auquan / auquantoolbox Goto Github PK
View Code? Open in Web Editor NEWBacktesting toolbox for trading strategies
Home Page: https://toolbox.auquan.com/
License: Apache License 2.0
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arun-topagi quantsdynamics iamvasur cfpavon kalufinnle fagan2888 bailscodesstuff cruzjc snapbuy suhasinisrijit justinursu vishalbelsare manuelmusngi tikoo jackyyvan zhiliangpersonal jingmouren scitao roikkuf emailatmukesh andrade020 marcelotorresi tbazire trp27 charlesschaefer webclinic017 krajit vuviethung1998 mhawry shabbirhasan1 johnelund tysinvs jackeywcy ktchan33gbc sujitpal juandbeltranp yakoubb tvi-biz miller-moore ddianjnauquantoolbox's Issues
Question about the error when run the startTrading() function
I tried to test the new strategy and when I run the code of results = tradingSystem.startTrading(), It prompts out the error message.
I am not going to post the full code here because it is quite long. I would like to know which direction should I go for solving the problem. If there is really a need for the full code, please let me know. Thank you for your help.
The following is the error message:
Processing data for stock: AAPL
Processing data for stock: MSFT
20% done...
40% done...
60% done...
80% done...
Logging all the available market metrics in tensorboard
Logging all the available instrument metrics in tensorboard
2017-01-02 00:00:00
---------------------------------------------------------------------------
AttributeError Traceback (most recent call last)
<ipython-input-9-c0f85326750e> in <module>()
2 tsParams = MyTradingParams(tf)
3 tradingSystem = TradingSystem(tsParams)
----> 4 results = tradingSystem.startTrading()
6 frames
/root/.local/lib/python3.7/site-packages/backtester/trading_system.py in startTrading(self, onlyAnalyze, shouldPlot, makeInstrumentCsvs, createResultDict, logFileName)
142 except StopIteration:
143 isClose = True
--> 144 self.updateFeaturesAndExecute(currentTimeUpdate, isClose, onlyAnalyze, global_step=global_step)
145
146 if not onlyAnalyze and self.portfolioValue < 0:
/root/.local/lib/python3.7/site-packages/backtester/trading_system.py in updateFeaturesAndExecute(self, timeOfUpdate, isClose, onlyAnalyze, global_step)
83 print(timeOfUpdate)
84 self.totalUpdates = self.totalUpdates + 1
---> 85 self.updateFeatures(timeOfUpdate)
86 if not onlyAnalyze:
87 start = time.time()
/root/.local/lib/python3.7/site-packages/backtester/trading_system.py in updateFeatures(self, timeOfUpdate)
109 # if self.totalUpdates > 0:
110 # Dont call for the first time
--> 111 self.instrumentManager.updateFeatures(timeOfUpdate)
112 end = time.time()
113 diffms = (end - start) * 1000
/root/.local/lib/python3.7/site-packages/backtester/instruments_manager.py in updateFeatures(self, timeOfUpdate)
237
238 def updateFeatures(self, timeOfUpdate):
--> 239 self.updateInstrumentFeatures(timeOfUpdate)
240
241 currentMarketFeatures = {}
/root/.local/lib/python3.7/site-packages/backtester/instruments_manager.py in updateInstrumentFeatures(self, timeOfUpdate)
229 featureParams=featureParams,
230 featureKey=featureKey,
--> 231 instrumentManager=self)
232 self.__lookbackInstrumentFeatures.addFeatureValueForAllInstruments(timeOfUpdate, featureKey, featureVal)
233 end = time.time()
/root/.local/lib/python3.7/site-packages/backtester/features/profitloss_feature.py in computeForInstrument(cls, updateNum, time, featureParams, featureKey, instrumentManager)
22 currentPrice = priceDict.iloc[-1]
23 changeInPosition = currentPosition - previousPosition
---> 24 tradePrice = pd.Series([instrumentManager.getInstrument(x).getLastTradePrice() for x in priceDict.columns], index=priceDict.columns)
25 tradeLoss = pd.Series([instrumentManager.getInstrument(x).getLastTradeLoss() for x in priceDict.columns], index=priceDict.columns)
26 pnl = (previousPosition * (currentPrice - previousPrice)) + (changeInPosition * (currentPrice - tradePrice)) - fees - tradeLoss
/root/.local/lib/python3.7/site-packages/backtester/features/profitloss_feature.py in <listcomp>(.0)
22 currentPrice = priceDict.iloc[-1]
23 changeInPosition = currentPosition - previousPosition
---> 24 tradePrice = pd.Series([instrumentManager.getInstrument(x).getLastTradePrice() for x in priceDict.columns], index=priceDict.columns)
25 tradeLoss = pd.Series([instrumentManager.getInstrument(x).getLastTradeLoss() for x in priceDict.columns], index=priceDict.columns)
26 pnl = (previousPosition * (currentPrice - previousPrice)) + (changeInPosition * (currentPrice - tradePrice)) - fees - tradeLoss
AttributeError: 'NoneType' object has no attribute 'getLastTradePrice
Yahoo data source seems to not be working - any idea how to rectify this?
