@backtrader

I am trying:

X = ret_1m_mat.join(ret_3m_mat).join(ret_6m_mat).join(ret_12m_mat).dropna()

However, getting error saying:

AttributeError: 'list' object has no attribute 'join'

Thanks for the help in advance as always..........

Also, I want to set the name of this giant Matrix that is combined from these 4 lines of code to 'X'............

@backtrader said in How can I construct matrix of returns for 4 stocks:

ret_1m_mat = [x[0] for x in self.rets_1m]

Hello there,

Thanks for the response. Much appreciated. Ok so for the second part, to create the individual matrices, I continued your logic and have:

 # combine 1 month, 3 month, 6 month, and 12 month returns into one matrix
        ret_1m_mat = [x[0] for x in self.rets_1m]
        ret_3m_mat = [x[0] for x in self.rets_3m]
        ret_6m_mat = [x[0] for x in self.rets_6m]
        ret_12m_mat = [x[0] for x in self.rets_12m]

My question is, how would I now go about in combining all of the 4 lines of code above into one giant matrix by joining them all together?

Thanks in advance for all the help as always!

Sam

@Ed-Bartosh

I did that. This is what I get:

C:\Users\Sam>python -c "import ccxt; print(getattr(ccxt, 'gemini'))"
Traceback (most recent call last):
File "<string>", line 1, in <module>
ImportError: No module named ccxt

Keep in mind, this is after this was completed too:

C:\Users\Sam>pip install git+https://github.com/bartosh/backtrader.git@ccxt
Collecting git+https://github.com/bartosh/backtrader.git@ccxt
Cloning https://github.com/bartosh/backtrader.git (to ccxt) to c:\users\sam\appdata\local\temp\pip-merrrk-build
Installing collected packages: backtrader
Running setup.py install for backtrader ... done
Successfully installed backtrader-1.9.59.122

Which is very odd because I have already pip installed and imported ccxt.......

@Ed-Bartosh

So I went ahead again and gave a crack at it trying to install using:

pip install git+https://github.com/bartosh/backtrader.git@ccxt

Here is what went into command line:

C:\Users\Sam>pip install git+https://github.com/bartosh/backtrader.git@ccxt
Collecting git+https://github.com/bartosh/backtrader.git@ccxt
Cloning https://github.com/bartosh/backtrader.git (to ccxt) to c:\users\sam\appdata\local\temp\pip-merrrk-build
Installing collected packages: backtrader
Running setup.py install for backtrader ... done
Successfully installed backtrader-1.9.59.122

Now, my question is, looks like it was cloned to the directory:

c:\users\sam\appdata\local\temp\pip-merrrk-build

However, I work my python environment in:

c:\users\sam\anaconda64best\

Am I having an issue Ed because I need to copy everything from the first directory to my Python working directory? Then it should work?

Thanks for the help.........

@Ed-Bartosh

Thank you I found it. Instead of cloning github, which obviously caused me many issues, I have went ahead and saved the files from your github manually. These files being 'ccxtbroker.py' (which holds the class CCXTBroker) and 'ccxt.py' (which holds the class CCXT ).

I am receiving an error however saying:

***Traceback (most recent call last):
File "C:/Users/Sam/PycharmProjects/Test/.ipynb_checkpoints/Crypto Backtrader Algorithm Using CCXT Broker & Gemini.py", line 71, in <module>
sys.exit(runstrategy(sys.argv))
File "C:/Users/Sam/PycharmProjects/Test/.ipynb_checkpoints/Crypto Backtrader Algorithm Using CCXT Broker & Gemini.py", line 51, in runstrategy
broker = ccxtbroker.CCXTBroker(exchange='gemini', currency='USD', config=broker_config)
File "C:\Users\Sam\Anaconda64Best\lib\site-packages\backtrader\metabase.py", line 88, in call
_obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
File "C:\Users\Sam\Anaconda64Best\lib\site-packages\backtrader\metabase.py", line 78, in doinit
_obj.init(args, kwargs)
File "C:\Users\Sam\PycharmProjects\Test.ipynb_checkpoints\ccxtbroker.py", line 42, in init
self.exchange = getattr(ccxt, exchange)(config)
AttributeError: module 'ccxt' has no attribute 'gemini'

Curious on why this may be happening? My full code is pasted below for reference. Thanks Ed.

Code:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from datetime import datetime, timedelta
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

import ccxtbroker
import ccxt
import backtrader as bt

# Import the backtrader platform
import backtrader as bt
import backtrader.feeds as btfeeds
import datetime  # For datetime objects
import argparse
import time
import backtrader.analyzers as btan
from backtrader import Analyzer
import math
import numpy as np
import datetime

class TestStrategy(bt.Strategy):
    def next(self):
        for data in self.datas:
            print('*' * 5, 'NEXT:', bt.num2date(data.datetime[0]), data._name, data.open[0], data.high[0],
                  data.low[0], data.close[0], data.volume[0],
                  bt.TimeFrame.getname(data._timeframe), len(data))
            if not self.getposition(data):
                order = self.buy(data, exectype=bt.Order.Limit, size=10, price=data.close[0])
            else:
                order = self.sell(data, exectype=bt.Order.Limit, size=10, price=data.close[0])

    def notify_order(self, order):
        print('*' * 5, "NOTIFY ORDER", order)

def runstrategy(argv):
    # Create a cerebro
    cerebro = bt.Cerebro()

