Hi there,

I'm trying to add 1 minute data to CCXTFeed, and then resample it to 5 minutes, so I can get MACD of 1m and 5m. But failed.

Here's the code:

# !/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import sys
import time
from datetime import datetime, timedelta

import backtrader as bt
from ccxtbt import CCXTFeed

class TestStrategy(bt.Strategy):
    params = (
        ('printlog', True),
    )

    def log(self, txt, dt=None, doprint=False):
        ''' Logging function fot this strategy'''
        if self.params.printlog or doprint:
            dt = dt or bt.num2date(self.data.datetime[0])
            print('%s, %s' % (dt, txt))

    def start(self):
        self.counter = 0
        print('START')

    def prenext(self):
        self.counter += 1
        print('prenext len %d - counter %d' % (len(self), self.counter))

    def __init__(self):
        self.macd = bt.indicators.MACDHisto(self.datas[0])
        self.macd2 = bt.indicators.MACDHisto(self.datas[1])


    def next(self):
        self.counter += 1
        price_txt = "Counter: " + str(self.counter) + " Open/Close/High/Low/Volume: " + str(self.data0.open[0]) + " - "+ str(self.data0.close[0]) + " - " + str(self.data0.high[0]) + " - " + str(self.data0.low[0])  + " - " + str(self.data0.volume[0]) + " Len: "+ str(len(self.data0))# + " Time Frame:" + bt.TimeFrame.getname(self.data0._timeframe) + " Len: "+ str(len(self.data0))
        self.log(price_txt)
        macd_txt = "MACD: {:.2f}, Histo: {:.2f}".format(self.macd.macd[0],self.macd.histo[0])
        self.log("MACD#1: " + macd_txt)
        macd2_txt = "MACD: {:.2f}, Histo: {:.2f}".format(self.macd2.macd[0],self.macd2.histo[0])
        self.log("MACD#2: " + macd2_txt)
    
    def notify_data(self, data, status, *args, **kwargs):
        dn = data._name
        dt = datetime.now()
        msg= 'Data Status: {}'.format(data._getstatusname(status))
        print(dt,dn,msg)
        if data._getstatusname(status) == 'LIVE':
            self.live_data = True
        else:
            self.live_data = False

if __name__ == '__main__':
    #cerebro = bt.Cerebro(quicknotify=True)
    cerebro = bt.Cerebro()

    

    #exchange = sys.argv[1] if len(sys.argv) > 1 else 'gdax'
    exchange = sys.argv[1] if len(sys.argv) > 1 else 'binance'
    symbol = sys.argv[2] if len(sys.argv) > 2 else 'ETH/USDT'

    #store = CCXTStore(exchange=exchange, currency='LTC', config=config, retries=5, debug=False)

    hist_start_date = datetime.utcnow() - timedelta(minutes=10)
    print('UTC NOW: ', datetime.utcnow())
    print('hist_start_data: ', hist_start_date)
    print('Using symbol: ', symbol)

    data = CCXTFeed(exchange=exchange,
                             dataname=symbol,
                             timeframe=bt.TimeFrame.Minutes,
                             fromdate=hist_start_date,
                             #todate=datetime(2019, 1, 1, 0, 2),
                             compression=1,
                             ohlcv_limit=2,
                             currency='USDT',
                             retries=5,

                             # 'apiKey' and 'secret' are skipped
                             config={'enableRateLimit': True, 'nonce': lambda: str(int(time.time() * 1000))})

    cerebro.adddata(data)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=2)

    cerebro.addstrategy(TestStrategy)
    # Run the strategy
    cerebro.run()

And here's the output:

python ccxtbttest.py             
UTC NOW:  2019-06-21 07:19:54.687534
hist_start_data:  2019-06-21 07:09:54.687358
Using symbol:  ETH/USDT
START
2019-06-21 15:20:01.656669 ETH/USDT Data Status: DELAYED
prenext len 1 - counter 1
prenext len 2 - counter 2
2019-06-21 15:20:03.363956 ETH/USDT Data Status: LIVE
prenext len 3 - counter 3
prenext len 4 - counter 4
prenext len 5 - counter 5
prenext len 6 - counter 6
prenext len 7 - counter 7
prenext len 8 - counter 8
prenext len 9 - counter 9
prenext len 10 - counter 10
prenext len 11 - counter 11
prenext len 12 - counter 12
Traceback (most recent call last):
  File "ccxtbttest.py", line 90, in <module>
    cerebro.run()
  File "/Users/michael/.venv/bt-ccxt-store/lib/python3.6/site-packages/backtrader-1.9.74.123-py3.6.egg/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/michael/.venv/bt-ccxt-store/lib/python3.6/site-packages/backtrader-1.9.74.123-py3.6.egg/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/Users/michael/.venv/bt-ccxt-store/lib/python3.6/site-packages/backtrader-1.9.74.123-py3.6.egg/backtrader/cerebro.py", line 1557, in _runnext
    dt0 = min((d for i, d in enumerate(dts)
ValueError: min() arg is an empty sequence

Any idea?

Thank you.

Hi

During live trading against Binance, I am met with the error message:

"code":-1104,"msg":"Not all sent parameters were read; read '9' parameter(s) but was sent '10'."

It seems Binance is a bit strict, discarding order-requests if they transmit unknown parameters.
The 'created' parameter is outside Binance's v3 API, hence all trading orders are discarded.

