Backtrader Community

rastegarr

Do you know what the format for dataname in visual chart for a stock such as 'YHOO' is?

Is

data = vcstore.getdata(dataname='YHOO',  fromdate=datetime(2016, 5, 15))

Correct?

rastegarr

@backtrader Thanks, for your informative comments. What company would you recommend as a minute-bar data provider that is compatible with backtrader? I'd still like to use IB as the broker since my business partner likes them due to their cost structure.

rastegarr

@backtrader Thanks backorder!

How can I get only last 30 minutes of the historical data so this way I won't violate the IB download constraints?
Since I have about 190 symbols, how can I have refill (in the beginning and upon the disconnect) without violating pacing violation?
Thanks for your help!

rastegarr

@backtrader I updated to the last version of backtrader and I cannot get that dispatcher error however I'm getting a different issue. The code is very simple:

from __future__ import (absolute_import, division, print_function, unicode_literals)
import backtrader as bt
import time


class BuyOnGapStrategy(bt.Strategy):
    def log(self, txt, doprint=False):
        if doprint:
            print('%s' % (txt))
        
    def __init__(self):
        self.log('******************* Strategy Created *********************', doprint = True)

    def notify_data(self, data, status, *args, **kwargs):
        # CONNECTED, DISCONNECTED, CONNBROKEN, NOTSUBSCRIBED, DELAYED, LIVE
        self.log('DATA NOTIF: %s, %s' %( data._getstatusname(status), data._dataname), doprint = True)


    def notify_store(self, msg, *args, **kwargs):
        self.log('-> STORE NOTIF: %s' %(msg), doprint= True)

    def notify_order(self, order):
        pass
           
    def notify_trade(self, trade):
        pass

    
    def next(self):
        for indx in range(0, len(self.datas), 2):
            datax = self.datas[indx]
            datax2 = self.datas[indx+1]
            if datax is not None and len(datax.datetime) > 0:
                self.log("Sym %s, Time %s, 1-min Close %.2f" %(datax._dataname, datax.datetime.time(), datax.close[0]), doprint =  True)
            if datax2 is not None and len(datax2.datetime) > 0:
                self.log("Sym %s, Time %s, 3-min Close %.2f" %(datax2._dataname, datax2.datetime.time(), datax2.close[0]), doprint =  True)


if __name__ == '__main__':
    all_syms = ['YHOO-STK-SMART-USD', 'CTXS-STK-SMART-USD', 'ADSK-STK-SMART-USD', 'ETFC-STK-SMART-USD', 'DISCA-STK-SMART-USD',
     'QCOM-STK-SMART-USD', 'ADS-STK-SMART-USD', 'PVH-STK-SMART-USD', 'AMG-STK-SMART-USD', 'CMA-STK-SMART-USD']

    storekwargs = dict(
        host = "127.0.0.1", port = 4001,
        clientId = 35, timeoffset = True,
        reconnect = True, timeout = 10,
        notifyall = False, _debug = False
    )

    ibstore = bt.stores.IBStore(**storekwargs)
    cerebro = bt.Cerebro(exactbars = 1)
    cerebro.setbroker(ibstore.getbroker())
                        
    datakwargs = dict(
                      timeframe = bt.TimeFrame.Minutes, 
                      compression = 1,
                      qcheck = 0.5,
                      historical = False, 
                      backfill_start = True,
                      backfill= True,
                      latethrough = True
                      )
    
    for symbol in all_syms:
        datax = ibstore.getdata(dataname=symbol, **datakwargs)
        cerebro.resampledata(dataname=datax, timeframe = bt.TimeFrame.Minutes, compression = 1)
        cerebro.resampledata(dataname=datax, timeframe = bt.TimeFrame.Minutes, compression = 3)
           
    # Add the strategy
    cerebro.addstrategy(BuyOnGapStrategy)
    
    cerebro.run()

Here is message I get:

