How replay data with live binance ticks?

banian

I want to receive updates inside OHLC data. I get live binance ticks using https://github.com/Dave-Vallance/bt-ccxt-store And when try to replay it to every 10 seconds get this error:

ValueError: backtrader CCXT module doesn't support fetching OHLCV data for time frame Seconds, comression 10

When i try to use minutes timeframe it work like resample and get data every minute, not every ticks.

How i can replay live ticks data?

This is my code:

Strategy

class TestSt(bt.Strategy):
    data_live = False

    def __init__(self):
        self.open = self.data.open
        self.high = self.data.high
        self.low = self.data.low
        self.close = self.data.close
        self.volume = self.data.volume
        self.date = self.data.datetime
        self.order = None

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        try:
            dt = dt or self.date[0]
        except Exception as e:
            dt = datetime.datetime.utcnow()
        if isinstance(dt, float):
            dt = bt.num2date(dt)
        logger.debug(f'{dt.isoformat()} {txt}')
    
    def notify_data(self, data, status, *args, **kwargs):
        self.log(f'data notif: {data._getstatusname(status)}')
        if status == data.LIVE:
            self.data_live = True

    def next(self):
        if self.data_live:
            self.log(
                f'{len(self)} '
                f'{self.open[0]:.2f} ' 
                f'{self.high[0]:.2f} '
                f'{self.low[0]:.2f} '
                f'{self.close[0]:.2f} '
                f'{self.volume[0]:.2f} '
                # f'{self.range[0]:.2f} '
            )

    base = 'ETH'
    quote = 'USDT'

    logger.add('trading.logs')

    cerebro = bt.Cerebro(quicknotify=True)

    broker_config = {
            'apiKey': api_key,
            'secret': api_secret,
            'nonce': lambda: str(int(time.time() * 1000)),
            'enableRateLimit': True,
        }

    store = CCXTStore(exchange='binance', currency=quote, config=broker_config, retries=5, debug=False)

    broker_mapping = {
        'order_types': {
            bt.Order.Market: 'market',
            bt.Order.Limit: 'limit',
            bt.Order.Stop: 'stop-loss',
            bt.Order.StopLimit: 'stop limit'
        },
        'mappings': {
            'closed_order': {
                'key': 'status',
                'value': 'closed'
            },
            'canceled_order': {
                'key': 'status',
                'value': 'canceled'
            }
        }
    }

    broker = store.getbroker(broker_mapping=broker_mapping)
    cerebro.setbroker(broker)

    # hist_start_date = dt.datetime.utcnow() - dt.timedelta(minutes=1)
    data = store.getdata(
        dataname=base+'/'+quote,
        name=base+quote,
        timeframe=bt.TimeFrame.Ticks,
        # fromdate=dt.datetime.utcnow(),
        # compression=1,
        # ohlcv_limit=99999
    )

    # cerebro.adddata(data)
    cerebro.replaydata(data, timeframe=bt.TimeFrame.Seconds, compression=10)
    # cerebro.resampledata(datafeed, timeframe=bt.TimeFrame.Seconds, compression=3)

    cerebro.addsizer(bt.sizers.PercentSizer, percents=1)
    # cerebro.addstrategy(Donald, prev_day_pct=300, stop_days=2, logs=True)
    cerebro.addstrategy(TestSt)

    logger.info(f'{quote} balance {cerebro.broker.getvalue()}')

    cerebro.run()

Output when use cerebro.adddata(data):

2021-08-11 14:20:32.633 | INFO     | __main__:<module>:76 - USDT balance 111.71465204
2021-08-11 14:20:32.636 | DEBUG    | testst:log:28 - 2021-08-11T11:20:32.636576 data notif: LIVE
2021-08-11 14:20:34.105 | DEBUG    | testst:log:28 - 2021-08-11T11:19:14.066998 1 3233.47 3233.47 3233.47 3233.47 0.50 
2021-08-11 14:20:35.442 | DEBUG    | testst:log:28 - 2021-08-11T11:19:14.071997 2 3233.47 3233.47 3233.47 3233.47 0.50 
2021-08-11 14:20:36.350 | DEBUG    | testst:log:28 - 2021-08-11T11:19:14.275003 3 3233.72 3233.72 3233.72 3233.72 0.08 
2021-08-11 14:20:37.277 | DEBUG    | testst:log:28 - 2021-08-11T11:19:14.321996 4 3233.73 3233.73 3233.73 3233.73 0.06

Looks like ticks but not for now. Why?

output when use resample data
cerebro.replaydata(data, timeframe=bt.TimeFrame.Seconds, compression=10):

