Describe the bug Could not run on Live Mode on Oanda.

Traceback (most recent call last):
  File "runfile.py", line 23, in <module>
    at.run()
  File "/usr/local/lib/python3.8/site-packages/autotrader/autotrader.py", line 218, in run
    self._main()
  File "/usr/local/lib/python3.8/site-packages/autotrader/autotrader.py", line 295, in _main
    bot = AutoTraderBot(instrument, self.strategies[strategy],
  File "/usr/local/lib/python3.8/site-packages/autotrader/autobot.py", line 146, in __init__
    data, quote_data, MTF_data = self._retrieve_data(instrument, self.feed)
  File "/usr/local/lib/python3.8/site-packages/autotrader/autobot.py", line 546, in _retrieve_data
    data = getattr(self.get_data, feed.lower())(instrument,
  File "/usr/local/lib/python3.8/site-packages/autotrader/lib/autodata.py", line 99, in oanda
    data        = self.response_to_df(response)
  File "/usr/local/lib/python3.8/site-packages/autotrader/lib/autodata.py", line 222, in response_to_df
    candles = response.body["candles"]
KeyError: 'candles'

To Reproduce Here is a copy of my strategy yaml file

NAME: 'MACD Momentum Strategy'
MODULE: 'macd'
CLASS: 'SimpleMACD'
INTERVAL: '5m'
PERIOD: 200
RISK_PC: 1
SIZING: 'risk'
PARAMETERS:
  ema_period_fast: 20
  ema_period_slow: 200
  MACD_fast: 12
  MACD_slow: 26
  MACD_smoothing: 9

WATCHLIST: ['EURUSD=X']

Expected behavior To be able to run as expected on Live Mode.

Version of AutoTrader being used Latest.

Any idea what the issue could be?

Hi there, I am looking to live trade with dydx, but when I am attempting to connect and run a basic algorithm, I am getting errors.

The first one is: AutoData is not defined. I fixed this by importing the class in the dydx/broker.py file.

The next one is related to the data feed. The system exits right after the prompt "Please specify a data feed" shows up.

Any help would be greatly appreciated! Jamie

Describe the bug When using the key STOCHASTIC in the indicators dictionary an error is thrown.

To Reproduce Steps to reproduce the behaviour:

1. Create a strategy and create STOCHK and STOCHD

        self.stoch_rsi = TA.STOCHRSI(self.data, rsi_period=6, stoch_period=27)
        self.stoch_rsi_k = TA.STOCH(self.data, period=3)
        self.stoch_rsi_d = TA.STOCHD(self.data, period=3, stoch_period=27)

3. Create an indicator dictionary something like:

        self.indicators = {
            "RSI": {"type": "RSI", "data": self.stoch_rsi},
            "STOCHASTIC": {
                "K": self.stoch_rsi_k,
                "D": self.stoch_rsi_d,
            },
        }

4. Run a backtest
5. See error:

Traceback (most recent call last):
  File "/home/lewis/Projects/trading_bot/runfile.py", line 65, in <module>
    main()
  File "/home/lewis/Projects/trading_bot/runfile.py", line 58, in main
    at.run()
  File "/home/lewis/.pyenv/versions/3.8.9/envs/maxwell/lib/python3.8/site-packages/autotrader/autotrader.py", line 711, in run
    self._main()
  File "/home/lewis/.pyenv/versions/3.8.9/envs/maxwell/lib/python3.8/site-packages/autotrader/autotrader.py", line 1120, in _main
    self.plot_backtest()
  File "/home/lewis/.pyenv/versions/3.8.9/envs/maxwell/lib/python3.8/site-packages/autotrader/autotrader.py", line 971, in plot_backtest
    ap.plot(backtest_dict=bot.backtest_results)
  File "/home/lewis/.pyenv/versions/3.8.9/envs/maxwell/lib/python3.8/site-packages/autotrader/autoplot.py", line 293, in plot
    bottom_figs = self._plot_indicators(indicators, main_plot)
  File "/home/lewis/.pyenv/versions/3.8.9/envs/maxwell/lib/python3.8/site-packages/autotrader/autoplot.py", line 736, in _plot_indicators
    indi_type = indicators[indicator]['type']
KeyError: 'type'

Process finished with exit code 1

Expected behaviour Plot the two stochastic lines below the chart in one section.

Screenshots n/a

Version of AutoTrader being used autotrader==0.6.2

Additional context Few other questions:

• Is there any functionality during backtesting to access previous trades? e.g. last 4 trades were losses so use 0.5*RR
• If the strategy has a lot of triggers it seems to cancel all trades, any idea why this might happen? My thought would be the whole account balance is in use so can't make a new trade without cancelling a previous one, when really it should just not create the new trade and let the old ones run.

