LUMIWEALTH_API_KEY |
+Your API key from the BotSpot.trade website so that you can track your bot’s performance. To get this API key, visit the BotSpot.trade website and add/create a bot. After creating the bot, you will receive an API key. |
+694rr2c8d9234b43a40fab494a79f5634ghd4f39d44ccf2e |
+
+General Environment VariablesLIVE_CONFIG |
+LUMIWEALTH_API_KEY |
+Your API key from the BotSpot.trade website so that you can track your bot’s performance. To get this API key, visit the BotSpot.trade website and add/create a bot. After creating the bot, you will receive an API key. |
+694rr2c8d9234b43a40fab494a79f5634ghd4f39d44ccf2e |
+
+LIVE_CONFIG |
Your live config file, only needed for strategies that have multiple configurations (there will be a folder named “configurations” in the src/ folder) and if you are running the strategy live. |
paper_1 |
-IS_BACKTESTING |
+
IS_BACKTESTING |
(Optional) Set to “True” to run the strategy in backtesting mode, set to “False” to run the strategy live (defaults to False). |
False |
-POLYGON_API_KEY |
+
POLYGON_API_KEY |
(Optional) Your API key from your Polygon account, only needed if you are backtesting. |
a7py0zIdhxde6QkX8OjjKNp7cD87hwKU |
-DISCORD_WEBHOOK_URL |
+
DISCORD_WEBHOOK_URL |
(Optional) Your Discord webhook URL, only needed if you want to send notifications to Discord. Learn how to get a Discord webhook URL here: Discord Webhooks |
https://discord.com/api/webhooks/123456789/ |
-DB_CONNECTION_STR |
+
DB_CONNECTION_STR |
(Optional) Your connection string to your account history database, only needed if you want to save your account history to a database. |
sqlite:///account_history.db |
-STRATEGY_NAME |
+
STRATEGY_NAME |
(Optional) The name of the strategy. This will change the strategy_id in the database and in the Discord messages. |
My Strategy |
-MARKET |
+
MARKET |
(Optional) The market you want the bot to think it is. Eg. “24/7” will make the bot think it is trading in a 24/7 market. |
24/7 |
-POLYGON_MAX_MEMORY_BYTES |
+
POLYGON_MAX_MEMORY_BYTES |
(Optional) The maximum memory in bytes that the Polygon API can use. This is useful for limiting memory usage during backtesting. |
512000000 |
diff --git a/docsrc/_build/html/searchindex.js b/docsrc/_build/html/searchindex.js
index 42565beb0..ec2cb7cbe 100644
--- a/docsrc/_build/html/searchindex.js
+++ b/docsrc/_build/html/searchindex.js
@@ -1 +1 @@
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"config": [1, 12, 13, 16, 17, 25, 43], "auto_adjust": [1, 44], "fals": [1, 12, 13, 16, 17, 22, 25, 26, 32, 43, 44, 46, 73, 74, 83, 92, 105, 116, 128, 136, 146, 151, 157, 162], "budget": [1, 5, 10, 17, 25, 32, 169, 184], "benchmark_asset": [1, 2, 6, 8, 25], "spy": [1, 2, 5, 6, 8, 19, 22, 25, 30, 31, 32, 36, 40, 44, 71, 72, 73, 74, 75, 79, 80, 109, 110, 111, 112, 120, 121, 122, 123, 125, 126, 127, 128, 129, 131, 133, 134, 135, 136, 137, 140, 144, 146, 150, 152, 153, 155, 157, 161, 163, 164, 165], "plot_file_html": 1, "trades_fil": 1, "settings_fil": 1, "pandas_data": [1, 5, 25, 43, 44], "quote_asset": [1, 13, 19, 23, 26, 152, 153, 163, 164], "usd": [1, 19, 21, 72, 73, 74, 146, 152, 153, 157, 163, 164], "starting_posit": 1, "show_plot": [1, 46], "tearsheet_fil": 1, "save_tearsheet": [1, 46], "show_tearsheet": [1, 46], "buy_trading_fe": [1, 25], "sell_trading_fe": [1, 25], "api_kei": [1, 12, 25, 26, 43, 44], "polygon_api_kei": [1, 2, 17], "polygon_has_paid_subscript": 1, "indicators_fil": 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153, 157, 163, 164, 165], "exampl": [1, 2, 6, 8, 11, 12, 15, 19, 20, 25, 26, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 44, 52, 53, 58, 59, 62, 63, 66, 67, 71, 72, 73, 74, 75, 79, 80, 83, 84, 85, 86, 87, 88, 89, 90, 91, 92, 93, 94, 95, 96, 97, 98, 99, 100, 102, 103, 105, 106, 107, 109, 110, 111, 112, 113, 114, 116, 117, 118, 120, 121, 122, 123, 125, 126, 127, 128, 129, 131, 132, 133, 134, 135, 136, 137, 139, 140, 141, 143, 144, 145, 146, 147, 148, 149, 150, 151, 152, 153, 154, 155, 156, 157, 158, 159, 160, 161, 162, 163, 164, 165, 167, 168, 169, 170, 171, 172, 173, 174, 175, 176, 177, 178, 179, 181, 182, 183, 184, 185, 186, 187, 188, 189, 190, 191, 192, 193, 194, 196], "want": [1, 2, 5, 8, 10, 12, 13, 16, 17, 25, 26, 41, 44, 62, 66], "financ": [1, 2, 10, 26], "would": [1, 2, 5, 16, 19, 25, 26, 44, 51, 57, 146, 157, 178, 193], "pass": [1, 2, 5, 8, 10, 18, 22, 28, 36, 40, 41, 45, 102, 103, 113, 114, 128, 136, 146, 157], "yahoodatabacktest": [1, 10, 25, 26, 32], 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22, 25, 26, 29, 30, 31, 32, 40, 41, 42, 44, 72, 73, 102, 103, 113, 114, 151, 162, 172, 173, 187, 188, 196], "close": [1, 5, 12, 13, 20, 21, 22, 28, 29, 32, 33, 40, 43, 51, 57, 72, 74, 75, 78, 81, 102, 103, 113, 114, 151, 162, 172, 187], "method": [1, 6, 8, 15, 19, 20, 22, 23, 26, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 70, 101, 124, 125, 127, 129, 131, 133, 135, 137, 140, 165, 168, 172, 173, 178, 183, 187, 188, 193, 196], "call": [1, 5, 6, 8, 19, 20, 22, 28, 32, 34, 35, 36, 38, 39, 40, 41, 42, 44, 72, 74, 75, 125, 126, 128, 133, 134, 136, 152, 163], "open": [1, 2, 5, 12, 17, 20, 21, 22, 25, 29, 30, 31, 40, 43, 63, 67, 72, 78, 81, 102, 103, 113, 114, 143, 144, 145, 149, 151, 154, 155, 156, 160, 162, 173, 188], "second": [1, 12, 22, 32, 40, 43, 73, 81, 101, 107, 118, 178, 193], "sleep": [1, 2, 26, 40, 47, 101, 102, 113, 178, 193], "between": [1, 2, 13, 20, 21, 26, 32, 72, 178, 193], "iter": [1, 2, 6, 8, 13, 21, 32, 40, 41, 168, 171, 183, 186, 196], "str": [1, 19, 20, 21, 22, 23, 44, 52, 58, 62, 63, 66, 67, 72, 73, 74, 75, 76, 84, 93, 105, 106, 116, 117, 125, 126, 127, 129, 130, 132, 133, 134, 135, 137, 138, 141, 146, 153, 157, 164, 174, 178, 179, 189, 193, 194], "file": [1, 4, 5, 7, 14, 15, 17, 25, 26, 101, 105, 116, 165, 196], "write": [1, 2, 6, 8], "stat": [1, 28, 42], "float": [1, 5, 19, 20, 22, 23, 36, 39, 43, 44, 49, 51, 55, 57, 62, 63, 66, 67, 74, 75, 79, 80, 102, 103, 107, 113, 114, 118, 128, 131, 136, 140, 146, 147, 153, 157, 158, 164, 167, 169, 175, 182, 184, 190], "risk": [1, 7, 14, 25, 128, 136], "free": [1, 2, 6, 8, 17, 23, 26, 128, 136], "rate": [1, 6, 8, 20, 128, 136], "dict": [1, 21, 38, 42, 44, 46, 50, 54, 56, 60, 77, 104, 108, 115, 119, 146, 157], "set": [1, 2, 6, 8, 11, 14, 15, 16, 17, 19, 20, 21, 22, 25, 26, 29, 32, 43, 44, 54, 60, 72, 73, 78, 106, 117, 125, 133, 146, 157, 165, 166, 172, 173, 178, 187, 188, 193, 196], "up": [1, 2, 5, 6, 11, 14, 15, 17, 19, 25, 26, 63, 67, 196], "broker": [1, 5, 12, 16, 19, 20, 22, 23, 24, 25, 26, 32, 35, 36, 37, 39, 45, 72, 73, 74, 77, 81, 109, 110, 111, 112, 120, 121, 122, 123, 128, 136, 146, 152, 153, 157, 163, 164, 167, 182], "live": [1, 2, 12, 14, 15, 17, 20, 25, 43, 44, 82, 83, 85, 86, 87, 88, 89, 92, 94, 95, 96, 97, 98, 106, 117], "bool": [1, 22, 43, 44, 46, 72, 73, 74, 105, 116, 128, 136, 153, 164, 168, 170, 183, 185], "whether": [1, 17, 22, 44, 46, 72, 82, 128, 136, 146, 157], "automat": [1, 6, 8, 22, 146, 147, 157, 158, 196], "adjust": [1, 7, 14, 20, 21, 44], "initi": [1, 2, 6, 8, 13, 15, 25, 26, 27, 41, 106, 117, 165, 169, 172, 173, 178, 184, 187, 188, 193], "asset": [1, 2, 5, 9, 12, 13, 17, 18, 20, 21, 22, 23, 26, 33, 34, 35, 36, 37, 39, 40, 43, 44, 49, 51, 52, 53, 55, 57, 58, 59, 62, 66, 71, 72, 73, 74, 75, 77, 78, 79, 80, 81, 125, 126, 127, 128, 129, 131, 133, 134, 135, 136, 137, 140, 146, 147, 152, 153, 157, 158, 163, 164, 167, 177, 182, 192], "benchmark": [1, 2, 7], "compar": [1, 7, 14, 17], "If": [1, 5, 6, 8, 12, 13, 14, 16, 17, 20, 21, 25, 26, 30, 32, 36, 40, 44, 72, 73, 74, 81, 102, 103, 105, 113, 114, 116, 131, 140, 143, 146, 151, 154, 157, 162], "string": [1, 17, 19, 20, 21, 22, 44, 72, 73, 105, 116, 132, 141, 146, 157, 178, 193, 196], "convert": [1, 19, 20, 22, 26, 43, 44, 132, 141, 146, 157], "object": [1, 5, 10, 12, 18, 19, 20, 21, 22, 23, 24, 35, 36, 37, 39, 43, 44, 46, 52, 53, 58, 59, 71, 72, 73, 74, 75, 77, 78, 79, 80, 81, 109, 110, 111, 112, 120, 121, 122, 123, 126, 131, 134, 140, 144, 145, 146, 147, 148, 149, 152, 153, 155, 156, 157, 158, 159, 160, 163, 164, 176, 181, 191, 196], "plot": [1, 10, 46, 63, 67], "list": [1, 2, 13, 18, 19, 20, 23, 25, 31, 43, 44, 47, 48, 53, 59, 61, 70, 73, 75, 80, 82, 84, 93, 101, 106, 111, 112, 117, 122, 123, 124, 127, 129, 131, 135, 137, 140, 142, 145, 149, 153, 156, 160, 164, 166], "A": [1, 5, 7, 10, 12, 14, 22, 26, 44, 46, 52, 53, 58, 59, 77, 84, 93, 146, 153, 157, 164, 196], "pandasdatabacktest": [1, 5, 25], "contain": [1, 3, 20, 21, 22, 40, 42, 78, 152, 153, 163, 164], "cryptocurr": [1, 2, 6, 8, 13, 17, 20, 72, 73, 74, 75, 146, 157], "get": [1, 2, 5, 6, 8, 10, 11, 12, 13, 14, 17, 18, 20, 21, 22, 30, 31, 33, 38, 43, 44, 45, 47, 48, 49, 50, 51, 52, 53, 55, 56, 57, 58, 59, 61, 70, 72, 73, 75, 77, 79, 80, 82, 104, 115, 124, 147, 148, 149, 150, 158, 159, 160, 161, 165, 166, 167, 172, 173, 175, 178, 182, 187, 188, 190, 193, 196], "valuat": 1, "measur": [1, 7], "overal": [1, 7], "porfolio": 1, "valu": [1, 3, 5, 9, 12, 13, 14, 17, 19, 20, 21, 23, 28, 43, 45, 46, 48, 49, 51, 55, 57, 61, 62, 63, 66, 67, 72, 73, 128, 136, 153, 164, 175, 190, 196], "usual": [1, 47, 178, 193], "usdt": [1, 19, 49, 51, 55, 57, 72, 74, 146, 157], "usdc": 1, "dictionari": [1, 5, 8, 16, 36, 42, 43, 44, 46, 73, 77, 125, 126, 127, 128, 129, 131, 133, 134, 135, 136, 137, 140, 146, 157, 165], "posit": [1, 13, 18, 22, 26, 36, 39, 43, 45, 51, 52, 53, 57, 58, 59, 147, 150, 151, 158, 161, 162, 167, 175, 182, 190], "100": [1, 5, 12, 13, 16, 19, 20, 25, 26, 32, 42, 44, 72, 73, 109, 110, 111, 112, 120, 121, 122, 123, 125, 126, 128, 133, 134, 136, 144, 145, 146, 152, 153, 155, 156, 157, 163, 164], "200": [1, 12, 36, 44, 73, 111, 112, 122, 123, 153, 164], "aapl": [1, 2, 5, 6, 8, 10, 12, 16, 19, 20, 23, 26, 32, 35, 36, 37, 39, 72, 73, 145, 156], "show": [1, 7, 52, 53, 58, 59, 147, 148, 149, 158, 159, 160], "save": [1, 5, 10, 17, 25, 46, 196], "must": [1, 2, 5, 6, 8, 10, 12, 16, 21, 22, 41, 72, 73, 131, 140, 146, 157], "within": [1, 17, 18, 107, 118, 143, 154], "tradingfe": [1, 24, 25, 26], "appli": [1, 17, 44], "bui": [1, 2, 5, 6, 7, 8, 9, 10, 12, 13, 16, 19, 22, 25, 26, 36, 40, 45, 49, 55, 105, 109, 110, 111, 112, 116, 120, 121, 122, 123, 144, 145, 146, 152, 153, 155, 156, 157, 163, 164, 167, 182], "order": [1, 2, 5, 6, 8, 9, 10, 12, 13, 18, 19, 23, 25, 26, 29, 30, 35, 36, 37, 39, 40, 41, 43, 47, 105, 109, 110, 111, 112, 116, 120, 121, 122, 123, 143, 144, 145, 146, 147, 148, 149, 150, 151, 152, 153, 154, 155, 156, 157, 158, 159, 160, 161, 162, 163, 164, 167, 182], "dure": [1, 2, 4, 7, 17, 45, 73], "sell": [1, 7, 9, 22, 23, 29, 33, 34, 36, 40, 43, 45, 146, 150, 151, 152, 153, 157, 161, 162, 163, 164], "api": [1, 2, 6, 8, 10, 12, 13, 14, 15, 16, 17, 20, 26, 128, 136], "kei": [1, 2, 3, 5, 6, 8, 12, 14, 15, 16, 17, 21, 26, 46, 128, 136, 165, 196], "onli": [1, 5, 10, 13, 14, 15, 17, 19, 20, 21, 22, 23, 25, 26, 32, 41, 43, 44, 46, 72, 73, 74, 77, 81, 128, 136, 143, 153, 154, 164, 172, 187], "polygondatabacktest": [1, 2, 6, 8], "deprec": [1, 15, 146, 157, 180, 195], "pleas": [1, 2, 5, 6, 8, 10, 13, 15, 22, 72, 180, 195], "instead": [1, 5, 17, 20, 43, 107, 118, 128, 136, 180, 195], "paid": [1, 2, 167, 182], "subscript": [1, 11, 26], "default": [1, 5, 10, 17, 19, 20, 21, 32, 34, 44, 45, 54, 60, 62, 63, 66, 67, 72, 73, 74, 76, 91, 100, 106, 117, 125, 127, 128, 129, 130, 133, 135, 136, 137, 138, 146, 151, 153, 157, 162, 164, 172, 173, 176, 178, 179, 181, 187, 188, 191, 193, 194, 196], "return": [1, 7, 12, 19, 20, 21, 22, 23, 25, 26, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 42, 43, 44, 46, 49, 50, 51, 52, 53, 54, 55, 56, 57, 58, 59, 60, 64, 65, 68, 69, 71, 72, 73, 74, 75, 76, 77, 78, 79, 80, 81, 83, 84, 85, 86, 87, 88, 89, 90, 91, 92, 93, 94, 95, 96, 97, 98, 99, 100, 102, 103, 104, 105, 106, 107, 108, 109, 110, 111, 112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 125, 126, 127, 128, 129, 130, 131, 132, 133, 134, 135, 136, 137, 138, 139, 140, 141, 143, 144, 145, 146, 147, 148, 149, 150, 151, 152, 153, 154, 155, 156, 157, 158, 159, 160, 161, 162, 163, 164, 165, 167, 168, 169, 170, 171, 172, 173, 174, 175, 176, 177, 178, 179, 181, 182, 183, 184, 185, 186, 187, 188, 189, 190, 191, 192, 193, 