Hi,

I have a general question regarding what I find in the OANDA v2.0 description:

http://developer.oanda.com/rest-live-v20/pricing-df/#collapse_definition_1

# 
    # The list of prices and liquidity available on the Instrument’s bid side.
    # It is possible for this list to be empty if there is no bid liquidity
    # currently available for the Instrument in the Account.
    # 
    bids : (Array[PriceBucket]),

    # 
    # The list of prices and liquidity available on the Instrument’s ask side.
    # It is possible for this list to be empty if there is no ask liquidity
    # currently available for the Instrument in the Account.
    # 
    asks : (Array[PriceBucket]),

When I execute the referring curl example, sofar I only got one entry in this arrays back.

My question is: Does it really happen to have more than one bid or more than one ask in this reply? Or was I mistaken because I was checking the responses during low trading times?

Thanks in advance!

Hi,

I realize there are a lot of really nice and good working scripts and examples for different situation (thanks to @backtrader for this great work).

Presently I face the situation that I need to combine different scripts and therefore see some challenges.

My question is:

Is there a good place where I could set a breakpoint and look at all the parameters that decide on the internal behaviour of Backtrader?

I think of a common set of variables / parameters I should dump so that I can compare them throughout different scripts.

Thanks in advance!

@backtrader said in Backtesting Live Ticks Possible?:

Of course. Create a data feed which has that behavior and you will get it.

thanks for your reply, @backtrader , but I just wonder how I can do that?

With every row in my csv file, len(self) in next() will increase by one from one call to next()to the following call.

In contrast to that, during live trading len(self)only increases, when the next timeframe is reached. But in between, several ticks could have come up that do not lead to an increase in len(self).

Big thanks in advance!

Hi,

using ibtest.py --data0 EUR.USD-CASH-IDEALPRO --timeframe Seconds --compression 30 --port 7497 --replay seems to be the best way to

• have live tick data
• to get properly shaped live data candlesticks for candlestick periods that lie in the past (even without backfilling the data that came up before the script was started).

(see: https://community.backtrader.com/topic/998/best-approach-for-live-trading-with-cheat-on-open/12# )

My question is: during pure backtesting: is it possible to get the data in next() the same way as I get it during live trading?

(so like this mix out of well shaped candlesticks and arbitrarily occuring "live" ticks)

Thanks in advance!

@backtrader said in Best Approach for Live-Trading With Cheat on Open:

So it seems that I have to supply the --replay parameter in oandav20test.py.

I don't know. What you need is a data source which is tick based. You said you wanted to be notified of each price change. There should be no need to replay anything for that data feed.

Hi,

with samples/ibtest/ibtest.py I did some tests with Interactive Brokers livetrading. These are the results:

ibtest.py --data0 EUR.USD-CASH-IDEALPRO --timeframe Seconds --compression 30 --port 7497 --no-rightedge

***** DATA NOTIF: LIVE
LIVE, Data0, 0962, 736801.8864360515, 2018-04-17T17:16:28.074845, 1.23699, 1.23699, 1.23699, 1.23699, 0, 0, 1.23703
LIVE, Data0, 0963, 736801.8866241798, 2018-04-17T17:16:44.329133, 1.237, 1.237, 1.237, 1.237, 0, 0, 1.237046
LIVE, Data0, 0964, 736801.8866485074, 2018-04-17T17:16:46.431042, 1.2371, 1.2371, 1.2371, 1.2371, 0, 0, 1.237034
LIVE, Data0, 0965, 736801.8866486517, 2018-04-17T17:16:46.443504, 1.237, 1.237, 1.237, 1.237, 0, 0, 1.237002
LIVE, Data0, 0966, 736801.886811497, 2018-04-17T17:17:00.513344, 1.23694, 1.23694, 1.23694, 1.23694, 0, 0, 1.237006
LIVE, Data0, 0967, 736801.8868541777, 2018-04-17T17:17:04.200952, 1.23693, 1.23693, 1.23693, 1.23693, 0, 0, 1.236994
LIVE, Data0, 0968, 736801.8869536915, 2018-04-17T17:17:12.798944, 1.23694, 1.23694, 1.23694, 1.23694, 0, 0, 1.236982
LIVE, Data0, 0969, 736801.8871321745, 2018-04-17T17:17:28.219872, 1.23691, 1.23691, 1.23691, 1.23691, 0, 0, 1.236944
LIVE, Data0, 0970, 736801.8871946137, 2018-04-17T17:17:33.614623, 1.23699, 1.23699, 1.23699, 1.23699, 0, 0, 1.236942
LIVE, Data0, 0971, 736801.8871946996, 2018-04-17T17:17:33.622046, 1.23698, 1.23698, 1.23698, 1.23698, 0, 0, 1.23695
LIVE, Data0, 0972, 736801.8871947962, 2018-04-17T17:17:33.630394, 1.23699, 1.23699, 1.23699, 1.23699, 0, 0, 1.236962
LIVE, Data0, 0973, 736801.8872731669, 2018-04-17T17:17:40.401621, 1.23698, 1.23698, 1.23698, 1.23698, 0, 0, 1.23697
LIVE, Data0, 0974, 736801.8872752264, 2018-04-17T17:17:40.579562, 1.23699, 1.23699, 1.23699, 1.23699, 0, 0, 1.236986
LIVE, Data0, 0975, 736801.8874047493, 2018-04-17T17:17:51.770338, 1.237, 1.237, 1.237, 1.237, 0, 0, 1.236988

