Blankly - 🚀 💸 Trade stocks, cryptos, and forex w/ one package. Easily build, backtest, trade, and deploy across exchanges in a few lines of code.

Blankly Finance

Last update: Jan 3, 2023

Related tags

Third-party APIs Wrappers bot platform framework bots trading coinbase bot-framework trading-bot cryptocurrency trading-strategies stocks investment binance coinbase-pro coinbase-pro-api blankly

Overview

💨 Rapidly build and deploy quantitative models for stocks, crypto, and forex 🚀

View Docs · Our Website · Join Our Newsletter · Getting Started

Why Blankly?

Blankly is an elegant python library for interacting with crypto, stocks, and forex for in a consistent and streamlined way. Now, no more reading API or struggling to get data. Blankly offers a powerful feature-set, optimized for speed and ease of use, better backtesting, and ultimately better models.

We're bridging the gap between local development systems & live APIs by building a framework which allows backtesting, paper trading, sandbox testing, and live cross-exchange deployment without modifying a single line of trading logic.

Check out our website and our docs.

Trade Stocks, Crypto, and Forex Seamlessly

from blankly import Alpaca, CoinbasePro

stocks = Alpaca()
crypto = CoinbasePro()

# Easily perform the same actions across exchanges & asset types
stocks.interface.market_order('AAPL', 'buy', 1)
crypto.interface.market_order('BTC-USD', 'buy', 1)

Backtest Instantly Across Symbols

from blankly import Alpaca, Strategy, StrategyState


def price_event(price, symbol, state):
    # Trading logic here
    state.interface.market_order(symbol, 'buy', 1)


# Authenticate
alpaca = Alpaca()
strategy = Strategy(alpaca)

# Check price every hour and send to the strategy function
# Easily switch resolutions and data
strategy.add_price_event(price_event, 'AAPL', '1h')
strategy.add_price_event(price_event, 'MSFT', '15m')

# Run the backtest
strategy.backtest(to='1y')

Accurate Backtest Holdings

Useful Metrics

Blankly Metrics: 
Compound Annual Growth Rate (%):   54.0%
Cumulative Returns (%):            136.0%
Max Drawdown (%):                  60.0%
Variance (%):                      26.15%
Sortino Ratio:                     0.9
Sharpe Ratio:                      0.73
Calmar Ratio:                      0.99
Volatility:                        0.05
Value-at-Risk:                     358.25
Conditional Value-at-Risk:         34.16

Go Live in One Line

Seamlessly run your model live!

# Just turn this
strategy.backtest(to='1y')
# Into this
strategy.start()

Dates, times, and scheduling adjust on the backend to make the experience instant.

Quickstart

Installation

First install Blankly using pip. Blankly is hosted on PyPi.

$ pip install blankly

Next, just run:

$ blankly init

This will initialize your working directory.

The command will create the files keys.json, settings.json, backtest.json, deploy.json and an example script called bot.py.

If you don't want to use our init command, you can find the same files in the examples folder under settings.json and keys_example.json

From there, insert your API keys from your exchange into the generated keys.json file.

More information can be found on our docs

Directory format

The working directory format should have at least these files:

Project
   |-bot.py
   |-keys.json
   |-settings.json

Additional Info

Make sure you're using a supported version of python. The module is currently tested on these versions:

Python 3.7
Python 3.8
Python 3.9
Python 3.10

For more info, and ways to do more advanced things, check out our getting started docs.

Supported Exchanges

Exchange	Integrate	Websockets	Paper Trading	Backtesting
Coinbase Pro	🟢	🟢	🟢	🟢
Binance	🟢	🟢	🟢	🟢
Alpaca	🟢	🟢	🟢	🟢
OANDA	🟢	🟡	🟢	🟢
FTX	🔴	🔴	🔴	🔴
TD Ameritrade	🔴	🔴	🔴	🔴
Webull	🔴	🔴	🔴	🔴
Robinhood	🔴	🔴	🔴	🔴

🟢 = working

🟡 = in development, some or most features are working

🔴 = planned but not yet in development

Interface calls take ~300 µs extra to homogenize the exchange data.

RSI Example

We have a pre-built cookbook examples that implement strategies such as RSI, MACD, and the Golden Cross found in our examples.

The model below will run an RSI check every 30 minutes - buying below 30 and selling above 70 .

import blankly
from blankly import StrategyState


def price_event(price, symbol, state: StrategyState):
    """ This function will give an updated price every 15 seconds from our definition below """
    state.variables['history'].append(price)
    rsi = blankly.indicators.rsi(state.variables['history'])
    
    if rsi[-1] < 30 and not state.variables['has_bought']:
        # Dollar cost average buy
        state.variables['has_bought'] = True
        state.interface.market_order(symbol, side='buy', size=1)
    elif rsi[-1] > 70 and state.variables['has_bought']:
        # Dollar cost average sell
        state.variables['has_bought'] = False
        state.interface.market_order(symbol, side='sell', size=1)


def init(symbol, state: StrategyState):
    # Download price data to give context to the algo
    state.variables['history'] = state.interface.history(symbol, to='1y', return_as='list')['open']
    state.variables['has_bought'] = False


if __name__ == "__main__":
    # Authenticate on alpaca to create a strategy
    alpaca = blankly.Alpaca()

    # Use our strategy helper on alpaca
    strategy = blankly.Strategy(alpaca)

    # Run the price event function every time we check for a new price - by default that is 15 seconds
    strategy.add_price_event(price_event, symbol='NCLH', resolution='30m', init=init)
    strategy.add_price_event(price_event, symbol='CRBP', resolution='1h', init=init)
    strategy.add_price_event(price_event, symbol='D', resolution='15m', init=init)
    strategy.add_price_event(price_event, symbol='GME', resolution='30m', init=init)

    # Start the strategy. This will begin each of the price event ticks
    # strategy.start()
    # Or backtest using this
    strategy.backtest(to='1y')

Other Info

Subscribe to our news!

https://blankly.substack.com/p/coming-soon

Bugs

Please report any bugs or issues on the GitHub's Issues page.

Disclaimer

Trading is risky. We are not responsible for losses incurred using this software, software fitness for any particular purpose, or responsibility for any issues or bugs. This is free software.

Contributing

If you would like to support the project, pull requests are welcome. You can also contribute just by telling us what you think of Blankly: https://forms.gle/4oAjG9MKRTYKX2hP9

Licensing

Blankly is distributed under the LGPL License. See the LICENSE for more details.

New updates every day 💪 .