Removing this line, should fix it:

Hi ccxtbt,

I found something I don't understand while playing with ccxtbt. I think if self.live_data is true I should be getting the current data instead of still being in the history. Am I understanding it incorrectly? Some logs and codes to illustrate:

If self.live_data is not designed to provide this, and I'd like to determine if I'm at current data or still in the history, what's the suggested way to do so?

......
2022-01-16 19:00:00 < 2022-01-17 06:30:43.861385
2022-01-16 20:00:00 < 2022-01-17 06:30:43.862211
2022-01-16 21:00:00 < 2022-01-17 06:30:43.862751
2022-01-16 22:00:00 < 2022-01-17 06:30:43.863443
2022-01-16 23:00:00 < 2022-01-17 06:30:43.864055
2022-01-17 00:00:00 < 2022-01-17 06:30:43.864785
2022-01-17 00:30:44.886290 BTCUSDT Data Status: LIVE
2022-01-17 01:00:00 == 2022-01-17 06:30:44.886652   why still in the history when self.live_data is already true
2022-01-17 02:00:00 == 2022-01-17 06:30:45.833513   why still in the history when self.live_data is already true
2022-01-17 03:00:00 == 2022-01-17 06:30:46.081778   why still in the history when self.live_data is already true
2022-01-17 04:00:00 == 2022-01-17 06:30:47.166631   why still in the history when self.live_data is already true
2022-01-17 05:00:00 == 2022-01-17 06:30:47.680394   shouldn't self.live_data=true be at this line?

import datetime

import backtrader as bt
import ccxtbt


class TestStrategy(bt.Strategy):
    def next(self):
        if self.live_data:
            print(f"{self.data.datetime.datetime()} == {datetime.datetime.utcnow()}")
        else:
            print(f"{self.data.datetime.datetime()} < {datetime.datetime.utcnow()}")

    def notify_data(self, data, status, *args, **kwargs):
        dn = data._name
        dt = datetime.datetime.now()
        msg = 'Data Status: {}'.format(data._getstatusname(status))
        print(dt, dn, msg)
        if data._getstatusname(status) == 'LIVE':
            self.live_data = True
        else:
            self.live_data = False


cerebro = bt.Cerebro(quicknotify=True)
cerebro.addstrategy(TestStrategy)
store = ccxtbt.CCXTStore(exchange='binance', currency='USDT', retries=5, debug=False,
                         config={'enableRateLimit': True, 'options': {'defaultType': 'future'}})
cerebro.setbroker(store.getbroker())
cerebro.adddata(store.getdata(
    dataname=f'BTC/USDT', name=f'BTCUSDT', timeframe=bt.TimeFrame.Minutes,
    fromdate=datetime.datetime.utcnow()-datetime.timedelta(hours=1505),
    compression=60, ohlcv_limit=1505, drop_newest=True))
cerebro.run()

Please see details in the pull request associated with this issue.
#13
Could you please merge that one line fix into the master repository so I can try reinstalling the module with the fix.
Thank you for your assistance with this it is greatly appreciated.

Hello,
Thank you for working on this library. However, I would like to be able to use the set_sandbox_mode(params) from ccxt with the CCXTStore to easily interact with test nets. I have tried implementing it myself, but I am having trouble doing so.

I get this error:

return cls.BrokerCls(*args, **kwargs)

TypeError: 'NoneType' object is not callable

I tried the fork for binance exchange. ccxt_order price info returns zero. Thus, backtrader's order.executed.price method returns zero.

Starting Portfolio Value: 0.00034142
Base strategy initialized
DELAYED
LIVE
LIVE DATA - Ready to trade
Buy ordered: $0.02 True
{'_active': True,
 '_limitoffset': 0.0,
 '_plimit': None,
 'broker': None,
 'ccxt_order': {'amount': 0.013,
                'average': 0.021913846153846155,
                'cost': 0.00028488,
                'datetime': '2019-07-30T23:33:45.185Z',
                'fee': None,
                'filled': 0.013,
                'id': '445093341',
                'info': {'clientOrderId': 'Kp9arC7BR9UZsPTQDr3J9K',
                         'cummulativeQuoteQty': '0.00028488',
                         'executedQty': '0.01300000',
                         'icebergQty': '0.00000000',
                         'isWorking': True,
                         'orderId': 445093341,
                         'origQty': '0.01300000',
                         'price': '0.00000000',
                         'side': 'BUY',
                         'status': 'FILLED',
                         'stopPrice': '0.00000000',
                         'symbol': 'ETHBTC',
                         'time': 1564529625185,
                         'timeInForce': 'GTC',
                         'type': 'MARKET',
                         'updateTime': 1564529625185},
                'lastTradeTimestamp': None,
                'price': 0.021913846153846155,
                'remaining': 0.0,
                'side': 'buy',
                'status': 'closed',
                'symbol': 'ETH/BTC',
                'timestamp': 1564529625185,
                'trades': None,
                'type': 'market'},
 'comminfo': None,
 'created': <backtrader.order.OrderData object at 0x7f7d1826c160>,
 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7f7d06a752b0>,
 'dteos': 737250.9999999999,
 'exectype': 0,
 'executed': <backtrader.order.OrderData object at 0x7f7d076b8c50>,
 'info': AutoOrderedDict(),
 'ordtype': 0,
 'owner': <live_strategy.bt_bandtrader_v3_trend.Strategy object at 0x7f7d06ae5f98>,
 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7f7d06a75518>,
 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7f7d06a75518>,
 'position': 0,
 'ref': 1,
 'size': 0.013,
 'status': 4,
 'triggered': False}
BUY EXECUTED, Price: 0.00000000, Cost: 0.00000000, Comm 0.00000000 True

