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.

[nooby_mcnoob]

I tried to resolve this issue by walking recursively down the object tree rooted at cerebro and setting all lock types to None. Didn't work, still found a lock somewhere.