A fork of Ed Bartosh's CCXT Store Work with some additions added for a projects I have been working on.
Some additions have been made to this repo that I find useful. Your mileage may vary.
Check out the example script to see how to setup and run on Kraken.
pip install .
pip install -e .
-
Added check for broker fills (complete notification, Cancel notification). Note that some exchanges may send different notification data
-
Broker mapping added as I noticed that there differences between the expected order_types and returned status's from canceling an order
-
Added a new mapping parameter to the script with defaults.
-
Added a new get_wallet_balance method. This will allow manual checking of the balance. The method will allow setting parameters. Useful for getting margin balances
-
Modified getcash() and getvalue(): Backtrader will call getcash and getvalue before and after next, slowing things down with rest calls. As such, these will just return the last values called from getbalance(). Because getbalance() will not be called by cerebro, you need to do this manually as and when you want the information.
-
Note: The broker mapping should contain a new dict for order_types and mappings like below:
broker_mapping = {
'order_types': {
bt.Order.Market: 'market',
bt.Order.Limit: 'limit',
bt.Order.Stop: 'stop-loss', #stop-loss for kraken, stop for bitmex
bt.Order.StopLimit: 'stop limit'
},
'mappings':{
'closed_order':{
'key': 'status',
'value':'closed'
},
'canceled_order':{
'key': 'result',
'value':1}
}
}
- Added new private_end_point method to allow using any private non-unified end point. An example for getting a list of positions and then closing them on Bitfinex is below:
# NOTE - THIS CLOSES A LONG POSITION. TO CLOSE A SHORT, REMOVE THE '-' FROM
# -self.position.size
type = 'Post'
endpoint = '/positions'
params = {}
positions = self.broker.private_end_point(type=type, endpoint=endpoint, params=params)
for position in positions:
id = position['id']
type = 'Post'
endpoint = '/position/close'
params = {'position_id': id}
result = self.broker.private_end_point(type=type, endpoint=endpoint, params=params)
_pos = self.broker.getposition(data, clone=False)
# A Price of NONE is returned form the close position endpoint!
_pos.update(-self.position.size, None)
Redesigned the way that the store is initialized, data and brokers are requested.
The store now uses meta params and has methods for getbroker() and getdata().
A store is initialized in a similar way to other backtrader stores. e.g
# Create a cerebro
cerebro = bt.Cerebro()
config = {'urls': {'api': 'https://testnet.bitmex.com'},
'apiKey': apikey,
'secret': secret,
'enableRateLimit': enableRateLimit,
}
# Create data feeds
store = CCXTStore(exchange='bitmex', currency=currency, config=config, retries=5, debug=False)
broker = store.getbroker()
cerebro.setbroker(broker)
hist_start_date = datetime.utcnow() - timedelta(minutes=fromMinutes)
data = store.getdata(dataname=symbol, name="LTF",
timeframe=get_timeframe(timeframe), fromdate=hist_start_date,
compression=1, ohlcv_limit=50, fetch_ohlcv_params = {'partial': False}) #, historical=True)
- Added new private_end_point method to allow using any private non-unified end point. For an example, see broker section above.
- Added option to send some additional fetch_ohlcv_params. Some exchanges (e.g Bitmex) support sending some additional fetch parameters.
- Added drop_newest option to avoid loading incomplete candles where exchanges do not support sending ohlcv params to prevent returning partial data
- Added Debug option to enable some additional prints