Any idea how to rectify the below?
Processing data for stock: SCT.L
---------------------------------------------------------------------------
KeyError Traceback (most recent call last)
<ipython-input-41-c0f85326750e> in <module>
1 tf = MyTradingFunctions()
2 tsParams = MyTradingParams(tf)
----> 3 tradingSystem = TradingSystem(tsParams)
4 results = tradingSystem.startTrading()
~\Anaconda3\envs\Portfolio 2\lib\site-packages\backtester\trading_system.py in __init__(self, tsParams)
33 self.executionSystem = None
34 self.orderPlacer = None
---> 35 self.dataParser = self.tsParams.getDataParser()
36 self.executionSystem = self.tsParams.getExecutionSystem()
37 self.orderPlacer = self.tsParams.getOrderPlacer()
<ipython-input-37-8cd4a1c6cc78> in getDataParser(self)
14 '''
15 instrumentIds = self.__tradingFunctions.getSymbolsToTrade()
---> 16 return YahooStockDataSource(
17 cachedFolderName = 'historicalData/',
18 dataSetId = self.__dataSetId,
~\Anaconda3\envs\Portfolio 2\lib\site-packages\backtester\dataSource\yahoo_data_source.py in __init__(self, cachedFolderName, dataSetId, instrumentIds, startDateStr, endDateStr, event, adjustPrice, downloadId, liveUpdates, pad)
117 self.event = event
118 if liveUpdates:
--> 119 self._allTimes, self._groupedInstrumentUpdates = self.getGroupedInstrumentUpdates()
120 self.processGroupedInstrumentUpdates()
121 self._bookDataFeatureKeys = self.__bookDataByFeature.keys()
~\Anaconda3\envs\Portfolio 2\lib\site-packages\backtester\dataSource\data_source.py in getGroupedInstrumentUpdates(self)
65 print('Processing data for stock: %s' % (instrumentId))
66 fileName = self.getFileName(instrumentId)
---> 67 if not self.downloadAndAdjustData(instrumentId, fileName):
68 continue
69 with open(fileName) as f:
~\Anaconda3\envs\Portfolio 2\lib\site-packages\backtester\dataSource\yahoo_data_source.py in downloadAndAdjustData(self, instrumentId, fileName)
131 def downloadAndAdjustData(self, instrumentId, fileName):
132 if not os.path.isfile(fileName):
--> 133 if not downloadFileFromYahoo(self._startDate, self._endDate, instrumentId, fileName):
134 logError('Skipping %s:' % (instrumentId))
135 return False
~\Anaconda3\envs\Portfolio 2\lib\site-packages\backtester\dataSource\data_source_utils.py in downloadFileFromYahoo(startDate, endDate, instrumentId, fileName, event)
28 def downloadFileFromYahoo(startDate, endDate, instrumentId, fileName, event='history'):
29 logInfo('Downloading %s' % fileName)
---> 30 cookie, crumb = getCookieForYahoo(instrumentId)
31 start = int(mktime(startDate.timetuple()))
32 end = int(mktime(endDate.timetuple()))
~\Anaconda3\envs\Portfolio 2\lib\site-packages\backtester\dataSource\data_source_utils.py in getCookieForYahoo(instrumentId)
15 req = requests.get(url)
16 txt = req.content
---> 17 cookie = req.cookies['B']
18 pattern = re.compile('.*"CrumbStore":\{"crumb":"(?P<crumb>[^"]+)"\}')
19
~\Anaconda3\envs\Portfolio 2\lib\site-packages\requests\cookies.py in __getitem__(self, name)
326 .. warning:: operation is O(n), not O(1).
