Newbie questions

ntisithoj

Hello all, I am giving Jesse a spin for the first time. I have successfully written some strategies and jupyter indicators, but I can not figure out why I am getting the following error messages when I run. All the strategies used here are from git@github.com:jesse-ai/example-strategies.git

jesse backtest 2021-01-01 2021-02-22 --json

Question 1)
It looks like Jesse is trying to sell before it buys? Is that the case? My config files defines that I have 10000 USDT and 0 BTC

'Binance': {
    'fee': 0.001,

    # backtest mode only: accepted are 'spot' and 'futures'
    'type': 'spot',

    # futures mode only
    'settlement_currency': 'USDT',
    # accepted values are: 'cross' and 'isolated'
    'futures_leverage_mode': 'cross',
    # 1x, 2x, 10x, 50x, etc. Enter as integers
    'futures_leverage': 1,

    # used for spot exchange only
    'assets': [
        {'asset': 'USDT', 'balance': 10_000},
        {'asset': 'BTC', 'balance': 0.0},
    ],
},

CANDLES              |
----------------------+--------------------------
 period               |    52 days (1.73 months)
 starting-ending date | 2021-01-01 => 2021-02-22


 exchange   | symbol   | timeframe   | strategy     | DNA
------------+----------+-------------+--------------+-------
 Binance    | BTC-USDT | 1m          | SMACrossover |


============================== EXCEPTION TRACEBACK:
  File "/usr/sbin/jesse", line 33, in <module>
    sys.exit(load_entry_point('jesse==0.19.2', 'console_scripts', 'jesse')())
  File "/usr/lib/python3.9/site-packages/click/core.py", line 829, in __call__
    return self.main(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 782, in main
    rv = self.invoke(ctx)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1259, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1066, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 610, in invoke
    return callback(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/__init__.py", line 316, in backtest
    backtest_mode.run(start_date, finish_date, chart=chart, tradingview=tradingview, csv=csv,
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/modes/backtest_mode/__init__.py", line 62, in run
    simulator(candles)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/modes/backtest_mode/__init__.py", line 276, in simulator
    store.orders.execute_pending_market_orders()
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/store/state_orders.py", line 68, in execute_pending_market_orders
    o.execute()
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/Order.py", line 167, in execute
    e.on_order_execution(self)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/SpotExchange.py", line 91, in on_order_execution
    self.on_order_submission(order, skip_market_order=False)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/SpotExchange.py", line 61, in on_order_submission
    raise NegativeBalance(
=========================================================================

 Uncaught Exception: NegativeBalance: Balance cannot go below zero in spot market. Available capital at Binance for BTC is 0.0 but you're trying to sell 0.344

Question 2) Same config/strategy as above, but "futures" instead of "spot". Why is Jesse a) trying to spend more money than I have, and b) why do I have a negative margin balance?

 CANDLES              |
----------------------+--------------------------
 period               |    52 days (1.73 months)
 starting-ending date | 2021-01-01 => 2021-02-22


 exchange   | symbol   | timeframe   | strategy     | DNA
------------+----------+-------------+--------------+-------
 Binance    | BTC-USDT | 1m          | SMACrossover |