Server Version: 76
TWS Time at connection:20170317 11:58:19 CST
******************* Strategy Created *********************
-> STORE NOTIF: <error id=-1, errorCode=2104, errorMsg=Market data farm connecti
on is OK:usfarm>
-> STORE NOTIF: <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection
 is OK:ushmds>
DATA NOTIF: DELAYED, YHOO-STK-SMART-USD
DATA NOTIF: DELAYED, CTXS-STK-SMART-USD
DATA NOTIF: DELAYED, ADSK-STK-SMART-USD
DATA NOTIF: DELAYED, ETFC-STK-SMART-USD
DATA NOTIF: DELAYED, DISCA-STK-SMART-USD
DATA NOTIF: DELAYED, QCOM-STK-SMART-USD
DATA NOTIF: DELAYED, ADS-STK-SMART-USD
DATA NOTIF: DELAYED, PVH-STK-SMART-USD
DATA NOTIF: DELAYED, AMG-STK-SMART-USD
DATA NOTIF: DELAYED, CMA-STK-SMART-USD
Traceback (most recent call last):
  File "ib_test.py", line 84, in <module>
    cerebro.run()
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\cerebro.py", line 794,
in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\cerebro.py", line 924,
in runstrategies
    self._runnext(runstrats)
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\cerebro.py", line 1240,
 in _runnext
    strat._next()
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\strategy.py", line 296,
 in _next
    super(Strategy, self)._next()
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\lineiterator.py", line
240, in _next
    clock_len = self._clk_update()
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\strategy.py", line 285,
 in _clk_update
    newdlens = [len(d) for d in self.datas]
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\strategy.py", line 285,
 in <listcomp>
    newdlens = [len(d) for d in self.datas]
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\lineseries.py", line 43
2, in __len__
    return len(self.lines)
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\lineseries.py", line 19
9, in __len__
    return len(self.lines[0])
ValueError: __len__() should return >= 0

rastegarr

Hello,

I connect to IB and add two symbols (for each symbol, 1-min and 3-min bars) to the store; total 4 data feed. However, I get this error very often (not always):

13-Mar-17 15:25:03 ERROR     Exception in message dispatch.  Handler 'historical
Data' for 'historicalData' Traceback (most recent call last):
  File "C:\Users\Reza\Anaconda3\lib\site-packages\ib\opt\dispatcher.py", line 44, in __call__results.append(listener(message))
  File "C:\Users\Reza\trading\libs\backtrader\backtrader\stores\ibstore.py", line 920, in historicalData    q = self.qs[tickerId] KeyError: 16777221
13-Mar-17 15:25:03 ERROR     Exception in message dispatch.  Handler 'historicalData' for 'historicalData' Traceback (most recent call last):
  File "C:\Users\Reza\Anaconda3\lib\site-packages\ib\opt\dispatcher.py", line 44, in __call__    results.append(listener(message))

rastegarr

@backtrader Thanks for your reply. Yes, it works with some data files, but not with others. Is there anyway I can attach two files here as examples?

rastegarr

Sorry I cannot format the code correctly here.

rastegarr

@backtrader

When I have more than one symbols with two different time frames(min and day), the next function is not called: basically, start and stop are called but not the next.

Here is shortened code:

class TestInstrument():
    def __init__(self):
        self.symbol = None
        self.order = None
        self.live = False
        self.i_macd = None
        self.i_sma = None
        self.tradable_today = False
        self.no_longs = 0
        self.no_shorts = 0
        self.no_profitable_longs = 0
        self.no_profitable_shorts = 0
        self.current_position_is_long = None
        self.profit = 0

class MACDStrategy(bt.Strategy):
    params = dict(
        initial_cash = None,
        macd1 = 12, #12
        macd2 = 26, #26
        macdsig = 9,
        smaperiod = 28, #28 
        exectype=bt.Order.Market,
        max_investment_per_trade = 500000,
        max_loss_perc_trade = 3000,
        max_profit_perc_trade = 4000,
        printlog = False,
        savelog = False,
        start_time = datetime.time(9, 35),
        end_time = datetime.time(15, 30), #originally 35 not zero
        enter_short_bound = 0.4, #0.3
        exit_short_bound = 0,
        enter_long_bound = -0.4,
        output_dir = "d:\\glt\\output\\all\\",
    )

