@tony-shacklock said in How to associate each strategy with it's data feed.:
still want to clarify my understanding that the Strategy class needs to identify which datas[] to use. Right?
That's right. Also, the datas array is already available during strategy's __init__ so you may just search for the correct data inside the __init__ call and cache is instead of doing it on every next call.
@the-world AFAIK position is maintained by a broker per data and there is just a single broker per Cerebro engine. So in order for multiple strategies to have an independent positions, either they need to work on different datas or they need to be run using different engine instances.
@dindom999 You may try to track the memory consumption. Also it could be a problem with your code - but without seeing it, it is hard to tell.
Probably the following posts could be relevant:
https://community.backtrader.com/topic/2397/high-memory-consumption-while-optimizing-using-influxdb-data-feed
https://community.backtrader.com/topic/3552/multicore-optimization-cause-performance-degradation
https://community.backtrader.com/topic/2593/adding-influxdb-datafeeds
@quỳnh-h-nguyễn Probably the following post could be relevant:
https://community.backtrader.com/topic/2812/resample-for-extra-information-in-lines
@shaodaodao said in Is backtrader event driven or vectorized?:
Because I used bt.talib.BBands and customized some parameters, then after cerebro run the final value is huge different for runonce=true or false
That's interesting. As I've said above, it would be great if you could share some code sample + data (simplified as you wish) - so we could play with it and see what causes this discrepancy.
@shaodaodao Changing the value of runonce parameter should have no influence on the back testing / optimizations results - it's purely a performance optimization ( at least in theory )
There is a small chance that there is bug of cause - but I suspect there is something in your code that may interfere with the way the framework is supposed to work - however without seeing the full code - it is hard to tell.
If you could provide your code ( or just a sample of it that demonstrates the issue) + sample data - we'll be able to tell for sure.
@yipeng01 the following post could be relevant:https://community.backtrader.com/post/17405
@run-out said in Forward dates returning values?:
We are looking into the future. Should backtrader kick up an error?
Why should backtrader kick up an error ? Referencing the future values are technically possible (it's questionable logically though)
@run-out said in Forward dates returning values?:
if date > datetime.date(2006, 12, 1):
return
I don't see the problem other than probably mixup of months and days. The code prints on each next until Dec'1 2006 - and the output confirms that.
The print seems to be strange - but just probably because it prints in US locale ( %Y-%d-%m ) and not (%Y-%m-%d)
@bowguo Probably the following answer from @backtrader may help:
https://community.backtrader.com/topic/620/exit-on-the-same-bar-of-entry-problem/5
Probably a related answer from @backtrader about order updates: https://community.backtrader.com/topic/2334/order-modification-feature-request?_=1628242544724
@chenys said in How to backtest a long-short portfolio composition and do rebalancing?:
AMZN.csv, Close, 204.49, Position, 2
def __init__(self):
for i, d in enumerate(self.datas):
self.dataclose = self.datas[i].close
self.po = self.datas[i].po
the self.po is initialized to the po line of the last added data ( AMZN in your case).
It seems the po column for AMZN is always 2 and not 1 as your logic expects for opening a position.
I would suggest to just go over the entire code with a debugger - this way you'll get a better grasp on it.
@chenys you probably need to just add the data to the cerebro inside the loop. The rest of the logic ( including setting the broker cash, updating sizer and actually running the engine ) should be done only once - outsize the loop.
This way multiple data feed will be tested together within a single instance of the cerebro engine.
You may take a look at the following example of multi data strategy handling as well:
https://www.backtrader.com/blog/posts/2017-04-09-multi-example/multi-example/
@bowguo You may think about the orders as instructions to change the current position. The order doesn't constitute the position itself.
The position is maintained by the broker per data ( not per order ). So if you buy order has completed - your position for particular data has increased and vice versa for sell order.
Regarding the multiple orders with different prices - once again the position is not maintained per order - so if you sell part of your position - the position will just decrease by the size of the sell order - regardless of any previous order history that brought your position to the current state.
Diving a little bit deeper however, the real broker maintains the base price for every single share/unit of the entity you are holding in your position - for various purposes ( tax calculation, average price calculation, margin requirements and so on ). Some brokers even allow you to select the tax calculation policy if multiple lots of the same entity with different prices are part of your position.
@chenys having a separate csv per ticket is a better (and easiest) option in your case IMHO. The alternative would be to develop a custom data feed in order to comply with backtrader's way of working with data.
@bowguo said in Does the current close data already happen when invoking next method in backtest?:
does the current close data self.data.close[0] already happen when invoking next method of strategy?
That's right - the next method is invoked after the bar has closed - the close price has already happened.
@bo Another option is to utilize the prenext method. See the example here:
https://www.backtrader.com/blog/2019-05-20-momentum-strategy/momentum-strategy/#next-and-prenext
@jesseliu0 This topic was discussed few times on this forum ( try to search for optstrategy parameters ). Here some of the related posts:
https://community.backtrader.com/topic/390/how-to-check-the-legality-of-parameters-before-running-the-test
https://community.backtrader.com/topic/2227/optimization-sequence-multiple-combination-of-parameters
https://community.backtrader.com/topic/2837/how-to-pass-a-list-of-dicts-to-optstrategy
Not directly related but interesting nevertheless:
https://community.backtrader.com/topic/186/genetic-optimization
@longhngo AFAIR @vbs was working on real-time plotting using Bokeh framework.
take a look at his post here: https://community.backtrader.com/topic/813/bokeh-integration-interactive-webbrowser-plotting
@bt88 It seems the self.order is not set to None anywhere - probably need to reset it to None in notify_order once the order is completed.