Backtrader Community

KLearner1

@run-out thanks! this is already useful, I am going to check the repo

KLearner1

Guys I am trying binance testnet, this my code

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import backtrader as bt
from ccxtbt import CCXTStore
from datetime import datetime, timedelta



class St(bt.Strategy):
    params = (
        # Standard MACD Parameters
        ('macd1', 12),
        ('macd2', 26),
        ('macdsig', 9),
        ('atrperiod', 14),  # ATR Period (standard)
        ('atrdist', 3.0),  # ATR distance for stop price
        ('smaperiod', 30),  # SMA Period (pretty standard)
        ('dirperiod', 10),  # Lookback period to consider SMA trend direction
    )

    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.datetime(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def notify_data(self, data, status):
        dn = data._name
        dt = datetime.utcnow()
        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

    def notify_order(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 enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY EXECUTED, %.2f' % order.executed.price)
            elif order.issell():
                self.log('SELL EXECUTED, %.2f' % order.executed.price)

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        # Write down: no pending order
        self.order = None

    def __init__(self):
        self.macd = bt.indicators.MACD(self.data,
                                       period_me1=self.p.macd1,
                                       period_me2=self.p.macd2,
                                       period_signal=self.p.macdsig)

        # Cross of macd.macd and macd.signal
        self.mcross = bt.indicators.CrossOver(self.macd.macd, self.macd.signal)

        # To set the stop price
        self.atr = bt.indicators.ATR(self.data, period=self.p.atrperiod)

        # Control market trend
        self.sma = bt.indicators.SMA(self.data, period=self.p.smaperiod)
        self.smadir = self.sma - self.sma(-self.p.dirperiod)

    def start(self):
        self.order = None  # sentinel to avoid operrations on pending order

    def next(self):

        if self.order:
            return  # pending order execution

        if not self.position:  # not in the market
            if self.mcross[0] > 0.0 and self.smadir < 0.0:
                self.order = self.buy()
                self.log("Buy ordered: $%.2f" % self.data0.close[0])
                pdist = self.atr[0] * self.p.atrdist
                self.pstop = self.data.close[0] - pdist

        else:  # in the market
            pclose = self.data.close[0]
            pstop = self.pstop

            if pclose < pstop:
                self.close()  # stop met - get out
            else:
                pdist = self.atr[0] * self.p.atrdist
                # Update only if greater than
                self.pstop = max(pstop, pclose - pdist)

def main():
    cerebro = bt.Cerebro(quicknotify=True)
    config = {'apiKey': '***********************************',
              'secret': '**********************************',
              'enableRateLimit': True,
              'options': {'newOrderRespType': 'FULL'},
             }


    store = CCXTStore(exchange='binance', currency='BTC', config=config, retries=5, debug=False, sandbox=True)

    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': 'result',
                'value': 1}
        }
    }

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

    hist_start_date = datetime.utcnow() - timedelta(minutes=50)
    data = store.getdata(dataname='BTC/USDT', name="BTCUSD",
                         timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date,
                         compression=1, config={'enableRateLimit': True},
                         ohlcv_limit=50, drop_newest=True, buffered=True)


    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=1)
    cerebro.addstrategy(St)
    cerebro.run()
    cerebro.plot(style="candlesticks")

if __name__ == '__main__':
    main()

Returns:

2021-03-01 12:48:42.441846 BTCUSD Data Status: DELAYED, Order Status: 3
Traceback (most recent call last):
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\base\exchange.py", line 589, in fetch
response.raise_for_status()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\requests\models.py", line 943, in raise_for_status
raise HTTPError(http_error_msg, response=self)
requests.exceptions.HTTPError: 400 Client Error: Bad Request for url: https://testnet.binance.vision/api/v3/order

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
File "C:/Users/N/PycharmProjects/pythonProject2/time.py", line 144, in <module>
main()
File "C:/Users/N/PycharmProjects/pythonProject2/time.py", line 140, in main
cerebro.run()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
self._runnext(runstrats)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\cerebro.py", line 1630, in _runnext
strat._next()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\strategy.py", line 347, in _next
super(Strategy, self)._next()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\lineiterator.py", line 271, in _next
self.next()
File "C:/Users/N/PycharmProjects/pythonProject2/time.py", line 83, in next
self.order = self.buy()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\strategy.py", line 933, in buy
return self.broker.buy(
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxtbt\ccxtbroker.py", line 245, in buy
return self._submit(owner, data, exectype, 'buy', size, price, kwargs)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxtbt\ccxtbroker.py", line 227, in _submit
ret_ord = self.store.create_order(symbol=data.p.dataname, order_type=order_type, side=side,
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxtbt\ccxtstore.py", line 142, in retry_method
return method(self, *args, **kwargs)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxtbt\ccxtstore.py", line 172, in create_order
return self.exchange.create_order(symbol=symbol, type=order_type, side=side,
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\binance.py", line 1718, in create_order
response = getattr(self, method)(self.extend(request, params))
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\base\exchange.py", line 466, in inner
return entry(_self, **inner_kwargs)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\binance.py", line 2545, in request
response = self.fetch2(path, api, method, params, headers, body)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\base\exchange.py", line 487, in fetch2
return self.fetch(request['url'], request['method'], request['headers'], request['body'])
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\base\exchange.py", line 605, in fetch
self.handle_errors(http_status_code, http_status_text, url, method, headers, http_response, json_response, request_headers, request_body)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\binance.py", line 2539, in handle_errors
self.throw_exactly_matched_exception(self.exceptions, error, feedback)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxt\base\exchange.py", line 505, in throw_exactly_matched_exception
raise exactstring
ccxt.base.errors.BadRequest: binance {"code":-1104,"msg":"Not all sent parameters were read; read '9' parameter(s) but was sent '10'."}