    def __init__(self):
        self.current_date =  None
        self.market_hours = None
        self.log_file = None
        self.instruments = dict((self.datas[indx]._dataname, TestInstrument()) for indx in range(0, len(self.datas), 2)) 
        if self.p.savelog:
            self.log_file = open(self.p.output_dir + "@enter_short" + str(self.p.enter_short_bound) + "@enter_long" + str(self.p.enter_long_bound) + "@max_loss" + str(self.p.max_loss_perc_trade * self.p.max_investment_per_trade) + "@max_profit" + str(self.p.max_profit_perc_trade * self.p.max_investment_per_trade) + ".txt", "w")
            self.optim_file = open(self.p.output_dir + 'optimization.csv', 'a')
        for indx in range(0, len(self.datas), 2):
            datax = self.datas[indx]
            datax_day = self.datas[indx+1]
            instrument_name = datax._dataname
            self.instruments[instrument_name].i_macd = bt.indicators.MACD(datax, period_me1=self.p.macd1, period_me2=self.p.macd2, period_signal=self.p.macdsig)
            self.instruments[instrument_name].i_sma = bt.indicators.SMA(datax_day, period=self.p.smaperiod)
            self.log('Signals are created for: %s' %(instrument_name))
        print('******************* Strategy Created *********************')

    def nextstart(self):
        self.log('--------------------------------------------------')
        self.log('nextstart called with len %d' %len(self))
        self.log('--------------------------------------------------')
        super(MACDStrategy, self).nextstart()

    def next(self, frompre=False):
        self.log("Next is called", doprint = True)
        #some logic here
                    
    def start(self):
       self.log('Start', doprint = True)
       pass

    def stop(self):
        self.log('Stop', doprint = True)

if __name__ == '__main__':
    
    mydir='d:\\glt\\sp500energy1516_market'  # minute based data
    all_syms = os.listdir(mydir)
    mycash = 500000 * len(all_syms) / 4  # leverage 4
    cerebro = bt.Cerebro(exactbars = False)
    cerebro.broker.setcash(mycash)
    
    for file in all_syms:
        # Create a Data Feed
        data = bt.feeds.GenericCSVData(
            dataname=mydir + "\\" + file,
            #(2015, 12, 20, 7, 30)-(2016, 2, 22, 16, 0) -> 2 22 Jan
            #(2016, 2, 24, 7, 30)-(2016, 4, 25, 16, 0) -> 5 25 April
            fromdate=datetime.datetime(2015, 1, 1, 7, 30), 
            todate=datetime.datetime(2016, 12, 30, 16, 0),
            nullvalue=0.0,
            dtformat=('%Y%m%d'),
            tmformat = ('%H%M'),
            datetime=0,
            time=1,
            open=2,
            high=3,
            low=4,
            close=5,
            volume=6,
            openinterest=7)
        cerebro.adddata(data, name = file[:-4])
        cerebro.resampledata(data, timeframe=bt.TimeFrame.Days, compression = 1, name = file[:-4] + "_d")
        
    #Set the commission
    #cerebro.broker.setcommission(commission=0)
    cerebro.broker.setcommission(commission=0.00003, margin= None, mult=1.0, commtype=None, percabs=True, stocklike=True, leverage=4.0)

    #Set the slippage
    cerebro.broker.set_slippage_perc(0.001, slip_open=True, slip_limit=True, slip_match=True, slip_out=False)

    cerebro.addanalyzer(bt.analyzers.Returns)
    
    # Add a strategy
    cerebro.optstrategy(MACDStrategy, 
                        enter_short_bound = [0.5, 0.45],
                        enter_long_bound = [-0.5, -0.45], 
                        max_loss_perc_trade = [0.018, 0.016, 0.014, 0.012], 
                        max_profit_perc_trade = [0.018, 0.016, 0.014, 0.012], 
                        initial_cash = mycash, max_investment_per_trade = 500000, savelog = True)
    
    #Run over everything
    cerebro.run()

rastegarr

@rastegarr The version that I'm using is 1.9.27.105.

rastegarr

I have an strategy that has multiple symbols and each symbols has two simultaneous data feeds (minute and day frequency). So if I have N symbols, I have 2N datafeeds that are added to Cerebro.

I could run the strategy with no problem previously, but after updating backtrader to the last two versions it doesn't work anymore. The same strategy works fine if I only have one symbol (still with two data feeds -- minute and day frequency). Any idea what that can be? I can send you the code if it helps.

rastegarr

@rastegarr

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