I guess this bug causes the issue below. "Position variables returns zero"

ENV=  production

Starting Portfolio Value: 0.00333707
DELAYED
LIVE
{'broker': None, '_plimit': None, 'owner': <strategies.basic_rsi.BasicRSI object at 0x7fdd939dfe80>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7fdd939df400>, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7fdd939df400>, 'info': AutoOrderedDict(), 'ref': 1, '_limitoffset': 0.0, 'position': 0, 'exectype': 0, 'ccxt_order': {'fee': None, 'trades': None, 'datetime': '2019-07-20T20:23:28.948Z', 'lastTradeTimestamp': None, 'status': 'closed', 'info': {'executedQty': '0.12300000', 'icebergQty': '0.00000000', 'price': '0.00000000', 'origQty': '0.12300000', 'orderId': 436039847, 'isWorking': True, 'status': 'FILLED', 'timeInForce': 'GTC', 'updateTime': 1563654208948, 'time': 1563654208948, 'symbol': 'ETHBTC', 'type': 'MARKET', 'clientOrderId': '3MwUQaNQMyuMzK3HyZkCv2', 'side': 'BUY', 'stopPrice': '0.00000000', 'cummulativeQuoteQty': '0.00260747'}, 'filled': 0.123, 'amount': 0.123, 'id': '436039847', 'symbol': 'ETH/BTC', 'price': 0.021198943089430895, 'remaining': 0.0, 'average': 0.021198943089430895, 'type': 'market', 'cost': 0.00260747, 'side': 'buy', 'timestamp': 1563654208948}, 'size': 0.123, 'comminfo': None, 'created': <backtrader.order.OrderData object at 0x7fdd939dfcc0>, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7fdd939dfa58>, 'triggered': False, '_active': True, 'dteos': 737240.9999999999, 'executed': <backtrader.order.OrderData object at 0x7fdd9386bcc0>, 'status': 4, 'ordtype': 0}
{'broker': None, '_plimit': None, 'owner': <strategies.basic_rsi.BasicRSI object at 0x7fdd939dfe80>, 'params': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7fdd939df400>, 'p': <backtrader.metabase.AutoInfoClass_OrderBase_CCXTOrder object at 0x7fdd939df400>, 'info': AutoOrderedDict(), 'ref': 1, '_limitoffset': 0.0, 'position': 0, 'exectype': 0, 'ccxt_order': {'fee': None, 'trades': None, 'datetime': '2019-07-20T20:23:28.948Z', 'lastTradeTimestamp': None, 'status': 'closed', 'info': {'executedQty': '0.12300000', 'icebergQty': '0.00000000', 'price': '0.00000000', 'origQty': '0.12300000', 'orderId': 436039847, 'isWorking': True, 'status': 'FILLED', 'timeInForce': 'GTC', 'updateTime': 1563654208948, 'time': 1563654208948, 'symbol': 'ETHBTC', 'type': 'MARKET', 'clientOrderId': '3MwUQaNQMyuMzK3HyZkCv2', 'side': 'BUY', 'stopPrice': '0.00000000', 'cummulativeQuoteQty': '0.00260747'}, 'filled': 0.123, 'amount': 0.123, 'id': '436039847', 'symbol': 'ETH/BTC', 'price': 0.021198943089430895, 'remaining': 0.0, 'average': 0.021198943089430895, 'type': 'market', 'cost': 0.00260747, 'side': 'buy', 'timestamp': 1563654208948}, 'size': 0.123, 'comminfo': None, 'created': <backtrader.order.OrderData object at 0x7fdd939dfcc0>, 'data': <ccxtbt.ccxtfeed.CCXTFeed object at 0x7fdd939dfa58>, 'triggered': False, '_active': True, 'dteos': 737240.9999999999, 'executed': <backtrader.order.OrderData object at 0x7fdd9386bcc0>, 'status': 4, 'ordtype': 0}
Finished with error:  unsupported operand type(s) for *: 'NoneType' and 'float'
Traceback (most recent call last):
  File "/home/tunc/PycharmProjects/btlivebot/main.py", line 107, in <module>
    main()
  File "/home/tunc/PycharmProjects/btlivebot/main.py", line 92, in main
    result = cerebro.run()
  File "/usr/local/lib/python3.5/dist-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/usr/local/lib/python3.5/dist-packages/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/usr/local/lib/python3.5/dist-packages/backtrader/cerebro.py", line 1623, in _runnext
    self._brokernotify()
  File "/usr/local/lib/python3.5/dist-packages/backtrader/cerebro.py", line 1360, in _brokernotify
    self._broker.next()
  File "/usr/local/lib/python3.5/dist-packages/ccxtbt/ccxtbroker.py", line 203, in next
    pos.update(o_order.size, o_order.price)
  File "/usr/local/lib/python3.5/dist-packages/backtrader/position.py", line 179, in update
    self.price = (self.price * oldsize + size * price) / self.size
TypeError: unsupported operand type(s) for *: 'NoneType' and 'float'

Process finished with exit code 1

The default is UTC time. How can I change the timezone to another timezone?
I use the following code, but it doesn't work.

data_min = bt.feeds.CCXT(exchange='binance', symbol="BTC/USDT", name="btc_usd_min", fromdate=hist_start_date,
                             timeframe=bt.TimeFrame.Minutes, tz=pytz.timezone('Asia/Shanghai'))

While running live trading ohlc data incorrectly pushed to lines.