    # Create broker
    broker_config = {'urls': {'api': 'https://api.sandbox.gemini.com'},
                     'apiKey': '<42o4kPgIwkYTyqKdrMD4>',
                     'secret': '<2hi9U3Md3ahMVeTDqfRPXzCebS38>',
                     'nonce': lambda: str(int(time.time() * 1000))
                    }
    broker = ccxtbroker.CCXTBroker(exchange='gemini', currency='USD', config=broker_config)
    cerebro.setbroker(broker)

    # Create data feeds
    data_ticks = ccxt.CCXT(exchange='gdax', symbol='BTC/USD', name="btc_usd_tick",
                               timeframe=bt.TimeFrame.Ticks, compression=1)
    cerebro.adddata(data_ticks)

    hist_start_date = datetime.utcnow() - timedelta(minutes=30)
    data_min = ccxt.CCXT(exchange="gdax", symbol="BTC/USD", name="btc_usd_min",
                             timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date)
    cerebro.adddata(data_min)

    # Add the strategy
    cerebro.addstrategy(TestStrategy)

    # Run the strategy
    cerebro.run()

if __name__ == '__main__':
    sys.exit(runstrategy(sys.argv))

@Ed-Bartosh

I am on your page here:

https://github.com/bartosh/backtrader/tree/master/backtrader/brokers

And I do not see any file called ccxtbroker.py, in order to identify the CCXTBroker class? I only see IB, oanda, VC, and bboker.

Is there somewhere on your git page where I can find the ccxtbroker.py?

Thanks......

@Søren-Pallesen @Ed-Bartosh

Guys,

So I followed Soren's method. Created a new environment, added git, then did pip install ccxt and pip install git+https://github.com/bartosh/backtrader.git@ccxt

Both loaded just fine.

However when I am running the script, still getting an error:

ModuleNotFoundError: No module named 'backtrader.brokers.ccxtbroker'

As if it is still not reading it in my Pycharm interface. Even though everything was said to have installed ok!

I am very confused here. the statement I am using in the file to import CCXT is:

from backtrader.brokers.ccxtbroker import CCXTBroker

Is this not correct maybe? Or another import line of code I am supposed to use?

Please let me know. I really want to get this going so I can help collaborate with you guys by applying some created ML and deep learning models I have used on equities, equity options, and futures on the crypto currencies specifically. Think there may be substantial value there...........

@Ed-Bartosh

So I use conda to install git and it worked great. then I did pip install as you mentioned:

C:\Users\Sam>pip install git+https://github.com/bartosh/backtrader.git@ccxt
Collecting git+https://github.com/bartosh/backtrader.git@ccxt
Cloning https://github.com/bartosh/backtrader.git (to ccxt) to c:\users\sam\appdata\local\temp\pip-yljmoz-build
Installing collected packages: backtrader
Running setup.py install for backtrader ... done
Successfully installed backtrader-1.9.59.122

So looks like it was a success. However when I run your file I am getting same error as @soren:

C:\Users\Sam\Anaconda64Best\python.exe "C:/Users/Sam/PycharmProjects/Test/.ipynb_checkpoints/Backtrader Bitcoin Algorithm.py"
Traceback (most recent call last):
File "C:/Users/Sam/PycharmProjects/Test/.ipynb_checkpoints/Backtrader Bitcoin Algorithm.py", line 68, in <module>
sys.exit(runstrategy(sys.argv))
File "C:/Users/Sam/PycharmProjects/Test/.ipynb_checkpoints/Backtrader Bitcoin Algorithm.py", line 48, in runstrategy
broker = bt.brokers.CCXTBroker(exchange='gemini', currency='USD', config=broker_config)
AttributeError: module 'backtrader.brokers' has no attribute 'CCXTBroker'

Do we need to import something at the top? Because using:

import backtrader.brokers.ccxtbroker

seems to do nothing. Please let me know.......Thanks Ed..

@Ed-Bartosh

I even tried to run

pip install git+https://github.com/bartosh/backtrader.git@ccxt

after changing to directory that I saved git in which is: C:\Users\Sam\Anaconda64Best

But still getting the same error.......

C:\Users\Sam\Anaconda64Best\Lib\site-packages\backtrader>cd C:\Users\Sam\Anaconda64Best

*************C:\Users\Sam\Anaconda64Best>pip install git+https://github.com/bartosh/backtrader.git@ccxt

Collecting git+https://github.com/bartosh/backtrader.git@ccxt
Cloning https://github.com/bartosh/backtrader.git (to ccxt) to c:\users\sam\appdata\local\temp\pip-al_ctv-build
Error [Error 2] The system cannot find the file specified while executing command git clone -q https://github.com/bartosh/backtrader.git c:\users\sam\appdata\local\temp\pip-al_ctv-build
Cannot find command 'git'*************