if you want to backtest you should use the command-line tools. If you need instructions lmk. If you're having difficulties with it, we can do an online 1:1 session and I'll show you how to use it.
@ElliotVilhelm .
Awesome, thank you for being responsive. I had transitioned into working off the CLI tool as well. I just seem to have some trouble understanding how to get the backtester to pull data for a historical trade day. I would be very happy to pair with you as soon as you have some time. I am very excited over this project and hope to become a contributor in due time. @amor71
Based off these points in the docs
When the backtester application starts, it lists all the stocks picked by the scanners during the trading session.
backtester re-runs each session, by loading per-minute candles for the stock trading session (up to one week back).
I am a bit confused on how to load intraday historical data for a session I did not trade. I did read a note on using the miners in the documentation as well but it seems as though this type of loading must be supported in some way? Essentially I am looking to backtest on a prior trade day for which I have no data for, no prior batch-id. Likely I am misunderstanding something here.
@ElliotVilhelm I'll DM you
@amor71 This project looks very cool. I have installed it with my PG connection string and alpaca credentials in the env file. This all seems to be working. I am not sure how to get any data into the system. When I run the market_miner I get the following error:
Traceback (most recent call last):
File "/root/miniconda3/envs/liua/bin/market_miner", line 101, in <module>
asyncio.run(main(conf_dict))
File "/root/miniconda3/envs/liua/lib/python3.9/asyncio/runners.py", line 44, in run
return loop.run_until_complete(main)
File "/root/miniconda3/envs/liua/lib/python3.9/asyncio/base_events.py", line 642, in run_until_complete
return future.result()
File "/root/miniconda3/envs/liua/bin/market_miner", line 36, in main
await asyncio.gather(task_list)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/common/decorators.py", line 18, in helper
result = await process(func, args, params)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/common/decorators.py", line 11, in process
return await func(*args, params)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/miners/stock_cluster.py", line 38, in run
count = self._get_count(session)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/miners/stock_cluster.py", line 75, in _get_count
"apiKey": get_polygon_credentials(config.prod_api_key_id),
AttributeError: module 'liualgotrader.common.config' has no attribute 'prod_api_key_id'
[<module>()][877405]2021-08-05 14:47:05.394177: market_miner completed
Traceback (most recent call last):
File "/root/miniconda3/envs/liua/bin/market_miner", line 101, in <module>
asyncio.run(main(conf_dict))
File "/root/miniconda3/envs/liua/lib/python3.9/asyncio/runners.py", line 44, in run
return loop.run_until_complete(main)
File "/root/miniconda3/envs/liua/lib/python3.9/asyncio/base_events.py", line 642, in run_until_complete
return future.result()
File "/root/miniconda3/envs/liua/bin/market_miner", line 36, in main
await asyncio.gather(task_list)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/common/decorators.py", line 18, in helper
result = await process(func, args, params)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/common/decorators.py", line 11, in process
return await func(*args, params)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/miners/stock_cluster.py", line 38, in run
count = self._get_count(session)
File "/root/miniconda3/envs/liua/lib/python3.9/site-packages/liualgotrader/miners/stock_cluster.py", line 75, in _get_count
"apiKey": get_polygon_credentials(config.prod_api_key_id),
AttributeError: module 'liualgotrader.common.config' has no attribute 'prod_api_key_id'
[<module>()][877405]2021-08-05 14:47:05.394177: market_miner completed
@jbrass welcome! you're missing your api keys (environment variables). If you want to play around and try to
backtest I would suggest following this: https://amor71.medium.com/liualgotrader-part-ii-putting-it-all-together-1d447650808b
I did specify my Alpaca keys in a file that looks like this https://github.com/amor71/LiuAlgoTrader/blob/master/examples/env_vars.sh and I can see them when I echo $APCA...
I will take another look at the post
Hey @amor71 any advice on this by any chance?
Traceback (most recent call last):
File "/Users/joshuakang/.pyenv/versions/3.9.5/envs/py395/lib/python3.9/site-packages/liualgotrader/scanners_runner.py", line 29, in scanner_runner
symbols = await scanner.run()
File "/Users/joshuakang/git/trading_bot/liu/v1/../scanners/gold_digger.py", line 29, in run
.close[back_time - timedelta(days=90) : back_time] # type: ignore
TypeError: unsupported operand type(s) for -: 'NoneType' and 'datetime.timedelta'
[scanner_runner()][88091]2021-08-19 10:46:43.546915:[ERROR]Exception in scanner_runner(GoldDigger): exception of type TypeError with args ("unsupported operand type(s) for -: 'NoneType' and 'datetime.timedelta'",)
@guppykang Incidently, are you sure you wanted to run
trader or backtester ... ?
@guppykang LMK if that helps
2 replies
@/all Guys - I appreciate everyone's time - and I understand it's not trivial to start using a platform like Liu and may the documentation is not "tutorial" enough or explains concept enough. I would love to hear your opinions on how you think we should improve the documentation to simplify the "onboarding" of new users. Thank you.
3 replies
@amor71 I just reviewed the third article. I attempted to backtest the trendfollow strategy first. It looks like the trendfollow strategy is pointing to a library that is in another package. https://github.com/amor71/trading_strategies/blob/master/strats/trendfollow.py#L40 .
I was able to fix it by copying trading_strategies/common/trend.py to into liualgotrader/common/ and rebuilding the module
@/all As part of the new release, which focuses on performance improvements, monitoring, tracing, and tuning, I'm sharing here a draft of an accompanying Medium article that I will be publishing later this week / early next week. https://medium.com/@amor71/liualgotrader-internals-performance-tuning-4cbb24fb7eba
Happy for any comments or questions. Have a nice evening (or morning, wherever you are...)
@/all I would like to share with you that I've started working on adding Crypto features. I'm currently working on a branch to support back-testing crypto-related strategies. Any questions / ideas / suggestions are welcome. Post backtesting I would like to add support for trading, and my primary long-term interest would be on Crypto Futures. Happy to discuss further.
This message was deleted
@riven314 Here is a sample BTC/USD arbitrage backtesting, which already bakes in Gemini exchange transaction costs. The platform now supports Equities and Crypto asset types w/ several modifications to back-testing. I'm now going to integrate trading
Data coming from Polygon.io
by integrating trading data from polygon.io, do u mean my current ticket?
I will have more bandwidth from next week thanks to block leave
shall I finish the ticket on next week?
shall I finish the ticket on next week?
is my ticket independent of urs?
I am trying to 'put it all together...' All seems to be in place but when I run backtester it gets me to 'instantiated 1 strategies', appears to run for 2-3 minutes, but does not appear to be any buy/sell. When I run notebook portfolio_analysis.ipynb it chokes at calc_portfolio_returns: 'liualgotrader.common.config' has no attribute 'db_conn_pool'. I can't help but feel that this is something real simple... (liualgotrader - 0.3.27, psql 14). Any insight would be appreciated. Tx
2 replies