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Polygon.io Backtesting example is failing #256

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c0indev3l opened this issue Jul 14, 2023 · 5 comments
Open

Polygon.io Backtesting example is failing #256

c0indev3l opened this issue Jul 14, 2023 · 5 comments

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@c0indev3l
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Hello,

from datetime import datetime
from lumibot.backtesting import PolygonDataBacktesting
from lumibot.strategies import Strategy

class MyStrategy(Strategy):
    parameters = {
        "symbol": "AAPL",
    }

    def initialize(self):
        self.sleeptime = "1D"

    def on_trading_iteration(self):
        if self.first_iteration:
            symbol = self.parameters["symbol"]
            price = self.get_last_price(symbol)
            qty = self.portfolio_value / price
            order = self.create_order(symbol, quantity=qty, side="buy")
            self.submit_order(order)

if __name__ == "__main__":
    backtesting_start = datetime(2023, 1, 1)
    backtesting_end = datetime(2023, 5, 1)

    MyStrategy.backtest(
        PolygonDataBacktesting,
        backtesting_start,
        backtesting_end,
        polygon_api_key="YOUR_POLYGON_API_KEY",
        polygon_has_paid_subscription=False,
    )

raises

>python bot.py
Starting backtest for MyStrategy...
ERROR:root:Error getting the risk free rate: 401 Client Error: Unauthorized for url: https://query2.finance.yahoo.com/v10/finance/quoteSummary/%5EIRX?modules=summaryProfile%2CfinancialData%2CquoteType%2CdefaultKeyStatistics%2CassetProfile%2CsummaryDetail&ssl=true
INFO:backtest_stats:Starting backtest...
Progress |█--------------------------------------------------------|   2.00%  [Elapsed: 0:00:03 ETA: 0:02:33]
Getting pricing data for AAPL from Polygon...
2023-07-14 16:37:06,634: root: ERROR: unsupported operand type(s) for /: 'float' and 'NoneType'
2023-07-14 16:37:06,637: root: ERROR: Traceback (most recent call last):
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 570, in run
    self._run_trading_session()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 538, in _run_trading_session
    self._on_trading_iteration()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 261, in func_output
    result = func_input(self, *args, **kwargs)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 285, in func_output
    result = func_input(self, *args, **kwargs)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 69, in func_output
    return func_input(self, *args, **kwargs)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 339, in _on_trading_iteration
    on_trading_iteration()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\tools\decorators.py", line 62, in func_output
    frame, result = call_function_get_frame(func_input, *args, **kwargs)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\tools\decorators.py", line 30, in call_function_get_frame
    result = func(*args, **kwargs)
  File "C:\Users\w4c\trading\lumibot\bot.py", line 17, in on_trading_iteration
    qty = self.portfolio_value / price
TypeError: unsupported operand type(s) for /: 'float' and 'NoneType'

after changing API key I run into an other problem...

>python bot.py
Starting backtest for MyStrategy...
ERROR:root:Error getting the risk free rate: 401 Client Error: Unauthorized for url: https://query2.finance.yahoo.com/v10/finance/quoteSummary/%5EIRX?modules=summaryProfile%2CfinancialData%2CquoteType%2CdefaultKeyStatistics%2CassetProfile%2CsummaryDetail&ssl=true
INFO:backtest_stats:Starting backtest...
Progress |█--------------------------------------------------------|   2.00%  [Elapsed: 0:00:03 ETA: 0:02:27]
Getting pricing data for AAPL from Polygon...

Sleeping 60 seconds getting pricing data for AAPL from Polygon because we don't have a paid subscription and we don't want to hit the rate limit. If you want to avoid this, you can get a paid subscription at https://polygon.io/pricing and set `polygon_has_paid_subscription=True` when starting the backtest.