Please view the image. The left part is prefetched data, the right part - live data.

CCXTBroker._submit() should be updated to not use 'created' parameter.

Traceback (most recent call last):
File "./main.py", line 132, in
main()
File "./main.py", line 117, in main
result = cerebro.run()
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
self._runnext(runstrats)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/backtrader/cerebro.py", line 1630, in _runnext
strat._next()
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/backtrader/strategy.py", line 347, in _next
super(Strategy, self)._next()
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/backtrader/lineiterator.py", line 271, in _next
self.next()
File "/home/wdog/cellboost/strategies/basic_rsi.py", line 46, in next
self.long()
File "/home/wdog/cellboost/strategies/base.py", line 61, in long
return self.buy(size=amount)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/backtrader/strategy.py", line 933, in buy
return self.broker.buy(
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxtbt/ccxtbroker.py", line 244, in buy
return self._submit(owner, data, exectype, 'buy', size, price, kwargs)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxtbt/ccxtbroker.py", line 226, in _submit
ret_ord = self.store.create_order(symbol=data.p.dataname, order_type=order_type, side=side,
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxtbt/ccxtstore.py", line 142, in retry_method
return method(self, *args, **kwargs)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxtbt/ccxtstore.py", line 172, in create_order
return self.exchange.create_order(symbol=symbol, type=order_type, side=side,
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxt/binance.py", line 1911, in create_order
response = getattr(self, method)(self.extend(request, params))
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxt/base/exchange.py", line 470, in inner
return entry(_self, **inner_kwargs)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxt/binance.py", line 2907, in request
response = self.fetch2(path, api, method, params, headers, body)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxt/base/exchange.py", line 491, in fetch2
return self.fetch(request['url'], request['method'], request['headers'], request['body'])
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxt/base/exchange.py", line 618, in fetch
self.handle_errors(http_status_code, http_status_text, url, method, headers, http_response, json_response, request_headers, request_body)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxt/binance.py", line 2901, in handle_errors
self.throw_exactly_matched_exception(self.exceptions, error, feedback)
File "/home/wdog/anaconda3/envs/cell/lib/python3.8/site-packages/ccxt/base/exchange.py", line 509, in throw_exactly_matched_exception
raise exactstring
ccxt.base.errors.BadRequest: binance {"code":-1104,"msg":"Not all sent parameters were read; read '9' parameter(s) but was sent '10'."}

DEBUG:ccxt.base.exchange:POST https://testnet.binance.vision/api/v3/order, Request: {'X-MBX-APIKEY': '', 'Content-Type': 'application/x-www-form-urlencoded', 'User-Agent': 'python-requests/2.21.0', 'Accept-Encoding': 'gzip, deflate'} timestamp=1617953716986&recvWindow=5000&symbol=BTCUSDT&type=MARKET&side=BUY&newClientOrderId=x-R4BD3S82c6b4080059babf27962668&newOrderRespType=FULL&quantity=1.1&created=1617874020000&signature=912c3bf95905f2cf2cd66fcd4d5eefe61c7a584ab14c3990be158ae9b1ff157a
DEBUG:urllib3.connectionpool:https://testnet.binance.vision:443 "POST /api/v3/order HTTP/1.1" 400 98
DEBUG:ccxt.base.exchange:POST https://testnet.binance.vision/api/v3/order, Response: 400 {'Content-Type': 'application/json;charset=UTF-8', 'Content-Length': '98', 'Connection': 'keep-alive', 'Date': 'Fri, 09 Apr 2021 07:35:17 GMT', 'Server': 'nginx', 'x-mbx-uuid': '0e33c5e5-d105-49fa-8d58-8ff5cb6c2f07', 'x-mbx-used-weight': '33', 'x-mbx-used-weight-1m': '33', 'Strict-Transport-Security': 'max-age=31536000; includeSubdomains', 'X-Frame-Options': 'SAMEORIGIN', 'X-Xss-Protection': '1; mode=block', 'X-Content-Type-Options': 'nosniff', 'Content-Security-Policy': "default-src 'self'", 'X-Content-Security-Policy': "default-src 'self'", 'X-WebKit-CSP': "default-src 'self'", 'Cache-Control': 'no-cache, no-store, must-revalidate', 'Pragma': 'no-cache', 'Expires': '0', 'X-Cache': 'Error from cloudfront', 'Via': '1.1 eb66232d6b1e64b4346cf2ac56fa1bd5.cloudfront.net (CloudFront)', 'X-Amz-Cf-Pop': 'NRT20-C2', 'X-Amz-Cf-Id': 'W_6cdF_R2isHiq9bKB3c6QRfbxdDnNulBpOxpXikxWZZIU0mEn4kPA=='} {"code":-1104,"msg":"Not all sent parameters were read; read '9' parameter(s) but was sent '10'."}