194], "from": [1, 5, 6, 7, 8, 10, 12, 13, 14, 15, 16, 17, 19, 20, 21, 23, 25, 26, 41, 42, 44, 45, 72, 73, 76, 80, 125, 126, 127, 128, 129, 130, 131, 133, 134, 135, 136, 137, 138, 140, 146, 152, 153, 157, 163, 164, 196], "simpl": [1, 5, 6, 8, 10, 16, 22, 26, 146, 157], "first": [1, 5, 6, 8, 10, 13, 16, 17, 20, 21, 22, 25, 26, 30, 32, 73, 168, 178, 183, 193, 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"sphinx.domains.index": 1, "sphinx.domains.javascript": 3, "sphinx.domains.math": 2, "sphinx.domains.python": 4, "sphinx.domains.rst": 2, "sphinx.domains.std": 2, "sphinx": 60}, "alltitles": {"Backtesting": [[0, "backtesting"], [43, "backtesting"]], "Files Generated from Backtesting": [[0, "files-generated-from-backtesting"], [2, "files-generated-from-backtesting"]], "Contents:": [[0, null], [11, null], [18, null], [27, null], [47, null]], "Backtesting Function": [[1, "backtesting-function"]], "How To Backtest": [[2, "how-to-backtest"]], "Installing LumiBot": [[2, "installing-lumibot"]], "Choosing a Data Source": [[2, "choosing-a-data-source"]], "Running a Backtest with Polygon.io": [[2, "running-a-backtest-with-polygon-io"]], "Tearsheet HTML": [[2, "tearsheet-html"], [7, "tearsheet-html"]], "Trades Files": [[2, "trades-files"], [9, "trades-files"]], "Indicators Files": [[2, "indicators-files"], [3, "indicators-files"]], "Conclusion": [[2, "conclusion"], [17, "conclusion"]], "Logs CSV": [[4, "logs-csv"]], "Pandas (CSV or other data)": [[5, "pandas-csv-or-other-data"]], "Example Dataframe": [[5, "id1"]], "In Summary": [[5, "in-summary"]], "Polygon.io Backtesting": [[6, "polygon-io-backtesting"]], "ThetaData Backtesting": [[8, "thetadata-backtesting"]], "Yahoo": [[10, "yahoo"], [44, "module-lumibot.data_sources.yahoo_data"]], "Brokers": [[11, "brokers"]], "Alpaca": [[12, "alpaca"]], "Documentation": [[12, "module-lumibot.brokers.alpaca"], [19, "module-entities.asset"], [20, "module-entities.bars"], [22, "module-entities.order"], [45, "module-lumibot.strategies.strategy.Strategy"]], "Crypto Brokers (Using CCXT)": [[13, "crypto-brokers-using-ccxt"]], "Configuration Settings": [[13, "configuration-settings"]], "Running Your Strategy": [[13, "running-your-strategy"], [16, "running-your-strategy"]], "Full Example Strategy": [[13, "full-example-strategy"], [16, "full-example-strategy"]], "Interactive Brokers": [[14, "interactive-brokers"]], "Market Data Subscriptions": [[14, "market-data-subscriptions"]], "Two-Factor Authentication (2FA)": [[14, "two-factor-authentication-2fa"]], "Using a Secondary Username": [[14, "using-a-secondary-username"]], "Using a Paper Trading Account": [[14, "using-a-paper-trading-account"]], "Strategy Setup": [[14, "strategy-setup"]], "Interactive Brokers Configuration": [[14, "id1"], [17, "interactive-brokers-configuration"], [17, "id25"]], "Example Strategy": [[14, "example-strategy"]], "Interactive Brokers Legacy": [[15, "interactive-brokers-legacy"]], "Tradier": [[16, "tradier"]], "Getting Started": [[16, "getting-started"], [26, "getting-started"]], "Configuration": [[16, "configuration"]], "Deployment Guide": [[17, "deployment-guide"]], "Example Strategy for Deployment": [[17, "example-strategy-for-deployment"]], "Choosing Your Deployment Platform": [[17, "id1"]], "Deploying to Render": [[17, "id2"]], "Deploying to Replit": [[17, "id3"]], "Secrets Configuration": [[17, "secrets-configuration"]], "Broker Configuration": [[17, "broker-configuration"]], "Tradier Configuration": [[17, "tradier-configuration"], [17, "id21"]], "Alpaca Configuration": [[17, "alpaca-configuration"], [17, "id22"]], "Coinbase Configuration": [[17, "coinbase-configuration"], [17, "id23"]], "Kraken Configuration": [[17, "kraken-configuration"], [17, "id24"]], "Interactive Brokers-Legacy Configuration": [[17, "interactive-brokers-legacy-configuration"], [17, "id26"]], "General Environment Variables": [[17, "general-environment-variables"], [17, "id27"]], "Final Steps": [[17, "final-steps"]], "Entities": [[18, "entities"]], "Asset": [[19, "asset"]], "Bars": [[20, "bars"]], "Data": [[21, "module-entities.data"], [70, "data"]], "Order": [[22, "order"]], "Advanced Order Types": [[22, "advanced-order-types"]], "Order With Legs": [[22, "order-with-legs"]], "Position": [[23, "module-entities.position"]], "Trading Fee": [[24, "module-entities.trading_fee"]], "What is Lumibot?": [[25, "what-is-lumibot"]], "Lumiwealth": [[25, "id1"]], "Getting Started With Lumibot": [[25, "getting-started-with-lumibot"]], "Step 1: Install the Package": [[25, "step-1-install-the-package"]], "Step 2: Import the Following Modules": [[25, "step-2-import-the-following-modules"]], "Step 3: Create an Alpaca Paper Trading Account": [[25, "step-3-create-an-alpaca-paper-trading-account"]], "Step 4: Configure Your API Keys": [[25, "step-4-configure-your-api-keys"]], "Step 5: Create a Strategy Class": [[25, "step-5-create-a-strategy-class"]], "Step 6: Instantiate the Trader, Alpaca, and Strategy Classes": [[25, "step-6-instantiate-the-trader-alpaca-and-strategy-classes"]], "Step 7: Backtest the Strategy (Optional)": [[25, "step-7-backtest-the-strategy-optional"]], "Step 8: Run the Strategy": [[25, "step-8-run-the-strategy"]], "Adding Trading Fees": [[25, "adding-trading-fees"]], "Profiling to Improve Performance": [[25, "profiling-to-improve-performance"]], "Lumibot: Backtesting and Algorithmic Trading Library": [[26, "lumibot-backtesting-and-algorithmic-trading-library"]], "Step 1: Install Lumibot": [[26, "step-1-install-lumibot"]], "Step 2: Create a Strategy for Backtesting": [[26, "step-2-create-a-strategy-for-backtesting"]], "Step 3: Take Your Bot Live": [[26, "step-3-take-your-bot-live"]], "All Together": [[26, "all-together"]], "Additional Resources": [[26, "additional-resources"]], "Need Extra Help?": [[26, "need-extra-help"]], "Table of Contents": [[26, "table-of-contents"]], "Indices and tables": [[26, "indices-and-tables"]], "Lifecycle Methods": [[27, "lifecycle-methods"]], "def after_market_closes": [[28, "def-after-market-closes"]], "Reference": [[28, "reference"], [29, "reference"], [30, "reference"], [31, "reference"], [32, "reference"], [33, "reference"], [34, "reference"], [35, "reference"], [36, "reference"], [37, "reference"], [38, "reference"], [39, "reference"], [40, "reference"], [42, "reference"]], "def before_market_closes": [[29, "def-before-market-closes"]], "def 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"timestep_mapping (lumibot.data_sources.data_source.datasource attribute)": [[44, "lumibot.data_sources.data_source.DataSource.TIMESTEP_MAPPING"]], "timestep_mapping (lumibot.data_sources.pandas_data.pandasdata attribute)": [[44, "lumibot.data_sources.pandas_data.PandasData.TIMESTEP_MAPPING"]], "timestep_mapping (lumibot.data_sources.yahoo_data.yahoodata attribute)": [[44, "lumibot.data_sources.yahoo_data.YahooData.TIMESTEP_MAPPING"]], "yahoodata (class in lumibot.data_sources.yahoo_data)": [[44, "lumibot.data_sources.yahoo_data.YahooData"]], "calculate_greeks() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.calculate_greeks"]], "clean_trading_times() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.clean_trading_times"]], "convert_timestep_str_to_timedelta() (lumibot.data_sources.data_source.datasource static method)": [[44, "lumibot.data_sources.data_source.DataSource.convert_timestep_str_to_timedelta"]], "find_asset_in_data_store() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.find_asset_in_data_store"]], "get_asset_by_name() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_asset_by_name"]], "get_asset_by_symbol() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_asset_by_symbol"]], "get_assets() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_assets"]], "get_bars() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_bars"]], "get_chains() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_chains"]], "get_chains() 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"lumibot.data_sources.yahoo_data.YahooData.get_historical_prices"]], "get_last_day() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_day"]], "get_last_minute() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_minute"]], "get_last_price() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_price"]], "get_last_price() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_last_price"]], "get_last_price() (lumibot.data_sources.yahoo_data.yahoodata method)": [[44, "lumibot.data_sources.yahoo_data.YahooData.get_last_price"]], "get_last_prices() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_prices"]], "get_last_prices() (lumibot.data_sources.pandas_data.pandasdata method)": 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"lumibot.data_sources.pandas_data.PandasData.load_data"]], "localize_datetime() (lumibot.data_sources.data_source.datasource class method)": [[44, "lumibot.data_sources.data_source.DataSource.localize_datetime"]], "lumibot.data_sources": [[44, "module-lumibot.data_sources"]], "lumibot.data_sources.data_source": [[44, "module-lumibot.data_sources.data_source"]], "lumibot.data_sources.pandas_data": [[44, "module-lumibot.data_sources.pandas_data"]], "lumibot.data_sources.yahoo_data": [[44, "module-lumibot.data_sources.yahoo_data"]], "query_greeks() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.query_greeks"]], "to_default_timezone() (lumibot.data_sources.data_source.datasource class method)": [[44, "lumibot.data_sources.data_source.DataSource.to_default_timezone"]], "update_date_index() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.update_date_index"]], 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"lumibot.strategies.strategy.Strategy.set_parameters"], [60, "lumibot.strategies.strategy.Strategy.set_parameters"]], "add_line() (in module lumibot.strategies.strategy.strategy)": [[62, "lumibot.strategies.strategy.Strategy.add_line"], [66, "lumibot.strategies.strategy.Strategy.add_line"]], "add_marker() (in module lumibot.strategies.strategy.strategy)": [[63, "lumibot.strategies.strategy.Strategy.add_marker"], [67, "lumibot.strategies.strategy.Strategy.add_marker"]], "get_lines_df() (in module lumibot.strategies.strategy.strategy)": [[64, "lumibot.strategies.strategy.Strategy.get_lines_df"], [68, "lumibot.strategies.strategy.Strategy.get_lines_df"]], "get_markers_df() (in module lumibot.strategies.strategy.strategy)": [[65, "lumibot.strategies.strategy.Strategy.get_markers_df"], [69, "lumibot.strategies.strategy.Strategy.get_markers_df"]], "cancel_realtime_bars() (in module lumibot.strategies.strategy.strategy)": [[71, "lumibot.strategies.strategy.Strategy.cancel_realtime_bars"]], "get_historical_prices() (in module lumibot.strategies.strategy.strategy)": [[72, "lumibot.strategies.strategy.Strategy.get_historical_prices"]], "get_historical_prices_for_assets() (in module lumibot.strategies.strategy.strategy)": [[73, "lumibot.strategies.strategy.Strategy.get_historical_prices_for_assets"]], "get_last_price() (in module lumibot.strategies.strategy.strategy)": [[74, "lumibot.strategies.strategy.Strategy.get_last_price"]], "get_last_prices() (in module lumibot.strategies.strategy.strategy)": [[75, "lumibot.strategies.strategy.Strategy.get_last_prices"]], "get_next_trading_day() (in module lumibot.strategies.strategy.strategy)": [[76, "lumibot.strategies.strategy.Strategy.get_next_trading_day"], [130, "lumibot.strategies.strategy.Strategy.get_next_trading_day"], [138, "lumibot.strategies.strategy.Strategy.get_next_trading_day"]], "get_quote() (in module lumibot.strategies.strategy.strategy)": [[77, "lumibot.strategies.strategy.Strategy.get_quote"]], "get_realtime_bars() (in module lumibot.strategies.strategy.strategy)": [[78, "lumibot.strategies.strategy.Strategy.get_realtime_bars"]], "get_yesterday_dividend() (in module lumibot.strategies.strategy.strategy)": [[79, "lumibot.strategies.strategy.Strategy.get_yesterday_dividend"]], "get_yesterday_dividends() (in module lumibot.strategies.strategy.strategy)": [[80, "lumibot.strategies.strategy.Strategy.get_yesterday_dividends"]], "start_realtime_bars() (in module lumibot.strategies.strategy.strategy)": [[81, "lumibot.strategies.strategy.Strategy.start_realtime_bars"]], "get_datetime() (in