============================== EXCEPTION TRACEBACK:
  File "/usr/sbin/jesse", line 33, in <module>
    sys.exit(load_entry_point('jesse==0.19.2', 'console_scripts', 'jesse')())
  File "/usr/lib/python3.9/site-packages/click/core.py", line 829, in __call__
    return self.main(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 782, in main
    rv = self.invoke(ctx)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1259, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1066, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 610, in invoke
    return callback(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/__init__.py", line 316, in backtest
    backtest_mode.run(start_date, finish_date, chart=chart, tradingview=tradingview, csv=csv,
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/modes/backtest_mode/__init__.py", line 62, in run
    simulator(candles)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/modes/backtest_mode/__init__.py", line 267, in simulator
    r.strategy._execute()
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/strategies/Strategy.py", line 865, in _execute
    self._check()
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/strategies/Strategy.py", line 647, in _check
    self._update_position()
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/strategies/Strategy.py", line 430, in _update_position
    self._detect_and_handle_entry_and_exit_modifications()
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/strategies/Strategy.py", line 584, in _detect_and_handle_entry_and_exit_modifications
    self.broker.buy_at_market(o[0], role=order_roles.CLOSE_POSITION)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/services/broker.py", line 61, in buy_at_market
    return self.api.market_order(
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/services/api.py", line 28, in market_order
    return self.drivers[exchange].market_order(symbol, qty, current_price, side, role, flags)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/exchanges/sandbox/Sandbox.py", line 27, in market_order
    order = Order({
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/Order.py", line 64, in __init__
    e.on_order_submission(self)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/FuturesExchange.py", line 121, in on_order_submission
    raise InsufficientMargin('You cannot submit an order for ${} when your margin balance is ${}'.format(
=========================================================================

 Uncaught Exception: InsufficientMargin: You cannot submit an order for 
$10080 when your margin balance is $-207

I also get this message if I have a large balance on both side (BTC and USDT)

Question 3)
If I add some BTC to my balance and switch to 'spot', The backtest actually makes to 100%, but then dumps with the message

CANDLES              |
----------------------+--------------------------
 period               |    52 days (1.73 months)
 starting-ending date | 2021-01-01 => 2021-02-22


 exchange   | symbol   | timeframe   | strategy     | DNA
------------+----------+-------------+--------------+-------
 Binance    | BTC-USDT | 1m          | SMACrossover |


Executing simulation...  [####################################]  100%          
Executed backtest simulation in:  7.06 seconds
============================== EXCEPTION TRACEBACK:
  File "/usr/sbin/jesse", line 33, in <module>
    sys.exit(load_entry_point('jesse==0.19.2', 'console_scripts', 'jesse')())
  File "/usr/lib/python3.9/site-packages/click/core.py", line 829, in __call__
    return self.main(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 782, in main
    rv = self.invoke(ctx)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1259, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1066, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 610, in invoke
    return callback(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/__init__.py", line 316, in backtest
    backtest_mode.run(start_date, finish_date, chart=chart, tradingview=tradingview, csv=csv,
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/modes/backtest_mode/__init__.py", line 62, in run
    simulator(candles)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/modes/backtest_mode/__init__.py", line 290, in simulator
    r.strategy._terminate()
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/strategies/Strategy.py", line 898, in _terminate
    round(self.position.pnl_percentage, 2)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/Position.py", line 72, in pnl_percentage
    return self.roi
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/Position.py", line 80, in roi
    return self.pnl / self.total_cost * 100
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/models/Position.py", line 90, in total_cost
    return self.entry_price * abs(self.qty) / self.exchange.futures_leverage
=========================================================================

 Uncaught Exception: AttributeError: 'SpotExchange' object has no attribute 'futures_leverage'

But this appears not to be so, as seen in the config below, but why does the spot want a "futures mode only" attribute?

'Binance': {
    'fee': 0.001,

    # backtest mode only: accepted are 'spot' and 'futures'
    'type': 'spot',

    # futures mode only
    'settlement_currency': 'USDT',
    # accepted values are: 'cross' and 'isolated'
    'futures_leverage_mode': 'cross',
    # 1x, 2x, 10x, 50x, etc. Enter as integers
    'futures_leverage': 1,

    # used for spot exchange only
    'assets': [
        {'asset': 'USDT', 'balance': 10_000},
        {'asset': 'BTC', 'balance': 100.0},
    ],
},

However, if I switch to another strategy, such as RSI2, I get a totally different error message. Unfortunately, none of these error messages give any clues as to where the problem actually lies.

