When I run the following code, it's OK.

    hist_start_date = datetime.utcnow() - timedelta(minutes=750)
    data = store.getdata(dataname='ETH/USD', name="eth_usd_min",
                 timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date,
                 ohlcv_limit=750, compression=1)

Then run the following code without any errors and stop

          hist_start_date = datetime.utcnow() - timedelta(minutes=750)    
          data = store.getdata(dataname='ETH/USD', name="eth_usd_min",
                     timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date,
                     ohlcv_limit=750, compression=5)

The following figure shows that if Hull Moving Average is not applied and EMA is adopted, there will be no problem at all, or Hull Moving Average is used, but compression must be set to 1. Why? Thank you very much for your reply.

@backtrader
Sorry, I may not have described the problem clearly.

class TestStrategy(bt.Strategy):
params = (('pfast', 40), ('pslow', 150),)

def __init__(self):
    # To keep track of pending orders and buy price/commission
    self.is_order = None
    self.trader_price = None
    self.risk = 0.05  # risk 10%
    self.stop_dist = 0.02  # stoploss distance 5%
    self.next_runs = 0

    self.dataclose = self.datas[0].close
    self.datavolume = self.datas[0].volume

    self.pfast = bt.indicators.HullMovingAverage(period=self.p.pfast)
    self.pslow = bt.indicators.HullMovingAverage(period=self.p.pslow)

def start(self):
    self.counter = 0
    print('START')

def prenext(self):
    self.counter += 1

def next(self):
    if self.live_data:
        cash = cerebro.broker.getcash()
        if isinstance(cash, str):
            print("*****  get cash is faild *****")
            return

        qty = 20  # math.ceil((cash * self.risk * 5000 * 100) / (self.data.close[0]))
        print(bt.num2date(self.datetime[0]), "cash=", cash, "size=", qty, "close=", self.data.close[0],
              "=", (self.data.close[0] > self.pfast and self.data.close[0] > self.pslow ),
              "=", (self.data.close[0] < self.pfast and self.data.close[0] < self.pslow ))
        if self.is_order == None and (
                self.data.close[0] > self.pfast and self.data.close[0] > self.pslow):
            stop_price = round(self.data.close[0] * (1 - self.stop_dist))
            qty = 20  # math.ceil((cash * self.risk * 5000 * 100) / (self.data.close[0]))
            print(" price=", self.data.close[0], "size=", qty)
            try:
                self.buy(size=qty, exectype=bt.Order.Market)
            except IndexError:
                time.sleep(100)
                self.buy(size=qty, exectype=bt.Order.Market)

            time.sleep(100)
            try:
                self.sell(exectype=bt.Order.StopLimit, stopPrice=stop_price, price=stop_price,
                          size=qty)
            except IndexError:
                time.sleep(100)
                self.sell(exectype=bt.Order.StopLimit, stopPrice=stop_price, price=stop_price,
                          size=qty)
            self.trader_price = self.data.close[0]
            self.is_order = 'D'
            # print("-", self.data.close[0])

        if self.is_order == None and (
                self.data.close[0] < self.pfast and self.data.close[0] < self.pslow ):
            stop_price = round(self.data.close[0] * (1 + self.stop_dist))
            qty = 20  # math.ceil((cash * self.risk * 5000 * 100) / (self.data.close[0]))
            print(" price=", self.data.close[0], "size=", qty)
            try:
                self.sell(size=qty, exectype=bt.Order.Market)
            except IndexError:
                time.sleep(100)
                self.sell(size=qty, exectype=bt.Order.Market)
            time.sleep(100)
            try:
                self.buy(exectype=bt.Order.StopLimit, stopPrice=stop_price, price=stop_price,
                         size=qty)
            except IndexError:
                time.sleep(100)
                self.buy(exectype=bt.Order.StopLimit, stopPrice=stop_price, price=stop_price,
                         size=qty)
            self.trader_price = self.data.close[0]
            self.is_order = 'K'
        if self.is_order == 'D' and (self.data.close[0] > self.pfast and self.data.close[0] > self.pslow ):
            return
        elif self.is_order == 'D' and (self.data.close[0] < self.pfast):
            try:
                self.sell(size=qty, exectype=bt.Order.Market)
                print(" price=", self.data.close[0], "size=", qty, "npl=",
                      self.data.close[0] - self.trader_price)
            except IndexError:
                time.sleep(100)
                self.sell(size=qty, exectype=bt.Order.Market)
                print(" price=", self.data.close[0], "size=", qty, "npl=",
                      self.data.close[0] - self.trader_price)
            finally:
                self.is_order = None
                print('Stopping Backtrader')
                self.env.runstop()

        if self.is_order == 'K' and (self.data.close[0] < self.pfast and self.data.close[0] < self.pslow ):
            # logging.info(bt.num2date(self.datetime[0]), "pass", self.data.close[0])
            return
        elif self.is_order == 'K' and (self.data.close[0] > self.pfast):
            try:
                self.buy(size=qty, exectype=bt.Order.Market)
                print(" price=", self.data.close[0], "size=", qty, "npl=",
                      self.trader_price - self.data.close[0])
            except IndexError:
                time.sleep(100)
                self.buy(size=qty, exectype=bt.Order.Market)
                print(" price=", self.data.close[0], "size=", qty, "npl=",
                      self.trader_price - self.data.close[0])
            finally:
                self.is_order = None
                print('Stopping Backtrader')
                self.env.runstop()

def notify_data(self, data, status, *args, **kwargs):
    dn = data._name
    dt = datetime.now()
    msg = 'Data Status: {}, Order Status: {}'.format(data._getstatusname(status), status)
    print(dt, dn, msg)
    if data._getstatusname(status) == 'LIVE':
        self.live_data = True
    else:
        self.live_data = False

@backtrader
If compression = 5 does not execute,
If compression = 1 can be executed, why is that?

My backtrader version is 1.9.66.122

When testing back, it can be operated. When trading on bitmex line, it will not be executed.

params = (('pfast', 40), ('pslow', 200),)

def __init__(self):
    # To keep track of pending orders and buy price/commission
    self.is_order = None
    self.trader_price = None
    self.risk = 0.05  # risk 10%
    self.stop_dist = 0.02  # stoploss distance 5%
    self.next_runs = 0

    self.dataclose = self.datas[0].close
    self.datavolume = self.datas[0].volume


    self.pfast = bt.indicators.HullMovingAverage(period=self.p.pfast)

    self.pslow = bt.indicators.HullMovingAverage(period=self.p.pslow)

Thank you very much. It's very helpful.

Hi guys,

Does anyone know how to send buy orders to Binance successfully?

Streaming prices from Binance works like a charm but for some reason Binance does not seem to do anything with my private API, required for sending orders.

No one has ever met such a good question? How to solve this problem?

How to Set Leverage of BitMex Futures Exchange？