@Dave-Vallance first, thank you

Im using testnet from bitmex. This is the result from fetch_order,

{'info': {'orderID': '5621672a-a590-4c96-b81e-4a1632c631fe', 'clOrdID': '', 'clOrdLinkID': '', 'account': 348254, 'symbol': 'XBTUSD', 'side': 'Buy', 'simpleOrderQty': None, 'orderQty': 1, 'price': 55257, 'displayQty': None, 'stopPx': None, 'pegOffsetValue': None, 'pegPriceType': '', 'currency': 'USD', 'settlCurrency': 'XBt', 'ordType': 'Market', 'timeInForce': 'ImmediateOrCancel', 'execInst': '', 'contingencyType': '', 'exDestination': 'XBME', 'ordStatus': 'Filled', 'triggered': '', 'workingIndicator': False, 'ordRejReason': '', 'simpleLeavesQty': None, 'leavesQty': 0, 'simpleCumQty': None, 'cumQty': 1, 'avgPx': 55248.5, 'multiLegReportingType': 'SingleSecurity', 'text': 'Submitted via API.', 'transactTime': '2021-02-22T09:37:59.255Z', 'timestamp': '2021-02-22T09:37:59.255Z'}, 'id': '5621672a-a590-4c96-b81e-4a1632c631fe', 'clientOrderId': '', 'timestamp': 1613986679255, 'datetime': '2021-02-22T09:37:59.255Z', 'lastTradeTimestamp': 1613986679255, 'symbol': 'BTC/USD', 'type': 'market', 'timeInForce': 'IOC', 'postOnly': False, 'side': 'buy', 'price': 55257.0, 'stopPrice': None, 'amount': 1.0, 'cost': 55248.5, 'average': 55248.5, 'filled': 1.0, 'remaining': 0.0, 'status': 'closed', 'fee': None, 'trades': None}

So 'trades' contains nothing. How should I approach this?

Dear Sir,

I found problem when trying to trade on binance. Here is the following detail.

Error when try to trade buy / sell / order_target
the error I found is ccxt.base.errors.ExchangeError: binance {"code":-1104,"msg":"Not all sent parameters were read; read '8' parameter(s) but was sent '9'."}

I look into the code and found out that ccxtbroker._submit add 'created' to params which course this problem. I comment that line out and it's work.

ccxt_order['trades'] is none in ccxtbroker.next
binance return ccxt_order with 'trades' key but none value in it which course error Line 199. I check for not null in line 198 and it's work again

Sorry for not issue pull requests, I don't know how to do it. I will try to learn and may be send you a pull requests later.

Best Regards,
Chet Chetchaiyan

Hello there,

I am using the library with Bitmex, to get the hourly bars of Etherium, in Live environment. After a couple of hours of running, I notice that some duplicate bars start to appear in the log.

2020-03-21 19:00:00, close price:133.05  Rsi:51.004983696776364 Volume:4799960.0
2020-03-21 20:00:00, close price:135.45 Rsi:55.39222359889011 Volume:6666773.0

2020-03-21 21:00:00, close price:133.2  Rsi:50.79964969434447 Volume:11179735.0

2020-03-21 22:00:00, close price:132.95  Rsi:50.30062400737818 Volume:6394664.0

2020-03-21 21:00:00, close price:133.2 Rsi:45.92777223117949 Volume:11179735.0

2020-03-21 22:00:00, close price:132.95  Rsi:45.45493183926012 Volume:6394664.0

2020-03-21 23:00:00, close price:133.0 Rsi:45.57561520012476 Volume:3941874.0

I can't locate CCXTBT module where to find? I have CCXT already.

ERROR: Could not find a version that satisfies the requirement ccxtbt (from versions: none)
ERROR: No matching distribution found for ccxtbt

Hi team,
I just finished to install python-binance and wanted to test it with a simple line of code:

from binance.client import Client

but i got this error message like i did not install it at all:

ModuleNotFoundError: No module named 'binance'

i'm using spyder(Python 3.6). the installation was done as follow:
!pip install python-binance

Any thought please?

This function never work in live mode

    def notify_trade(self, trade):
        print('-' * 50, 'TRADE BEGIN', datetime.datetime.now())
        print(trade)
        print('-' * 50, 'TRADE END')

How we can use trades and calculate mfe\mae for open position for each bar?

I want to watch open candles to be able to exit on fixed and indicator-based stop-loss levels in live mode. However, when I set drop_newest to False, only the first event is passed to the next() method.

I expect to have several events of incomplete candles delivered to the next() method, but I only receive one event (the first one) in the desired timeframe.

I also tried to use the replay feature, but nothing changed.

What should I do?

Thanks in advance.

Am I missing something or is there no support for loading current positions from account before starting to execute a strategy?

I'm currently making an attempt to connect backtrader to my (in-house) stock trading platform by implementing a python exchange and the web API at the same time.

Starting positions are one of the last pieces of the puzzle before I can at least start paper trading with it, then it's all up to me to connect the web API to actual trading.

Hi,
Many thanks for your great work in integrating CCXT into Backtrader for trading live.

I was just wondering if this bug has been fixed. When i use the self.getposition() i receive empty object where I should get a list of my open positions:

Positions --- Position Begin

• Size: 0
• Price: 0.0
• Price orig: 0.0
• Closed: 0
• Opened: 0
• Adjbase: None
  --- Position End

Also, is there equivalent methods existing in Backtrader to similar to CCXT api:

fetchOrders()
fetchOpenOrders()
fetchClosedOrders()

Many thanks.

Even though that I've set enableRateLimit to True in the exchange config, the library hits the rate limit of the exchange.

I enabled logging and I saw that the library is requesting data too much frequently, i.e. one or even two requests in each second.

What I want to achieve is that the library makes requests every 15 seconds or so. How can I set that?

Thanks in advance.

Can this store be used to trade in margin and open short position? Or is it just for spot.

Hi there,

I need to get current market price in the next function to make decisions.

