Hello everyone. I need help

I am working on implementing a new data feed / live broker. I have taken Oanda as a model since I have similar methods to interact.

1. I receive the MarkerData in real time when subscribing to a Web Service (for each Data separately). Which is similar to Oanda's price streamer.

2. I receive the Excecution Reports of the transactions by WebSocket. Similar to the Oanda events Streamer.

3. I can execute actions on orders by REST. Also similar to what OandaBroker uses

Finally the strategies are only in Live mode, they do not use anything historical.

I adapted the broker, store and feed of oanda according to the new destination, but the architecture remained the same. The only thing I had to add is the TICK granularity:

#supported granularities
     _GRANULARITIES = {
         (bt.TimeFrame.Ticks, 1): 'T1',
     }

And everything works well with only 1 Contract, but when I use more than one I get the following error:

Traceback (most recent call last):
  File "/proyect/venv/code/test2.py", line 110, in <module>
    cerebro.run()
  File "/proyect/venv/lib/py/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/proyect/venv/lib/py/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/proyect/venv/lib/py/site-packages/backtrader/cerebro.py", line 1631, in _runnext
    strat._next()
  File "/proyect/venv/lib/py/site-packages/backtrader/strategy.py", line 325, in _next
    super(Strategy, self)._next()
  File "/proyect/venv/lib/py/site-packages/backtrader/lineiterator.py", line 255, in _next
    clock_len = self._clk_update()
  File "/proyect/venv/lib/py/site-packages/backtrader/strategy.py", line 305, in _clk_update
    newdlens = [len(d) for d in self.datas]
  File "/proyect/venv/lib/py/site-packages/backtrader/strategy.py", line 305, in <listcomp>
    newdlens = [len(d) for d in self.datas]
  File "/proyect/venv/lib/py/site-packages/backtrader/lineseries.py", line 464, in __len__
    return len(self.lines)
  File "/proyect/venv/lib/py/site-packages/backtrader/lineseries.py", line 220, in __len__
    return len(self.lines[0])
ValueError: __len__() should return >= 0

This is the strategy that I am running and the parameters with which I add the Datas:

import argparse
import datetime
import backtrader as bt



# Create a Stratey
class TestStrategy(bt.Strategy):

    def __init__(self):
        pass

    #Provides any noticficaitons about the data.
    def notify_data(self, data, status, *args, **kwargs):
            print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)

    def notify_store(self, msg, *args, **kwargs):
        print('*' * 5, 'STORE NOTIF:', msg)

    def notify_order(self, order):
        pass

    def notify_trade(self, trade):
        pass


    def next(self):

        # Simply log the closing price of the series from the reference
        print('O: {} H: {} L: {} C: {}'.format(
            self.data.open[0],
            self.data.high[0],
            self.data.low[0],
            self.data.close[0],
            ))
        if data1 is not None:
            print('NEXT 1 ==> O: {} H: {} L: {} C: {}'.format(
                self.data1.open[0],
                self.data1.high[0],
                self.data1.low[0],
                self.data1.close[0],
            ))


    def start(self):
        if self.data0.contractdetails is not None:
            print('-- Contract Details:')
            print(self.data0.contractdetails)
        print('Started')
        acc_cash = cerebro.broker.getcash()
        acc_val = cerebro.broker.getvalue()
        print('Account Cash = {}'.format(acc_cash))
        print('Account Value = {}'.format(acc_val))


if __name__ == '__main__':
    cerebro = bt.Cerebro()
    testreststore = bt.stores.TestrestStore(token=apikey, account=acc, practice=True)
    cerebro.broker = testreststore.getbroker()
    data0 = testreststore.getdata(dataname="contract1", timeframe=bt.TimeFrame.Ticks, compression=1, backfill_start=False, backfill=False)
    data1 = testreststore.getdata(dataname="contract2", timeframe=bt.TimeFrame.Ticks, compression=1,
                                 backfill_start=False, backfill=False)

    cerebro.adddata(data0)
    cerebro.adddata(data1)
    cerebro.addstrategy(TestStrategy)
    cerebro.run()

Thank you very much, I hope I can return the help soon

I am working on a project to perform live trading with several strategies running at the same time. We already have a GUI that allows us to start and stop strategies. We are planning to use backtrader as the core of our application. For that we are going to develop our own Data, Store and Broker. The main idea is to override default lines with the following lines.

