Hi,
While trying to use optimization(optstrategy) on data(live or historical), fetched from Interactive Broker, I am getting this error :
Traceback (most recent call last):
File "D:/Users/R/BackTestLiveIBv2.py", line 219, in <module>
runstrategy()
File "D:/Users/R/BackTestLiveIBv2.py", line 216, in runstrategy
cerebro.run()
File "C:\Users\R\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1143, in run
for r in pool.imap(self, iterstrats):
File "C:\Users\R\Anaconda3\lib\multiprocessing\pool.py", line 735, in next
raise value
File "C:\Users\R\Anaconda3\lib\multiprocessing\pool.py", line 424, in _handle_tasks
put(task)
File "C:\Users\R\Anaconda3\lib\multiprocessing\connection.py", line 206, in send
self._send_bytes(_ForkingPickler.dumps(obj))
File "C:\Users\R\Anaconda3\lib\multiprocessing\reduction.py", line 51, in dumps
cls(buf, protocol).dump(obj)
TypeError: can't pickle _thread.lock objects
Interestingly, with addstrategy it is running fine and gives this output
Server Version: 76
TWS Time at connection:20200907 00:12:41 India Standard Time
Datetime, Open, High, Low, Close, Volume, OpenInterest, SMA
***** DATA NOTIF: DELAYED
0001, 2019-09-06 23:59:59.999989, 72.0, 72.0, 71.5, 71.75, 0.0, 0.0, nan
0002, 2019-09-09 23:59:59.999989, 71.75, 71.75, 71.25, 71.75, 0.0, 0.0, nan
0003, 2019-09-11 23:59:59.999989, 71.75, 72.0, 71.5, 71.625, 0.0, 0.0, nan
0004, 2019-09-12 23:59:59.999989, 71.5, 71.5, 71.0, 71.125, 0.0, 0.0, nan
0005, 2019-09-13 23:59:59.999989, 71.0, 71.25, 70.75, 70.875, 0.0, 0.0, 71.425
0006, 2019-09-16 23:59:59.999989, 71.75, 71.75, 71.25, 71.625, 0.0, 0.0, 71.4
0007, 2019-09-17 23:59:59.999989, 71.75, 72.0, 71.5, 71.75, 0.0, 0.0, 71.4
.....
.....
0238, 2020-09-01 23:59:59.999989, 73.25, 73.25, 72.75, 72.875, 0.0, 0.0, 73.6
0239, 2020-09-02 23:59:59.999989, 73.0, 73.25, 72.75, 73.0, 0.0, 0.0, 73.35
0240, 2020-09-03 23:59:59.999989, 73.25, 73.75, 73.0, 73.5, 0.0, 0.0, 73.275
0241, 2020-09-04 23:59:59.999989, 73.5, 73.5, 73.0, 73.125, 0.0, 0.0, 73.225
***** DATA NOTIF: DISCONNECTED
I need help to resolve this.
Thanks.
Here is the code
import argparse
import datetime
import backtrader as bt
from backtrader.utils import flushfile
import os
class TestStrategy(bt.Strategy):
params = dict(
smaperiod = 5,
trade=False,
stake=10,
exectype=bt.Order.Market,
stopafter=0,
valid=None,
cancel=0,
donotsell=False,
optim=False,
optimParams= (0, 0),
)
def __init__(self):
# To control operation entries
self.orderid = list()
self.order = None
self.counttostop = 0
self.datastatus = 0
# Create SMA on 2nd data
if self.p.optim: # Use a tuple during optimization
self.p.smaperiod,self.p.stake = self.p.optimParams
self.sma = bt.indicators.MovAv.SMA(self.data, period=self.p.smaperiod)
def notify_data(self, data, status, *args, **kwargs):
print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
if status == data.LIVE:
self.counttostop = self.p.stopafter
self.datastatus = 1
def notify_order(self, order):
if order.status in [order.Completed, order.Cancelled, order.Rejected]:
self.order = None
print('-' * 50, 'ORDER BEGIN', datetime.datetime.now())
# print(order)
print('-' * 50, 'ORDER END')
def notify_trade(self, trade):
print('-' * 50, 'TRADE BEGIN', datetime.datetime.now())
print(trade)
print('-' * 50, 'TRADE END')
def prenext(self):
self.next(frompre=True)
def next(self, frompre=False):
txt = list()
txt.append('%04d' % len(self))
dtfmt = '%Y-%m-%d %H:%M:%S.%f'
txt.append('%s' % self.data.datetime.datetime(0).strftime(dtfmt))
txt.append('{}'.format(self.data.open[0]))
txt.append('{}'.format(self.data.high[0]))
txt.append('{}'.format(self.data.low[0]))
txt.append('{}'.format(self.data.close[0]))
txt.append('{}'.format(self.data.volume[0]))
txt.append('{}'.format(self.data.openinterest[0]))
txt.append('{}'.format(self.sma[0]))
print(', '.join(txt))
if self.counttostop: # stop after x live lines
self.counttostop -= 1
if not self.counttostop:
self.env.runstop()
return
if not self.p.trade:
return
if self.datastatus and not self.position and len(self.orderid) < 1:
self.order = self.buy(size=self.p.stake,
exectype=self.p.exectype,
price=round(self.data0.close[0] * 0.90, 2),
valid=self.p.valid)
self.orderid.append(self.order)
elif self.position.size > 0 and not self.p.donotsell:
if self.order is None:
self.order = self.sell(size=self.p.stake // 2,
exectype=bt.Order.Market,
price=self.data0.close[0])
elif self.order is not None and self.p.cancel:
if self.datastatus > self.p.cancel:
self.cancel(self.order)
if self.datastatus:
self.datastatus += 1
def start(self):
header = ['Datetime', 'Open', 'High', 'Low', 'Close', 'Volume', 'OpenInterest', 'SMA']
print(', '.join(header))
self.done = False
def runstrategy():
cerebro = bt.Cerebro(stdstats=False)
storekwargs = dict(host='127.0.0.1',
port=7497,
clientId=0,
notifyall=False,
_debug=False,
reconnect = 3,
timeout = 3,
timeoffset = False,
timerefresh = 60.0,
)
store = bt.stores.IBStore(**storekwargs)
datakwargs = dict(
timeframe=bt.TimeFrame.Seconds,
compression=1,
historical= True,
rtbar=False, # real time bars
qcheck=0.5,
backfill_start=True,
backfill=True,
latethrough=True,
tz='GMT',
)
data = store.getdata(dataname='USDINR-IND-NSE-INR', **datakwargs)
cerebro.resampledata(dataname= data)
# Add the strategy
# cerebro.addstrategy(TestStrategy,
# smaperiod = 5,
# trade = True)
cerebro.optstrategy(TestStrategy,
optim=True,
optimParams=[[5,10],[10,10]],
trade=True)
cerebro.run()
if __name__ == '__main__':
runstrategy()
.......................................................................................................