Optimizing Strategy with IBStore data returns pickle error

d416

I'm not sure if I'm doing this correctly: Trying the Quickstart code with Optimization and using Interactive Brokers IBStore data, I get

File "C:\Program Files\Anaconda2\lib\multiprocessing\pool.py", line 668, in next
raise value TypeError: can't pickle thread.lock objects

Full code is below. Am I doing something wrong? Maybe it's my environment (windows with Anaconda). I haven't been able to find any similar issues in the discussion threads.

from __future__ import (absolute_import, division, print_function,
						unicode_literals)
						# -*- coding: utf-8 -*-

import backtrader as bt
import datetime # for datetime objects
import os.path # to manage paths
from backtrader.stores import ibstore
# import sys # to detrmine the script name in argv[0]

# -----  STRATEGY DEFINITION -----


class TestStrategy(bt.Strategy):
	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):
		# Keep a reference to the "close" line in the data[0] dataseries
		self.dataclose = self.datas[0].close

		# To keep track of pending orders and buy price/commission                        
		self.order = None
		self.buyprice = None
		self.buycomm = None
		
		
	def notify(self, order):
		if order.status in [order.Submitted, order.Accepted]:
			# Buy/Sell order submitted/accepted to/by broker - Nothing to do
			return

		# Check if an order has been completed
		# Attention: broker could reject order if not enougth cash
		if order.status in [order.Completed, order.Canceled, order.Margin]:
			if order.isbuy():
				self.log('BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
				(order.executed.price,
				 order.executed.value,
				 order.executed.comm))
				self.buyprice = order.executed.price
				self.buycomm = order.executed.comm
			else:  #Sell
				self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
				(order.executed.price,
				 order.executed.value,
				 order.executed.comm))
				 
			self.bar_executed = len(self)
		
		# Write down: no pending order
		self.order = None
		
	def notify_trade(self, trade):
		if not trade.isclosed:
			return
				  
		self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
			(trade.pnl, trade.pnlcomm))
		
		
	def next(self):
		# Simply log the closing price of the series from the reference
		self.log('Close, %.2f' % self.dataclose[0])
		# Check if an order is pending ... if yes, we cannot send a 2nd one
		if self.order:
			return
		# Check if we are in the market
		if not self.position:
			# Not yet ... we MIGHT BUY if ...
		# -------  STRATEGY LOGIC -----
			if self.dataclose[0] < self.dataclose[-1]:
				#i.e. current close less than previous close
				if self.dataclose[-1] < self.dataclose[-2]:
					
					# buy with default params
					self.log('BUY CREATE, %.2f' % self.dataclose[0])                 
					# Keep track of the created order to avoid a 2nd order
					self.order = self.buy()
		else:
			# Already in the market... we might sell if holding > 5 bars
			if len(self) > (self.bar_executed + 5):
				# SELL, SELL, SELL!!! (with all possible default parameters)
				self.log('SELL CREATE, %.2f' % self.dataclose[0])
			# Keep track of the created order to avoid a 2nd order
				self.order = self.sell()
			
# -----  END STRATEGY DEFINITION -----
					
				
if __name__ == '__main__':
	# create a cerebro entity
	cerebro = bt.Cerebro()
	
	# Add a strategy
  
	cerebro.optstrategy(
		TestStrategy,
		maperiod=range(10, 31))
  
	
# Create a Data Feed
	ibstore = bt.stores.IBStore(host='127.0.0.1',port=7496,clientId=5)
	mysymbol = 'EUR.USD-CASH-IDEALPRO'
	fromdate = datetime.datetime(2016,3,1,00,00)
	todate = fromdate = datetime.datetime(2017,3,30,00,00)

	data = ibstore.getdata(dataname=mysymbol, timeframe=bt.TimeFrame.Days, compression=1, fromdate=fromdate, todate=todate, historical=True)

#    cerebro.resampledata(data, timeframe=bt.TimeFrame.minutes, compression=60)
	
	# Add the Data Feed to Cerebro
	cerebro.adddata(data)
	
	
	cerebro.broker.setcash(100000)
	cerebro.broker.setcommission(commission=0.001) # 0.1% ... divide by 100 to remove the %
	
	print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
	
	cerebro.run()
	
	print('Final Portfolio Value:  %.2f' % cerebro.broker.getvalue())

d416

Solved: adding the 'maxcpus=1' parameter to the cerebro call worked

ie.:

cerebro = bt.Cerebro(maxcpus=1)

Not sure why this is... perhaps because of the way data requests to IB are split into tasks.

backtrader

Threads are part of the pack when using IbPy and they are not pickable across processes. A lot of tweaking might be needed to remove all those objects after a historical download.