Noted that support for IB was planned, but did not spot any draft implementation

Was thinking of implementing Interactive-Brokers support through using IB-Insync framework for simplicity(mainly using it for stocks), but if you already have something cooking that would save time and effort of course.. https://github.com/erdewit/ib_insync.git

Note that I'm still on a steep learning curve, so things go slow ; ) Thanks for a nice package anyway.

Is your feature request related to a problem? Please describe. Support for allowing to read in 2+ different time frames at a time, this helps if you are building a strategy around higher time frame indicators but want to trade on a lower time frame.

Describe the solution you'd like Similar to watchlist which allows for a list of product codes, allow for a list of time frames.

Describe alternatives you've considered I realise you can just get the data manually and load it manually in the init of your strategy, but loading the data in your runfile will overwrite the data you specified in the YAML, so allowing for additional time frames, or another variable for supplementary data would be ideal.

Additional context n/a

Hi, I'm trying to backtest your macd demo strategy using Oanda as broker but I'm not able to do so.

Here's steps I've done :

1. Create a demo account in Oanda , so to receive api v20 access token and account id

2. Generate keys.yaml in /config folder where I've put previous data (ACCESS_TOKEN, DEFAULT_ACCOUNT_ID)

3. Modified runfile.py to use oanda as broker at line: at.configure(verbosity=1, show_plot=True, feed='oanda', mode='periodic')

4. Changed macd.yaml like to match EURUSD Oanda symbol at line : WATCHLIST: ['EUR_USD']

5. Execute python runfile.py and received this error :

(base) C:\Users\Giacomo\Downloads_AutoTrader\AT_DEMO>python runfile.py Traceback (most recent call last): File "C:\Users\Giacomo\Downloads_AutoTrader\AT_DEMO\runfile.py", line 9, in at.run() File "C:\Users\Giacomo\anaconda3\lib\site-packages\autotrader\autotrader.py", line 1049, in run self._main() File "C:\Users\Giacomo\anaconda3\lib\site-packages\autotrader\autotrader.py", line 1428, in _main self._assign_broker(broker_config) File "C:\Users\Giacomo\anaconda3\lib\site-packages\autotrader\autotrader.py", line 1635, in _assign_broker broker.configure(**account_config, autodata_config=autodata_config) File "C:\Users\Giacomo\anaconda3\lib\site-packages\autotrader\brokers\virtual\broker.py", line 256, in configure self._autodata = AutoData(data_config, **autodata_config) File "C:\Users\Giacomo\anaconda3\lib\site-packages\autotrader\autodata.py", line 82, in init self.ACCOUNT_ID = data_config["ACCOUNT_ID"] KeyError: 'ACCOUNT_ID'

Is there something else that I have to set in order to be able to backtest whatever strategy using oanda historical prices ?

Thanks, Regards Giacomo

Describe the bug I've an issue when I set a stop loss in my strategy: Situation :

• stop loss is equal to 6% ( issue still valid in case of different values)
• result : 0 trade executed --> reason : "Insufficient margin to fill order."

Configuration:

• RISK_PC: 100
• SIZING: 'risk'

Backtest configuration:

• initial_balance=32000,
• leverage = 1,
• spread=0.03,
• commission=0.005

Strategy Exit signals:

If signal == 1:
     stop = self.data.Close[i] * (1 - 0.06)  # self.data.Close[i] is the close price
If signal == -1:
     stop = self.data.Close[i] * (1 + 0.06)

When I've performed some code investigation, I figured out that ; margin_required is always greater than self.margin_available ( in file broker.py inside _fill_order function ) Example : margin_required=377116.75920040935 , self.margin_available=32000

This is due to how order.size is calculated in file broker_utils.py inside get_size function : It seems that when a stop loss is set, the number of units to buy is calculated as follows:

price_distance = abs(price - stop_price)
quote_risk = amount_risked / HCF
units = quote_risk / price_distance

where HCF = 1

I don't understand why the position size is calculated in that way. why we divide it by the price_distance and not just price ? In my point of view it must always be like this : units = amount_risked/(HCF*price)

Thanks

Is your feature request related to a problem? Please describe. A common desire is to extend AutoTrader's functionality to new exchanges (either specific instances of exchanges or entire classes, such as DEXes). In order to do this, new implementations must conform to the broker interface. Unfortunately, this interface, despite having very real expectations on compliant implementations, is not enforced anywhere in the current codebase.

Python purists will argue this is not Pythonic as it attempts to sidestep ducktyping; however, there is clearly confusion surrounding exactly what a broker must look like.

Describe the solution you'd like At a high level, programmatic enforcement of the broker interface (which exists regardless of enforcement method). Actually achieving this in Python is sadly a best-effort endeavour though.