    linesoverride = True
    lines = ('bid_price_0', 'bid_price_1', 'bid_price_2', 'bid_price_3', 'bid_price_4',
             'bid_size_0', 'bid_size_1', 'bid_size_2', 'bid_size_3', 'bid_size_4',
             'ask_price_0', 'ask_price_1', 'ask_price_2', 'ask_price_3', 'ask_price_4',
             'ask_size_0', 'ask_size_1', 'ask_size_2', 'ask_size_3', 'ask_size_4', 'datetime')

where 'bid_price_0' is the current bid price, and 'bid_price_1', 'bid_price_2', 'bid_price_3', 'bid_price_4' make up the depth of the market (prices that are not the current best offer).

Since the user can start and stop strategies dynamically, we opt to have a Cerebro for each strategy. Another reason is that strategies can have different associated instruments.
One of my concerns is the CPU overhead that several instances of Cerebro may cause running at the same time (there would be no problem in terms of memory despite the multiple lines). Do you think it is possible to perform live trading using BT in this way?

Hi all.
Simple question, to understand the logic of the BT events.
(Sorry if there was an answer in other post. I searched a lot and cant found it)

How is the execution order of events in live trading when I am running a strategy and the notify_order () is executed? The next () is executed before, after or not executed when a change in the order arrives?

Thanks!

I was doing some more tests and it seems that the error occurs when 2 markets datas (one from Data0 and one from Data1) arrive very close in time (almost together).

@backtrader, what would be the configuration of parameters to be able to take MarketData in real time? Is that what is failing me?

Thank !

@samy-david
I would not know what to tell you.
I used the Oanda feed as an example and modified it for my data source.

But looking a bit on Oanda web, I saw that from the table of errors, the code 1 is:

"The argument specified is not properly formatted or is an unaccepted value"

I guess the accountId is wrong.

This is the reference page. Anything that can be of help let me know
http://developer.oanda.com/rest-live/troubleshooting-errors/

Hello everyone. I need help

I am working on implementing a new data feed / live broker. I have taken Oanda as a model since I have similar methods to interact.

1. I receive the MarkerData in real time when subscribing to a Web Service (for each Data separately). Which is similar to Oanda's price streamer.

2. I receive the Excecution Reports of the transactions by WebSocket. Similar to the Oanda events Streamer.

3. I can execute actions on orders by REST. Also similar to what OandaBroker uses

Finally the strategies are only in Live mode, they do not use anything historical.

I adapted the broker, store and feed of oanda according to the new destination, but the architecture remained the same. The only thing I had to add is the TICK granularity:

#supported granularities
     _GRANULARITIES = {
         (bt.TimeFrame.Ticks, 1): 'T1',
     }

And everything works well with only 1 Contract, but when I use more than one I get the following error:

Traceback (most recent call last):
  File "/proyect/venv/code/test2.py", line 110, in <module>
    cerebro.run()
  File "/proyect/venv/lib/py/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/proyect/venv/lib/py/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/proyect/venv/lib/py/site-packages/backtrader/cerebro.py", line 1631, in _runnext
    strat._next()
  File "/proyect/venv/lib/py/site-packages/backtrader/strategy.py", line 325, in _next
    super(Strategy, self)._next()
  File "/proyect/venv/lib/py/site-packages/backtrader/lineiterator.py", line 255, in _next
    clock_len = self._clk_update()
  File "/proyect/venv/lib/py/site-packages/backtrader/strategy.py", line 305, in _clk_update
    newdlens = [len(d) for d in self.datas]
  File "/proyect/venv/lib/py/site-packages/backtrader/strategy.py", line 305, in <listcomp>
    newdlens = [len(d) for d in self.datas]
  File "/proyect/venv/lib/py/site-packages/backtrader/lineseries.py", line 464, in __len__
    return len(self.lines)
  File "/proyect/venv/lib/py/site-packages/backtrader/lineseries.py", line 220, in __len__
    return len(self.lines[0])
ValueError: __len__() should return >= 0