Tried to change ccxt/ccxtstore.py, add some code to get fetch_ticket information.

def __init__(self, exchange, currency, config, retries, debug=False, sandbox=False):
        self.exchange = getattr(ccxt, exchange)(config)
        # print("self.exchange",self.exchange)
        print("self.exchange.fetch_ticker", self.exchange.fetch_ticker('USDT/HUSD'))

Here's the output:

self.exchange.fetch_ticker {'symbol': 'USDT/HUSD', 'timestamp': 1615448013555, 'datetime': '2021-03-11T07:33:33.555Z', 'high': 1.0006, 'low': 0.9995, 'bid': 0.9997, 'bidVolume': 42300.4802, 'ask': 0.9998, 'askVolume': 136145.3142, 'vwap': 1.000125720339054, 'open': 1.0004, 'close': 0.9997, 'last': 0.9997, 'previousClose': None, 'change': -0.0006999999999999229, 'percentage': -0.06997201119551409, 'average': 1.0000499999999999, 'baseVolume': 105604769.11847508, 'quoteVolume': 105618045.78585435, 'info': {'amount': 105604769.11847508, 'open': 1.0004, 'close': 0.9997, 'high': 1.0006, 'id': 208846147104, 'count': 79494, 'low': 0.9995, 'version': 208846147104, 'ask': [0.9998, 136145.3142], 'vol': 105618045.78585435, 'bid': [0.9997, 42300.4802]}}
2021-03-11 15:33:42.040526 USDTHUSD Data Status: DELAYED, Order Status: 3
2021-03-11 15:33:44.140944 USDTHUSD Data Status: LIVE, Order Status: 4
2021-03-11, DIFF = HIGH - SMA30: 0.0

But I'm confused how should I call it in the Strategy's next function.

Any suggestions?

Thanks a lot.

I am using the bitfinex. The exchange returns a feed of one minute. My bot uses a time-frame of 30 minutes, but it stuck with a compression different of 1.

Code:

hist_start_date = dt.datetime.utcnow() - dt.timedelta(minutes=50)
data = store.getdata(dataname='BTC/USDT', name="BTCUSDT",
	timeframe=bt.TimeFrame.Minutes, fromdate=hist_start_date,
	compression=30, ohlcv_limit=999, drop_newest=True)

I also tried to use cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=30) with compression 1 in store. But does not work too.

With compression=1, the feed works fine. And next() function is triggered.

1. As reproduceable in this gist the CCXTFeed continuously fetches ohlcv data from the exchange and thus consumes additional downstream data volume.
   Is that really needed for something or is that an error?
2. Sometimes the same value for ohlc is returned which is most probably wrong. The output from the above gist looks like that in this case:

---- NEW REQUEST ----
2019-03-12 19:10:03.585799 - Requesting: Since TS 1552417740000 Since date 2019-03-12 19:09:00 granularity 1m, limit 2, params
2019-03-12 19:10:04.374471 - Data 0: 2019-03-12 19:09:00 - TS 1552417740000 Time 1552417804374.4797
2019-03-12 19:10:04.374536 - Data 1: 2019-03-12 19:10:00 - TS 1552417800000 Time 1552417804374.5388
---- REQUEST END ----
----     LOAD    ----
2019-03-12 19:10:04.374660 Load OHLCV Returning: True
2019-03-12T19:10:00 open: 15.0262
2019-03-12T19:10:00 high: 15.0262
2019-03-12T19:10:00 low: 15.0262
2019-03-12T19:10:00 close: 15.0262

When I set a conditional breakpoint in binance.py:fetch_ohlcv() after publicGetKlines() I can inspect the variables for this scenario but it's still not clear to me where that comes from.
The breakpoint condition I use is: len(response) == 2 and response[1][1] == response[1][2] and response[1][2] == response[1][3] and response[1][3] == response[1][4]

To make the gist work the code from the #5 pull request needs to be used to avoid needing a Binance API key.

When creating a buy and sell order, some exchanges (Binance) can return an error if Backtrader's Bracket order kwargs parent and transmit are present in the request.

The current workaround is to delete the kwargs before submitting the order. However, this might limit integration of bracket orders in the future.

As such, a more elegant solution would be good.

Example of deletion in current code base:

def buy(self, owner, data, size, price=None, plimit=None,
            exectype=None, valid=None, tradeid=0, oco=None,
            trailamount=None, trailpercent=None,
            **kwargs):

        del kwargs['parent']
        del kwargs['transmit']

        return self._submit(owner, data, exectype, 'buy', size, price, kwargs)

Reference to pull request: #2

Why are the data of data0 and data1 the same when I use two "CCXTStore" instances?

Hi,

I have tried to get a strategy with 2 data feeds working. eg. hourly and daily.
However even after both feeds have live data the strategy next() function is not called.

Is this a bug or does anyone know how to achieve it?

Hi fox,
i'm coding a scanner bot for short term profit however since the prices are different from coins to coins i got exceptions when buying and selling,i'm 99.9 sure that it has a relation with decimals and the way the function round() is doing the rounding. Here is a block of code:

        m1=client.get_klines(symbol=mycoin, interval='1m')
        tim=datetime.fromtimestamp(int(m1[-1][0])/1000)
        xlslog['Entred time'].append(tim)
        EnterPrice=round(float(m1[-1][4]),7)
        xlslog['inPrice'].append(EnterPrice)
        stoprsi=False
        buystat=True
        xt+=1
        Ploss=(float(EnterPrice)*0.08)/100
        divrsi=(float(EnterPrice)*0.6)/100
        Ploss=float(EnterPrice)-Ploss
        divrsi=round(float(EnterPrice)+divrsi,7)
        inprice=round(float(EnterPrice),7)
        qnt=round(float(15/inprice),4)
        try:
            buyorder = client.order_market_buy(symbol=mycoin,quantity=qnt)
        except BinanceAPIException as e:
            
            # error handling goes here
            qnt=int(qnt)
            buyorder = client.order_market_buy(symbol=mycoin,quantity=qnt)

Can any experienced coder that dealed with this issue before advise on an idea of how to solve it please?
Thank you in advance,

Regards,

OKEX Contracts has the contracts with additional parameters, suck like: base_coin='eth', quote_coin='usd', and contractType = 'quarter', but how to set such instrument into data?
Could you give a simple sample, thanks.