module lumibot.strategies.strategy.strategy)": [[83, "lumibot.strategies.strategy.Strategy.get_datetime"], [92, "lumibot.strategies.strategy.Strategy.get_datetime"]], "get_datetime_range() (in module lumibot.strategies.strategy.strategy)": [[84, "lumibot.strategies.strategy.Strategy.get_datetime_range"], [93, "lumibot.strategies.strategy.Strategy.get_datetime_range"]], "get_last_day() (in module 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"set_market() (in module lumibot.strategies.strategy.strategy)": [[106, "lumibot.strategies.strategy.Strategy.set_market"], [117, "lumibot.strategies.strategy.Strategy.set_market"]], "sleep() (in module lumibot.strategies.strategy.strategy)": [[107, "lumibot.strategies.strategy.Strategy.sleep"], [118, "lumibot.strategies.strategy.Strategy.sleep"]], "update_parameters() (in module lumibot.strategies.strategy.strategy)": [[108, "lumibot.strategies.strategy.Strategy.update_parameters"], [119, "lumibot.strategies.strategy.Strategy.update_parameters"]], "wait_for_order_execution() (in module lumibot.strategies.strategy.strategy)": [[109, "lumibot.strategies.strategy.Strategy.wait_for_order_execution"], [120, "lumibot.strategies.strategy.Strategy.wait_for_order_execution"]], "wait_for_order_registration() (in module lumibot.strategies.strategy.strategy)": [[110, "lumibot.strategies.strategy.Strategy.wait_for_order_registration"], [121, "lumibot.strategies.strategy.Strategy.wait_for_order_registration"]], "wait_for_orders_execution() (in module lumibot.strategies.strategy.strategy)": [[111, "lumibot.strategies.strategy.Strategy.wait_for_orders_execution"], [122, "lumibot.strategies.strategy.Strategy.wait_for_orders_execution"]], "wait_for_orders_registration() (in module lumibot.strategies.strategy.strategy)": [[112, "lumibot.strategies.strategy.Strategy.wait_for_orders_registration"], [123, "lumibot.strategies.strategy.Strategy.wait_for_orders_registration"]], "get_chain() (in module lumibot.strategies.strategy.strategy)": [[125, "lumibot.strategies.strategy.Strategy.get_chain"], [133, "lumibot.strategies.strategy.Strategy.get_chain"]], "get_chains() (in module lumibot.strategies.strategy.strategy)": [[126, "lumibot.strategies.strategy.Strategy.get_chains"], [134, "lumibot.strategies.strategy.Strategy.get_chains"]], "get_expiration() (in module lumibot.strategies.strategy.strategy)": [[127, "lumibot.strategies.strategy.Strategy.get_expiration"], [135, "lumibot.strategies.strategy.Strategy.get_expiration"]], "get_greeks() (in module lumibot.strategies.strategy.strategy)": [[128, "lumibot.strategies.strategy.Strategy.get_greeks"], [136, "lumibot.strategies.strategy.Strategy.get_greeks"]], "get_multiplier() (in module lumibot.strategies.strategy.strategy)": [[129, "lumibot.strategies.strategy.Strategy.get_multiplier"], [137, "lumibot.strategies.strategy.Strategy.get_multiplier"]], "get_strikes() (in module lumibot.strategies.strategy.strategy)": [[131, "lumibot.strategies.strategy.Strategy.get_strikes"], [140, "lumibot.strategies.strategy.Strategy.get_strikes"]], "options_expiry_to_datetime_date() (in module lumibot.strategies.strategy.strategy)": [[132, "lumibot.strategies.strategy.Strategy.options_expiry_to_datetime_date"], [141, "lumibot.strategies.strategy.Strategy.options_expiry_to_datetime_date"]], "get_option_expiration_after_date() (in module 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\ No newline at end of file
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22, 25, 26, 29, 30, 31, 32, 40, 41, 42, 44, 72, 73, 102, 103, 113, 114, 151, 162, 172, 173, 187, 188, 196], "close": [1, 5, 12, 13, 20, 21, 22, 28, 29, 32, 33, 40, 43, 51, 57, 72, 74, 75, 78, 81, 102, 103, 113, 114, 151, 162, 172, 187], "method": [1, 6, 8, 15, 19, 20, 22, 23, 26, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 70, 101, 124, 125, 127, 129, 131, 133, 135, 137, 140, 165, 168, 172, 173, 178, 183, 187, 188, 193, 196], "call": [1, 5, 6, 8, 19, 20, 22, 28, 32, 34, 35, 36, 38, 39, 40, 41, 42, 44, 72, 74, 75, 125, 126, 128, 133, 134, 136, 152, 163], "open": [1, 2, 5, 12, 17, 20, 21, 22, 25, 29, 30, 31, 40, 43, 63, 67, 72, 78, 81, 102, 103, 113, 114, 143, 144, 145, 149, 151, 154, 155, 156, 160, 162, 173, 188], "second": [1, 12, 22, 32, 40, 43, 73, 81, 101, 107, 118, 178, 193], "sleep": [1, 2, 26, 40, 47, 101, 102, 113, 178, 193], "between": [1, 2, 13, 20, 21, 26, 32, 72, 178, 193], "iter": [1, 2, 6, 8, 13, 21, 32, 40, 41, 168, 171, 183, 186, 196], "str": [1, 19, 20, 21, 22, 23, 44, 52, 58, 62, 63, 66, 67, 72, 73, 74, 75, 76, 84, 93, 105, 106, 116, 117, 125, 126, 127, 129, 130, 132, 133, 134, 135, 137, 138, 141, 146, 153, 157, 164, 174, 178, 179, 189, 193, 194], "file": [1, 4, 5, 7, 14, 15, 17, 25, 26, 101, 105, 116, 165, 196], "write": [1, 2, 6, 8], "stat": [1, 28, 42], "float": [1, 5, 19, 20, 22, 23, 36, 39, 43, 44, 49, 51, 55, 57, 62, 63, 66, 67, 74, 75, 79, 80, 102, 103, 107, 113, 114, 118, 128, 131, 136, 140, 146, 147, 153, 157, 158, 164, 167, 169, 175, 182, 184, 190], "risk": [1, 7, 14, 25, 128, 136], "free": [1, 2, 6, 8, 17, 23, 26, 128, 136], "rate": [1, 6, 8, 20, 128, 136], "dict": [1, 21, 38, 42, 44, 46, 50, 54, 56, 60, 77, 104, 108, 115, 119, 146, 157], "set": [1, 2, 6, 8, 11, 14, 15, 16, 17, 19, 20, 21, 22, 25, 26, 29, 32, 43, 44, 54, 60, 72, 73, 78, 106, 117, 125, 133, 146, 157, 165, 166, 172, 173, 178, 187, 188, 193, 196], "up": [1, 2, 5, 6, 11, 14, 15, 17, 19, 25, 26, 63, 67, 196], "broker": [1, 5, 12, 16, 19, 20, 22, 23, 24, 25, 26, 32, 35, 36, 37, 39, 45, 72, 73, 74, 77, 81, 109, 110, 111, 112, 120, 121, 122, 123, 128, 136, 146, 152, 153, 157, 163, 164, 167, 182], "live": [1, 2, 12, 14, 15, 17, 20, 25, 43, 44, 82, 83, 85, 86, 87, 88, 89, 92, 94, 95, 96, 97, 98, 106, 117], "bool": [1, 22, 43, 44, 46, 72, 73, 74, 105, 116, 128, 136, 153, 164, 168, 170, 183, 185], "whether": [1, 17, 22, 44, 46, 72, 82, 128, 136, 146, 157], "automat": [1, 6, 8, 22, 146, 147, 157, 158, 196], "adjust": [1, 7, 14, 20, 21, 44], "initi": [1, 2, 6, 8, 13, 15, 25, 26, 27, 41, 106, 117, 165, 169, 172, 173, 178, 184, 187, 188, 193], "asset": [1, 2, 5, 9, 12, 13, 17, 18, 20, 21, 22, 23, 26, 33, 34, 35, 36, 37, 39, 40, 43, 44, 49, 51, 52, 53, 55, 57, 58, 59, 62, 66, 71, 72, 73, 74, 75, 77, 78, 79, 80, 81, 125, 126, 127, 128, 129, 131, 133, 134, 135, 136, 137, 140, 146, 147, 152, 153, 157, 158, 163, 164, 167, 177, 182, 192], "benchmark": [1, 2, 7], "compar": [1, 7, 14, 17], "If": [1, 5, 6, 8, 12, 13, 14, 16, 17, 20, 21, 25, 26, 30, 32, 36, 40, 44, 72, 73, 74, 81, 102, 103, 105, 113, 114, 116, 131, 140, 143, 146, 151, 154, 157, 162], "string": [1, 17, 19, 20, 21, 22, 44, 72, 73, 105, 116, 132, 141, 146, 157, 178, 193, 196], "convert": [1, 19, 20, 22, 26, 43, 44, 132, 141, 146, 157], "object": [1, 5, 10, 12, 18, 19, 20, 21, 22, 23, 24, 35, 36, 37, 39, 43, 44, 46, 52, 53, 58, 59, 71, 72, 73, 74, 75, 77, 78, 79, 80, 81, 109, 110, 111, 112, 120, 121, 122, 123, 126, 131, 134, 140, 144, 145, 146, 147, 148, 149, 152, 153, 155, 156, 157, 158, 159, 160, 163, 164, 176, 181, 191, 196], "plot": [1, 10, 46, 63, 67], "list": [1, 2, 13, 18, 19, 20, 23, 25, 31, 43, 44, 47, 48, 53, 59, 61, 70, 73, 75, 80, 82, 84, 93, 101, 106, 111, 112, 117, 122, 123, 124, 127, 129, 131, 135, 137, 140, 142, 145, 149, 153, 156, 160, 164, 166], "A": [1, 5, 7, 10, 12, 14, 22, 26, 44, 46, 52, 53, 58, 59, 77, 84, 93, 146, 153, 157, 164, 196], "pandasdatabacktest": [1, 5, 25], "contain": [1, 3, 20, 21, 22, 40, 42, 78, 152, 153, 163, 164], "cryptocurr": 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"Interactive Brokers": [[14, "interactive-brokers"]], "Market Data Subscriptions": [[14, "market-data-subscriptions"]], "Two-Factor Authentication (2FA)": [[14, "two-factor-authentication-2fa"]], "Using a Secondary Username": [[14, "using-a-secondary-username"]], "Using a Paper Trading Account": [[14, "using-a-paper-trading-account"]], "Strategy Setup": [[14, "strategy-setup"]], "Interactive Brokers Configuration": [[14, "id1"], [17, "interactive-brokers-configuration"], [17, "id25"]], "Example Strategy": [[14, "example-strategy"]], "Interactive Brokers Legacy": [[15, "interactive-brokers-legacy"]], "Tradier": [[16, "tradier"]], "Getting Started": [[16, "getting-started"], [26, "getting-started"]], "Configuration": [[16, "configuration"]], "Deployment Guide": [[17, "deployment-guide"]], "Example Strategy for Deployment": [[17, "example-strategy-for-deployment"]], "Choosing Your Deployment Platform": [[17, "id1"]], "Deploying to Render": [[17, "id2"]], "Deploying to Replit": [[17, "id3"]], "Secrets Configuration": [[17, "secrets-configuration"]], "Broker Configuration": [[17, "broker-configuration"]], "Tradier Configuration": [[17, "tradier-configuration"], [17, "id21"]], "Alpaca Configuration": [[17, "alpaca-configuration"], [17, "id22"]], "Coinbase Configuration": [[17, "coinbase-configuration"], [17, "id23"]], "Kraken Configuration": [[17, "kraken-configuration"], [17, "id24"]], "Interactive Brokers-Legacy Configuration": [[17, "interactive-brokers-legacy-configuration"], [17, "id26"]], "General Environment Variables": [[17, "general-environment-variables"], [17, "id27"]], "Final Steps": [[17, "final-steps"]], "Entities": [[18, "entities"]], "Asset": [[19, "asset"]], "Bars": [[20, "bars"]], "Data": [[21, "module-entities.data"], [70, "data"]], "Order": [[22, "order"]], "Advanced Order Types": [[22, "advanced-order-types"]], "Order With Legs": [[22, "order-with-legs"]], "Position": [[23, "module-entities.position"]], "Trading Fee": [[24, "module-entities.trading_fee"]], "What is Lumibot?": [[25, "what-is-lumibot"]], "Lumiwealth": [[25, "id1"]], "Getting Started With Lumibot": [[25, "getting-started-with-lumibot"]], "Step 1: Install the Package": [[25, "step-1-install-the-package"]], "Step 2: Import the Following Modules": [[25, "step-2-import-the-following-modules"]], "Step 3: Create an Alpaca Paper Trading Account": [[25, "step-3-create-an-alpaca-paper-trading-account"]], "Step 4: Configure Your API Keys": [[25, "step-4-configure-your-api-keys"]], "Step 5: Create a Strategy Class": [[25, "step-5-create-a-strategy-class"]], "Step 6: Instantiate the Trader, Alpaca, and Strategy Classes": [[25, "step-6-instantiate-the-trader-alpaca-and-strategy-classes"]], "Step 7: Backtest the Strategy (Optional)": [[25, "step-7-backtest-the-strategy-optional"]], "Step 8: Run the Strategy": [[25, "step-8-run-the-strategy"]], "Adding Trading Fees": [[25, "adding-trading-fees"]], "Profiling to Improve Performance": [[25, "profiling-to-improve-performance"]], "Lumibot: Backtesting and Algorithmic Trading Library": [[26, "lumibot-backtesting-and-algorithmic-trading-library"]], "Step 1: Install Lumibot": [[26, "step-1-install-lumibot"]], "Step 2: Create a Strategy for Backtesting": [[26, "step-2-create-a-strategy-for-backtesting"]], "Step 3: Take Your Bot Live": [[26, "step-3-take-your-bot-live"]], "All Together": [[26, "all-together"]], "Additional Resources": [[26, "additional-resources"]], "Need Extra Help?": [[26, "need-extra-help"]], "Table of Contents": [[26, "table-of-contents"]], "Indices and tables": [[26, "indices-and-tables"]], "Lifecycle Methods": [[27, "lifecycle-methods"]], "def after_market_closes": [[28, "def-after-market-closes"]], "Reference": [[28, "reference"], [29, "reference"], [30, "reference"], [31, "reference"], [32, "reference"], [33, "reference"], [34, "reference"], [35, "reference"], [36, "reference"], [37, "reference"], [38, "reference"], [39, "reference"], [40, "reference"], 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"variable-backup-restore"]], "How It Works": [[196, "how-it-works"]], "Benefits of self.vars": [[196, "benefits-of-self-vars"]], "Usage Guide": [[196, "usage-guide"]], "Database Configuration": [[196, "database-configuration"]], "Database Storage Structure": [[196, "database-storage-structure"]]}, "indexentries": {"run_backtest() (in module lumibot.strategies.strategy.strategy)": [[1, "lumibot.strategies.strategy.Strategy.run_backtest"]], "asset_type_map (lumibot.brokers.alpaca.alpaca attribute)": [[12, "lumibot.brokers.alpaca.Alpaca.ASSET_TYPE_MAP"]], "alpaca (class in