ibtest.py --data0 EUR.USD-CASH-IDEALPRO --timeframe Seconds --compression 30 --port 7497 --resample

***** DATA NOTIF: LIVE
LIVE, Data0, 0962, 736801.8892361111, 2018-04-17T17:20:30.000000, 1.23689, 1.23706, 1.23689, 1.23701, 0.0, 0, 1.2369620000000001
LIVE, Data0, 0963, 736801.8895833333, 2018-04-17T17:21:00.000000, 1.23702, 1.23703, 1.237, 1.23702, 0.0, 0, 1.23696
LIVE, Data0, 0964, 736801.8899305556, 2018-04-17T17:21:30.000000, 1.23701, 1.23707, 1.23699, 1.23707, 0.0, 0, 1.236974
LIVE, Data0, 0965, 736801.8902777778, 2018-04-17T17:22:00.000000, 1.23708, 1.23708, 1.23696, 1.23702, 0.0, 0, 1.237004

ibtest.py --data0 EUR.USD-CASH-IDEALPRO --timeframe Seconds --compression 30 --port 7497 --replay

***** DATA NOTIF: LIVE
LIVE, Data0, 0962, 736801.8905911663, 2018-04-17T17:22:27.076771, 1.23694, 1.23694, 1.23694, 1.23694, 0.0, 0, 1.2369999999999999
LIVE, Data0, 0962, 736801.890625, 2018-04-17T17:22:30.000000, 1.23694, 1.23694, 1.23694, 1.23694, 0.0, 0, 1.2369999999999999
LIVE, Data0, 0963, 736801.8908331305, 2018-04-17T17:22:47.982471, 1.23693, 1.23693, 1.23693, 1.23693, 0.0, 0, 1.236982
LIVE, Data0, 0963, 736801.8908331448, 2018-04-17T17:22:47.983708, 1.23693, 1.23696, 1.23693, 1.23696, 0.0, 0, 1.236988
LIVE, Data0, 0963, 736801.8908638399, 2018-04-17T17:22:50.635766, 1.23693, 1.23698, 1.23693, 1.23698, 0.0, 0, 1.236992
LIVE, Data0, 0963, 736801.8908640771, 2018-04-17T17:22:50.656264, 1.23693, 1.23699, 1.23693, 1.23699, 0.0, 0, 1.236994
LIVE, Data0, 0963, 736801.8908658416, 2018-04-17T17:22:50.808718, 1.23693, 1.237, 1.23693, 1.237, 0.0, 0, 1.236996
LIVE, Data0, 0963, 736801.8908685311, 2018-04-17T17:22:51.041084, 1.23693, 1.23701, 1.23693, 1.23701, 0.0, 0, 1.236998
LIVE, Data0, 0963, 736801.8908700076, 2018-04-17T17:22:51.168654, 1.23693, 1.23702, 1.23693, 1.23702, 0.0, 0, 1.2369999999999999
LIVE, Data0, 0963, 736801.8908825091, 2018-04-17T17:22:52.248782, 1.23693, 1.23702, 1.23693, 1.23701, 0.0, 0, 1.236998
LIVE, Data0, 0963, 736801.890961202, 2018-04-17T17:22:59.047850, 1.23693, 1.23702, 1.23693, 1.23702, 0.0, 0, 1.2369999999999999
LIVE, Data0, 0963, 736801.8909623256, 2018-04-17T17:22:59.144933, 1.23693, 1.23704, 1.23693, 1.23704, 0.0, 0, 1.237004
LIVE, Data0, 0963, 736801.8909629615, 2018-04-17T17:22:59.199871, 1.23693, 1.23705, 1.23693, 1.23705, 0.0, 0, 1.2370059999999998
LIVE, Data0, 0963, 736801.890965801, 2018-04-17T17:22:59.445203, 1.23693, 1.23705, 1.23693, 1.23704, 0.0, 0, 1.237004
LIVE, Data0, 0963, 736801.8909722222, 2018-04-17T17:23:00.000000, 1.23693, 1.23705, 1.23693, 1.23704, 0.0, 0, 1.237004
LIVE, Data0, 0964, 736801.8909756911, 2018-04-17T17:23:00.299714, 1.23705, 1.23705, 1.23705, 1.23705, 0, 0, 1.2369999999999999
LIVE, Data0, 0964, 736801.8909989573, 2018-04-17T17:23:02.309913, 1.23705, 1.23705, 1.23704, 1.23704, 0.0, 0, 1.236998
LIVE, Data0, 0964, 736801.8910004616, 2018-04-17T17:23:02.439886, 1.23705, 1.23705, 1.23703, 1.23703, 0.0, 0, 1.236996

