Polygon.io Backtesting example is failing about lumibot HOT 5 OPEN

On Fri, Jul 14, 2023 at 10:47 AM working4coins ***@***.***> wrote: Moreover, in such a case requests doesn't seems to be cached as after an other run I'm still seeing "Getting pricing data ..." — Reply to this email directly, view it on GitHub <#256 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAIYQK7YSGYY2FCNT2VXBLDXQFLXNANCNFSM6AAAAAA2KNTAKM> . You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>

On Fri, Jul 14, 2023 at 10:45 AM working4coins ***@***.***> wrote: Hello, from datetime import datetimefrom lumibot.backtesting import PolygonDataBacktestingfrom 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 — Reply to this email directly, view it on GitHub <#256>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAIYQKYYIMQL6HG4NKOQZNTXQFLPPANCNFSM6AAAAAA2KNTAKM> . You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>