Progress |█████████████████████████████████████████████████████████| 100.00%  [Elapsed: 0:01:08 ETA: 0:00:00]2023-07-14 16:40:00,490: root: INFO: MyStrategy : --- MyStrategy Strategy Performance  ---
2023-07-14 16:40:00,509: root: INFO: MyStrategy : Total Return: 30.47%
2023-07-14 16:40:00,509: root: INFO: MyStrategy : CAGR 132.76%
2023-07-14 16:40:00,510: root: INFO: MyStrategy : Volatility 23.27%
2023-07-14 16:40:00,510: root: INFO: MyStrategy : Sharpe 5.71
2023-07-14 16:40:00,510: root: INFO: MyStrategy : Max Drawdown 6.43% on 2023-03-02
2023-07-14 16:40:00,511: root: INFO: MyStrategy : RoMaD 2,065.44%
2023-07-14 16:40:00,511: root: INFO: MyStrategy : --- SPY Benchmark Performance ---

Getting pricing data for SPY from Polygon...

Sleeping 60 seconds getting pricing data for SPY from Polygon because we don't have a paid subscription and we don't want to hit the rate limit. If you want to avoid this, you can get a paid subscription at https://polygon.io/pricing and set `polygon_has_paid_subscription=True` when starting the backtest.

2023-07-14 16:41:00,900: root: ERROR: Error getting bars for SPY: You are requesting minute data from a daily data source. This is not supported.
2023-07-14 16:41:00,905: root: ERROR: Traceback (most recent call last):
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\data_sources\pandas_data.py", line 318, in _pull_source_symbol_bars_between_dates
    res = data.get_bars_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\entities\data.py", line 577, in get_bars_between_dates
    raise ValueError(
ValueError: You are requesting minute data from a daily data source. This is not supported.

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 587, in run
    self._on_strategy_end()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 261, in func_output
    result = func_input(self, *args, **kwargs)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 360, in _on_strategy_end
    self.strategy._dump_stats()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\_strategy.py", line 569, in _dump_stats
    bars = self.data_source.get_historical_prices_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\backtesting\polygon_backtesting.py", line 191, in get_historical_prices_between_dates
    response = super()._pull_source_symbol_bars_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\data_sources\pandas_data.py", line 323, in _pull_source_symbol_bars_between_dates
    raise ValueError(f"Error getting bars for {asset}: {e}")
ValueError: Error getting bars for SPY: You are requesting minute data from a daily data source. This is not supported.

2023-07-14 16:41:00,907: root: INFO: MyStrategy : Executing the on_bot_crash event method
2023-07-14 16:41:00,916: root: INFO: MyStrategy : --- MyStrategy Strategy Performance  ---
2023-07-14 16:41:00,932: root: INFO: MyStrategy : Total Return: 30.47%
2023-07-14 16:41:00,932: root: INFO: MyStrategy : CAGR 132.76%
2023-07-14 16:41:00,932: root: INFO: MyStrategy : Volatility 23.27%
2023-07-14 16:41:00,933: root: INFO: MyStrategy : Sharpe 5.71
2023-07-14 16:41:00,933: root: INFO: MyStrategy : Max Drawdown 6.43% on 2023-03-02
2023-07-14 16:41:00,933: root: INFO: MyStrategy : RoMaD 2,065.44%
2023-07-14 16:41:00,934: root: INFO: MyStrategy : --- SPY Benchmark Performance ---
Exception in thread MyStrategy:
Traceback (most recent call last):
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\data_sources\pandas_data.py", line 318, in _pull_source_symbol_bars_between_dates
    res = data.get_bars_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\entities\data.py", line 577, in get_bars_between_dates
    raise ValueError(
ValueError: You are requesting minute data from a daily data source. This is not supported.

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 587, in run
    self._on_strategy_end()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 261, in func_output
    result = func_input(self, *args, **kwargs)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 360, in _on_strategy_end
    self.strategy._dump_stats()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\_strategy.py", line 569, in _dump_stats
    bars = self.data_source.get_historical_prices_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\backtesting\polygon_backtesting.py", line 191, in get_historical_prices_between_dates
    response = super()._pull_source_symbol_bars_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\data_sources\pandas_data.py", line 323, in _pull_source_symbol_bars_between_dates
    raise ValueError(f"Error getting bars for {asset}: {e}")
ValueError: Error getting bars for SPY: You are requesting minute data from a daily data source. This is not supported.

