rodrigo-brito / backtrader-binance-bot Goto Github PK

I was taking a look on your code
and it is pretty good
but it is to binance

I need use it in iqoption as a broker
there is a community behind iqoption trying to use iqoption api
but no one know how to put it on backtrader

do you know how to create a broker on backtrader
Is there any video on internet about it ?

Hi, I got the bot running with no hassle. But before everything else, I was checking the 1m datafeed. Below is my strategy which only prints ohlcv data.

After running data feed for half a day; starting @ 25-05-19 09:20:00 I started getting the datafeed such that all ohlc values are exactly same for many candles if not all.

I then turned the bot off and started back on which getting 15m worth 1m data on restart.
On restart I see correct data.

For example @ 25-05-19 09:29:00, see data in 1st run and the 2nd run.
Data from 2nd run (restart) is correct.

The problem is I don't even know where to start debugging this.
Any pointers?

class Basic01(bt.Strategy):

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.o = self.datas[0].open
        self.h = self.datas[0].high
        self.l = self.datas[0].low
        self.c = self.datas[0].close
        self.v = self.datas[0].volume

    def log(self, txt, send_telegram=False, color=None):
        dt = self.datas[0].datetime.datetime(0)
        print('%s : %s' % (dt.strftime("%d-%m-%y %H:%M:%S"), txt))

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('O:%.8f H:%.8f L:%.8f C:%.8f V:%.8f' %
                 (self.o[0], self.h[0], self.l[0], self.c[0], self.v[0]))

25-05-19 09:01:00 : O:8016.44000000 H:8017.72000000 L:8005.37000000 C:8013.84000000 V:26.76449600
25-05-19 09:02:00 : O:8003.23000000 H:8005.10000000 L:8003.23000000 C:8005.02000000 V:0.21315400
25-05-19 09:03:00 : O:7998.50000000 H:7998.50000000 L:7998.50000000 C:7998.50000000 V:0.01875000
25-05-19 09:04:00 : O:8000.08000000 H:8000.08000000 L:8000.08000000 C:8000.08000000 V:0.02967000
25-05-19 09:05:00 : O:7993.50000000 H:7993.50000000 L:7993.50000000 C:7993.50000000 V:0.01826500
25-05-19 09:06:00 : O:7988.68000000 H:7988.68000000 L:7988.68000000 C:7988.68000000 V:0.02487400
25-05-19 09:07:00 : O:7995.38000000 H:7995.38000000 L:7995.38000000 C:7995.38000000 V:0.00500000
25-05-19 09:08:00 : O:7995.67000000 H:7995.67000000 L:7995.67000000 C:7995.67000000 V:0.00183700
25-05-19 09:09:00 : O:7991.58000000 H:7991.58000000 L:7991.58000000 C:7991.58000000 V:0.05152600
25-05-19 09:10:00 : O:7988.93000000 H:7990.84000000 L:7988.87000000 C:7990.84000000 V:0.16319400
25-05-19 09:11:00 : O:7986.82000000 H:7986.82000000 L:7985.05000000 C:7985.05000000 V:1.01830900
25-05-19 09:12:00 : O:7982.56000000 H:7982.56000000 L:7982.56000000 C:7982.56000000 V:0.04744300
25-05-19 09:13:00 : O:7983.98000000 H:7983.98000000 L:7983.98000000 C:7983.98000000 V:0.15108800
25-05-19 09:14:00 : O:7997.36000000 H:7997.36000000 L:7997.36000000 C:7997.36000000 V:0.00898900
25-05-19 09:15:00 : O:7993.19000000 H:7993.19000000 L:7993.19000000 C:7993.19000000 V:0.03065000
25-05-19 09:16:00 : O:7992.53000000 H:7992.53000000 L:7992.53000000 C:7992.53000000 V:0.00853100
25-05-19 09:17:00 : O:7984.85000000 H:7984.85000000 L:7984.83000000 C:7984.85000000 V:0.22422500
25-05-19 09:18:00 : O:7988.74000000 H:7988.74000000 L:7988.74000000 C:7988.74000000 V:0.10418400
25-05-19 09:19:00 : O:7994.00000000 H:7995.71000000 L:7994.00000000 C:7994.43000000 V:0.54700800
25-05-19 09:20:00 : O:7994.98000000 H:7994.98000000 L:7994.98000000 C:7994.98000000 V:0.00149400
25-05-19 09:21:00 : O:7993.01000000 H:7993.01000000 L:7993.01000000 C:7993.01000000 V:0.00294500
25-05-19 09:22:00 : O:7995.16000000 H:7996.13000000 L:7995.14000000 C:7995.14000000 V:0.78172200
25-05-19 09:23:00 : O:7994.89000000 H:7994.89000000 L:7994.89000000 C:7994.89000000 V:0.00149800
25-05-19 09:24:00 : O:7987.08000000 H:7987.79000000 L:7987.08000000 C:7987.79000000 V:0.48928000
25-05-19 09:25:00 : O:7986.74000000 H:7986.74000000 L:7986.74000000 C:7986.74000000 V:0.04167200
25-05-19 09:26:00 : O:7986.10000000 H:7986.10000000 L:7986.10000000 C:7986.10000000 V:0.00469700
25-05-19 09:27:00 : O:7981.91000000 H:7981.91000000 L:7981.91000000 C:7981.91000000 V:0.07297500
25-05-19 09:28:00 : O:7987.57000000 H:7987.57000000 L:7987.57000000 C:7987.57000000 V:0.09389700
25-05-19 09:29:00 : O:7980.57000000 H:7980.57000000 L:7980.57000000 C:7980.57000000 V:0.12323600
finished.