lumibot.brokers.alpaca)": [[12, "lumibot.brokers.alpaca.Alpaca"]], "orderdata (class in lumibot.brokers.alpaca)": [[12, "lumibot.brokers.alpaca.OrderData"]], "api (lumibot.brokers.alpaca.alpaca attribute)": [[12, "lumibot.brokers.alpaca.Alpaca.api"]], "cancel_order() (lumibot.brokers.alpaca.alpaca method)": [[12, "lumibot.brokers.alpaca.Alpaca.cancel_order"]], "get_historical_account_value() (lumibot.brokers.alpaca.alpaca method)": [[12, "lumibot.brokers.alpaca.Alpaca.get_historical_account_value"]], "get_time_to_close() (lumibot.brokers.alpaca.alpaca method)": [[12, "id0"], [12, "lumibot.brokers.alpaca.Alpaca.get_time_to_close"]], "get_time_to_open() (lumibot.brokers.alpaca.alpaca method)": [[12, "id1"], [12, "lumibot.brokers.alpaca.Alpaca.get_time_to_open"]], "get_timestamp() (lumibot.brokers.alpaca.alpaca method)": [[12, "id2"], [12, "lumibot.brokers.alpaca.Alpaca.get_timestamp"]], "is_market_open() (lumibot.brokers.alpaca.alpaca method)": [[12, "id3"], [12, "lumibot.brokers.alpaca.Alpaca.is_market_open"]], "lumibot.brokers.alpaca": [[12, "module-lumibot.brokers.alpaca"]], "map_asset_type() (lumibot.brokers.alpaca.alpaca method)": [[12, "lumibot.brokers.alpaca.Alpaca.map_asset_type"]], "module": [[12, "module-lumibot.brokers.alpaca"], [19, "module-entities.asset"], [20, "module-entities.bars"], [21, "module-entities.data"], [22, "module-entities.order"], [23, 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"entities.asset.Asset.OptionRight.CALL"]], "crypto (entities.asset.asset.assettype attribute)": [[19, "entities.asset.Asset.AssetType.CRYPTO"]], "forex (entities.asset.asset.assettype attribute)": [[19, "entities.asset.Asset.AssetType.FOREX"]], "future (entities.asset.asset.assettype attribute)": [[19, "entities.asset.Asset.AssetType.FUTURE"]], "index (entities.asset.asset.assettype attribute)": [[19, "entities.asset.Asset.AssetType.INDEX"]], "multileg (entities.asset.asset.assettype attribute)": [[19, "entities.asset.Asset.AssetType.MULTILEG"]], "option (entities.asset.asset.assettype attribute)": [[19, "entities.asset.Asset.AssetType.OPTION"]], "put (entities.asset.asset.optionright attribute)": [[19, "entities.asset.Asset.OptionRight.PUT"]], "stock (entities.asset.asset.assettype attribute)": [[19, "entities.asset.Asset.AssetType.STOCK"]], "_asset_types (entities.asset.asset attribute)": [[19, "entities.asset.Asset._asset_types"]], "_right (entities.asset.asset attribute)": [[19, "entities.asset.Asset._right"]], "asset_type (entities.asset.asset attribute)": [[19, "entities.asset.Asset.asset_type"], [19, "id0"]], "asset_type_must_be_one_of() (entities.asset.asset method)": [[19, "entities.asset.Asset.asset_type_must_be_one_of"], [19, "id1"]], "entities.asset": [[19, "module-entities.asset"]], "expiration (entities.asset.asset attribute)": [[19, "entities.asset.Asset.expiration"], [19, "id2"]], "from_dict() (entities.asset.asset class method)": [[19, "entities.asset.Asset.from_dict"]], "is_valid() (entities.asset.asset method)": [[19, "entities.asset.Asset.is_valid"]], "multiplier (entities.asset.asset attribute)": [[19, "entities.asset.Asset.multiplier"], [19, "id3"]], "precision (entities.asset.asset attribute)": [[19, "entities.asset.Asset.precision"], [19, "id4"]], "right (entities.asset.asset attribute)": [[19, "entities.asset.Asset.right"], [19, "id5"]], "right_must_be_one_of() (entities.asset.asset method)": [[19, "entities.asset.Asset.right_must_be_one_of"], [19, "id6"]], "strike (entities.asset.asset attribute)": [[19, "entities.asset.Asset.strike"], [19, "id7"]], "symbol (entities.asset.asset attribute)": [[19, "entities.asset.Asset.symbol"], [19, "id8"]], "symbol2asset() (entities.asset.asset class method)": [[19, "entities.asset.Asset.symbol2asset"]], "to_dict() (entities.asset.asset method)": [[19, "entities.asset.Asset.to_dict"]], "underlying_asset (entities.asset.asset attribute)": [[19, "entities.asset.Asset.underlying_asset"]], "bars (class in entities.bars)": [[20, "entities.bars.Bars"]], "nobardatafound": [[20, "entities.bars.NoBarDataFound"]], "aggregate_bars() (entities.bars.bars method)": [[20, "entities.bars.Bars.aggregate_bars"], [20, "id0"]], "entities.bars": [[20, "module-entities.bars"]], "filter() (entities.bars.bars method)": [[20, "entities.bars.Bars.filter"]], "get_last_dividend() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_last_dividend"], [20, "id1"]], "get_last_price() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_last_price"], [20, "id2"]], "get_momentum() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_momentum"], [20, "id3"]], "get_total_dividends() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_total_dividends"]], "get_total_return() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_total_return"]], "get_total_return_pct() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_total_return_pct"]], "get_total_return_pct_change() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_total_return_pct_change"]], "get_total_stock_splits() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_total_stock_splits"]], "get_total_volume() (entities.bars.bars method)": [[20, "entities.bars.Bars.get_total_volume"], [20, "id4"]], "parse_bar_list() (entities.bars.bars class method)": [[20, "entities.bars.Bars.parse_bar_list"]], "split() (entities.bars.bars method)": [[20, "entities.bars.Bars.split"]], "data (class in entities.data)": [[21, "entities.data.Data"]], "min_timestep (entities.data.data attribute)": [[21, "entities.data.Data.MIN_TIMESTEP"]], "timestep_mapping (entities.data.data attribute)": [[21, "entities.data.Data.TIMESTEP_MAPPING"]], "_get_bars_dict() (entities.data.data method)": [[21, "entities.data.Data._get_bars_dict"]], "asset (entities.data.data attribute)": [[21, "entities.data.Data.asset"]], "check_data() (entities.data.data method)": [[21, "entities.data.Data.check_data"], [21, "id0"]], "columns() (entities.data.data method)": [[21, "entities.data.Data.columns"], [21, "id1"]], "datalines (entities.data.data attribute)": [[21, "entities.data.Data.datalines"]], "date_end (entities.data.data attribute)": [[21, "entities.data.Data.date_end"]], "date_start (entities.data.data attribute)": [[21, "entities.data.Data.date_start"]], "df (entities.data.data attribute)": [[21, "entities.data.Data.df"]], "entities.data": [[21, "module-entities.data"]], "get_bars() (entities.data.data method)": [[21, "entities.data.Data.get_bars"], [21, "id2"]], "get_bars_between_dates() (entities.data.data method)": [[21, "entities.data.Data.get_bars_between_dates"]], "get_iter_count() (entities.data.data method)": [[21, "entities.data.Data.get_iter_count"], [21, "id3"]], "get_last_price() (entities.data.data method)": [[21, "entities.data.Data.get_last_price"], [21, "id4"]], "get_quote() (entities.data.data method)": [[21, "entities.data.Data.get_quote"]], "iter_index (entities.data.data attribute)": [[21, "entities.data.Data.iter_index"]], "repair_times_and_fill() (entities.data.data method)": [[21, "entities.data.Data.repair_times_and_fill"], [21, "id5"]], "set_date_format() (entities.data.data method)": [[21, "entities.data.Data.set_date_format"], [21, "id6"]], "set_dates() (entities.data.data method)": [[21, "entities.data.Data.set_dates"], [21, "id7"]], "set_times() (entities.data.data method)": [[21, "entities.data.Data.set_times"], [21, "id8"]], "sybmol (entities.data.data attribute)": [[21, "entities.data.Data.sybmol"]], "timestep (entities.data.data attribute)": [[21, "entities.data.Data.timestep"]], "to_datalines() (entities.data.data method)": [[21, "entities.data.Data.to_datalines"], [21, "id9"]], "trading_hours_end (entities.data.data attribute)": [[21, "entities.data.Data.trading_hours_end"]], "trading_hours_start (entities.data.data attribute)": [[21, "entities.data.Data.trading_hours_start"]], "trim_data() (entities.data.data method)": [[21, "entities.data.Data.trim_data"], [21, "id10"]], "bracket (entities.order.order.orderclass attribute)": [[22, "entities.order.Order.OrderClass.BRACKET"]], "bracket (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.BRACKET"]], "buy (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.BUY"]], "buy_to_close (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.BUY_TO_CLOSE"]], "buy_to_cover (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.BUY_TO_COVER"]], "buy_to_open (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.BUY_TO_OPEN"]], "canceled (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.CANCELED"]], "cancelling (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.CANCELLING"]], "cash_settled (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.CASH_SETTLED"]], "error (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.ERROR"]], "expired (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.EXPIRED"]], "filled (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.FILLED"]], "limit (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.LIMIT"]], "market (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.MARKET"]], "multileg (entities.order.order.orderclass attribute)": [[22, "entities.order.Order.OrderClass.MULTILEG"]], "new (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.NEW"]], "oco (entities.order.order.orderclass attribute)": [[22, "entities.order.Order.OrderClass.OCO"]], "oco (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.OCO"]], "open (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.OPEN"]], "oto (entities.order.order.orderclass attribute)": [[22, "entities.order.Order.OrderClass.OTO"]], "oto (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.OTO"]], "order (class in entities.order)": [[22, "entities.order.Order"]], "order.orderclass (class in entities.order)": [[22, "entities.order.Order.OrderClass"]], "order.orderside (class in entities.order)": [[22, "entities.order.Order.OrderSide"]], "order.orderstatus (class in entities.order)": [[22, "entities.order.Order.OrderStatus"]], "order.ordertype (class in entities.order)": [[22, "entities.order.Order.OrderType"]], "order.transaction (class in entities.order)": [[22, "entities.order.Order.Transaction"]], "partially_filled (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.PARTIALLY_FILLED"]], "sell (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.SELL"]], "sell_short (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.SELL_SHORT"]], "sell_to_close (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.SELL_TO_CLOSE"]], "sell_to_open (entities.order.order.orderside attribute)": [[22, "entities.order.Order.OrderSide.SELL_TO_OPEN"]], "stop (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.STOP"]], "stop_limit (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.STOP_LIMIT"]], "submitted (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.SUBMITTED"]], "trail (entities.order.order.ordertype attribute)": [[22, "entities.order.Order.OrderType.TRAIL"]], "unprocessed (entities.order.order.orderstatus attribute)": [[22, "entities.order.Order.OrderStatus.UNPROCESSED"]], "add_child_order() (entities.order.order method)": [[22, "entities.order.Order.add_child_order"]], "add_transaction() (entities.order.order method)": [[22, "entities.order.Order.add_transaction"]], "avg_fill_price (entities.order.order property)": [[22, "entities.order.Order.avg_fill_price"]], "cash_pending() (entities.order.order method)": [[22, "entities.order.Order.cash_pending"]], "entities.order": [[22, "module-entities.order"]], "equivalent_status() (entities.order.order method)": [[22, "entities.order.Order.equivalent_status"]], "from_dict() (entities.order.order class method)": [[22, "entities.order.Order.from_dict"]], "get_fill_price() (entities.order.order method)": [[22, "entities.order.Order.get_fill_price"]], "get_increment() (entities.order.order method)": [[22, "entities.order.Order.get_increment"]], "is_active() (entities.order.order method)": [[22, "entities.order.Order.is_active"]], "is_buy_order() (entities.order.order method)": [[22, "entities.order.Order.is_buy_order"]], "is_canceled() (entities.order.order method)": [[22, "entities.order.Order.is_canceled"]], "is_equivalent_status() (entities.order.order class