Fix for hasFetchOHLCV tag, so we work correctly with exchanges like Kraken that use the newer format #5
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This is a draft implementation - to be continued Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Instead of using last_id added new property _last_ts to track last data timestamp. This should fix a bug where no data was added when using a time based frame.
Check if exchange supports OHLCV fetching in _fetch_ohlcv method. This should prevent code duplication because this was not handled in the "start" method.
Fetched data since the last timestamp instead of fetching the whole data feed which made it more slower. This makes it more efficient to feed the live data, so for each iteration it will fetch only the newer data.
2017-12-04: just pip installed the package and this error popped up so i came here to check it out and open a PR if yall want it! Chances are you might already know about it
Fetched OHLCV data in chunks of ohlcv_limit bars. Do it while there is new data available. This should fix hangups and crashes when a lot of history data requested. Signed-off-by: Ed Bartosh <bartosh@gmail.com>
We'll need to handle request timeouts and other things, so it makes sense to move all ccxt-related functionality to the separate module to be able to call it from broker and feed classes. Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Retry exchange queries when network error[s] occurs. Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Checked if requested timeframe/compression is supported by the exchange. Signed-off-by: Ed Bartosh <bartosh@gmail.com>
_load method of the feed should returned False when price data is not yet available. This caused cerebro to stop. It should return None in this case to indicate timeout getting the data. Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Don't process ohlcv bars that contain None prices Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Default order of output historical bars is not the same
for different exchanges.
Explicitly specifying it with params={"reverse": False}
seems not having any effect.
Had to sort the output in the feed code to solve this.
Signed-off-by: Ed Bartosh <bartosh@gmail.com>
Used public order properties 'side' and 'amount' instead of
original unparsed properties ['info']['side'] and ['info']['original_amount'].
The latter are exchange-specific and may not be provided by
all exchanges.
This should fix crashes like this:
Traceback (most recent call last):
File "machine_engin.py", line 161, in <module>
cerebro.run()
File "backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "backtrader/cerebro.py", line 1295, in runstrategies
self._runnext(runstrats)
File "backtrader/cerebro.py", line 1626, in _runnext
strat._next()
File "backtrader/strategy.py", line 325, in _next
super(Strategy, self)._next()
File "backtrader/lineiterator.py", line 266, in _next
self.next()
File "machine_engin_prod.py", line 138, in next
price=self.data0.close[0])
File "backtrader/strategy.py", line 945, in sell
**kwargs)
File "backtrader/brokers/ccxtbroker.py", line 96, in sell
return self._submit(owner, data, exectype, 'sell', size, price, kwargs)
File "backtrader/brokers/ccxtbroker.py", line 82, in _submit
order = CCXTOrder(owner, data, _order)
File "backtrader/metabase.py", line 88, in __call__
_obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
File "backtrader/metabase.py", line 78, in doinit
_obj.__init__(*args, **kwargs)
File "backtrader/brokers/ccxtbroker.py", line 34, in __init__
self.size = float(ccxt_order['info']['original_amount'])
KeyError: 'original_amount'
Signed-off-by: Ed Bartosh <bartosh@gmail.com>
…raken that use the newer format
bartosh
requested changes
Jan 24, 2018
|
BTW, I can't reproduce the issue with kraken: In [6]: exchange.hasFetchOHLCV In [7]: exchange.has['fetchOHLCV'] |
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Are you testing against a latest ccxt? I pulled from git just a few days ago, and saw the behaviour. I'll pop a change in to cover for both cases, as I'm sure it will bite others with and without this fix as-is |
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Good point. This is what I've got with the latest ccxt master: I'm just wondering would it be better to fix this in ccxt? |
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Looking at their commit log I'd say they're changing interface to has[] approach. However, this is not the reason to break old interface. How about creating bug in their issue tracker or at least looking if similar bug exists? |
bartosh
approved these changes
Feb 3, 2018
|
merged into ccxt branch |
athon-millane
pushed a commit
to athon-millane/backtrader
that referenced
this pull request
Oct 7, 2020
* bug fix: bartosh#5 fixing writer.py after 1.9.75.123 pull * Renaming _start() to _start_output()
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As title; Tested OK against Kraken and Binance.