CANDLES              |
----------------------+--------------------------
 period               |    52 days (1.73 months)
 starting-ending date | 2021-01-01 => 2021-02-22


 exchange   | symbol   | timeframe   | strategy   | DNA
------------+----------+-------------+------------+-------
 Binance    | BTC-USDT | 4h          | RSI2       |


Executing simulation...  [####################################]  100%          
Executed backtest simulation in:  4.25 seconds


 METRICS                         |
---------------------------------+----------------------------------------
 Total Closed Trades             |                                     11
 Total Net Profit                |                    1,082.3069 (10.82%)
 Starting => Finishing Balance   |                    10,000 => 11,082.31
 Total Open Trades               |                                      0
 Open PL                         |                                      0
 Total Paid Fees                 |                                  227.6
 Max Drawdown                    |                                -104.3%
 Annual Return                   |                                102.94%
 Expectancy                      |                          98.39 (0.98%)
 Avg Win | Avg Loss              |                        242.86 | 286.85
 Ratio Avg Win / Avg Loss        |                                   0.85
 Percent Profitable              |                                    73%
 Longs | Shorts                  |                              82% | 18%
 Avg Holding Time                | 14.0 hours, 10.0 minutes, 54.0 seconds
 Winning Trades Avg Holding Time |                             12.0 hours
 Losing Trades Avg Holding Time  |                             20.0 hours
 Sharpe Ratio                    |                                  -2.63
 Market Change                   |                                 98.22%


============================== EXCEPTION TRACEBACK:
  File "/usr/sbin/jesse", line 33, in <module>
    sys.exit(load_entry_point('jesse==0.19.2', 'console_scripts', 'jesse')())
  File "/usr/lib/python3.9/site-packages/click/core.py", line 829, in __call__
    return self.main(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 782, in main
    rv = self.invoke(ctx)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1259, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/usr/lib/python3.9/site-packages/click/core.py", line 1066, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/usr/lib/python3.9/site-packages/click/core.py", line 610, in invoke
    return callback(*args, **kwargs)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/__init__.py", line 316, in backtest
    backtest_mode.run(start_date, finish_date, chart=chart, tradingview=tradingview, csv=csv,
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/modes/backtest_mode/__init__.py", line 98, in run
    store_logs(json, tradingview, csv)
  File "/usr/lib/python3.9/site-packages/jesse-0.19.2-py3.9.egg/jesse/services/file.py", line 26, in store_logs
    json.dump(trades_json, outfile)
  File "/usr/lib/python3.9/json/__init__.py", line 179, in dump
    for chunk in iterable:
  File "/usr/lib/python3.9/json/encoder.py", line 431, in _iterencode
    yield from _iterencode_dict(o, _current_indent_level)
  File "/usr/lib/python3.9/json/encoder.py", line 405, in _iterencode_dict
    yield from chunks
  File "/usr/lib/python3.9/json/encoder.py", line 325, in _iterencode_list
    yield from chunks
  File "/usr/lib/python3.9/json/encoder.py", line 405, in _iterencode_dict
    yield from chunks
  File "/usr/lib/python3.9/json/encoder.py", line 325, in _iterencode_list
    yield from chunks
  File "/usr/lib/python3.9/json/encoder.py", line 405, in _iterencode_dict
    yield from chunks
  File "/usr/lib/python3.9/json/encoder.py", line 438, in _iterencode
    o = _default(o)
  File "/usr/lib/python3.9/json/encoder.py", line 179, in default
    raise TypeError(f'Object of type {o.__class__.__name__} '
=========================================================================

 Uncaught Exception: TypeError: Object of type set is not JSON serializable

Question 4)
Does Jesse actually submit an order to my exchange? Because I can't see where to add my API keys.

Thank for any feedback

vH11NRu2HR

+1 as I'm having these exact same issues with the latest release.

Gabri

Maybe you can join the discord channel, errors like these has already discussed in it: https://discord.gg/nztUFbMnF5