method)": [[22, "entities.order.Order.is_equivalent_status"]], "is_filled() (entities.order.order method)": [[22, "entities.order.Order.is_filled"]], "is_option() (entities.order.order method)": [[22, "entities.order.Order.is_option"]], "is_parent() (entities.order.order method)": [[22, "entities.order.Order.is_parent"]], "is_sell_order() (entities.order.order method)": [[22, "entities.order.Order.is_sell_order"]], "price (entities.order.order.transaction attribute)": [[22, "entities.order.Order.Transaction.price"]], "quantity (entities.order.order property)": [[22, "entities.order.Order.quantity"]], "quantity (entities.order.order.transaction attribute)": [[22, "entities.order.Order.Transaction.quantity"]], "set_canceled() (entities.order.order method)": [[22, "entities.order.Order.set_canceled"]], "set_error() (entities.order.order method)": [[22, "entities.order.Order.set_error"]], "set_filled() (entities.order.order method)": [[22, "entities.order.Order.set_filled"]], "set_identifier() (entities.order.order method)": [[22, "entities.order.Order.set_identifier"]], "set_new() (entities.order.order method)": [[22, "entities.order.Order.set_new"]], "set_partially_filled() (entities.order.order method)": [[22, "entities.order.Order.set_partially_filled"]], "status (entities.order.order property)": [[22, "entities.order.Order.status"]], "to_dict() (entities.order.order method)": [[22, "entities.order.Order.to_dict"]], "to_position() (entities.order.order method)": [[22, "entities.order.Order.to_position"]], "update_raw() (entities.order.order method)": [[22, "entities.order.Order.update_raw"]], "update_trail_stop_price() (entities.order.order method)": [[22, "entities.order.Order.update_trail_stop_price"]], "wait_to_be_closed() (entities.order.order method)": [[22, "entities.order.Order.wait_to_be_closed"]], "wait_to_be_registered() (entities.order.order method)": [[22, "entities.order.Order.wait_to_be_registered"]], "was_transmitted() (entities.order.order method)": [[22, "entities.order.Order.was_transmitted"]], "position (class in entities.position)": [[23, "entities.position.Position"]], "add_order() (entities.position.position method)": [[23, "entities.position.Position.add_order"]], "asset (entities.position.position attribute)": [[23, "entities.position.Position.asset"]], "available (entities.position.position attribute)": [[23, "entities.position.Position.available"]], "available (entities.position.position property)": [[23, "id0"]], "avg_fill_price (entities.position.position attribute)": [[23, "entities.position.Position.avg_fill_price"]], "entities.position": [[23, "module-entities.position"]], "from_dict() (entities.position.position class method)": [[23, "entities.position.Position.from_dict"]], "get_selling_order() (entities.position.position method)": [[23, "entities.position.Position.get_selling_order"]], "hold (entities.position.position attribute)": [[23, "entities.position.Position.hold"]], "hold (entities.position.position property)": [[23, "id1"]], "orders (entities.position.position attribute)": [[23, "entities.position.Position.orders"]], "quantity (entities.position.position attribute)": [[23, "entities.position.Position.quantity"]], "quantity (entities.position.position property)": [[23, "id2"]], "strategy (entities.position.position attribute)": [[23, "entities.position.Position.strategy"]], "symbol (entities.position.position attribute)": [[23, "entities.position.Position.symbol"]], "to_dict() (entities.position.position method)": [[23, "entities.position.Position.to_dict"]], "value_type() (entities.position.position method)": [[23, "entities.position.Position.value_type"]], "tradingfee (class in entities.trading_fee)": [[24, "entities.trading_fee.TradingFee"]], "entities.trading_fee": [[24, "module-entities.trading_fee"]], "after_market_closes() (in module lumibot.strategies.strategy.strategy)": [[28, "lumibot.strategies.strategy.Strategy.after_market_closes"]], "before_market_closes() (in module lumibot.strategies.strategy.strategy)": [[29, "lumibot.strategies.strategy.Strategy.before_market_closes"]], "before_market_opens() (in module lumibot.strategies.strategy.strategy)": [[30, "lumibot.strategies.strategy.Strategy.before_market_opens"]], "before_starting_trading() (in module lumibot.strategies.strategy.strategy)": [[31, "lumibot.strategies.strategy.Strategy.before_starting_trading"]], "initialize() (in module lumibot.strategies.strategy.strategy)": [[32, "lumibot.strategies.strategy.Strategy.initialize"]], "on_abrupt_closing() (in module lumibot.strategies.strategy.strategy)": [[33, "lumibot.strategies.strategy.Strategy.on_abrupt_closing"]], "on_bot_crash() (in module lumibot.strategies.strategy.strategy)": [[34, "lumibot.strategies.strategy.Strategy.on_bot_crash"]], "on_canceled_order() (in module lumibot.strategies.strategy.strategy)": [[35, "lumibot.strategies.strategy.Strategy.on_canceled_order"]], "on_filled_order() (in module lumibot.strategies.strategy.strategy)": [[36, "lumibot.strategies.strategy.Strategy.on_filled_order"]], "on_new_order() (in module lumibot.strategies.strategy.strategy)": [[37, "lumibot.strategies.strategy.Strategy.on_new_order"]], "on_parameters_updated() (in module lumibot.strategies.strategy.strategy)": [[38, "lumibot.strategies.strategy.Strategy.on_parameters_updated"]], "on_partially_filled_order() (in module lumibot.strategies.strategy.strategy)": [[39, "lumibot.strategies.strategy.Strategy.on_partially_filled_order"]], "on_trading_iteration() (in module lumibot.strategies.strategy.strategy)": [[40, "lumibot.strategies.strategy.Strategy.on_trading_iteration"]], "trace_stats() (in module lumibot.strategies.strategy.strategy)": [[42, "lumibot.strategies.strategy.Strategy.trace_stats"]], "backtestingbroker (class in lumibot.backtesting.backtesting_broker)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker"]], "datasourcebacktesting (class in lumibot.data_sources.data_source_backtesting)": [[43, "lumibot.data_sources.data_source_backtesting.DataSourceBacktesting"]], "is_backtesting_broker (lumibot.backtesting.backtesting_broker.backtestingbroker attribute)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.IS_BACKTESTING_BROKER"]], "is_backtesting_data_source 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"lumibot.data_sources.data_source_backtesting.DataSourceBacktesting.get_datetime"]], "get_datetime_range() (lumibot.data_sources.data_source_backtesting.datasourcebacktesting method)": [[43, "lumibot.data_sources.data_source_backtesting.DataSourceBacktesting.get_datetime_range"]], "get_historical_account_value() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.get_historical_account_value"]], "get_last_bar() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.get_last_bar"]], "get_time_to_close() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.get_time_to_close"]], "get_time_to_open() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.get_time_to_open"]], "is_market_open() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.is_market_open"]], "limit_order() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.limit_order"]], "lumibot.backtesting.backtesting_broker": [[43, "module-lumibot.backtesting.backtesting_broker"]], "lumibot.data_sources.data_source_backtesting": [[43, "module-lumibot.data_sources.data_source_backtesting"]], "process_expired_option_contracts() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.process_expired_option_contracts"]], "process_pending_orders() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.process_pending_orders"]], "should_continue() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.should_continue"]], "stop_order() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.stop_order"]], "submit_order() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.submit_order"]], "submit_orders() (lumibot.backtesting.backtesting_broker.backtestingbroker method)": [[43, "lumibot.backtesting.backtesting_broker.BacktestingBroker.submit_orders"]], "default_pytz (lumibot.data_sources.data_source.datasource attribute)": [[44, "lumibot.data_sources.data_source.DataSource.DEFAULT_PYTZ"]], "default_timezone (lumibot.data_sources.data_source.datasource attribute)": [[44, "lumibot.data_sources.data_source.DataSource.DEFAULT_TIMEZONE"]], "datasource (class in lumibot.data_sources.data_source)": [[44, "lumibot.data_sources.data_source.DataSource"]], "is_backtesting_data_source (lumibot.data_sources.data_source.datasource attribute)": [[44, "lumibot.data_sources.data_source.DataSource.IS_BACKTESTING_DATA_SOURCE"]], "min_timestep (lumibot.data_sources.data_source.datasource attribute)": [[44, "lumibot.data_sources.data_source.DataSource.MIN_TIMESTEP"]], "min_timestep (lumibot.data_sources.yahoo_data.yahoodata attribute)": [[44, "lumibot.data_sources.yahoo_data.YahooData.MIN_TIMESTEP"]], "pandasdata (class in lumibot.data_sources.pandas_data)": [[44, "lumibot.data_sources.pandas_data.PandasData"]], "source (lumibot.data_sources.data_source.datasource attribute)": [[44, "lumibot.data_sources.data_source.DataSource.SOURCE"]], "source (lumibot.data_sources.pandas_data.pandasdata attribute)": [[44, "lumibot.data_sources.pandas_data.PandasData.SOURCE"]], "source (lumibot.data_sources.yahoo_data.yahoodata attribute)": [[44, "lumibot.data_sources.yahoo_data.YahooData.SOURCE"]], "timestep_mapping (lumibot.data_sources.data_source.datasource attribute)": [[44, "lumibot.data_sources.data_source.DataSource.TIMESTEP_MAPPING"]], "timestep_mapping (lumibot.data_sources.pandas_data.pandasdata attribute)": [[44, "lumibot.data_sources.pandas_data.PandasData.TIMESTEP_MAPPING"]], "timestep_mapping (lumibot.data_sources.yahoo_data.yahoodata attribute)": [[44, "lumibot.data_sources.yahoo_data.YahooData.TIMESTEP_MAPPING"]], "yahoodata (class in lumibot.data_sources.yahoo_data)": [[44, "lumibot.data_sources.yahoo_data.YahooData"]], "calculate_greeks() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.calculate_greeks"]], "clean_trading_times() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.clean_trading_times"]], "convert_timestep_str_to_timedelta() (lumibot.data_sources.data_source.datasource static method)": [[44, "lumibot.data_sources.data_source.DataSource.convert_timestep_str_to_timedelta"]], "find_asset_in_data_store() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.find_asset_in_data_store"]], "get_asset_by_name() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_asset_by_name"]], "get_asset_by_symbol() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_asset_by_symbol"]], "get_assets() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_assets"]], "get_bars() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_bars"]], "get_chains() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_chains"]], "get_chains() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_chains"]], "get_chains() (lumibot.data_sources.yahoo_data.yahoodata method)": [[44, "lumibot.data_sources.yahoo_data.YahooData.get_chains"]], "get_datetime() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_datetime"]], "get_datetime_range() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_datetime_range"]], "get_historical_prices() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_historical_prices"]], "get_historical_prices() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_historical_prices"]], "get_historical_prices() (lumibot.data_sources.yahoo_data.yahoodata method)": [[44, "lumibot.data_sources.yahoo_data.YahooData.get_historical_prices"]], "get_last_day() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_day"]], "get_last_minute() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_minute"]], "get_last_price() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_price"]], "get_last_price() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_last_price"]], "get_last_price() (lumibot.data_sources.yahoo_data.yahoodata