Dont know how to solve, please help

KLearner1

@run-out thanks! this is already useful, I am going to check the repo

KLearner1

Nobody? Really?

KLearner1

I little help with my code guys, I am a begginer:

from future import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
from ccxtbt import CCXTStore
from datetime import datetime, timedelta

class St(bt.Strategy):
params = (
('maperiod', 15),
)

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

    # Add a MovingAverageSimple indicator
    self.sma = bt.indicators.SimpleMovingAverage(
        self.datas[0], period=self.params.maperiod)

    # Indicators for the plotting show
    bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
    bt.indicators.WeightedMovingAverage(self.datas[0], period=25,
                                        subplot=True)
    bt.indicators.StochasticSlow(self.datas[0])
    bt.indicators.MACDHisto(self.datas[0])
    rsi = bt.indicators.RSI(self.datas[0])
    bt.indicators.SmoothedMovingAverage(rsi, period=10)
    bt.indicators.ATR(self.datas[0], plot=False)

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

def notify_order(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 enough cash
    if order.status in [order.Completed]:
        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)

    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        self.log('Order Canceled/Margin/Rejected')

    # 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])

    if self.live_data:
        # 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 ...
            if self.dataclose[0] > self.sma[0]:
                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.2f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy()



        else:

            if self.dataclose[0] < self.sma[0]:
                # 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()

def main():
cerebro = bt.Cerebro(quicknotify=True)
config = {'apiKey': '',
'secret': '******',
'enableRateLimit': True,
}

store = CCXTStore(exchange='bitmex', currency='BTC', config=config, retries=5, debug=False, sandbox=True)

broker_mapping = {
    'order_types': {
        bt.Order.Market: 'market',
        bt.Order.Limit: 'limit',
        bt.Order.Stop: 'stop',  # stop-loss for kraken, stop for bitmex
        bt.Order.StopLimit: 'stop limit'
    },
    'mappings': {
        'closed_order': {
            'key': 'status',
            'value': 'closed'
        },
        'canceled_order': {
            'key': 'result',
            'value': 1}
    }
}

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

hist_start_date = datetime.utcnow() - timedelta(minutes=40)
data = store.getdata(dataname='BTC/USD', name="BTCUSD",
                     timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date,
                     compression=1, ohlcv_limit=999, drop_newest=True)


cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes,
                     compression=1)
cerebro.addstrategy(St)
cerebro.run()
cerebro.plot(style="candlesticks")

if name == 'main':
main()

As a result this:

2021-02-19 14:02:25.862573 BTCUSD Data Status: DELAYED, Order Status: 3
2021-02-19, Close, 51793.00
2021-02-19, Close, 51797.00
2021-02-19, Close, 51797.00
2021-02-19, Close, 51836.50
2021-02-19, Close, 51836.50
2021-02-19, Close, 51836.50
2021-02-19 14:02:28.115552 BTCUSD Data Status: LIVE, Order Status: 4
2021-02-19, Close, 51836.50
2021-02-19, BUY CREATE, 51836.50

and then

Traceback (most recent call last):
File "C:\Users\N\PycharmProjects\pythonProject2\bitmex_sandbox.py", line 166, in <module>
main()
File "C:\Users\N\PycharmProjects\pythonProject2\bitmex_sandbox.py", line 162, in main
cerebro.run()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
self._runnext(runstrats)
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\cerebro.py", line 1623, in _runnext
self._brokernotify()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\backtrader\cerebro.py", line 1360, in _brokernotify
self._broker.next()
File "C:\Users\N\anaconda3\envs\pythonProject2\lib\site-packages\ccxtbt\ccxtbroker.py", line 199, in next
for fill in ccxt_order['trades']:
TypeError: 'NoneType' object is not iterable

Thank you for the help

KLearner1

@KLearner1

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