self):
        print(self.datastatus)

I'm getting a

AttributeError: 'Lines_LineSeries_LineIterator_DataAccessor_Strateg' object has no attribute 'datastatus'

joeyy

i think I got it, I can do something like this

def notify_data(self, data, status, *args, **kwargs):
    print('*' * 5, 'DATA NOTIF:', data._getstatusname(status))
    if status == data.LIVE:
        self.datastatus = 1
    else:
        self.datastatus = 0

and then use it in your next example.
awesome, thanks!