327 """
--> 328 return self._find_no_duplicates(name)
329
330 def __setitem__(self, name, value):
~\Anaconda3\envs\Portfolio 2\lib\site-packages\requests\cookies.py in _find_no_duplicates(self, name, domain, path)
397 if toReturn:
398 return toReturn
--> 399 raise KeyError('name=%r, domain=%r, path=%r' % (name, domain, path))
400
401 def __getstate__(self):
KeyError: "name='B', domain=None, path=None"
Small outdated code preventing backtesting runs
pip install auquan_toolkitfails becausesetup.pymentionssklearninstead of the more recent namescikit-learn. There is a workaround by setting environment variableSKLEARN_ALLOW_DEPRECATED_SKLEARN_PACKAGE_INSTALL=Truebut may be better to set the new name intosetup.py- reference to outdated pandas call to
Dataframe.iteritems()which has been deprecated and removed in favor ofDataframe.items()inbacktester/executionSystem/simple_execution_system.py
I pip installed locally with -e and made these changes, and it makes TradingSystem.startTrading() run without error.
KeyError: "name='B', domain=None, path=None"
Hi, trying to run this lab from the course.
https://github.com/GoogleCloudPlatform/training-data-analyst/blob/master/courses/ai-for-finance/solution/momentum_backtest_losing_money.ipynb
And I get this error:
---------------------------------------------------------------------------
KeyError Traceback (most recent call last)
/tmp/ipykernel_21116/1996377170.py in <module>
1 tf = MyTradingFunctions()
2 tsParams = MyTradingParams(tf)
----> 3 tradingSystem = TradingSystem(tsParams)
4 results = tradingSystem.startTrading()
~/.local/lib/python3.7/site-packages/backtester/trading_system.py in __init__(self, tsParams)
33 self.executionSystem = None
34 self.orderPlacer = None
---> 35 self.dataParser = self.tsParams.getDataParser()
36 self.executionSystem = self.tsParams.getExecutionSystem()
37 self.orderPlacer = self.tsParams.getOrderPlacer()
/tmp/ipykernel_21116/1453009385.py in getDataParser(self)
19 instrumentIds = instrumentIds,
20 startDateStr = self.__startDate,
---> 21 endDateStr = self.__endDate,
22 )
23
~/.local/lib/python3.7/site-packages/backtester/dataSource/yahoo_data_source.py in __init__(self, cachedFolderName, dataSetId, instrumentIds, startDateStr, endDateStr, event, adjustPrice, downloadId, liveUpdates, pad)
117 self.event = event
118 if liveUpdates:
--> 119 self._allTimes, self._groupedInstrumentUpdates = self.getGroupedInstrumentUpdates()
120 self.processGroupedInstrumentUpdates()
121 self._bookDataFeatureKeys = self.__bookDataByFeature.keys()
~/.local/lib/python3.7/site-packages/backtester/dataSource/data_source.py in getGroupedInstrumentUpdates(self)
65 print('Processing data for stock: %s' % (instrumentId))
66 fileName = self.getFileName(instrumentId)
---> 67 if not self.downloadAndAdjustData(instrumentId, fileName):
68 continue
69 with open(fileName) as f:
~/.local/lib/python3.7/site-packages/backtester/dataSource/yahoo_data_source.py in downloadAndAdjustData(self, instrumentId, fileName)
131 def downloadAndAdjustData(self, instrumentId, fileName):
132 if not os.path.isfile(fileName):
--> 133 if not downloadFileFromYahoo(self._startDate, self._endDate, instrumentId, fileName):
134 logError('Skipping %s:' % (instrumentId))
135 return False
~/.local/lib/python3.7/site-packages/backtester/dataSource/data_source_utils.py in downloadFileFromYahoo(startDate, endDate, instrumentId, fileName, event)
28 def downloadFileFromYahoo(startDate, endDate, instrumentId, fileName, event='history'):
29 logInfo('Downloading %s' % fileName)
---> 30 cookie, crumb = getCookieForYahoo(instrumentId)
31 start = int(mktime(startDate.timetuple()))
32 end = int(mktime(endDate.timetuple()))
~/.local/lib/python3.7/site-packages/backtester/dataSource/data_source_utils.py in getCookieForYahoo(instrumentId)
15 req = requests.get(url)
16 txt = req.content
---> 17 cookie = req.cookies['B']
18 pattern = re.compile('.*"CrumbStore":\{"crumb":"(?P<crumb>[^"]+)"\}')
19
/opt/conda/lib/python3.7/site-packages/requests/cookies.py in __getitem__(self, name)
326 .. warning:: operation is O(n), not O(1).
327 """
--> 328 return self._find_no_duplicates(name)
329
330 def __setitem__(self, name, value):
/opt/conda/lib/python3.7/site-packages/requests/cookies.py in _find_no_duplicates(self, name, domain, path)
397 if toReturn:
398 return toReturn
--> 399 raise KeyError('name=%r, domain=%r, path=%r' % (name, domain, path))
400
401 def __getstate__(self):
KeyError: "name='B', domain=None, path=None"
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