This is the strategy that I am running and the parameters with which I add the Datas:

import argparse
import datetime
import backtrader as bt



# Create a Stratey
class TestStrategy(bt.Strategy):

    def __init__(self):
        pass

    #Provides any noticficaitons about the data.
    def notify_data(self, data, status, *args, **kwargs):
            print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)

    def notify_store(self, msg, *args, **kwargs):
        print('*' * 5, 'STORE NOTIF:', msg)

    def notify_order(self, order):
        pass

    def notify_trade(self, trade):
        pass


    def next(self):

        # Simply log the closing price of the series from the reference
        print('O: {} H: {} L: {} C: {}'.format(
            self.data.open[0],
            self.data.high[0],
            self.data.low[0],
            self.data.close[0],
            ))
        if data1 is not None:
            print('NEXT 1 ==> O: {} H: {} L: {} C: {}'.format(
                self.data1.open[0],
                self.data1.high[0],
                self.data1.low[0],
                self.data1.close[0],
            ))


    def start(self):
        if self.data0.contractdetails is not None:
            print('-- Contract Details:')
            print(self.data0.contractdetails)
        print('Started')
        acc_cash = cerebro.broker.getcash()
        acc_val = cerebro.broker.getvalue()
        print('Account Cash = {}'.format(acc_cash))
        print('Account Value = {}'.format(acc_val))


if __name__ == '__main__':
    cerebro = bt.Cerebro()
    testreststore = bt.stores.TestrestStore(token=apikey, account=acc, practice=True)
    cerebro.broker = testreststore.getbroker()
    data0 = testreststore.getdata(dataname="contract1", timeframe=bt.TimeFrame.Ticks, compression=1, backfill_start=False, backfill=False)
    data1 = testreststore.getdata(dataname="contract2", timeframe=bt.TimeFrame.Ticks, compression=1,
                                 backfill_start=False, backfill=False)

    cerebro.adddata(data0)
    cerebro.adddata(data1)
    cerebro.addstrategy(TestStrategy)
    cerebro.run()

Thank you very much, I hope I can return the help soon

@backtrader
Yes, I solved it. Apologies, there was a reference that was badly modified and that's why the 2 codes gave different error.
Thanks for the support. I keep doing tests

@backtrader
Ok, I understand this.

But for a better understanding of the BT process.
What is the difference that makes when I run the original code of Oanda, it detects what class to instantiate for the BrokerCls (Why did not that error occur using the Oanda code?)

TK

Hi

I am working on a new connector for live trade, using as a base the Oanda connector.

Following this post, when executing the code provided by @ThatBlokeDave,

import argparse
import datetime
import backtrader as bt

apikey = 'Insert your api key here'
acc = 'insert your acc num here'

# Create a Stratey
class TestStrategy(bt.Strategy):

    def __init__(self):
        pass

    #Provides any noticficaitons about the data.
    def notify_data(self, data, status, *args, **kwargs):
        print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)

    def notify_store(self, msg, *args, **kwargs):
        print('*' * 5, 'STORE NOTIF:', msg)

    def next(self):
        # Simply log the closing price of the series from the reference
        print('O: {} H: {} L: {} C: {}'.format(
                self.data.open[0],
                self.data.high[0],
                self.data.low[0],
                self.data.close[0],
                ))


    def start(self):
        if self.data0.contractdetails is not None:
            print('-- Contract Details:')
            print(self.data0.contractdetails)
        print('Started')
        acc_cash = cerebro.broker.getcash()
        acc_val = cerebro.broker.getvalue()
        print('Account Cash = {}'.format(acc_cash))
        print('Account Value = {}'.format(acc_val))


if __name__ == '__main__':
    cerebro = bt.Cerebro()
    oandastore = bt.stores.OandaStore(token=apikey, account=acc, practice=True)
    cerebro.broker = oandastore.getbroker()

    data0 = oandastore.getdata(dataname="GBP_USD", timeframe=bt.TimeFrame.Ticks, compression=1, backfill_start=False, backfill=False)

    #This is setting what timeframe we want to use.
    cerebro.resampledata(data0, timeframe=bt.TimeFrame.Minutes, compression=5)

    cerebro.addstrategy(TestStrategy)
    cerebro.run()

I receive the following error (which is correct, by not assigning the Loguin data, can not connect to Oanda and fails to receive data).