Traceback (most recent call last):
  File "02-binance-ccxt.py", line 78, in <module>
    cerebro.run()
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/backtrader/cerebro.py", line 1542, in _runnext
    drets.append(d.next(ticks=False))
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/backtrader/feed.py", line 407, in next
    ret = self.load()
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/backtrader/feed.py", line 479, in load
    _loadret = self._load()
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/ccxtbt/ccxtfeed.py", line 111, in _load
    self._fetch_ohlcv()
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/ccxtbt/ccxtfeed.py", line 135, in _fetch_ohlcv
    granularity = self.store.get_granularity(self._timeframe, self._compression)
  File "/Users/dm/opt/anaconda3/lib/python3.7/site-packages/ccxtbt/ccxtstore.py", line 129, in get_granularity
    (bt.TimeFrame.getname(timeframe, compression), compression))
ValueError: backtrader CCXT module doesn't support fetching OHLCV data for time frame Seconds, comression 10

why it try use ccxt for fetching ohlc?

output when use replaydata with minutes timeframe
cerebro.replaydata(data, timeframe=bt.TimeFrame.Minutes, compression=1):

2021-08-11 14:27:22.954 | INFO     | __main__:<module>:76 - USDT balance 111.71465204
2021-08-11 14:27:22.956 | DEBUG    | testst:log:28 - 2021-08-11T11:27:22.956767 data notif: LIVE
2021-08-11 14:27:24.685 | DEBUG    | testst:log:28 - 2021-08-11T11:08:00 1 3237.39 3240.70 3235.10 3235.51 675.82 
2021-08-11 14:27:25.499 | DEBUG    | testst:log:28 - 2021-08-11T11:09:00 2 3235.51 3236.12 3231.81 3232.79 222.11 
2021-08-11 14:27:26.323 | DEBUG    | testst:log:28 - 2021-08-11T11:10:00 3 3232.78 3234.36 3231.82 3233.22 208.32 
2021-08-11 14:27:27.150 | DEBUG    | testst:log:28 - 2021-08-11T11:11:00 4 3233.22 3234.35 3230.75 3230.93 155.17 
2021-08-11 14:27:28.064 | DEBUG    | testst:log:28 - 2021-08-11T11:12:00 5 3230.94 3233.26 3229.30 3232.47 385.39 
2021-08-11 14:27:28.869 | DEBUG    | testst:log:28 - 2021-08-11T11:13:00 6 3232.46 3234.41 3231.45 3233.47 207.92 
2021-08-11 14:27:29.686 | DEBUG    | testst:log:28 - 2021-08-11T11:14:00 7 3233.47 3233.60 3231.22 3233.03 145.63 
2021-08-11 14:27:30.521 | DEBUG    | testst:log:28 - 2021-08-11T11:15:00 8 3233.03 3233.04 3229.10 3230.45 342.59 
2021-08-11 14:27:31.443 | DEBUG    | testst:log:28 - 2021-08-11T11:16:00 9 3230.46 3234.64 3227.51 3234.39 386.75 
2021-08-11 14:27:32.250 | DEBUG    | testst:log:28 - 2021-08-11T11:17:00 10 3234.44 3240.78 3234.43 3238.38 572.22 
2021-08-11 14:27:33.081 | DEBUG    | testst:log:28 - 2021-08-11T11:18:00 11 3238.38 3238.38 3235.33 3236.61 265.52 
2021-08-11 14:27:33.902 | DEBUG    | testst:log:28 - 2021-08-11T11:19:00 12 3236.62 3236.62 3231.91 3234.48 185.72 
2021-08-11 14:27:34.719 | DEBUG    | testst:log:28 - 2021-08-11T11:20:00 13 3234.48 3237.69 3234.08 3235.98 528.40 
2021-08-11 14:27:36.051 | DEBUG    | testst:log:28 - 2021-08-11T11:21:00 14 3235.96 3240.57 3235.95 3238.66 395.24 
2021-08-11 14:27:36.857 | DEBUG    | testst:log:28 - 2021-08-11T11:22:00 15 3238.66 3240.00 3236.03 3236.10 417.97 
2021-08-11 14:27:37.664 | DEBUG    | testst:log:28 - 2021-08-11T11:23:00 16 3236.10 3238.66 3235.00 3235.00 485.24 
2021-08-11 14:27:38.508 | DEBUG    | testst:log:28 - 2021-08-11T11:24:00 17 3235.00 3236.69 3232.47 3235.02 322.88 
2021-08-11 14:27:39.431 | DEBUG    | testst:log:28 - 2021-08-11T11:25:00 18 3235.02 3236.66 3229.61 3229.79 345.73 
2021-08-11 14:27:40.244 | DEBUG    | testst:log:28 - 2021-08-11T11:26:00 19 3229.70 3233.24 3229.55 3231.52 327.90 
2021-08-11 14:27:41.057 | DEBUG    | testst:log:28 - 2021-08-11T11:27:00 20 3231.52 3232.18 3230.15 3230.94 143.55

why data received not from now?

Vincent 0

@banian Hi, Have you resolve this probelm?

vladisld

@banian It seems to be a limitation of bt-ccxt-store store. Did you try to open an issue in Dave's repository (https://github.com/Dave-Vallance/bt-ccxt-store/issues) ?