It seems to me, that the --replay parameter really delivers what I need:

• tick based during live streaming
• after each candlestick timeframe, len(self.data0) increases by one and also the last call to next() for that block seems to comprise consistent values for OHLC for the whole candlestick.

@backtrader said in Best Approach for Live-Trading With Cheat on Open:

You are not asking for Candlesticks, you want to ask for Ticks. 4 components (OHLC) vs only 1 (the tick itself)

ok, thanks.

So it seems that I have to supply the --replay parameter in oandav20test.py.
With that, during replay I get that candlestick granularity which I supplied in

        "--timeframe", "Seconds",
        "--compression", "30",

.

During livetrading, I seem to get a trigger in next() whenever a trade happened in the oanda backend.

(unfortunately, I cannot verify this with the original oandatest.py, as I have a v20 account)

So then I would do the aggregation to the timeframe I need (e.g. 4 hour candlestick) based on the ticks I get during live trading.

And I have another question: is it perhaps even possible to get ticks also during the replay of the past periods (when the script is started)?

Thanks in advance, Mastro backtrader! :-)

as only this CandlestickGranularity would be valid:

Value	Description
S5	5 second candlesticks, minute alignment
S10	10 second candlesticks, minute alignment
S15	15 second candlesticks, minute alignment
S30	30 second candlesticks, minute alignment
M1	1 minute candlesticks, minute alignment
M2	2 minute candlesticks, hour alignment
M4	4 minute candlesticks, hour alignment
M5	5 minute candlesticks, hour alignment
M10	10 minute candlesticks, hour alignment
M15	15 minute candlesticks, hour alignment
M30	30 minute candlesticks, hour alignment
H1	1 hour candlesticks, hour alignment
H2	2 hour candlesticks, day alignment
H3	3 hour candlesticks, day alignment
H4	4 hour candlesticks, day alignment
H6	6 hour candlesticks, day alignment
H8	8 hour candlesticks, day alignment
H12	12 hour candlesticks, day alignment
D	1 day candlesticks, day alignment
W	1 week candlesticks, aligned to start of week
M	1 month candlesticks, aligned to first day of the month

@backtrader said in Best Approach for Live-Trading With Cheat on Open:

Why go such complex lengths instead of having a data feed which has a Ticks timeframe?

I thought that http://developer.oanda.com/rest-live-v20/instrument-df/ would not offer that

@backtrader said in Best Approach for Live-Trading With Cheat on Open:

Sorry but that a very bold statement. backtrader is 100% event based framework for your strategy, be it during backtesting or live trading. The data events are the calls to your next method.

Thanks for your message.

And just as a loud-spoken thought:

Would it make sense (for my very own use case), that I extend backtrader-oandav20 by myself and inherit / implement some method that I wrote myself that gives me a trigger for every price action in a method that could get the name ontick()?

Or is the right place to do this by myself in backtrader directly?

@backtrader

Re: Best Approach for Live-Trading With Cheat on Open

thanks for your reply.

So, in my opinion, it would be cool to get a trigger for every new price tick that get's available from the live broker - even in between ohlc candlesticks.

But I assume that this would be somehow contradictionary to the general concept of the platform.