在 Backtrader 问题中获取数据

Question

I am trying to write a backtesting strategy on Backtrader in Python, and below is the code that is giving me the error. I am using the latest version of backtrader as of July 2, 2021.

import backtrader as bt
import backtrader.feeds as btfeeds
from datetime import datetime

cerebro = bt.Cerebro()
cerebro.broker.setcash(100000)
data = btfeeds.YahooFinanceData(dataname="SPY", fromdate=datetime(2016, 6, 25), 
todate=datetime(2021, 6, 25))
cerebro.adddata(data)
cerebro.run()

The error that I am getting is

Traceback (most recent call last): File "c:\\Users\\risha\\PycharmProjects\\PythonDataScience\\BacktraderBacktesting\\TestingData.py", line 9, in cerebro.run() File "C:\\Users\\risha\\anaconda3\\lib\\site-packages\\backtrader\\cerebro.py", line 1127, in run runstrat = self.runstrategies(iterstrat) File "C:\\Users\\risha\\anaconda3\\lib\\site-packages\\backtrader\\cerebro.py", line 1210, in runstrategies data._start() File "C:\\Users\\risha\\anaconda3\\lib\\site-packages\\backtrader\\feed.py", line 203, in _start self.start() File "C:\\Users\\risha\\anaconda3\\lib\\site-packages\\backtrader\\feeds\\yahoo.py", line 355, in start super(YahooFinanceData, self).start() File "C:\\Users\\risha\\anaconda3\\lib\\site-packages\\backtrader\\feeds\\yahoo.py", line 94, in start super(YahooFinanceCSVData, self).start() File "C:\\Users\\risha\\anaconda3\\lib\\site-packages\\backtrader\\feed.py", line 674, in start self.f = io.open(self.p.dataname, 'r') FileNotFoundError: [Errno 2] No such file or directory: 'SPY'

I am confused on why this is happening. I have tried running this by adding a strategy in Cebro as well, but that still caused the same error. Could someone please help me fix this issue?

Answer 1

I actually figured out the solution. If you use, the code:

data = bt.feeds.PandasData(dataname=yf.download('SPY', '2015-07-06', '2021-07-01', auto_adjust=True)) . This will allow you to get the data from online for any ticker. You will also have to use pip install yfinance before you run this code.

Answer 2

try to upgrade your backtrader. On 3rd of July there is a new release. I did update it but it still does not work. The problem is that it does not bt.feed.YahooFinance, take the data in the correct format. It is a new bug... I am waiting for them to fix it as well.

Answer 3

Yahoo! Finance has changed slightly their structure. Now requires headers for the data retreival on the http request. Since backtrader has a "old version" of yahoo.py on line 271 you need to add the headers. Once done works fine.

It happens as well with pandas & pandas-datareader which you'll need to upgrade them if you use it. (Which has been already sorted)

For Backtrader in yahoo.py line 271:

 crumb = None
 sess = requests.Session()
 ## ADD HEADERS
 sess.headers['User-Agent'] = 'backtrader'
 ## END HERE
 for i in range(self.p.retries + 1):  # at least once
     resp = sess.get(url, **sesskwargs)
     if resp.status_code != requests.codes.ok:
            

Here you have the original link for the yahoo.py changes .

Probably backtrader will launch a upgrade soon.

For Pandas and Pandas-DataReader

pip install --upgrade pandas
pip install --upgrade pandas-datareader

Have a nice day ;).