/home/lml/Code/ymy3/venv/bin/python /home/lml/Code/ymy3/venv/code/rfxtest_oanda_short.py
Exception in thread Thread-1:
Traceback (most recent call last):
  File "/usr/lib/python3.6/threading.py", line 916, in _bootstrap_inner
    self.run()
  File "/usr/lib/python3.6/threading.py", line 864, in run
    self._target(*self._args, **self._kwargs)
  File "/home/lml/Code/ymy3/venv/lib/python3.6/site-packages/backtrader/stores/oandastore.py", line 335, in _t_streaming_listener
    self._transaction(trans)
  File "/home/lml/Code/ymy3/venv/lib/python3.6/site-packages/backtrader/stores/oandastore.py", line 576, in _transaction
    ttype = trans['type']
KeyError: 'type'

Started
Account Cash = 0.0
Account Value = 0.0
***** DATA NOTIF: NOTSUBSCRIBED

Process finished with exit code 0

But my problem comes, making a copy of the Oanda components (oandabroker.py, oanda.py and oandastore.py) and renaming them to build my integration gives me the following error.
I rename the files, then I change the name of the classes and their references (nothing else) and I add the references in the modules (init).
When executing it:

import argparse
import datetime
import backtrader as bt

apikey = 'Insert your api key here'
acc = 'insert your acc num here'

# apikey = '0000000000000000000000'
# acc = '000000000000000000'

# Create a Stratey
class TestStrategy(bt.Strategy):

    def __init__(self):
        pass

    #Provides any noticficaitons about the data.
    def notify_data(self, data, status, *args, **kwargs):
        print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)

    def notify_store(self, msg, *args, **kwargs):
        print('*' * 5, 'STORE NOTIF:', msg)

    def next(self):
        # Simply log the closing price of the series from the reference
        print('O: {} H: {} L: {} C: {}'.format(
                self.data.open[0],
                self.data.high[0],
                self.data.low[0],
                self.data.close[0],
                ))


    def start(self):
        if self.data0.contractdetails is not None:
            print('-- Contract Details:')
            print(self.data0.contractdetails)
        print('Started')
        # acc_cash = cerebro.broker.getcash()
        # acc_val = cerebro.broker.getvalue()
        print('Account Cash = {}'.format(acc_cash))
        print('Account Value = {}'.format(acc_val))


if __name__ == '__main__':
    cerebro = bt.Cerebro()
    rfxstore = bt.stores.RfxStore(token=apikey, account=acc, practice=True)
    cerebro.broker = rfxstore.getbroker()

    data0 = rfxstore.getdata(dataname="GBP_USD", timeframe=bt.TimeFrame.Ticks, compression=1, backfill_start=False, backfill=False)

    #This is setting what timeframe we want to use.
    cerebro.resampledata(data0, timeframe=bt.TimeFrame.Minutes, compression=5)

    cerebro.addstrategy(TestStrategy)
    cerebro.run()

I get:

/home/lml/Code/ymy3/venv/bin/python /home/lml/Code/ymy3/venv/code/rfxtest2.py
Traceback (most recent call last):
  File "/home/lml/Code/ymy3/venv/code/rfxtest2.py", line 48, in <module>
    cerebro.broker = rfxstore.getbroker()
  File "/home/lml/Code/ymy3/venv/lib/python3.6/site-packages/backtrader/stores/rfxstore.py", line 214, in getbroker
    return cls.BrokerCls(*args, **kwargs)
TypeError: 'NoneType' object is not callable

Process finished with exit code 1

It seems that when he does (on rfxstore.py):

    def getbroker (cls, * args, ** kwargs):
        '' 'Returns broker with * args, ** kwargs from registered `` BrokerCls``' ''
        return cls.BrokerCls (* args, ** kwargs)

Still taking:

BrokerCls = None # broker class will autoregister

Something that does not happen when I use Oanda's original files.

I think I'm missing a reference, but I can not find it.

From already thank you very much.

@backtrader
Great. Thank you for the reply.
Good to have an active community.
I'm still trying.

Hi all.
Im new on BT, im researching the code to know if is compatible with mi live data. I'm seeing that bt is an incredible tool!

@backtrader my doubt, is this example valid for live datafeed?
Or do I have to add the indicators in another way?

Thanks a lot!