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\data_sources\pandas_data.py", line 318, in _pull_source_symbol_bars_between_dates
    res = data.get_bars_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\entities\data.py", line 577, in get_bars_between_dates
    raise ValueError(
ValueError: You are requesting minute data from a daily data source. This is not supported.

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\tools\Anaconda3\lib\threading.py", line 1016, in _bootstrap_inner
    self.run()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 591, in run
    self._on_bot_crash(e)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 273, in func_output
    result = func_input(self, *args, **kwargs)
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\strategy_executor.py", line 371, in _on_bot_crash
    self.strategy._dump_stats()
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\_strategy.py", line 569, in _dump_stats
    bars = self.data_source.get_historical_prices_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\backtesting\polygon_backtesting.py", line 191, in get_historical_prices_between_dates
    response = super()._pull_source_symbol_bars_between_dates(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\data_sources\pandas_data.py", line 323, in _pull_source_symbol_bars_between_dates
    raise ValueError(f"Error getting bars for {asset}: {e}")
ValueError: Error getting bars for SPY: You are requesting minute data from a daily data source. This is not supported.
2023-07-14 16:41:00,959: backtest_stats: INFO: Backtest took 0:02:08.247696 for a speed of 0.000
2023-07-14 16:41:00,962: root: WARNING: Cannot plot returns because the benchmark returns are missing
Creating indicators plot...
Creating tearsheet...
Traceback (most recent call last):
  File "C:\Users\w4c\trading\lumibot\bot.py", line 25, in <module>
    MyStrategy.backtest(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\_strategy.py", line 1049, in backtest
    strategy.tearsheet(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\strategies\_strategy.py", line 695, in tearsheet
    create_tearsheet(
  File "C:\Users\w4c\AppData\Roaming\Python\Python310\site-packages\lumibot\tools\indicators.py", line 642, in create_tearsheet
    _df2 = df2.copy()
AttributeError: 'NoneType' object has no attribute 'copy'

Kind regards
@c0indev3l c0indev3l changed the title Polygon.io Backtesting is failing Polygon.io Backtesting example is failing Jul 14, 2023
@c0indev3l
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c0indev3l commented Jul 14, 2023 •
edited

Moreover, in such a case requests doesn't seems to be cached as after an other run I'm still seeing "Getting pricing data ..."

@grzesir
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grzesir commented Jul 14, 2023 via email

@grzesir
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grzesir commented Jul 14, 2023 via email

@c0indev3l
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>pip show lumibot
Name: lumibot
Version: 2.7.0
Summary: Backtesting and Trading Library, Made by Lumiwealth
Home-page: https://github.com/Lumiwealth/lumibot
Author: Robert Grzesik
Author-email: rob@lumiwealth.com
License:
Location: c:\users\w4c\appdata\roaming\python\python310\site-packages
Requires: alpaca-trade-api, alpha-vantage, bcrypt, ccxt, email-validator, flask-marshmallow, flask-security, flask-socketio, flask-sqlalchemy, ibapi, jsonpickle, marshmallow-sqlalchemy, matplotlib, pandas, pandas-datareader, pandas-market-calendars, plotly, polygon, pydantic, pytest, quandl, quantstats, scipy, termcolor, yfinance
Required-by:

>pip show yfinance
Name: yfinance
Version: 0.2.22
Summary: Download market data from Yahoo! Finance API
Home-page: https://github.com/ranaroussi/yfinance
Author: Ran Aroussi
Author-email: ran@aroussi.com
License: Apache
Location: c:\users\w4c\appdata\roaming\python\python310\site-packages
Requires: appdirs, beautifulsoup4, frozendict, html5lib, lxml, multitasking, numpy, pandas, pytz, requests
Required-by: lumibot, QuantStats

@grzesir
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grzesir commented Aug 18, 2023

@c0indev3l to fix the yahoo finance issue you should upgrade lumibot to the latest version

for your initial question, did you replace "YOUR_POLYGON_API_KEY" with your actual polygon api key?

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@grzesir @c0indev3l