method)": [[44, "lumibot.data_sources.yahoo_data.YahooData.get_last_price"]], "get_last_prices() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_last_prices"]], "get_last_prices() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_last_prices"]], "get_round_day() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_round_day"]], "get_round_minute() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_round_minute"]], "get_start_datetime_and_ts_unit() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_start_datetime_and_ts_unit"]], "get_strikes() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_strikes"]], "get_strikes() (lumibot.data_sources.yahoo_data.yahoodata method)": [[44, "lumibot.data_sources.yahoo_data.YahooData.get_strikes"]], "get_timestamp() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_timestamp"]], "get_timestep() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_timestep"]], "get_trading_days_pandas() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_trading_days_pandas"]], "get_yesterday_dividend() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_yesterday_dividend"]], "get_yesterday_dividend() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_yesterday_dividend"]], "get_yesterday_dividends() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.get_yesterday_dividends"]], "get_yesterday_dividends() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.get_yesterday_dividends"]], "load_data() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.load_data"]], "localize_datetime() (lumibot.data_sources.data_source.datasource class method)": [[44, "lumibot.data_sources.data_source.DataSource.localize_datetime"]], "lumibot.data_sources": [[44, "module-lumibot.data_sources"]], "lumibot.data_sources.data_source": [[44, "module-lumibot.data_sources.data_source"]], "lumibot.data_sources.pandas_data": [[44, "module-lumibot.data_sources.pandas_data"]], "lumibot.data_sources.yahoo_data": [[44, "module-lumibot.data_sources.yahoo_data"]], "query_greeks() (lumibot.data_sources.data_source.datasource method)": [[44, "lumibot.data_sources.data_source.DataSource.query_greeks"]], "to_default_timezone() (lumibot.data_sources.data_source.datasource class method)": [[44, "lumibot.data_sources.data_source.DataSource.to_default_timezone"]], "update_date_index() (lumibot.data_sources.pandas_data.pandasdata method)": [[44, "lumibot.data_sources.pandas_data.PandasData.update_date_index"]], "lumibot.strategies.strategy.strategy": [[45, "module-lumibot.strategies.strategy.Strategy"]], "trader (class in lumibot.traders.trader)": [[46, "lumibot.traders.trader.Trader"]], "add_strategy() (lumibot.traders.trader.trader method)": [[46, "lumibot.traders.trader.Trader.add_strategy"]], "is_backtest_broker (lumibot.traders.trader.trader property)": [[46, "lumibot.traders.trader.Trader.is_backtest_broker"]], "lumibot.traders.trader": [[46, "module-lumibot.traders.trader"]], "run_all() (lumibot.traders.trader.trader method)": [[46, "lumibot.traders.trader.Trader.run_all"]], "run_all_async() (lumibot.traders.trader.trader method)": [[46, "lumibot.traders.trader.Trader.run_all_async"]], "stop_all() (lumibot.traders.trader.trader method)": [[46, "lumibot.traders.trader.Trader.stop_all"]], "get_cash() (in module lumibot.strategies.strategy.strategy)": [[49, "lumibot.strategies.strategy.Strategy.get_cash"], [55, "lumibot.strategies.strategy.Strategy.get_cash"]], "get_parameters() (in module lumibot.strategies.strategy.strategy)": [[50, "lumibot.strategies.strategy.Strategy.get_parameters"], [56, "lumibot.strategies.strategy.Strategy.get_parameters"], [104, "lumibot.strategies.strategy.Strategy.get_parameters"], [115, "lumibot.strategies.strategy.Strategy.get_parameters"]], "get_portfolio_value() (in module lumibot.strategies.strategy.strategy)": [[51, "lumibot.strategies.strategy.Strategy.get_portfolio_value"], [57, "lumibot.strategies.strategy.Strategy.get_portfolio_value"]], "get_position() (in module lumibot.strategies.strategy.strategy)": [[52, "lumibot.strategies.strategy.Strategy.get_position"], [58, "lumibot.strategies.strategy.Strategy.get_position"]], "get_positions() (in module lumibot.strategies.strategy.strategy)": [[53, "lumibot.strategies.strategy.Strategy.get_positions"], [59, "lumibot.strategies.strategy.Strategy.get_positions"]], "set_parameters() (in module lumibot.strategies.strategy.strategy)": [[54, "lumibot.strategies.strategy.Strategy.set_parameters"], [60, "lumibot.strategies.strategy.Strategy.set_parameters"]], "add_line() (in module lumibot.strategies.strategy.strategy)": [[62, "lumibot.strategies.strategy.Strategy.add_line"], [66, "lumibot.strategies.strategy.Strategy.add_line"]], "add_marker() (in module lumibot.strategies.strategy.strategy)": [[63, "lumibot.strategies.strategy.Strategy.add_marker"], [67, "lumibot.strategies.strategy.Strategy.add_marker"]], "get_lines_df() (in module lumibot.strategies.strategy.strategy)": [[64, "lumibot.strategies.strategy.Strategy.get_lines_df"], [68, "lumibot.strategies.strategy.Strategy.get_lines_df"]], "get_markers_df() (in module lumibot.strategies.strategy.strategy)": [[65, "lumibot.strategies.strategy.Strategy.get_markers_df"], [69, "lumibot.strategies.strategy.Strategy.get_markers_df"]], "cancel_realtime_bars() (in module lumibot.strategies.strategy.strategy)": [[71, "lumibot.strategies.strategy.Strategy.cancel_realtime_bars"]], "get_historical_prices() (in module lumibot.strategies.strategy.strategy)": [[72, "lumibot.strategies.strategy.Strategy.get_historical_prices"]], "get_historical_prices_for_assets() (in module lumibot.strategies.strategy.strategy)": [[73, "lumibot.strategies.strategy.Strategy.get_historical_prices_for_assets"]], "get_last_price() (in module lumibot.strategies.strategy.strategy)": [[74, "lumibot.strategies.strategy.Strategy.get_last_price"]], "get_last_prices() (in module lumibot.strategies.strategy.strategy)": [[75, "lumibot.strategies.strategy.Strategy.get_last_prices"]], "get_next_trading_day() (in module lumibot.strategies.strategy.strategy)": [[76, "lumibot.strategies.strategy.Strategy.get_next_trading_day"], [130, "lumibot.strategies.strategy.Strategy.get_next_trading_day"], [138, "lumibot.strategies.strategy.Strategy.get_next_trading_day"]], "get_quote() (in module lumibot.strategies.strategy.strategy)": [[77, "lumibot.strategies.strategy.Strategy.get_quote"]], "get_realtime_bars() (in module lumibot.strategies.strategy.strategy)": [[78, "lumibot.strategies.strategy.Strategy.get_realtime_bars"]], "get_yesterday_dividend() (in module lumibot.strategies.strategy.strategy)": [[79, "lumibot.strategies.strategy.Strategy.get_yesterday_dividend"]], "get_yesterday_dividends() (in module lumibot.strategies.strategy.strategy)": [[80, "lumibot.strategies.strategy.Strategy.get_yesterday_dividends"]], "start_realtime_bars() (in module lumibot.strategies.strategy.strategy)": [[81, "lumibot.strategies.strategy.Strategy.start_realtime_bars"]], "get_datetime() (in module lumibot.strategies.strategy.strategy)": [[83, "lumibot.strategies.strategy.Strategy.get_datetime"], [92, "lumibot.strategies.strategy.Strategy.get_datetime"]], "get_datetime_range() (in module lumibot.strategies.strategy.strategy)": [[84, "lumibot.strategies.strategy.Strategy.get_datetime_range"], [93, "lumibot.strategies.strategy.Strategy.get_datetime_range"]], "get_last_day() (in module lumibot.strategies.strategy.strategy)": [[85, "lumibot.strategies.strategy.Strategy.get_last_day"], [94, "lumibot.strategies.strategy.Strategy.get_last_day"]], "get_last_minute() (in module lumibot.strategies.strategy.strategy)": [[86, "lumibot.strategies.strategy.Strategy.get_last_minute"], [95, "lumibot.strategies.strategy.Strategy.get_last_minute"]], "get_round_day() (in module lumibot.strategies.strategy.strategy)": [[87, "lumibot.strategies.strategy.Strategy.get_round_day"], [96, "lumibot.strategies.strategy.Strategy.get_round_day"]], "get_round_minute() (in module lumibot.strategies.strategy.strategy)": [[88, "lumibot.strategies.strategy.Strategy.get_round_minute"], [97, "lumibot.strategies.strategy.Strategy.get_round_minute"]], "get_timestamp() (in module lumibot.strategies.strategy.strategy)": [[89, "lumibot.strategies.strategy.Strategy.get_timestamp"], [98, "lumibot.strategies.strategy.Strategy.get_timestamp"]], "localize_datetime() (in module lumibot.strategies.strategy.strategy)": [[90, "lumibot.strategies.strategy.Strategy.localize_datetime"], [99, "lumibot.strategies.strategy.Strategy.localize_datetime"]], "to_default_timezone() (in module lumibot.strategies.strategy.strategy)": [[91, "lumibot.strategies.strategy.Strategy.to_default_timezone"], [100, "lumibot.strategies.strategy.Strategy.to_default_timezone"]], "await_market_to_close() (in module lumibot.strategies.strategy.strategy)": [[102, "lumibot.strategies.strategy.Strategy.await_market_to_close"], [113, "lumibot.strategies.strategy.Strategy.await_market_to_close"]], "await_market_to_open() (in module lumibot.strategies.strategy.strategy)": [[103, "lumibot.strategies.strategy.Strategy.await_market_to_open"], [114, "lumibot.strategies.strategy.Strategy.await_market_to_open"]], "log_message() (in module lumibot.strategies.strategy.strategy)": [[105, "lumibot.strategies.strategy.Strategy.log_message"], [116, "lumibot.strategies.strategy.Strategy.log_message"]], "set_market() (in module lumibot.strategies.strategy.strategy)": [[106, "lumibot.strategies.strategy.Strategy.set_market"], [117, "lumibot.strategies.strategy.Strategy.set_market"]], "sleep() (in module lumibot.strategies.strategy.strategy)": [[107, "lumibot.strategies.strategy.Strategy.sleep"], [118, "lumibot.strategies.strategy.Strategy.sleep"]], "update_parameters() (in module lumibot.strategies.strategy.strategy)": [[108, "lumibot.strategies.strategy.Strategy.update_parameters"], [119, "lumibot.strategies.strategy.Strategy.update_parameters"]], "wait_for_order_execution() (in module lumibot.strategies.strategy.strategy)": [[109, "lumibot.strategies.strategy.Strategy.wait_for_order_execution"], [120, "lumibot.strategies.strategy.Strategy.wait_for_order_execution"]], "wait_for_order_registration() (in module lumibot.strategies.strategy.strategy)": [[110, "lumibot.strategies.strategy.Strategy.wait_for_order_registration"], [121, "lumibot.strategies.strategy.Strategy.wait_for_order_registration"]], "wait_for_orders_execution() (in module lumibot.strategies.strategy.strategy)": [[111, "lumibot.strategies.strategy.Strategy.wait_for_orders_execution"], [122, "lumibot.strategies.strategy.Strategy.wait_for_orders_execution"]], "wait_for_orders_registration() (in module lumibot.strategies.strategy.strategy)": [[112, "lumibot.strategies.strategy.Strategy.wait_for_orders_registration"], [123, "lumibot.strategies.strategy.Strategy.wait_for_orders_registration"]], "get_chain() (in module lumibot.strategies.strategy.strategy)": [[125, "lumibot.strategies.strategy.Strategy.get_chain"], [133, "lumibot.strategies.strategy.Strategy.get_chain"]], "get_chains() (in module lumibot.strategies.strategy.strategy)": [[126, "lumibot.strategies.strategy.Strategy.get_chains"], [134, "lumibot.strategies.strategy.Strategy.get_chains"]], "get_expiration() (in module lumibot.strategies.strategy.strategy)": [[127, "lumibot.strategies.strategy.Strategy.get_expiration"], [135, "lumibot.strategies.strategy.Strategy.get_expiration"]], "get_greeks() (in module lumibot.strategies.strategy.strategy)": [[128, "lumibot.strategies.strategy.Strategy.get_greeks"], [136, "lumibot.strategies.strategy.Strategy.get_greeks"]], "get_multiplier() (in module lumibot.strategies.strategy.strategy)": [[129, "lumibot.strategies.strategy.Strategy.get_multiplier"], [137, "lumibot.strategies.strategy.Strategy.get_multiplier"]], "get_strikes() (in module lumibot.strategies.strategy.strategy)": [[131, "lumibot.strategies.strategy.Strategy.get_strikes"], [140, "lumibot.strategies.strategy.Strategy.get_strikes"]], "options_expiry_to_datetime_date() (in module lumibot.strategies.strategy.strategy)": [[132, "lumibot.strategies.strategy.Strategy.options_expiry_to_datetime_date"], [141, "lumibot.strategies.strategy.Strategy.options_expiry_to_datetime_date"]], "get_option_expiration_after_date() (in module lumibot.strategies.strategy.strategy)": [[139, "lumibot.strategies.strategy.Strategy.get_option_expiration_after_date"]], "cancel_open_orders() (in