I can't figure out what needs to be done for trades to show up on plot, as well as cash balance.
My strategies execute fine, for now my backend autofills any order at current bid/ask:

def fill(order):
    if 'trades' not in order:
        order['trades'] = []

    order['original_amount'] = order['quantity']
    order['executed_amount'] = order['quantity']
    order['remaining_amount'] = 0
    try:
        order['cost'] = int(order['quantity']) * float(order['price'])
    except:
        pass

    try:
        fee = int(order['quantity']) * 0.0005
    except:
        fee = 0.0

    order['trades'].append({
        'order_id': order['order_id'],
        'market': order['symbol'],
        'side': order['side'],
        'price': order['price'],
        'quantity': order['quantity'],
        'timestamp': time.time(),
        'fee_amount': fee,
        'fee_currency': 'CAD'
    })

Positions seem to update fine - I'm buying and selling according to position.

But when I stop the strategy, I can see my data feeds, signals and a flat line for account balance (at the number of the balance at the start) and no buy/sell markets on the feed.

Is it just that that's not supported?

Hi,

I'm having this error with Bitfinex:

Traceback (most recent call last):
  File "/home/user/.vscode/extensions/ms-python.python-2019.1.0/pythonFiles/ptvsd_launcher.py", line 45, in <module>
    main(ptvsdArgs)
  File "/home/user/.vscode/extensions/ms-python.python-2019.1.0/pythonFiles/lib/python/ptvsd/__main__.py", line 348, in main
    run()
  File "/home/user/.vscode/extensions/ms-python.python-2019.1.0/pythonFiles/lib/python/ptvsd/__main__.py", line 253, in run_file
    runpy.run_path(target, run_name='__main__')
  File "/usr/lib/python3.6/runpy.py", line 263, in run_path
    pkg_name=pkg_name, script_name=fname)
  File "/usr/lib/python3.6/runpy.py", line 96, in _run_module_code
    mod_name, mod_spec, pkg_name, script_name)
  File "/usr/lib/python3.6/runpy.py", line 85, in _run_code
    exec(code, run_globals)
  File "/home/user/TEST/my_test_ccxt/bot_bitfinex.py", line 107, in <module>
    cerebro.run(exactbars=0) #https://www.backtrader.com/docu/memory-savings/memory-savings.html
  File "/home/user/.local/lib/python3.6/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/home/user/.local/lib/python3.6/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/home/user/.local/lib/python3.6/site-packages/backtrader/cerebro.py", line 1623, in _runnext
    self._brokernotify()
  File "/home/user/.local/lib/python3.6/site-packages/backtrader/cerebro.py", line 1360, in _brokernotify
    self._broker.next()
  File "/usr/local/lib/python3.6/dist-packages/bt_ccxt_store-1.0-py3.6.egg/ccxtbt/ccxtbroker.py", line 199, in next
  File "/home/user/.local/lib/python3.6/site-packages/backtrader/position.py", line 193, in update
    self.price = (self.price * oldsize + size * price) / self.size
TypeError: unsupported operand type(s) for *: 'NoneType' and 'float'

it happens after this:

2019-02-18 15:32:57.065339 - fetch_open_orders - Attempt 0
2019-02-18 15:33:17.162320 - create_order - Attempt 0
2019-02-18 15:33:27.426503 - fetch_order - Attempt 0
2019-02-18 15:33:37.524229 - fetch_ohlcv - Attempt 0
2019-02-18 15:33:47.613561 - fetch_ohlcv - Attempt 0
2019-02-18 15:33:57.695672 - fetch_order - Attempt 0

is happening in with:
self.price = (self.price * oldsize + size * price) / self.size

the error is "TypeError: unsupported operand type(s) for *: 'NoneType' and 'float'"
Any clue?
Thanks

Hi @Dave-Vallance and user of bt-ccxt-store,

In the event you've noticed the live datafeed while using bt-ccxt-store is slow after it switched from HISTORICAL state to LIVE state, I share the same sentiment with you.

After spending a couple of hours in front of screen debugging into it, I've managed to root cause the issue and made a fix that significantly improved live datafeed @ PR4. Basically the fix is to selectively load _fetch_ohlcv only when it is required and when _fetch_ohlcv is running, it will always look forward for next date instead of from the previous date.

Unfortunately, I've also made other changes on top of my branch and unable to pull request directly into Dave's branch. Hence I'm leaving the fix as it is @ PR4. Anyone (including Dave) interested could feel free to pick it up and use it.

Thank you for your attention and happy trading.

AttributeError: 'Lines_LineSeries_LineIterator_DataAccessor_Strateg' object has no attribute 'live_data'

So how can I know it's historical or live data?

I am a newer in quant，I see that when you do a live trading, the code use buy method from ccxt, so when doing a backrest, which buy method should I use，the method from ccxt or backtrader.These method in ccxt and backtrader have different parameters，so it means I should write two different version for backtest and live trading？

In ccxtstore.py, there's comments saying DataCls and BrokerCls will auto register. How does that happen? I've tried implementing a basic exchange to use my own data and eventually backtest executions using current bid/ask on Canadian markets.

