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blankly-finance / blankly

🚀 💸 Easily build, backtest and deploy your algo in just a few lines of code. Trade stocks, cryptos, and forex across exchanges w/ one package.
https://package.blankly.finance
GNU Lesser General Public License v3.0
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KeyError: 'bidMultiplierUp' #241

Closed StayFoolisj closed 9 months ago

StayFoolisj commented 11 months ago

Description

First time user of Blankly. Did a clean install and attempted to run a backtest of the RSI demo strategy:

% blankly init
? What exchange would you like to connect to? Binance
? What type of model do you want to create? Strategy
? What template would you like to use for your new model? rsi_bot
? Would you like to add keys for this exchange?
You can do this later at any time by running `blankly key add` Yes
? What TLD are you using? binance.com
? Give this key a name:  (Optional) demo
? API Key: OBFUSCATED
? API Secret: OBFUSCATED
? Is this testnet/sandbox key? No
✔ Checked Binance API Key
✔ Your API key for Binance was added to this model
✔ Generated files
✔ Done! Your model was created. Run `python bot.py` to run a backtest and get started.

settings.json

{
    "settings": {
        "use_sandbox_websockets": false,
        "websocket_buffer_size": 10000,
        "test_connectivity_on_auth": true,
        "auto_truncate": false,
        "global_shorting": false,
        "simulate_margin": true,
        "coinbase_pro": {
            "cash": "USD"
        },
        "binance": {
            "cash": "USDT",
            "binance_tld": "com"
        },
        "binance_futures": {
            "cash": "USDT",
            "margin_type": "USDT-M"
        },
        "alpaca": {
            "websocket_stream": "iex",
            "cash": "USD",
            "enable_shorting": true,
            "use_yfinance": false
        },
        "oanda": {
            "cash": "USD"
        },
        "okx": {
            "cash": "USDT"
        },
        "keyless": {
            "cash": "USD"
        },
        "kucoin": {
            "cash": "USDT"
        },
        "ftx": {
            "cash": "USD",
            "ftx_tld": "com"
        },
        "ftx_futures": {
            "cash": "USD",
            "ftx_tld": "com"
        },
        "paper": {
            "price_source": "api"
        }
    }
}

backtest.json (if applicable)

{
    "price_data": {
        "assets": []
    },
    "settings": {
        "use_price": "close",
        "smooth_prices": false,
        "GUI_output": true,
        "show_tickers_with_zero_delta": false,
        "save_initial_account_value": true,
        "show_progress_during_backtest": true,
        "cache_location": "./price_caches",
        "continuous_caching": true,
        "resample_account_value_for_metrics": "1d",
        "quote_account_value_in": "USDT",
        "ignore_user_exceptions": true,
        "risk_free_return_rate": 0.0,
        "benchmark_symbol": null
    }
}

Error (if applicable)

% python3 bot.py
INFO: No portfolio name to load specified, defaulting to the first in the file: (demo). This is fine if there is only one portfolio in use.
No cached data found for BTC-USDT from: 1658566550.532497 to 1690016150.5324988 at a resolution of 86400 seconds.

Backtesting...
Traceback (most recent call last):
  File "user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/frameworks/strategy/strategy.py", line 127, in rest_event
    callback(*args)
  File "/user/code/blankly-demo/bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 376, in market_order
    market_limits = self.get_order_filter(symbol)
                    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 743, in get_order_filter
    self.get_order_filter_cache[symbol] = self.calls.get_order_filter(symbol)
                                          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/binance/binance_interface.py", line 1021, in get_order_filter
    multiplier_up = float(filters[filter_mapping['PERCENT_PRICE_BY_SIDE']]["bidMultiplierUp"])
                          ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~^^^^^^^^^^^^^^^^^^^
KeyError: 'bidMultiplierUp'
Traceback (most recent call last):
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/frameworks/strategy/strategy.py", line 127, in rest_event
    callback(*args)
  File "/user/code/blankly-demo/bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 376, in market_order
    market_limits = self.get_order_filter(symbol)
                    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 743, in get_order_filter
    self.get_order_filter_cache[symbol] = self.calls.get_order_filter(symbol)
                                          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/binance/binance_interface.py", line 1021, in get_order_filter
    multiplier_up = float(filters[filter_mapping['PERCENT_PRICE_BY_SIDE']]["bidMultiplierUp"])
                          ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~^^^^^^^^^^^^^^^^^^^
KeyError: 'bidMultiplierUp'
Traceback (most recent call last):
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/frameworks/strategy/strategy.py", line 127, in rest_event
    callback(*args)
  File "/user/code/blankly-demo/bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 376, in market_order
    market_limits = self.get_order_filter(symbol)
                    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 743, in get_order_filter
    self.get_order_filter_cache[symbol] = self.calls.get_order_filter(symbol)
                                          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/binance/binance_interface.py", line 1021, in get_order_filter
    multiplier_up = float(filters[filter_mapping['PERCENT_PRICE_BY_SIDE']]["bidMultiplierUp"])
                          ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~^^^^^^^^^^^^^^^^^^^
KeyError: 'bidMultiplierUp'
Traceback (most recent call last):
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/frameworks/strategy/strategy.py", line 127, in rest_event
    callback(*args)
  File "/user/code/blankly-demo/bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 376, in market_order
    market_limits = self.get_order_filter(symbol)
                    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 743, in get_order_filter
    self.get_order_filter_cache[symbol] = self.calls.get_order_filter(symbol)
                                          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/binance/binance_interface.py", line 1021, in get_order_filter
    multiplier_up = float(filters[filter_mapping['PERCENT_PRICE_BY_SIDE']]["bidMultiplierUp"])
                          ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~^^^^^^^^^^^^^^^^^^^
KeyError: 'bidMultiplierUp'
Traceback (most recent call last):
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/frameworks/strategy/strategy.py", line 127, in rest_event
    callback(*args)
  File "/user/code/blankly-demo/bot.py", line 14, in price_event
    state.interface.market_order(symbol, side='buy', size=buy)
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 376, in market_order
    market_limits = self.get_order_filter(symbol)
                    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/paper_trade/paper_trade_interface.py", line 743, in get_order_filter
    self.get_order_filter_cache[symbol] = self.calls.get_order_filter(symbol)
                                          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/user/code/blankly-demo/.venv/lib/python3.11/site-packages/blankly/exchanges/interfaces/binance/binance_interface.py", line 1021, in get_order_filter
    multiplier_up = float(filters[filter_mapping['PERCENT_PRICE_BY_SIDE']]["bidMultiplierUp"])
                          ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~^^^^^^^^^^^^^^^^^^^
KeyError: 'bidMultiplierUp'
Progress: [##########] 100% Done...

Platform Info

Additional context Add any other context about the problem here.

StayFoolisj commented 11 months ago

I just recreated my virtualenv with Python 3.10.6 and 3.9.6 as I see you haven't tested blankly against 3.11, but same thing happened there.

EmersonDove commented 11 months ago

Binance is always changing their binance internation order filter sorry about that - being american I can only test against the binance us.

Let me update the way we're parsing the binance response which should fix this.

EmersonDove commented 11 months ago

Should be fixed

Try updating to v1.18.25 via pip install --upgrade blankly