Comments

Coinbase Pro backtest not running

Description

INFO: "enable_shorting" not specified in preferences, defaulting to: "True" Where do I specify it to be "false" or "true"?
KeyError: 'maker_fee_rate' API keys look right but not sure. Am seeing the following object for "fees" retrieved from CoinbasePro:

My Code:

coinbase = CoinbasePro()
s = Strategy(coinbase)
s.add_price_event(price_event, 'BTC-USD', resolution='30m', init=init)
result = s.backtest(initial_values={'USD': 10000}, to='2y')

settings.json

    "settings": {
      "account_update_time": 5000,
      "use_sandbox": false,
      "use_sandbox_websockets": false,
      "websocket_buffer_size": 10000,
      "test_connectivity_on_auth": true,
  
      "coinbase_pro": {
        "cash": "USD"
      },
      "binance": {
        "cash": "USDT",
        "binance_tld": "us"
      },
      "alpaca": {
        "websocket_stream": "iex",
        "cash": "USD"
      },
      "oanda": {
        "cash": "USD"
      }
    }
  }

backtest.json (if applicable)

backtest.json here

Error (if applicable)

Traceback (most recent call last):
  File "H:\ProgramData\Anaconda3\lib\runpy.py", line 194, in _run_module_as_main
    return _run_code(code, main_globals, None,
  File "H:\ProgramData\Anaconda3\lib\runpy.py", line 87, in _run_code
    exec(code, run_globals)
  File "c:\Users\xxxxxxxxxx\.vscode\extensions\ms-python.python-2021.12.1559732655\pythonFiles\lib\python\debugpy\__main__.py", line 45, in <module>
    cli.main()
  File "c:\Users\xxxxxxxxxx\.vscode\extensions\ms-python.python-2021.12.1559732655\pythonFiles\lib\python\debugpy/..\debugpy\server\cli.py", line 444, in main
    run()
  File "c:\Users\xxxxxxxxxx\.vscode\extensions\ms-python.python-2021.12.1559732655\pythonFiles\lib\python\debugpy/..\debugpy\server\cli.py", line 285, in run_file
    runpy.run_path(target_as_str, run_name=compat.force_str("__main__"))
  File "H:\ProgramData\Anaconda3\lib\runpy.py", line 265, in run_path
    return _run_module_code(code, init_globals, run_name,
  File "H:\ProgramData\Anaconda3\lib\runpy.py", line 97, in _run_module_code
    _run_code(code, mod_globals, init_globals,
  File "H:\ProgramData\Anaconda3\lib\runpy.py", line 87, in _run_code
    exec(code, run_globals)
  File "c:\git\crypto-test\src\macd\macd.py", line 57, in <module>
    s = Strategy(coinbase)
  File "C:\Users\xxxxxxxxxx\AppData\Roaming\Python\Python38\site-packages\blankly\frameworks\strategy\strategy_base.py", line 64, in __init__
    self.__paper_trade_exchange = blankly.PaperTrade(self.__exchange)
  File "C:\Users\xxxxxxxxxx\AppData\Roaming\Python\Python38\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade.py", line 28, in __init__
    self.interface = PaperTradeInterface(authenticated_exchange.get_interface(),
  File "C:\Users\xxxxxxxxxx\AppData\Roaming\Python\Python38\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 56, in __init__
    ExchangeInterface.__init__(self, derived_interface.get_exchange_type(), derived_interface)
  File "C:\Users\xxxxxxxxxx\AppData\Roaming\Python\Python38\site-packages\blankly\exchanges\interfaces\exchange_interface.py", line 135, in __init__
    self.init_exchange()
  File "C:\Users\xxxxxxxxxx\AppData\Roaming\Python\Python38\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 131, in init_exchange
    "maker_fee_rate": fees['maker_fee_rate'],
KeyError: 'maker_fee_rate'

Platform Info

Python version: Python 3.8.8 64-bit ("base", conda)
Platform: Windows 10

Additional context Add any other context about the problem here.

opened by sparky2708 11

M1 Mac support?

Description

Unable to pip3 install blankly on an M1 MacBook Big Sur.

Error (if applicable)

Collecting scikit-learn
  Downloading scikit-learn-1.0.1.tar.gz (6.6 MB)
     |████████████████████████████████| 6.6 MB 3.8 MB/s 
  Installing build dependencies ... error
  ERROR: Command errored out with exit status 1:
   command: /Library/Frameworks/Python.framework/Versions/3.9/bin/python3.9 /private/var/folders/t9/2fb8pd6s41b0d41lk81pk_700000gn/T/pip-standalone-pip-ata6s47j/__env_pip__.zip/pip install --ignore-installed --no-user --prefix /private/var/folders/t9/2fb8pd6s41b0d41lk81pk_700000gn/T/pip-build-env-gp_u1yzv/overlay --no-warn-script-location --no-binary :none: --only-binary :none: -i https://pypi.org/simple -- setuptools wheel 'Cython>=0.28.5' 'oldest-supported-numpy; python_version!='"'"'3.7'"'"' or platform_machine=='"'"'aarch64'"'"' or platform_system=='"'"'AIX'"'"' or platform_python_implementation == '"'"'PyPy'"'"'' 'numpy==1.14.6; python_version=='"'"'3.7'"'"' and platform_machine!='"'"'aarch64'"'"' and platform_system!='"'"'AIX'"'"' and platform_python_implementation != '"'"'PyPy'"'"'' 'scipy>=1.1.0'
       cwd: None
  Complete output (55279 lines):
  Ignoring numpy: markers 'python_version == "3.7" and platform_machine != "aarch64" and platform_system != "AIX" and platform_python_implementation != "PyPy"' don't match your environment

also

clang: error: the clang compiler does not support 'faltivec', please use -maltivec and include altivec.h explicitly

Platform Info

Python version: 3.9.9
Platform: MacOS M1

opened by 24dev 11

symbol not found

Description

whatever I do, I can't get past the "symbol not found" error.

Standard RSI strategy

import blankly
from blankly import StrategyState


def price_event(price, symbol, state: StrategyState):
    """ This function will give an updated price every 15 seconds from our definition below """
    state.variables['history'].append(price)
    rsi = blankly.indicators.rsi(state.variables['history'])
    if rsi[-1] < 30:
        # Dollar cost average buy
        state.interface.market_order(symbol, side='buy', funds=10)
    elif rsi[-1] > 70:
        # Dollar cost average sell
        state.interface.market_order(symbol, side='sell', funds=10)


def init(symbol, state: StrategyState):
    # Download price data to give context to the algo
    state.variables['history'] = state.interface.history(symbol, start_date = "2021-08-01", end_date = "2021-08-28", return_as='list')['close']


if __name__ == "__main__":
    binance = blankly.Binance(portfolio_name="ATD Binance")
    binance_strategy = blankly.Strategy(binance)
    binance_strategy.add_price_event(price_event, symbol='ETH-USDT', resolution='1h', init=init)

    # Start the strategy. This will begin each of the price event ticks
    # binance_strategy.start()
    # Or backtest using this
    binance_strategy.backtest(start_date = "2021-08-01", end_date = "2021-08-28",
                              initial_values={'USDT': 100})

settings.json

{
  "settings": {
    "account_update_time": 5000,
    "use_sandbox": false,
    "use_sandbox_websockets": false,
    "websocket_buffer_size": 10000,

