Hello community,

What's the pattern for jointly resampling a datafeed and strat params whose units are bars (e.g. MA period)?

Example use-case:

Suppose one has a daily-bar datafeed that's used to run a strategy with a moving average with a period of 30 (MA is a 30-day MA).

One day, the user decides to try out the same strategy on 3-day bars instead. The datafeed can be resampled or filtered easily to achieve 3-day bars. The MA period should be changed to 10 because a 10-period MA covers the same period as the MA in the previous situation (30 days == 10 periods * 3 days). How should the user go about coding logic that changes the MA period based on the datafeed's resampling?

I suspected that this could be a timezone mis-match issue so I tried changing IB's timezone to UTC (GMT+0) and setting the expiry time works fine now.

I think what happens is this:

Backtrader's does this (pseudocode):

dt = current date & time in UTC
expiry_date_time = dt + valid
place order with expiry_date_time

Order reaches IB. On IB's end, expiry_date_time is interpreted in the user's IB client's timezone (e.g. for someone running IB in australia, expiry_date_time is assumed to be in australia's timezone).

Tried out samples/ibtest/ibtest.py. Setting expiry time ("valid" time in Backtrader lingo) leads to orders being rejected by IB system. On the other hand, orders with no expiry time work fine.

IB records the expiry time correctly though:

I ran:

$ python ibtest.py
--timeframe Days
--port 7497
--trade --valid 60
--usestore --broker

-- valid 60 means 60 seconds to expiry.

I'm currently running this outside of the US. Tried running with --timezone US/Eastern and this bug still persists.

Any ideas would be great.

Hello community,

What's the pattern for jointly resampling a datafeed and strat params whose units are bars (e.g. MA period)?

Example use-case:

Suppose one has a daily-bar datafeed that's used to run a strategy with a moving average with a period of 30 (MA is a 30-day MA).

One day, the user decides to try out the same strategy on 3-day bars instead. The datafeed can be resampled or filtered easily to achieve 3-day bars. The MA period should be changed to 10 because a 10-period MA covers the same period as the MA in the previous situation (30 days == 10 periods * 3 days). How should the user go about coding logic that changes the MA period based on the datafeed's resampling?

@vladisld Thank you. Yes, the solution proposed resolved the error. I guess those facing this issue will have to manually add the observers they desire.

Successfully ran the strategy selection code in https://www.backtrader.com/blog/posts/2016-10-29-strategy-selection/strategy-selection/ (regardless of the value assigned to maxcpus).

So, I extended the code to my needs.

In my code, when maxcpus parameter in cerebro.run(maxcpus = ...) is greater than 1, the error shown below would occur (it's a threading error). No errors occur when maxcpus = 1 and the run completes smoothly.

Any idea as to what I should look at to find the source of the error?

Changing the value of optreturn in cerebro.run(..) has no effect on this error.

Should I change to another version of pickling/pickler?

> python stratsel.py



Starting Portfolio Value: 1000.00
Exception in thread Thread-3:
Traceback (most recent call last):
  File "/Users/d/opt/anaconda3/envs/myenv/lib/python3.7/threading.py", line 926, in _bootstrap_inner
    self.run()
  File "/Users/d/opt/anaconda3/envs/myenv/lib/python3.7/threading.py", line 870, in run
    self._target(*self._args, **self._kwargs)
  File "/Users/d/opt/anaconda3/envs/myenv/lib/python3.7/multiprocessing/pool.py", line 470, in _handle_results
    task = get()
  File "/Users/d/opt/anaconda3/envs/myenv/lib/python3.7/multiprocessing/connection.py", line 251, in recv
    return _ForkingPickler.loads(buf.getbuffer())
AttributeError: Can't get attribute 'Lines_LineSeries_LineIterator_DataAccessor_ObserverBase_Observer_DataTrades_7a5dc4c5b1604837b6655d447e5ae1e0' on <module 'backtrader.lineseries' from '/Users/d/opt/anaconda3/envs/myenv/lib/python3.7/site-packages/backtrader/lineseries.py'>