The least insane solution is very likely an abstract base class. Specifically, by defining abstract methods. Something like the following should suffice:

class Broker(metaclass=abc.ABCMeta):
    @classmethod
    def __subclasshook__(cls, subclass):
        return (hasattr(subclass, 'get_NAV') and 
                callable(subclass.get_NAV) and 
                hasattr(subclass, 'get_balance') and 
                callable(subclass.get_balance) and
                hasattr(subclass, 'place_order') and 
                callable(subclass.place_order) and
                hasattr(subclass, 'get_orders') and
                callable(subclass.get_orders) and
                hasattr(subclass, 'cancel_order') and
                callable(subclass.cancel_order) and
                hasattr(subclass, 'get_trades') and 
                callable(subclass.get_trades) and
                hasattr(subclass, 'get_positions') and
                callable(subclass.get_positions) or
                NotImplemented)

    @abc.abstractmethod
    def get_NAV(self) -> float:
       pass
       
    # etc. ...

Describe alternatives you've considered Other methods like subclass hooks but these seem ugly and complicated (admittedly my Python knowledge may be lacking here and these might be The One True Way(TM)).

Additional context None.

Describe the bug

In backtest, when a new signal is triggered, and it has a different direction than the current open position, the order size, is not entirely filled

Expected behavior Like with tradingview pine scripts, when I switch position direction, the existing position is immediately closed and a new one is opened with the exact ordered size.

Below, a screenshot of orders history, in which I added two columns about the desired position size (My order size) and current balance

Configuration Position size is calculated manually in each triggered signal position_size = floor(self.broker.get_NAV()/self.data.Close[i])

Explanation In the second order, the script has ordered 1310 units, however, only 81 were executed. Of the 1310 units, 1229 were used to close the open position and the remaining ones have been executed in the new position.

I think that this behavior comes from broker.py in lines 300 to 303

I tried to manipulate my order size to close the existing one and entirely fill the new position, but I got errors of insufficient margin

Is there any way to overcome this behavior?

Thanks,

Hi, first of all what you did with this repo is really impressive. It will help lot of people to research & backtesting on stock market.

I'm trying to create charts using data from local db. I've tick level data in sqllite db. Trying to understand how to provide that as input to add_data

Currently I'm working on pandas dataframes to analyze, so this is how I access to data df_data[symbol] = pd.read_sql("SELECT * FROM {} where time BETWEEN {} and {}".format(tradesTableName,tickerStartDateTimestamp,tickerEndDateTimestamp), con=db)

Any suggestions on how to plot the data?

Thank you very much for your time.

Cheers! Vamsi

Is your feature request related to a problem? Please describe. Right now, if I were to set 1% risk per trade, I get a lot of cancelled trades if the stop losses is tight. What happens is it tries to max out the margin based on the absolute loss for that trade. The trade does not go through because my account's leverage is not high enough.

Describe the solution you'd like Can we modify the risk approach that does not max out the position sizing based on the 1% risk alone but take into account the leverage of the trading account. So the open trade could risk < 1% (based on my earlier example), and that's fine.

Describe alternatives you've considered Indicate a smaller risk per trade amount, which prevents margin from being maxed out.

Additional context N.A

Have the issue:

if self.data.Close.values[i] > self.ema[i] and
IndexError: only integers, slices (:), ellipsis (...), numpy.newaxis (None) and integer or boolean arrays are valid indices

Just run next:

from autotrader import AutoTrader

Create AutoTrader instance, configure it, and run backtest

at = AutoTrader() at.configure(verbosity=1, show_plot=True, feed='yahoo') at.add_strategy('macd') at.backtest(start = '1/6/2022', end = '1/10/2022') at.virtual_account_config(initial_balance=1000, leverage = 1000) at.run()

Have the issue:

File "/Library/Frameworks/Python.framework/Versions/3.9/lib/python3.9/site-packages/pandas/core/reshape/concat.py", line 403, in init raise ValueError("No objects to concatenate")

Just try to run next:

from autotrader import AutoTrader

Create AutoTrader instance, configure it, and run backtest

at = AutoTrader() at.configure(verbosity=1, show_plot=True, feed='yahoo') at.add_strategy('long_ema_crossover') at.backtest(start = '1/9/2022', end = '1/10/2022') at.virtual_account_config(initial_balance=1000, leverage = 1000) at.run()

Is your feature request related to a problem? Please describe. A clear and concise description of what the problem is. Ex. I'm always frustrated when [...]

Describe the solution you'd like A clear and concise description of what you want to happen.

Describe alternatives you've considered A clear and concise description of any alternative solutions or features you've considered.

Additional context Add any other context or screenshots about the feature request here.

**Is your feature request related to a problem? Imagine user wants to use data from other sources for AutoData() for example a data frame from MetaTrader5, how that user could integrate their strategies with auto trader?

Issue

Closes #58.

Changes

$ git log main..58-tox-support
b1b7fa3 (HEAD -> 58-tox-support, origin/58-tox-support) Add Tox configuration file

Notes

Blocked by #57