    "coinbase_pro": {
      "cash": "USD"
    },
    "binance": {
      "cash": "USDT",
      "binance_tld": "com"
    },
    "alpaca": {
      "websocket_stream": "iex",
      "cash": "USD"
    }
  }
}

backtest.json

{
  "price_data": {
    "assets": [
      [ "ETH-USDT", 1546290000, 1630270800, 300.0 ],
      [ "ETH-USDT", 1546290000, 1630270800, 900.0 ],
      [ "ETH-USDT", 1546290000, 1630270800, 1800.0 ],
      [ "ETH-USDT", 1546290000, 1630270800, 3600.0 ],
      [ "ETH-USDT", 1546290000, 1630270800, 14400.0 ],
      [ "ETH-USDT", 1546290000, 1630270800, 21600.0 ],
      [ "ETH-USDT", 1546290000, 1630270800, 86400.0 ]
    ]
  },
  "settings": {
    "use_price": "close",
    "smooth_prices": false,
    "GUI_output": true,
    "show_tickers_with_zero_delta": false,
    "save_initial_account_value": true,
    "show_progress_during_backtest": true,
    "cache_location": "./price_caches",
    "resample_account_value_for_metrics": "1d",
    "quote_account_value_in": "USDT",
    "ignore_user_exceptions": false
  }
}

Error in Pyzo Editor

Including: ETH-USDT,1546290000,1630270800,300.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,900.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,1800.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,3600.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,14400.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,21600.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,86400.0.csv in backtest.
Including: ETH-USDT,1627776000.0,1630108800.0,3600.0.csv in backtest.
Including: ETH-USDT,1598774943.8658986,1630310943.8658986,3600.0.csv in backtest.
No exact cache exists for ETH-USDT from 1630310996.5534158 to 1630311056.5534158 at 3600.0s resolution. Downloading...
already identified

Initializing...
1630098000.0
Traceback (most recent call last):
  File "C:\Blankly\RSI-strategy.py", line 30, in <module>
    binance_strategy.backtest(start_date = "2021-08-01", end_date = "2021-08-28",
  File "c:\python39\lib\site-packages\blankly\strategy\strategy_base.py", line 473, in backtest
    results = self.backtesting_controller.run()
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\backtest_controller.py", line 397, in run
    available_dict, no_trade_dict = self.format_account_data(self.initial_time)
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\backtest_controller.py", line 221, in format_account_data
    true_account[i] = self.interface.get_account(i)
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 298, in get_account
    raise KeyError("Symbol not found.")
KeyError: 'Symbol not found.'

Error in CMD

C:\Blankly>RSI-strategy.py
Including: ETH-USDT,1546290000,1630270800,300.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,900.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,1800.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,3600.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,14400.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,21600.0.csv in backtest.
Including: ETH-USDT,1546290000,1630270800,86400.0.csv in backtest.
Including: ETH-USDT,1627776000.0,1630108800.0,3600.0.csv in backtest.

Initializing...
1630098000.0
Traceback (most recent call last):
  File "C:\Python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 296, in get_account
    return trade_local.get_account(symbol)
  File "C:\Python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\local_account\trade_local.py", line 125, in get_account
    return copy.deepcopy(utils.AttributeDict(local_account.account[asset_id]))
KeyError: 'USD'

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\Blankly\RSI-strategy.py", line 30, in <module>
    binance_strategy.backtest(start_date = "2021-08-01", end_date = "2021-08-28",
  File "C:\Python39\lib\site-packages\blankly\strategy\strategy_base.py", line 473, in backtest
    results = self.backtesting_controller.run()
  File "C:\Python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\backtest_controller.py", line 397, in run
    available_dict, no_trade_dict = self.format_account_data(self.initial_time)
  File "C:\Python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\backtest_controller.py", line 221, in format_account_data
    true_account[i] = self.interface.get_account(i)
  File "C:\Python39\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 298, in get_account
    raise KeyError("Symbol not found.")
KeyError: 'Symbol not found.'

Platform Info

Python version: 3.9.6
Platform: Win10

opened by alitekdemir 11

KeylessExchange yields wrong backtest results

Hi! I wanted to test the KeylessExchange with a simple buy and hold on SPY. It seems like the state does not register the account value while holding. I get backtest result of -98% cumulative return.

Here is a plot of account value as a function of time, where you can see that the value starts at 10000 USD but goes to 0 once i buy.

opened by Fschoeller 10

Default example bot.py error

Description

First time running Blankly, following the quickstart with blankly init and "keyless" exchange, then running the auto-generated bot.py. Errors below:

settings.json

{
    "settings": {
        "use_sandbox_websockets": false,
        "websocket_buffer_size": 10000,
        "test_connectivity_on_auth": true,
        "auto_truncate": false,
        "coinbase_pro": {
            "cash": "USD"
        },
        "binance": {
            "cash": "USDT",
            "binance_tld": "com"
        },
        "binance_futures": {
            "cash": "USDT",
            "margin_type": "USDT-M"
        },
        "alpaca": {
            "websocket_stream": "iex",
            "cash": "USD",
            "enable_shorting": true,
            "use_yfinance": false
        },
        "oanda": {
            "cash": "USD"
        },
        "okx": {
            "cash": "USDT"
        },
        "keyless": {
            "cash": "USD"
        },
        "kucoin": {
            "cash": "USDT"
        },
        "ftx": {
            "cash": "USD",
            "ftx_tld": "com"
        },
        "ftx_futures": {
            "cash": "USD",
            "ftx_tld": "com"
        }
    }
}

backtest.json (if applicable)

{
    "price_data": {
        "assets": []
    },
    "settings": {
        "use_price": "close",
        "smooth_prices": false,
        "GUI_output": true,
        "show_tickers_with_zero_delta": false,
        "save_initial_account_value": true,
        "show_progress_during_backtest": true,
        "cache_location": "./price_caches",
        "continuous_caching": true,
        "resample_account_value_for_metrics": "1d",
        "quote_account_value_in": "USD",
        "ignore_user_exceptions": true,
        "risk_free_return_rate": 0.0,
        "benchmark_symbol": null
    }
}

Error (if applicable)