C:\Users\521876\Documents\personal\bot>python main.py
ENV = production
Starting Portfolio Value: 574.62
25-05-19 09:15:00 : O:7993.19000000 H:7995.59000000 L:7986.00000000 C:7992.54000000 V:22.08483100
25-05-19 09:16:00 : O:7992.53000000 H:7995.08000000 L:7982.43000000 C:7984.86000000 V:21.74773600
25-05-19 09:17:00 : O:7984.85000000 H:7992.11000000 L:7983.26000000 C:7988.00000000 V:18.14793700
25-05-19 09:18:00 : O:7988.74000000 H:7995.70000000 L:7985.57000000 C:7993.53000000 V:20.94795900
25-05-19 09:19:00 : O:7994.00000000 H:7997.34000000 L:7991.02000000 C:7994.66000000 V:14.31850900
25-05-19 09:20:00 : O:7994.98000000 H:7994.98000000 L:7988.81000000 C:7990.53000000 V:13.49096400
25-05-19 09:21:00 : O:7993.01000000 H:7996.55000000 L:7991.14000000 C:7994.94000000 V:24.40371700
25-05-19 09:22:00 : O:7995.16000000 H:7999.00000000 L:7991.45000000 C:7993.78000000 V:23.31974600
25-05-19 09:23:00 : O:7994.89000000 H:7994.89000000 L:7985.00000000 C:7987.06000000 V:35.50745000
25-05-19 09:24:00 : O:7987.08000000 H:7989.78000000 L:7985.21000000 C:7988.02000000 V:18.20830500
25-05-19 09:25:00 : O:7986.74000000 H:7988.52000000 L:7981.21000000 C:7986.12000000 V:18.09139700
25-05-19 09:26:00 : O:7986.10000000 H:7987.90000000 L:7981.91000000 C:7981.92000000 V:17.93937100
25-05-19 09:27:00 : O:7981.91000000 H:7993.80000000 L:7977.02000000 C:7992.16000000 V:80.66655800
25-05-19 09:28:00 : O:7987.57000000 H:7989.54000000 L:7978.01000000 C:7978.21000000 V:16.02878300
25-05-19 09:29:00 : O:7980.57000000 H:7981.62000000 L:7978.68000000 C:7980.55000000 V:3.99554100
25-05-19 09:30:00 : O:7977.41000000 H:7977.98000000 L:7977.41000000 C:7977.98000000 V:0.19824800
25-05-19 09:31:00 : O:7978.00000000 H:7984.00000000 L:7976.27000000 C:7980.06000000 V:20.46780000
25-05-19 09:32:00 : O:7979.95000000 H:7989.20000000 L:7979.70000000 C:7989.02000000 V:19.21879300
25-05-19 09:33:00 : O:7988.64000000 H:7994.00000000 L:7986.07000000 C:7993.91000000 V:21.11476500
25-05-19 09:34:00 : O:7992.70000000 H:7997.68000000 L:7992.10000000 C:7994.39000000 V:18.21645000
25-05-19 09:35:00 : O:7993.65000000 H:7997.99000000 L:7992.20000000 C:7993.08000000 V:10.55074700
25-05-19 09:36:00 : O:7993.08000000 H:7993.57000000 L:7986.48000000 C:7990.94000000 V:15.25538600
25-05-19 09:37:00 : O:7991.98000000 H:7991.98000000 L:7989.51000000 C:7991.98000000 V:0.01849800
finished.

Hello,
Thank you for your efforts.
i am testing live your repo on Binance with ETH/BTC . Here is the output
Could you help to resolve?

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

binance {"code":-1021,"msg":"Timestamp for this request was 1000ms ahead of the server's time."}

I suggest adding these options to the broker_config:

'options': {
        'adjustForTimeDifference': True,
    },

Hi Rodrigo,

Thank you for your effort improving and enhancing Backtrader with ccxt!

would this be a valid broker mapping for Bitfinex?

    "broker_mapping": {
        "order_types": {  # https://docs.bitfinex.com/reference#rest-auth-new-order
             bt.Order.Market: 'exchange market',
             bt.Order.Limit: 'exchange limit',
             bt.Order.Stop: 'exchange stop',
             bt.Order.StopLimit: 'exchange stop-limit'
        },
        "mappings": {  # https://docs.bitfinex.com/reference#rest-auth-order-status
            'closed_order': {
                'key': 'is_live',
                'value': False
            },
            'canceled_order': {
                'key': 'is_cancelled',
                'value': True
            }
        }
    }

exchange stop-limit is not documented in the API guide but elsewhere.

Hi there, great work.

I want to change the strategy to compare MACD of 1 minute and 5 minute,

How can I achive this?

Should I do:

self.macd1m = bt.indicators.MACD(self.data, peroid=1)
self.macd5m = bt.indicators.MACD(self.data, peroid=5)

Or should I use your MACDHistSMA indicator? but how?

I'm confused.
New to backtrader and ccxt and trading indicators.
Appreciate any help.

Thank you.