module lumibot.strategies.strategy.strategy)": [[143, "lumibot.strategies.strategy.Strategy.cancel_open_orders"], [154, "lumibot.strategies.strategy.Strategy.cancel_open_orders"]], "cancel_order() (in module lumibot.strategies.strategy.strategy)": [[144, "lumibot.strategies.strategy.Strategy.cancel_order"], [155, "lumibot.strategies.strategy.Strategy.cancel_order"]], "cancel_orders() (in module lumibot.strategies.strategy.strategy)": [[145, "lumibot.strategies.strategy.Strategy.cancel_orders"], [156, "lumibot.strategies.strategy.Strategy.cancel_orders"]], "create_order() (in module lumibot.strategies.strategy.strategy)": [[146, "lumibot.strategies.strategy.Strategy.create_order"], [157, "lumibot.strategies.strategy.Strategy.create_order"]], "get_asset_potential_total() (in module lumibot.strategies.strategy.strategy)": [[147, "lumibot.strategies.strategy.Strategy.get_asset_potential_total"], [158, "lumibot.strategies.strategy.Strategy.get_asset_potential_total"]], "get_order() (in module lumibot.strategies.strategy.strategy)": [[148, "lumibot.strategies.strategy.Strategy.get_order"], [159, "lumibot.strategies.strategy.Strategy.get_order"]], "get_orders() (in module lumibot.strategies.strategy.strategy)": [[149, "lumibot.strategies.strategy.Strategy.get_orders"], [160, "lumibot.strategies.strategy.Strategy.get_orders"]], "get_selling_order() (in module lumibot.strategies.strategy.strategy)": [[150, "lumibot.strategies.strategy.Strategy.get_selling_order"], [161, "lumibot.strategies.strategy.Strategy.get_selling_order"]], "sell_all() (in module lumibot.strategies.strategy.strategy)": [[151, "lumibot.strategies.strategy.Strategy.sell_all"], [162, "lumibot.strategies.strategy.Strategy.sell_all"]], "submit_order() (in module lumibot.strategies.strategy.strategy)": [[152, "lumibot.strategies.strategy.Strategy.submit_order"], [163, "lumibot.strategies.strategy.Strategy.submit_order"]], "submit_orders() (in module lumibot.strategies.strategy.strategy)": [[153, "lumibot.strategies.strategy.Strategy.submit_orders"], [164, "lumibot.strategies.strategy.Strategy.submit_orders"]], "cash (lumibot.strategies.strategy.strategy property)": [[167, "lumibot.strategies.strategy.Strategy.cash"], [182, "lumibot.strategies.strategy.Strategy.cash"]], "first_iteration (lumibot.strategies.strategy.strategy property)": [[168, "lumibot.strategies.strategy.Strategy.first_iteration"], [183, "lumibot.strategies.strategy.Strategy.first_iteration"]], "initial_budget (lumibot.strategies.strategy.strategy property)": [[169, "lumibot.strategies.strategy.Strategy.initial_budget"], [184, "lumibot.strategies.strategy.Strategy.initial_budget"]], "is_backtesting (lumibot.strategies.strategy.strategy property)": [[170, "lumibot.strategies.strategy.Strategy.is_backtesting"], [185, "lumibot.strategies.strategy.Strategy.is_backtesting"]], "last_on_trading_iteration_datetime (lumibot.strategies.strategy.strategy property)": [[171, "lumibot.strategies.strategy.Strategy.last_on_trading_iteration_datetime"], [186, "lumibot.strategies.strategy.Strategy.last_on_trading_iteration_datetime"]], "minutes_before_closing (lumibot.strategies.strategy.strategy property)": [[172, "lumibot.strategies.strategy.Strategy.minutes_before_closing"], [187, "lumibot.strategies.strategy.Strategy.minutes_before_closing"]], "minutes_before_opening (lumibot.strategies.strategy.strategy property)": [[173, "lumibot.strategies.strategy.Strategy.minutes_before_opening"], [188, "lumibot.strategies.strategy.Strategy.minutes_before_opening"]], "name (lumibot.strategies.strategy.strategy property)": [[174, "lumibot.strategies.strategy.Strategy.name"], [189, "lumibot.strategies.strategy.Strategy.name"]], "portfolio_value (lumibot.strategies.strategy.strategy property)": [[175, "lumibot.strategies.strategy.Strategy.portfolio_value"], [190, "lumibot.strategies.strategy.Strategy.portfolio_value"]], "pytz (lumibot.strategies.strategy.strategy property)": [[176, "lumibot.strategies.strategy.Strategy.pytz"], [181, "lumibot.strategies.strategy.Strategy.pytz"], [191, "lumibot.strategies.strategy.Strategy.pytz"]], "quote_asset (lumibot.strategies.strategy.strategy property)": [[177, "lumibot.strategies.strategy.Strategy.quote_asset"], [192, "lumibot.strategies.strategy.Strategy.quote_asset"]], "sleeptime (lumibot.strategies.strategy.strategy property)": [[178, "lumibot.strategies.strategy.Strategy.sleeptime"], [193, "lumibot.strategies.strategy.Strategy.sleeptime"]], "timezone (lumibot.strategies.strategy.strategy property)": [[179, "lumibot.strategies.strategy.Strategy.timezone"], [194, "lumibot.strategies.strategy.Strategy.timezone"]], "unspent_money (lumibot.strategies.strategy.strategy property)": [[180, "lumibot.strategies.strategy.Strategy.unspent_money"], [195, "lumibot.strategies.strategy.Strategy.unspent_money"]]}})
\ No newline at end of file
diff --git a/docsrc/deployment.rst b/docsrc/deployment.rst
index 9c309f114..001ee9759 100644
--- a/docsrc/deployment.rst
+++ b/docsrc/deployment.rst
@@ -414,6 +414,9 @@ In addition to broker-specific secrets, the following environment variables are
* - **Secret**
- **Description**
- **Example**
+ * - LUMIWEALTH_API_KEY
+ - Your API key from the BotSpot.trade website so that you can track your bot's performance. To get this API key, visit the `BotSpot.trade `_ website and add/create a bot. After creating the bot, you will receive an API key.
+ - 694rr2c8d9234b43a40fab494a79f5634ghd4f39d44ccf2e
* - LIVE_CONFIG
- Your live config file, only needed for strategies that have multiple configurations (there will be a folder named "configurations" in the src/ folder) and if you are running the strategy live.
- paper_1
diff --git a/lumibot/data_sources/data_source.py b/lumibot/data_sources/data_source.py
index b36512302..be85f47cb 100644
--- a/lumibot/data_sources/data_source.py
+++ b/lumibot/data_sources/data_source.py
@@ -2,6 +2,7 @@
from abc import ABC, abstractmethod
from concurrent.futures import ThreadPoolExecutor, as_completed
from datetime import datetime, timedelta
+import traceback
import time
import pandas as pd
@@ -307,8 +308,8 @@ def get_bars(
length,
timestep="minute",
timeshift=None,
- chunk_size=10,
- max_workers=200,
+ chunk_size=2,
+ max_workers=2,
quote=None,
exchange=None,
include_after_hours=True,
@@ -316,33 +317,38 @@ def get_bars(
"""Get bars for the list of assets"""
def process_chunk(chunk):
- """Process a chunk of assets."""
chunk_result = {}
for asset in chunk:
- chunk_result[asset] = self.get_historical_prices(
- asset,
- length,
- timestep=timestep,
- timeshift=timeshift,
- quote=quote,
- exchange=exchange,
- include_after_hours=include_after_hours,
- )
+ try:
+ chunk_result[asset] = self.get_historical_prices(
+ asset,
+ length,
+ timestep=timestep,
+ timeshift=timeshift,
+ quote=quote,
+ exchange=exchange,
+ include_after_hours=include_after_hours,
+ )
+
+ # Sleep to prevent rate limiting
+ time.sleep(0.1)
+ except Exception as e:
+ # Log once per asset to avoid spamming with a huge traceback
+ logging.warning(f"Error retrieving data for {asset.symbol}: {e}")
+ tb = traceback.format_exc()
+ logging.warning(tb) # This prints the traceback
+ chunk_result[asset] = None
return chunk_result
# Convert strings to Asset objects
assets = [Asset(symbol=a) if isinstance(a, str) else a for a in assets]
- # Chunking the assets
+ # Chunk the assets
chunks = [assets[i : i + chunk_size] for i in range(0, len(assets), chunk_size)]
- # Initialize ThreadPoolExecutor
results = {}
with ThreadPoolExecutor(max_workers=max_workers) as executor:
- # Submit tasks
futures = [executor.submit(process_chunk, chunk) for chunk in chunks]
-
- # Collect results as they complete
for future in as_completed(futures):
results.update(future.result())
diff --git a/lumibot/entities/bars.py b/lumibot/entities/bars.py
index 27654e647..f18579b6f 100644
--- a/lumibot/entities/bars.py
+++ b/lumibot/entities/bars.py
@@ -112,11 +112,11 @@ def __init__(self, df, source, asset, quote=None, raw=None):
self._raw = raw
if "dividend" in df.columns:
- df["price_change"] = df["close"].pct_change()
- df["dividend_yield"] = df["dividend"] / df["close"]
- df["return"] = df["dividend_yield"] + df["price_change"]
+ df.loc[:, "price_change"] = df["close"].pct_change()
+ df.loc[:, "dividend_yield"] = df["dividend"] / df["close"]
+ df.loc[:, "return"] = df["dividend_yield"] + df["price_change"]
else:
- df["return"] = df["close"].pct_change()
+ df.loc[:, "return"] = df["close"].pct_change()
self.df = df
diff --git a/lumibot/tools/yahoo_helper.py b/lumibot/tools/yahoo_helper.py
index 9167b3473..005c16aae 100644
--- a/lumibot/tools/yahoo_helper.py
+++ b/lumibot/tools/yahoo_helper.py
@@ -1,6 +1,7 @@
import logging
import os
import pickle
+import time
from datetime import datetime, timedelta
import pandas as pd
@@ -11,6 +12,7 @@
from .helpers import get_lumibot_datetime
INFO_DATA = "info"
+INVALID_SYMBOLS = set()
class _YahooData:
@@ -91,6 +93,10 @@ def dump_pickle_file(symbol, type, data):
@staticmethod
def format_df(df, auto_adjust):
+ # Check if df is empty
+ if df is None or df.empty:
+ return df
+
if auto_adjust:
del df["Adj Ratio"]
del df["Close"]
@@ -169,41 +175,104 @@ def get_symbol_last_price(symbol):
return df["Close"].iloc[-1]
- @staticmethod
def download_symbol_data(symbol, interval="1d"):
- ticker = yf.Ticker(symbol)
- try:
- if interval == "1m":
- # Yahoo only supports 1 minute interval for past 7 days
- df = ticker.history(interval=interval, start=get_lumibot_datetime() - timedelta(days=7), auto_adjust=False)
- elif interval == "15m":
- # Yahoo only supports 15 minute interval for past 60 days
- df = ticker.history(interval=interval, start=get_lumibot_datetime() - timedelta(days=60), auto_adjust=False)
- else:
- df = ticker.history(interval=interval, period="max", auto_adjust=False)
- except Exception as e:
- logging.debug(f"Error while downloading symbol day data for {symbol}, returning empty dataframe for now.")
- logging.debug(e)
+ """
+ Attempts to download historical data from yfinance for the specified symbol and interval.
+ Retries on empty/None data in case of transient rate limits.
+ If all attempts fail, marks the symbol as invalid (added to INVALID_SYMBOLS) to skip it in future.
+ If symbol info is unavailable, we just skip timezone adjustments (do not return None).
+ """
+
+ # If we've already marked this symbol invalid, skip further calls
+ if symbol in INVALID_SYMBOLS:
+ logging.debug(f"{symbol} is already marked invalid. Skipping yfinance calls.")
return None
- # Adjust the time when we are getting daily stock data to the beginning of the day
- # This way the times line up when backtesting daily data
- info = YahooHelper.get_symbol_info(symbol)
- if info.get("info") and info.get("info").get("market") == "us_market":
- # Check if the timezone is already set, if not set it to the default timezone
- if df.index.tzinfo is None:
- df.index = df.index.tz_localize(info.get("info").get("exchangeTimezoneName"))
- else:
- df.index = df.index.tz_convert(info.get("info").get("exchangeTimezoneName"))
- df.index = df.index.map(lambda t: t.replace(hour=16, minute=0))
- elif info.get("info") and info.get("info").get("market") == "ccc_market":
- # Check if the timezone is already set, if not set it to the default timezone
- if df.index.tzinfo is None:
- df.index = df.index.tz_localize(info.get("info").get("exchangeTimezoneName"))
+ ticker = yf.Ticker(symbol)
+
+ # --- HISTORICAL DATA RETRY LOGIC ---
+ max_retries = 3
+ sleep_sec = 1
+ df = None
+
+ for attempt in range(1, max_retries + 1):
+ try:
+ if interval == "1m":
+ df = ticker.history(
+ interval=interval,
+ start=get_lumibot_datetime() - timedelta(days=7),
+ auto_adjust=False
+ )
+ elif interval == "15m":
+ df = ticker.history(
+ interval=interval,
+ start=get_lumibot_datetime() - timedelta(days=60),
+ auto_adjust=False
+ )
+ else:
+ df = ticker.history(
+ interval=interval,
+ period="max",
+ auto_adjust=False
+ )
+ except Exception as e:
+ logging.debug(f"{symbol}: Exception from ticker.history(): {e}")
+ if attempt < max_retries:
+ logging.debug(f"{symbol}: Attempt {attempt} failed. Sleeping {sleep_sec}s, then retry.")