PS E:\Blankly> python bot.py

Backtesting...
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 11, in price_event
    if rsi[-1] < 30 and not curr_value:
IndexError: list index out of range
Progress: [####------] 41.74% Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2294604238134028. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.23333329444445092. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.27224403955705895. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2678037972971634. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2668315329765084. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2876980045554102. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2119949273853775. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Progress: [########--] 83.75% Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.24058599048530524. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2398953672366261. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2742961971026641. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.2851730273084543. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.27561519378366467. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Traceback (most recent call last):
  File "E:\Blankly\venv\lib\site-packages\blankly\frameworks\strategy\strategy.py", line 134, in rest_event
    callback(*args)
  File "bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "E:\Blankly\venv\lib\site-packages\blankly\exchanges\interfaces\paper_trade\paper_trade_interface.py", line 383, in market_order
    raise InvalidOrder("Size resolution is too high, the highest resolution allowed for this symbol is: " +
blankly.utils.exceptions.InvalidOrder: Size resolution is too high, the highest resolution allowed for this symbol is: 1e-09. You specified 0.27252916879693634. Try using blankly.trunc(size, decimal_number) to match the exchange resolution.
Progress: [##########] 100% Done...
INFO: View your backtest here: https://app.blankly.finance/tNCUuA37tlaRvGsJt1SafNzvDWq1/pYqm1mhqsOWPXXaynm7T/fcaf0f79-72bb-4eac-866a-9d831b192f44/backtest

Historical Dataframes:
Account History:
    BTC    USD          time  Account Value (USD)
0     0  10000  1588377600.0              10000.0
1     0  10000  1588377600.0              10000.0
2     0  10000  1588464000.0              10000.0
3     0  10000  1588550400.0              10000.0
4     0  10000  1588636800.0              10000.0
..   ..    ...           ...                  ...
711   0  10000  1649721600.0              10000.0
712   0  10000  1649808000.0              10000.0
713   0  10000  1649894400.0              10000.0
714   0  10000  1649980800.0              10000.0
715   0  10000  1650067200.0              10000.0

[716 rows x 4 columns]
Account Returns:
             time  value
0    1.588378e+09    NaN
1    1.588464e+09    0.0
2    1.588550e+09    0.0
3    1.588637e+09    0.0
4    1.588723e+09    0.0
..            ...    ...
710  1.649722e+09    0.0
711  1.649808e+09    0.0
712  1.649894e+09    0.0
713  1.649981e+09    0.0
714  1.650067e+09    0.0

[715 rows x 2 columns]
Resampled Account Value:
             time    value
0    1.588378e+09  10000.0
1    1.588464e+09  10000.0
2    1.588550e+09  10000.0
3    1.588637e+09  10000.0
4    1.588723e+09  10000.0
..            ...      ...
710  1.649722e+09  10000.0
711  1.649808e+09  10000.0
712  1.649894e+09  10000.0
713  1.649981e+09  10000.0
714  1.650067e+09  10000.0

[715 rows x 2 columns]
Blankly Metrics:
Calmar Ratio:                      0.0
Compound Annual Growth Rate (%):   0.0%
Conditional Value-at-Risk:         0.0
Cumulative Returns (%):            0.0%
Max Drawdown (%):                  0.0%
Resampled Time:                    86400.0
Risk Free Return Rate:             0.0
Sharpe Ratio:                      0.0
Sortino Ratio:                     None
Value-at-Risk:                     0.0
Variance (%):                      0.0%
Volatility:                        0.0

Platform Info

Python version: 3.8.2
Platform: Windows 11, PyCharm 2021.2.1

Additional context

opened by mr-september 9

TypeError: ufunc 'isnan' not supported for the input types

Description

When I try the RSI code on the Google Colab Jupyter, I get the following error.

Error on Colab

TypeError: ufunc 'isnan' not supported for the input types, and the inputs could not be safely coerced to any supported types according to the casting rule ''safe''

INFO: "use_yfinance" not specified in preferences, defaulting to: "False"
No cached data found for ETH-USDT from: 1642515960 to 1642524144 at a resolution of 3600 seconds.

Initializing...

Backtesting...
Progress: [#---------] 14.87% Traceback (most recent call last):
  File "/usr/local/lib/python3.7/dist-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py", line 706, in run
    'state_object'])
  File "<ipython-input-3-1733380c8989>", line 10, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "/usr/local/lib/python3.7/dist-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 363, in market_order
    raise InvalidOrder(f"Size is too small. Minimum is: {min_size}. You requested {size}.")
blankly.utils.exceptions.InvalidOrder: Size is too small. Minimum is: 0.0001. You requested 0.
Traceback (most recent call last):
  File "/usr/local/lib/python3.7/dist-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py", line 706, in run
    'state_object'])
  File "<ipython-input-3-1733380c8989>", line 10, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "/usr/local/lib/python3.7/dist-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 363, in market_order
    raise InvalidOrder(f"Size is too small. Minimum is: {min_size}. You requested {size}.")
blankly.utils.exceptions.InvalidOrder: Size is too small. Minimum is: 0.0001. You requested 0.
Traceback (most recent call last):
...
/usr/local/lib/python3.7/dist-packages/blankly/metrics/portfolio.py:55: RuntimeWarning: invalid value encountered in double_scalars
  return mean / std
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
<ipython-input-3-1733380c8989> in <module>()
     30   # strategy.start()
     31   # Or backtest using this
---> 32   results = strategy.backtest(to='1y', initial_values={'USDT': 10000})
     33   print(results)

1 frames
/usr/local/lib/python3.7/dist-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py in run(self)
    908         # Lastly remove Nan values in the metrics
    909         for i in metrics_indicators:
--> 910             if np.isnan(metrics_indicators[i]):
    911                 metrics_indicators[i] = None
    912 

TypeError: ufunc 'isnan' not supported for the input types, and the inputs could not be safely coerced to any supported types according to the casting rule ''safe''

chrome_0J9966GLO4

When I try the RSI code on the Windows desktop, I get the following error.

Error on Windows Desktop

c:\python38\lib\site-packages\blankly\metrics\portfolio.py:60: RuntimeWarning: invalid value encountered in double_scalars
  return return_series.mean() * n / abs(max_drawdown(return_series))

pyzo_dTWgsPQ6Cc

opened by alitekdemir 9

Binance Api Connection Error

When i try my test binance api it is work correctly but my real binance account doesnt work! I use my api in wunderbit and other services. Python 3.9.6 (tags/v3.9.6:db3ff76, Jun 28 2021, 15:26:21) on Windows (64 bits).