I've edited ccxtstore.py with this addition:

from jack import jack
ccxt.jack = jack
ccxt.exchanges.append('jack')

Where jack is my exchange.

However whenever I call store.getbroker() or store.getdata(), I get a TypeError: 'NoneType' object is not callable where DataCls and BrokerCls are None.

Would you happen to have a clear idea what I'm doing wrong?

Hello, thx for your CCXT-Store

i wanna know how can i create conditional orders in bybit?

i dont know how that mapping works, but it seems its not correct for bybit

broker_mapping = {
'order_types': {
bt.Order.Market: 'market',
bt.Order.Limit: 'limit',
bt.Order.Stop: 'stop-loss', # stop-loss for kraken, stop for bitmex
bt.Order.StopLimit: 'stop limit'
},
'mappings': {
'closed_order': {
'key': 'status',
'value': 'closed'
},
'canceled_order': {
'key': 'status',
'value': 'canceled'
}
}
}

My questions are:
How can i create a conditional Market orders ( StopMarket ) in bybit ?
How can i add SL/TP to a Limit or Market order ?
Where i can find the right Mapping formats for each exchange (Binance, Bitmex, OKX, etc...)

I run into an error when developing my bot.
This is the minimum code that reproduce the error.

Could you help me?

import time
from datetime import datetime

import backtrader as bt

from ccxtbt import CCXTFeed


def main():
    class TestStrategy(bt.Strategy):
        params = (
            ('maperiod', 10),
        )

        def __init__(self):
            self.next_runs = 0

        def next(self, dt=None):
            dt = dt or self.datas[0].datetime.datetime(0)
            print('%s closing price: %s' % (dt.isoformat(), self.datas[0].close[0]))
            self.next_runs += 1

    cerebro = bt.Cerebro()

    # cerebro.addstrategy(TestStrategy)
    cerebro.optstrategy(TestStrategy, maperiod=[10,11], printlog=True)

    # Add the feed
    cerebro.adddata(CCXTFeed(exchange='binance',
                             dataname='BNB/USDT',
                             timeframe=bt.TimeFrame.Minutes,
                             fromdate=datetime(2019, 1, 1, 0, 0),
                             todate=datetime(2019, 1, 1, 0, 2),
                             compression=1,
                             ohlcv_limit=2,
                             currency='BNB',
                             retries=5,
                            config={'enableRateLimit': True, 'nonce': lambda: str(int(time.time() * 1000))}))

    # Run the strategy
    cerebro.run(maxcups=1)


if __name__ == '__main__':
    main()

Error

Traceback (most recent call last):
  File "PATH_TO_CODE/sam-app/app/btccxt.py", line 45, in <module>
    main()
  File "PATH_TO_CODE/sam-app/app/btccxt.py", line 41, in main
    cerebro.run(maxcups=1)
  File "PATH_TO_CODE\venv\lib\site-packages\backtrader\cerebro.py", line 1143, in run
    for r in pool.imap(self, iterstrats):
  File "PATH_TO_PYTHON\lib\multiprocessing\pool.py", line 748, in next
    raise value
  File "PATH_TO_PYTHON\lib\multiprocessing\pool.py", line 431, in _handle_tasks
    put(task)
  File "PATH_TO_PYTHON\lib\multiprocessing\connection.py", line 206, in send
    self._send_bytes(_ForkingPickler.dumps(obj))
  File "PATH_TO_PYTHON\lib\multiprocessing\reduction.py", line 51, in dumps
    cls(buf, protocol).dump(obj)
AttributeError: Can't pickle local object 'main.<locals>.<lambda>'

This is about three aspects of the broker mappings.

1. Currently the user of the library would need to figure out by himself what the correct broker mappings for his exchange are. But we already have this settings in the code here and there. And in my case I always have to figure out which one are the correct ones. This is why I suggest to move them out into a JSON file and commit them.

2. Having a separate file would make it easy to store the mappings per exchange to have a single source of truth for multiple exchanges.

3. For Binance I need additional properties to be mapped. E.g. the parameter for the stop price is different between Backtrader and what Binance expects. Additionally Binance differentiates its stop-limit order types further by having

• TAKE_PROFIT_LIMIT sell orders and STOP_LOSS_LIMIT buy orders that should be used for stop losses above the market price and
• TAKE_PROFIT_LIMIT buy orders and STOP_LOSS_LIMIT sell orders that should be used for stop losses below the market price
  see https://github.com/binance-exchange/binance-official-api-docs/blob/master/rest-api.md#new-order--trade

I can implement that for Binance in way compatible with other exchanges and make a pull request if you don't have a veto @Dave-Vallance .

Hi
Guys I'm a bit scared to use this repo, since it will have access to my api key and secret key, now i can make my own, but i just don't want to reinvent the wheel if this repo and it's creator is trustworthy.
please share you thoughts!

I've seen this with binance and ftx. No error message, just a None response to the call to self.buy or self.sell. No open order at the exchange either. As if nothing happened. I'm not even sure if this is a problem with the bt-ccxt-store or with ccxt.

Is there anything that I can do to either make the requests more robust or to debug the issue?

I am struggling with the self.position because every time errors happens and after re-connection I cannot use"self.position" to continue with previous actions.
Then I want to use the latest_order to replace this "self.position' judgement.
Could you please help with " how can I get all the orders on Binance" through bt-ccxt-store?
Many thanks!