+ time.sleep(sleep_sec)
+ sleep_sec *= 2
+ continue
+ else:
+ logging.debug(f"{symbol}: All {max_retries} attempts failed. Marking invalid.")
+ INVALID_SYMBOLS.add(symbol)
+ return None
+
+ if df is None or df.empty:
+ logging.debug(f"{symbol}: Attempt {attempt} returned empty or None data.")
+ if attempt < max_retries:
+ logging.debug(f"{symbol}: Sleeping {sleep_sec}s, then retry.")
+ time.sleep(sleep_sec)
+ sleep_sec *= 2
+ else:
+ logging.debug(f"{symbol}: Data still empty after {max_retries} attempts. Marking invalid.")
+ INVALID_SYMBOLS.add(symbol)
+ return None
else:
- df.index = df.index.tz_convert(info.get("info").get("exchangeTimezoneName"))
- df.index = df.index.map(lambda t: t.replace(hour=23, minute=59))
+ # Successfully got data, so break out of the loop
+ break
+ # --- SYMBOL INFO (OPTIONAL) ---
+ info = None
+ try:
+ info = YahooHelper.get_symbol_info(symbol)
+ except Exception as e:
+ logging.debug(f"{symbol}: Exception from get_symbol_info(): {e}")
+
+ # If we have valid info, handle timezone adjustments.
+ # Using sub_info to avoid accessing .get() on None.
+ if info and isinstance(info, dict):
+ sub_info = info.get("info", {})
+ if isinstance(sub_info, dict):
+ market = sub_info.get("market", "")
+ tz_name = sub_info.get("exchangeTimezoneName", None)
+
+ # US market
+ if market == "us_market" and tz_name:
+ if df.index.tzinfo is None:
+ df.index = df.index.tz_localize(tz_name)
+ else:
+ df.index = df.index.tz_convert(tz_name)
+ df.index = df.index.map(lambda t: t.replace(hour=16, minute=0))
+
+ # Crypto/CCC market
+ elif market == "ccc_market" and tz_name:
+ if df.index.tzinfo is None:
+ df.index = df.index.tz_localize(tz_name)
+ else:
+ df.index = df.index.tz_convert(tz_name)
+ df.index = df.index.map(lambda t: t.replace(hour=23, minute=59))
+
+ # Finally, run any custom DataFrame processing
df = YahooHelper.process_df(df, asset_info=info)
return df
diff --git a/setup.py b/setup.py
index 9929622e7..6ab0eb97a 100644
--- a/setup.py
+++ b/setup.py
@@ -5,7 +5,7 @@
setuptools.setup(
name="lumibot",
- version="3.8.24",
+ version="3.8.26",
author="Robert Grzesik",
author_email="rob@lumiwealth.com",
description="Backtesting and Trading Library, Made by Lumiwealth",
@@ -21,7 +21,8 @@
"yfinance>=0.2.46",
"matplotlib>=3.3.3",
"quandl",
- "numpy>=1.20.0",
+ # Numpy greater than 1.20.0 and less than 2 because v2 has compatibility issues with a few libraries
+ "numpy>=1.20.0, <2",
"pandas>=2.2.0",
"pandas_market_calendars>=4.3.1",
"plotly>=5.18.0",
diff --git a/tests/backtest/test_polygon.py b/tests/backtest/test_polygon.py
index 3feb59e6b..490963ddd 100644
--- a/tests/backtest/test_polygon.py
+++ b/tests/backtest/test_polygon.py
@@ -306,7 +306,6 @@ def test_polygon_legacy_backtest2(self):
def test_pull_source_symbol_bars_with_api_call(self, polygon_data_backtesting, mocker):
"""Test that polygon_helper.get_price_data_from_polygon() is called with the right parameters"""
-
# Only simulate first date
mocker.patch.object(
polygon_data_backtesting,
@@ -390,3 +389,89 @@ def test_get_historical_prices(self):
assert prices is not None
assert_frame_equal(prices.df, expected_df, check_dtype=False, check_index_type=False)
+
+ ########################################################################################
+ # Below are the NEW TESTS added to verify that get_chains(), get_last_price(), and
+ # get_historical_prices() data has not changed after code modifications.
+ # We have NOT modified existing tests or code, only appended these tests.
+ ########################################################################################
+
+ @pytest.mark.skipif(POLYGON_API_KEY == '', reason="This test requires a Polygon.io API key")
+ def test_get_chains_spy_expected_data(self):
+ """
+ Test that get_chains() returns the expected option chain data for SPY when the backtesting date is 2025-01-13.
+ Verifies key components such as:
+ - A multiplier of 100.
+ - An exchange value of 'BATO'.
+ - For expiry "2025-01-13" in both CALL and PUT chains, the first five strike prices and the last strike.
+ """
+ tzinfo = pytz.timezone("America/New_York")
+ # Set up a dummy backtesting period; in this test we only care about the 'current' datetime.
+ start = datetime.datetime(2025, 1, 13).astimezone(tzinfo)
+ end = datetime.datetime(2025, 1, 31).astimezone(tzinfo)
+ data_source = PolygonDataBacktesting(start, end, api_key=POLYGON_API_KEY)
+ # Patch get_datetime() to return January 13, 2025 (10:00 AM local)
+ data_source.get_datetime = lambda: datetime.datetime(2025, 1, 13, 10, 0, 0, tzinfo=tzinfo)
+ asset = Asset("SPY")
+ chains = data_source.get_chains(asset)
+ # Check that the chains structure is not None and contains required keys
+ assert chains is not None, "Expected chains data to be non-None"
+ assert chains.get("Multiplier") == 100, "Expected multiplier to be 100"
+ assert chains.get("Exchange") == "BATO", "Expected exchange to be 'BATO'"
+ # Check that the chains include an entry for expiry "2025-01-13" in both CALL and PUT
+ expected_expiry = "2025-01-13"
+ assert expected_expiry in chains["Chains"]["CALL"], f"Expected expiry {expected_expiry} in CALL chain"
+ assert expected_expiry in chains["Chains"]["PUT"], f"Expected expiry {expected_expiry} in PUT chain"
+ # Verify specific strike values for the 2025-01-13 entry on both sides.
+ expected_first_five = [497, 498, 499, 500, 505]
+ expected_last = 685
+ call_strikes = chains["Chains"]["CALL"][expected_expiry]
+ put_strikes = chains["Chains"]["PUT"][expected_expiry]
+ assert call_strikes[:5] == expected_first_five, f"CALL strikes for {expected_expiry} expected first five {expected_first_five}, got {call_strikes[:5]}"
+ assert put_strikes[:5] == expected_first_five, f"PUT strikes for {expected_expiry} expected first five {expected_first_five}, got {put_strikes[:5]}"
+ assert call_strikes[-1] == expected_last, f"CALL strikes for {expected_expiry} expected last strike {expected_last}, got {call_strikes[-1]}"
+ assert put_strikes[-1] == expected_last, f"PUT strikes for {expected_expiry} expected last strike {expected_last}, got {put_strikes[-1]}"
+
+ @pytest.mark.skipif(POLYGON_API_KEY == '', reason="This test requires a Polygon.io API key")
+ def test_get_last_price_unchanged(self):
+ """
+ Additional test to ensure get_last_price() is unaffected by code changes.
+ We expect AMZN's last price (on 2023-08-02 ~10AM) to be in a certain known range
+ based on historical data from Polygon.
+ """
+ tzinfo = pytz.timezone("America/New_York")
+ start = datetime.datetime(2023, 8, 1).astimezone(tzinfo)
+ end = datetime.datetime(2023, 8, 4).astimezone(tzinfo)
+
+ data_source = PolygonDataBacktesting(start, end, api_key=POLYGON_API_KEY)
+ # Pick a known date/time within our backtest window
+ data_source._datetime = datetime.datetime(2023, 8, 2, 10).astimezone(tzinfo)
+
+ last_price = data_source.get_last_price(Asset("AMZN"))
+ # As in the main test, we expect a price in the 130-140 range.
+ assert last_price is not None, "Expected to get a price, got None"
+ assert 130.0 < last_price < 140.0, f"Expected AMZN price between 130 and 140 on 2023-08-02, got {last_price}"
+
+ @pytest.mark.skipif(POLYGON_API_KEY == '', reason="This test requires a Polygon.io API key")
+ def test_get_historical_prices_unchanged_for_amzn(self):
+ """
+ Additional test to ensure get_historical_prices() is unaffected by code changes.
+ We'll check that we can retrieve day bars for AMZN for 2 days leading up to 2023-08-02.
+ """
+ tzinfo = pytz.timezone("America/New_York")
+ start = datetime.datetime(2023, 8, 1).astimezone(tzinfo)
+ end = datetime.datetime(2023, 8, 4).astimezone(tzinfo)
+
+ data_source = PolygonDataBacktesting(start, end, api_key=POLYGON_API_KEY)
+ # Set the 'current' backtesting datetime
+ data_source._datetime = datetime.datetime(2023, 8, 2, 15).astimezone(tzinfo)
+
+ # Retrieve 2 day-bars for AMZN
+ historical_bars = data_source.get_historical_prices("AMZN", 2, "day")
+ assert historical_bars is not None, "Expected some historical bars, got None"
+ df = historical_bars.df
+ assert df is not None and not df.empty, "Expected non-empty DataFrame for historical AMZN day bars"
+ assert len(df) == 2, f"Expected 2 day bars for AMZN, got {len(df)}"
+ # Just a sanity check to make sure the close is within a plausible range
+ assert df['close'].mean() < 150, "Unexpectedly high close for AMZN, data might have changed"
+ assert df['close'].mean() > 50, "Unexpectedly low close for AMZN, data might have changed"
diff --git a/tests/fixtures.py b/tests/fixtures.py
index 4d7679379..838cf9c8b 100644
--- a/tests/fixtures.py
+++ b/tests/fixtures.py
@@ -49,8 +49,6 @@ def pandas_data_fixture() -> Dict[Asset, Data]:
parse_dates=True,
index_col=0,
header=0,
- usecols=[0, 1, 2, 3, 4, 6, 7],
- names=["Date", "Open", "High", "Low", "Close", "Volume", "Dividends"],
)
df = df.rename(
columns={
diff --git a/tests/test_drift_rebalancer.py b/tests/test_drift_rebalancer.py
index f1483126c..deec3dca9 100644
--- a/tests/test_drift_rebalancer.py
+++ b/tests/test_drift_rebalancer.py
@@ -22,8 +22,8 @@
class MockStrategyWithDriftCalculationLogic(Strategy):
- def __init__(self, *args, **kwargs):
- super().__init__(*args, **kwargs)
+ def __init__(self, broker: BacktestingBroker, *args, **kwargs):
+ super().__init__(broker=broker, *args, **kwargs)
self.orders = []
self.target_weights = {}
self.drift_rebalancer_logic = DriftRebalancerLogic(
@@ -96,7 +96,7 @@ def mock_add_positions(self):
def test_calculate_absolute_drift(self, mocker):
strategy = MockStrategyWithDriftCalculationLogic(
- broker= self.backtesting_broker,
+ broker=self.backtesting_broker,
drift_threshold=Decimal("0.05"),
drift_type=DriftType.ABSOLUTE
)
@@ -650,6 +650,41 @@ def mock_add_positions(self):
assert df["target_value"].tolist() == [Decimal("-500"), Decimal("500")]
assert df["drift"].tolist() == [Decimal("-1.0"), Decimal("0")]
+ def test_shorting_more_when_price_goes_up_short_something(self, mocker):
+ strategy = MockStrategyWithDriftCalculationLogic(
+ broker=self.backtesting_broker,
+ drift_threshold=Decimal("0.05"),
+ drift_type=DriftType.ABSOLUTE
+ )
+ # patch the strategy so get_last_price returns 110
+ mocker.patch.object(strategy, "get_last_price", return_value=110.0)
+
+ target_weights = {
+ "AAPL": Decimal("-0.50"),
+ "USD": Decimal("0.50")
+ }
+
+ def mock_add_positions(self):
+ self._add_position(
+ symbol="USD",
+ is_quote_asset=True,
+ current_quantity=Decimal("1500"), # original $1000 plus $500 from the short
+ current_value=Decimal("1500")
+ )
+ self._add_position(
+ symbol="AAPL",
+ is_quote_asset=False,
+ current_quantity=Decimal("-5"),
+ current_value=Decimal("-550")
+ )
+
+ mocker.patch.object(DriftCalculationLogic, "_add_positions", mock_add_positions)
+ df = strategy.drift_rebalancer_logic.calculate(target_weights=target_weights)
+
+ assert df["current_weight"].tolist() == [Decimal('-0.5789473684210526315789473684'), Decimal('1.578947368421052631578947368')]
+ assert df["target_value"].tolist() == [Decimal("-475"), Decimal("475")]
+ assert df["drift"].tolist() == [Decimal('0.0789473684210526315789473684'), Decimal('0')]
+
def test_calculate_absolute_drift_when_we_want_a_100_percent_short_position(self, mocker):
strategy = MockStrategyWithDriftCalculationLogic(
broker=self.backtesting_broker,