GetInfo.py

import blankly
exchange = blankly.Binance(portfolio_name="Blankly Binance")
interface = exchange.get_interface()  # Use the getter
print(interface.get_account())

keys.json

{
    "binance": {
        "Blankly Binance": {
            "API_KEY": "y*********************************************************************",
            "API_SECRET": "yx*********************************************************************"
        },
        "ATD Test": {
            "API_KEY": "x*********************************************************************",
            "API_SECRET": "xx*********************************************************************"
        }
    }
}

settings.json

{
  "settings": {
    "account_update_time": 5000,
    "use_sandbox": true,
    "use_sandbox_websockets": false,
    "websocket_buffer_size": 10000,

    "coinbase_pro": {
      "cash": "USD"
    },
    "binance": {
      "cash": "USDT",
      "binance_tld": "com"
    },
    "alpaca": {
      "websocket_stream": "iex",
      "cash": "USD"
    }
  }
}

Error

>>> (executing file "GetInfo.py")
Traceback (most recent call last):
  File "C:\Blankly\GetInfo.py", line 2, in <module>
    exchange = blankly.Binance(portfolio_name="Blankly Binance")
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\binance\binance.py", line 27, in __init__
    Exchange.__init__(self, "binance", portfolio_name, keys_path, settings_path)
  File "c:\python39\lib\site-packages\blankly\exchanges\exchange.py", line 41, in __init__
    self.calls, self.interface = self.__direct_calls_factory.create(self.__type, self.__auth, preferences_path)
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\direct_calls_factory.py", line 51, in create
    return calls, BinanceInterface(exchange_name, calls)
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\binance\binance_interface.py", line 34, in __init__
    super().__init__(exchange_name, authenticated_API)
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\exchange_interface.py", line 43, in __init__
    self.init_exchange()
  File "c:\python39\lib\site-packages\blankly\exchanges\interfaces\binance\binance_interface.py", line 40, in init_exchange
    raise exceptions.APIException("Invalid API Key, IP, or permissions for action - are you trying "
blankly.utils.exceptions.APIException: Invalid API Key, IP, or permissions for action - are you trying to use your normal exchange keys while in sandbox mode?

opened by alitekdemir 9

Example scripts error

Description

As in the title. Provided examples throw errors during execution Tested files: bot.py (generated by 'blankly init' command), examples/rsi.py, examples/mlp_model.py

settings.json

{
  "settings": {
    "account_update_time": 5000,
    "use_sandbox": true,
    "use_sandbox_websockets": true,
    "websocket_buffer_size": 10000,
    "test_connectivity_on_auth": true,
    "coinbase_pro": {
      "cash": "USD"
    },
    "binance": {
      "cash": "USDT",
      "binance_tld": "us"
    },
    "alpaca": {
      "websocket_stream": "iex",
      "cash": "USD"
    }
  }
}

backtest.json

{
  "price_data": {
    "assets": []
  },
  "settings": {
    "use_price": "close",
    "smooth_prices": false,
    "GUI_output": true,
    "show_tickers_with_zero_delta": false,
    "save_initial_account_value": true,
    "show_progress_during_backtest": true,
    "cache_location": "./price_caches",
    "continuous_caching": true,
    "resample_account_value_for_metrics": "1d",
    "quote_account_value_in": "USDT",
    "ignore_user_exceptions": false,
    "risk_free_return_rate": 0.0
  }
}

Error

rsi.py

Traceback (most recent call last):
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py", line 692, in run
    raise e
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py", line 685, in run
    self.price_events[0]['function'](self.interface.get_price(self.price_events[0]['asset_id']),
  File "/home/jakub/PycharmProjects/bot/blankly/rsi.py", line 7, in price_event
    rsi = blankly.indicators.rsi(state.variables['history'])
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/indicators/oscillators.py", line 33, in rsi
    rsi_values = ti.rsi(data, period)
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/tulipy/__init__.py", line 1003, in rsi
    return lib.rsi([real], [period])
  File "tulipy/lib/__init__.pyx", line 105, in tulipy.lib._Indicator.__call__
tulipy.lib.InvalidOptionError

mlp_model.py

Traceback (most recent call last):
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py", line 692, in run
    raise e
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py", line 685, in run
    self.price_events[0]['function'](self.interface.get_price(self.price_events[0]['asset_id']),
  File "/home/jakub/PycharmProjects/bot/blankly/mlp_model.py", line 38, in price_event
    rsi_values = rsi(variables['history'], period=14).reshape(-1, 1)
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/indicators/oscillators.py", line 33, in rsi
    rsi_values = ti.rsi(data, period)
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/tulipy/__init__.py", line 1003, in rsi
    return lib.rsi([real], [period])
  File "tulipy/lib/__init__.pyx", line 105, in tulipy.lib._Indicator.__call__
tulipy.lib.InvalidOptionError

bot.py

Traceback (most recent call last):
  File "/home/jakub/PycharmProjects/bot/blankly2/bot.py", line 39, in <module>
    results = strategy.backtest(to='1y', initial_values={'USDT': 10000})
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/frameworks/strategy/strategy_base.py", line 495, in backtest
    results = self.backtesting_controller.run()
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/blankly/exchanges/interfaces/paper_trade/backtest_controller.py", line 543, in run
    self.interface.receive_price(k, v[use_price].iloc[0])
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/pandas/core/indexing.py", line 879, in __getitem__
    return self._getitem_axis(maybe_callable, axis=axis)
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/pandas/core/indexing.py", line 1496, in _getitem_axis
    self._validate_integer(key, axis)
  File "/home/jakub/anaconda3/envs/cbot/lib/python3.9/site-packages/pandas/core/indexing.py", line 1437, in _validate_integer
    raise IndexError("single positional indexer is out-of-bounds")
IndexError: single positional indexer is out-of-bounds

Platform Info

Python version: 3.9 Anaconda based
Platform: Ubuntu 20.04.3 LTS

Additional context Library installed as proposed in https://github.com/Blankly-Finance/Blankly#quickstart

All example scripts and json files were modified to use sandbox account and API for Binance, also USD was changed to USDT in symbols and portfolio.

opened by jgrabek 8

blankly core code integrate too many real exchange code

checking the source code, I found the blankly core code like TickManager and OrderbookManager integrate too many real exchange code like binance. I think the core code should implement a abstract exchange. any real exchange extend the abstract exchange inpedently. so we can add more exchagne easily.
invalid

opened by jandykwan 7

Code often freezes when paper trading

Hi! Around 50% of the time when starting a bot it will freeze up when using the broker interface and wait for thread lock. When killing the script i get

Traceback (most recent call last):
  File "/usr/lib/python3.7/threading.py", line 1281, in _shutdown
    t.join()
  File "/usr/lib/python3.7/threading.py", line 1032, in join
    self._wait_for_tstate_lock()
  File "/usr/lib/python3.7/threading.py", line 1048, in _wait_for_tstate_lock
    elif lock.acquire(block, timeout):
KeyboardInterrupt

restarting the script often solves the problem.

opened by Fschoeller 7

Shorting stock not developed?
Hi,

Thank you for the very useful package! I'm trying to backtest a strategy that involves shorting a stock/crypto. This means I make a call like: interface.market_order('MSFT', 'sell', 1) in a price_event function.

This results in an error message such as: *** blankly.utils.exceptions.InvalidOrder: Not enough base currency. Available: 0.0. hold: 0. requested: 1.

I'd expect to be able to short on Alpaca, as doing a 'sell' market order (e.g. through their web console) with 0 position is successful.

Note: I've gotten the same results with

alpaca = Alpaca() s = Strategy(alpaca)

and coinbase = CoinbasePro() crypto = Strategy(coinbase)

Is this intentional? Thanks so much!
opened by bkunsberg 7
Make StrategyState available after Backtesting
Description of Feature Request

This feature is closely related to the open feature request of in-house plotting (#207). Currently I use the teardown function to create custom plots with plotly. However, this makes it difficult to show detailed information as trades and metrics as the backtest result is not yet available. The default figures of blankly are limited in showing what's going on with the data, such as visualizing indicators.

The real problem is that I have never the state and the backtest result together at one location, making it difficult to plot everything I want in a complete overview.

How would you implement this?

# Example of how my teardown function looks like: # using the teardown function for ploting feels like misusing the purpose of this function def teardown(symbol, state: blankly.StrategyState): # in the teardown I do something like this to show the candles and indicators. plotly.show(state) strategy.add_bar_event(bar_event, symbol='MSFT', resolution='4h', teardown=teardown) res = strategy.backtest(to='1y', initial_values={'USD': 10000}) # Option 1: res.state[symbol][resolution] # -> blankly.StrategyState res.get_state(*args) # -> blankly.StrategyState # Option 2: def teardown(symbol, state: blankly.StrategyState, res: BacktestResult ): # in the teardown I do something like this to show the candles and indicators. plotly.show(state, res)

Would you like to Contribute?

[ ] Yes, I would love to contribute to this feature request 🎉 (I do not understand the internals of blankly that well)

[X] No, but please keep me posted 🎉

enhancement
opened by josvanos 1
Forex trading a bit confusing

Description

First off I just want to say I really like the package and enjoy using it.

I do not have a bug so to say more a question to help clarify forex trading through blankly. Typically in FOREX one speaks of a buy and sell position which is in line with the blankly language for trades. However, in the realisation of these trades I am a little lost as to how it is implemented.

If I make a buy position into EUR-AUD for example I am purchasing AUD. If I want to now open a sell position, it will use the money allocated in AUD. So if I do not have a large enough open buy position, I cannot open a sell position in EUR-AUD. Not only that, but this gives me the impression that I am actually closing a buy position when I open a sell which is very counter to some strategies which may actually want to open both trade positions for example. In reality, when trading on the FOREX markets, I can open a 100 euro buy position followed by a 600 euro sell position and that is completely fine. In Blankly, I don't know how to achieve this in a backtest. I also don't know how to open these positions so that they do not interfere with each other as in principle, they should not.

This is just what I have come across from trying to backtest FOREX algorithms through OANDA so if I am doing something wrong I would like to know. If it is also just some differences for the FOREX side of things I would also be happy to contribute.
enhancement

opened by SamTov 1

Could be cool to do in-house plots.

Hej!

I think it is very useful to debug algos using something more than equity curves and metrics. Other frameworks like Vectorbt use Plotly for this, you guys chose tradingview (questionably quality right now). As I usually use Jupyter notebooks for everything, here is my suggestion right now before you can make a smooth integration with Tradingview:

from plotly.subplots import make_subplots
import plotly.graph_objects as go

def plot_results(result,symbol=None):
    if symbol is None:
        symbol = list(result.history.keys())[0]
    
    history = result.history[symbol]
    returns = result.get_returns()
    trades = result.trades['created'].copy()
    trades = {k:np.array([_[k] for _ in trades]) for k in ['time','side','price']}
    
    fig = make_subplots(rows=1, cols=1,shared_xaxes=True,vertical_spacing=None)
    
    fig.add_trace(
        go.Candlestick(
            x=pd.to_datetime(history.time,unit='s'),
            open=history.open,
            high=history.high,
            low=history.low,
            close=history.close),
         col=1,row=1
    )
    fig.update_layout(xaxis_rangeslider_visible=False)

    fig.add_trace(
        go.Scatter(
            x=pd.to_datetime(trades['time'],unit='s'),
            y=trades['price'],
            mode='markers',
            marker=dict(size=10,color=np.where(trades['side']=='buy','green','red'),symbol=np.where(trades['side']=='buy','triangle-up','triangle-down') ,line=dict(color='black',width=1)),
            ),
        col=1,row=1,
    )
    return fig

enhancement

opened by SamsTheGreatest 4

Alpaca websocket losses connection on creation

def update(tick: blankly.WebsocketTick):
    print(tick)


if __name__ == "__main__":
    alpaca = blankly.Alpaca()
    manager = blankly.TickerManager('alpaca', 'AAPL')

bug

opened by EmersonDove 0

Releases(v1.18.0-beta)

v1.18.0-beta(Jun 15, 2022)
Updates

hotfix blankly logout by @qmatias in https://github.com/blankly-finance/blankly/pull/153

hotfix blankly deploy by @qmatias in https://github.com/blankly-finance/blankly/pull/154

v1.17.4-beta by @EmersonDove in https://github.com/blankly-finance/blankly/pull/157

v1.17.5-beta release by @EmersonDove in https://github.com/blankly-finance/blankly/pull/160

add auto truncate option to settings.json by @qmatias in https://github.com/blankly-finance/blankly/pull/155

futures backtesting by @qmatias in https://github.com/blankly-finance/blankly/pull/148

add starter models by @qmatias in https://github.com/blankly-finance/blankly/pull/163

add take profit and stop loss orders to SPOT exchanges by @qmatias in https://github.com/blankly-finance/blankly/pull/156

make newtulipy even newer by @qmatias in https://github.com/blankly-finance/blankly/pull/165

make cli easier to run for users without pip scripts on PATH by @qmatias in https://github.com/blankly-finance/blankly/pull/167

fix keyless template in the CLI and add it as an example by @qmatias in https://github.com/blankly-finance/blankly/pull/168

spring cleaning by @qmatias in https://github.com/blankly-finance/blankly/pull/169

add parametrized testing for spot exchanges by @qmatias in https://github.com/blankly-finance/blankly/pull/170

add take-profit example by @qmatias in https://github.com/blankly-finance/blankly/pull/172

fix more bugs & continue deduplication efforts by @qmatias in https://github.com/blankly-finance/blankly/pull/173

v1.18.0 release by @EmersonDove in https://github.com/blankly-finance/blankly/pull/164

Full Changelog: https://github.com/blankly-finance/blankly/compare/v1.17.0-beta...v1.18.0-beta
Source code(tar.gz)
Source code(zip)
v1.17.0-beta(Apr 17, 2022)
Updates

Added full spot kucoin websockets

Added full spot FTX websockets

Added futures live trading

Added full spot OKX integration

Added FTX international support

Added FTX sub account support

Added new and improved CLI

Added backtesting and exporting to the platform

Added alpaca API v2 support

Added arbitrage event

Added scheduled event

Added event driven backtesting

Added tick event driven backtesting

Added custom data backtesting

Added new generic model class for incredibly flexible backtesting

Fixes for Oanda & Binance

Tons of other small fixes and stability improvements

Contributors:

@mehta-avi @qmatias @jordibeen @jmoz @bfan1256 @hawkinsjb1 @EmersonDove
Source code(tar.gz)
Source code(zip)
v1.16.0-beta(Feb 25, 2022)
Updates

Add valid FTX resolutions

Format to using new db format in model creation workflow

Add better Kucoin & ftx examples

Add keyless exchanges for custom datasets during backtesting

Rename signal to screener

Add cron screener

Add cron to deployment settings

Quantstats integration from @Aryan34

Metrics fixes from @qmatias

Kraken & Kucoin development from @mehta-avi

Add order annotation for platform orders

Remove use_sandbox from settings and make it entirely in keys.json

Source code(tar.gz)
Source code(zip)
v1.15.0-beta(Jan 18, 2022)
Updates

Dramatically improve platform CLI

Reporter headers update

Add shorting to alpaca, #73 - experimental feature including simulated margin

Upgrade tests to run as a matrix

Slightly weakened tests to allow for a pandas windows bug

Add feature request template

Remove unnecessary dependencies

Add order protection for backtest configurations

Add strategy .start() protection for backtest configurations

Fix binance websocket feeds

Arguments can be passed to backtest metrics

Add an option to enable/disable alpaca shorting

Upgrade logging capabilities

Source code(tar.gz)
Source code(zip)
v1.14.0-beta(Dec 20, 2021)
Updates

Dramatically improve platform CLI

Reporter headers update

Add shorting to alpaca, #73 - experimental feature including simulated margin

Upgrade tests to run as a matrix

Slightly weakened tests to allow for a pandas windows bug

Add feature request template

Remove unnecessary dependencies

Add order protection for backtest configurations

Add strategy .start() protection for backtest configurations

Fix binance websocket feeds

Arguments can be passed to backtest metrics

Add an option to enable/disable alpaca shorting

Upgrade logging capabilities

Source code(tar.gz)
Source code(zip)
v1.13.0-beta(Nov 20, 2021)
Updates

Add state initialization option for the price events

Update run to use blankly.json

Address #72 & add docs for #61

Fix error mentioned in #68

Address issue #62

OANDA beta release

Local account is now dynamic rather than static allowing multiple paper exchanges

Unit tests are upgraded to be more robust, perform better testing and are more reliable

Fix fix multi-symbol bar events

Migrated testing helpers to testing utils file

Create a strategy test

Upgrade homogeneity tests

Remove hashing in strategy

Fix API casing in interfaces

Removed sklearn as dependency

Source code(tar.gz)
Source code(zip)
v1.12.0-beta(Oct 30, 2021)
Updates

Add aggregate candles function

Fix for #64

Add subreddit badge

Add risk_free_return_rate from #63

Fix for double init call on sub minute strategies

Source code(tar.gz)
Source code(zip)
v1.11.0-beta(Oct 25, 2021)
Updates

Interface allows interface option

Fix signature difference bug

Fix issue with binance fees

Market order now uses size instead of funds

Better tests for orders

Correct & improve the formatting for blankly metrics

Source code(tar.gz)
Source code(zip)
v1.9.0-beta(Oct 4, 2021)
Updates

Add continuous caching & set intersections for backtest price data

Fixed alpaca account valuation issue

Source code(tar.gz)
Source code(zip)
v1.8.0-beta(Sep 23, 2021)
Updates

Forced into removal of coinbase tests by novel sandbox exchange error

Deployment get request parsing

Zip files now use /model/ as root

Can now specify specific files to ignore on deployment

Dramatically accelerated backtest

Fixed a significant account valuation bug

Source code(tar.gz)
Source code(zip)
v1.7.0-beta(Sep 6, 2021)
Updates

Barset calls now go for more than 1000 candles in alpaca

More robust binance & data keys test

Overhauled settings to use objects to load

Can now send notifications via text

Frameworks are now refactored into their own folder

Coin_id/currency are no longer arguments in the exchange class

Signal will now replicate starting/stopping process behavior

get_product_history now uses the data interfaces

Docs now reflect recent (last two months) changes

Fixed alpaca types

backtest.json now defaults to ignoring user exceptions

blankly_bot.py now follows python standards

The sandbox error is now more descriptive

RSI example now prints the action

settings.json now defaults to not using sandbox

SignalRunner now has a stop function

Fix strategy naming conventions

Source code(tar.gz)
Source code(zip)
v1.6.0-beta(Aug 29, 2021)
Updates

Allow gutter run in examples

Add override to alpaca

Small fixes for alpaca websocket

Add correct casting for binance time column

Source code(tar.gz)
Source code(zip)
v1.5.0-beta(Aug 23, 2021)
Updates

Add recursive dictionary test

Fixed critical history error introduced in v1.4.0-beta

Excepts now register keyboard & stop signals

User teardowns created under teardown=callable

Created signal class

Add docs to keyword & added interrupt ability to scheduler

Patched cast function

Add format_with_new_line function to utils

Add str method for strategy state

Fix scope override in modify_variable

Add signal init

Add *args for add_new_line in orders

Added signal state

Fixed RSI interval

Add interface to signal

Add casting in the formatting for utils

Add print method for signal state

Add docs & typing for & symbol reassignments in signal.py

Export signal is now a header

Inactive symbols are now excluded in the alpaca init

Can now log the strategy on deployment

Resolution is now inside the signal state

Fixed reporter headers signatures

Fixed history signatures in .history() overrides

get_products now is typed to return a list

Add local email abilities

Add local email class for simplified sending

Added notify.json importing ability

Refactor alpaca history have better inheritance and duplicated work overhead.

Source code(tar.gz)
Source code(zip)
v1.4.0-beta(Aug 18, 2021)
Updates

Created CLI

Added logging exports & reporting

Fix issues with strategy websocket feeds

Added websocket OHLCV

Added simple OHLCV from price list function

Changed get_ticker_feed to show the interface outputs

Added CLI sub commands (deploy & init)

Big update: Added full OANDA integration!

Can execute blankly deployment packages through the command line & CPU monitoring

Updated README

Upload a blankly package to blankly servers

Fixed type bug in interfaces

Source code(tar.gz)
Source code(zip)
v1.3.0-beta(Aug 6, 2021)
Updates

Added StrategyState.time which correctly matches times in live trading & backtesting

Much faster list -> numpy conversion

Warnings for using orderbook callbacks in backtest

Added ability to cast history directly to a deque

Slowed down update progress bar

Added to MACD example to show multiple price events

Revamped __has_nonzero_delta function to use the traded_assets list

Added an exception to the market order filter which allows high quantity resolution

Added higher quality time frames to paper trade during backtesting

Small bug fix with querying open orders for a specific symbol in Alpaca

Paper trade watchdog is a daemon thread

Can now start & stop order limit daemon in the exchange class (added to docs)

Added macro export ability for deployment

Add is_deployed feature

Add strategy logger & updated MACD

Bug fix for alpaca get_open_orders

Update issue with metrics

Remove default price cash in backtest.json

Fixed tests for a new month

Replicated node behaviors in the header files

Source code(tar.gz)
Source code(zip)
v1.2.0-beta(Jul 29, 2021)
Updates

Added external process connection code

Connection includes timeouts & non thread blocking

Ping/pong abilities

Connection hides exception printing from keyboard interrupts.

Choose to fail or handle user generated exceptions

Fixed multiple inheritance issue in the paper trade exchange

Fixed a backtesting colors glitch

Accelerated alpaca backtesting

Added ML model to the examples

Organized other examples to be more specific

Account valuation improvements

Better testing for get_account()

Added dictionary type output or pandas data frame for historical data

Fixed testing utils function

Removed the ability to create references to the account value dict

Code cleanup & docs matching

Coin id is now symbol in utils

Added docs to scheduler

Formatting fixes

Moved @ property functions

Fixed typing in examples

Added edge cases to trading assets

Added account assets re-evaluation function

Fixed stock account valuation failures for alpaca

Source code(tar.gz)
Source code(zip)
v1.1.0-beta(Jul 24, 2021)
Updates:

Fixed an issue where time arrays could be offset by price appending

Added an exception for low volume exchanges on Coinbase Pro

Added a function for better delta backtesting checking on a symbol

Backtesting functions now run in the correct order

Correct step function for backtest plots

Fixed an issue where backtesting could inaccurately render portfolio changes in the past

Source code(tar.gz)
Source code(zip)
v1.0.0-beta(Jul 21, 2021)
Updates

Testing for limit orders

Code cleanup

Updated price events

User callback integration

Auth system update

Significantly improved homogeneity

Variables property in strategy

Orderbook event handler

Added global auth cache

Added tulipy package

Added tulipy wrappers

Account valuation in backtest

Added pre-baked returns for backtest

Added a cash property with setting

Updated backtest to match new price event format

Added a backtest result object

Added initial CLI integration

Alpaca limit orders are now GTC

Vastly improved README

Merged auth into exchanges folder

Developed standard for ABC naming

Renamed all files & restructured to fit pep

Added an initial account values feature to paper trading

Switch from product_id, currency_id, currency, asset_id to just simply symbol

Blankly is now blankly

Created a history function that allows flexible historical data downloads

Created a utils get_ohlcv function

Scheduler can run on an exchange-synced ceil time

Recreated the get_market_limits function to match all functions

Lots of OHLCV integrations across the module - history, backtesting, and events are now OHLCV

Auth path caching

Added size to websocket trade homogenization

Added alpaca to the manager classes

Added better logging for trade updates

Added alpaca websockets

Alpaca bid/ask spread

Unit tests are working!

Added forced resolution in paper trade

Added forced order filters in paper trade

Added forced decimal math in paper trade

Added trunc() function as blankly.trunc() because its used so much

Getting quote will now default to 'USD' for stocks

Added base asset & quote asset in strategy state

Added lowercased .interface & typed it for exchanges

& more. Most updates are in better interface homogeneity, which got a huge amount of work.

Source code(tar.gz)
Source code(zip)
v0.1.12-alpha(Jun 15, 2021)
Updates

New badges!

Prepared for GUI

Binance trade streams!

Snapshot for Binance

Improved historical data download

New tests!

Added strategy

Added indicators

Fixed issues with BlanklyBot

Working paper trading system

Working backtest system

Documentation integration

Local account improvements

Paper trade watchdog

Optional base argument to parse blankly coin id

Can now clone strategy into backtesting

Better type checking for pd.series

Cleaned code for indicators

More organized backtesting backend

Backtesting price caches now work

Alpaca exchanges can be created

Added a variables dictionary that can be reused arguments on the same function for different asset ids

Added loading bar

Backtesting now enforces types

Improved backtesting GUI

Fixed binance backtesting

Accurate hold account amounts

Can save & update backtest settings

Fixed days issues with portfolio metrics

Large websocket fix, addition of GeneralManager

Added sandbox support for websockets

Passing a path override to get settings now overrides it permanently unless another is passed in. Better type hints

Source code(tar.gz)
Source code(zip)
v0.1.11-alpha(May 1, 2021)
Updates

Confirmed interface calls for Coinbase Pro

Orderbook traceback

Level2 orderbook support for Binance

Cached settings

Required to specify currency pair

Binance tickers stop & starting

Multithreaded scheduler callback

Better types for the blankly bot class

Can now close all feeds

Better example commenting

Source code(tar.gz)
Source code(zip)
v0.1.10-alpha(Apr 27, 2021)
Updates

Better auth construction

Orderbook traceback

Level2 orderbook support on coinbase

Snapshot books

Market order in interface

Limit order in interface

Get order in interface

Get open orders in interface

Cancel order in interface

Dynamic Binance websocket feed creation

Custom callback handlers for particular feeds

Stop and start Binance tickers

Scheduler class to run functions at set intervals

Time interval construction

Improved exchange inheritance structure

Fixed logging functions

Homogenized abstract class

Improved purchase class

Type hints to avoid isinsstance in main

Type hints on return functions for easy use

Updated README.md

Changed Settings.json to not distinguish between feed types

Better logic in managers to not check types after evaluate overrides

Better naming conventions in the main

Source code(tar.gz)
Source code(zip)
v0.1.9-alpha(Apr 18, 2021)
Updates

Changed multiprocessing type

Added fee checks

Historical price download from binance

Open orders support

Market limits

Orderbook now appends

Changed valid python versions

Renamed setup file

Switched threading class

Source code(tar.gz)
Source code(zip)
v0.1.8-alpha(Apr 10, 2021)
Updates

Added feedback form

Default settings

Class abstraction

Documentation

Exchange keys sorting

Binance exchange support for interface calls

Key isolation in interface

Server fixes

Source code(tar.gz)
Source code(zip)
v0.1.7-alpha(Apr 2, 2021)
Updates:

Orderbook feed

Increased epoch resolution

Circular buffer feeds

Abstract classes

Ticker dynamic start/stop

Binance start

Python specs improvement

Code quality boost

Cleaner user interface

Dataframe history

Long-term history downloads

Source code(tar.gz)
Source code(zip)
v0.1.6-alpha(Mar 23, 2021)

Updated PyPi license and a few new features.
Source code(tar.gz)
Source code(zip)
v0.1.5-alpha(Mar 22, 2021)

Source code(tar.gz)
Source code(zip)
v0.1.1-alpha(Mar 14, 2021)

Updated PyPi information.
Source code(tar.gz)
Source code(zip)
v0.1.0-alpha(Mar 14, 2021)

This is the initial release for the PyPi module.
Source code(tar.gz)
Source code(zip)