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before_trading_start timeout of 5 mins is not behaving correctly in backtester
Chidambaram Periakaruppan
posted

From what I can see in backtesting, pipeline appears to batch multiple days of factor calculations and if the arbitrary batching breaches the before_trading_start timeout of 5 mins the whole thing fails. I wish there was a way for us to control how the batching gets done as even if we are sure that one day of factor calculations only takes say 100secs because of the arbitrary batching we seem to get seemingly random timeouts.

The example below pipeline manages to batch from compute jobs for 2017-01-03 to 2017-01-10 and piepline itself took 246s so about 40s per day but the next time it needs to batch from 2017-01-11 onwards it fails because I think it it trying to batch too many days.

2017-01-03 21:45 before_trading_start:1086 INFO started running pipeline on 2017-01-03 08:45:00-05:00
2017-01-03 21:45 compute:482 INFO weekday 2017-01-03 00:00:00+00:00 1
2017-01-03 21:45 compute:484 INFO 2017-01-03 00:00:00+00:00
2017-01-03 21:45 compute:489 INFO Training took 1.717320 secs
2017-01-03 21:45 compute:482 INFO weekday 2017-01-04 00:00:00+00:00 2
2017-01-03 21:45 compute:484 INFO 2017-01-04 00:00:00+00:00
2017-01-03 21:45 compute:489 INFO Training took 1.708877 secs
2017-01-03 21:45 compute:482 INFO weekday 2017-01-05 00:00:00+00:00 3
2017-01-03 21:45 compute:484 INFO 2017-01-05 00:00:00+00:00
2017-01-03 21:45 compute:489 INFO Training took 1.675035 secs
2017-01-03 21:45 compute:482 INFO weekday 2017-01-06 00:00:00+00:00 4
2017-01-03 21:45 compute:484 INFO 2017-01-06 00:00:00+00:00
2017-01-03 21:45 compute:489 INFO Training took 1.717600 secs
2017-01-03 21:45 compute:482 INFO weekday 2017-01-09 00:00:00+00:00 0
2017-01-03 21:45 compute:484 INFO 2017-01-09 00:00:00+00:00
2017-01-03 21:45 compute:489 INFO Training took 1.901481 secs
2017-01-03 21:45 compute:482 INFO weekday 2017-01-10 00:00:00+00:00 1
2017-01-03 21:45 compute:484 INFO 2017-01-10 00:00:00+00:00
2017-01-03 21:45 compute:489 INFO Training took 1.795630 secs
2017-01-03 21:45 before_trading_start:1089 INFO Time to run pipeline 246.63 secs
2017-01-03 21:45 before_trading_start:1124 DEBUG Number of secruities to be considered: 200
2017-01-03 21:45 get_best_portfolio:1052 INFO one good optimization done
2017-01-03 21:45 WARN sklearn/cross_validation.py:417: Warning: The least populated class in y has only 1 members, which is too few. The minimum number of labels for any class cannot be less than n_folds=3.
2017-01-03 21:45 WARN sklearn/cross_validation.py:417: Warning: The least populated class in y has only 2 members, which is too few. The minimum number of labels for any class cannot be less than n_folds=3.
2017-01-03 21:45 WARN Logging limit exceeded; some messages discarded
2017-01-04 21:45 before_trading_start:1086 INFO started running pipeline on 2017-01-04 08:45:00-05:00
2017-01-04 21:45 before_trading_start:1089 INFO Time to run pipeline 0.00 secs
2017-01-04 21:45 before_trading_start:1124 DEBUG Number of secruities to be considered: 200
2017-01-04 21:45 get_best_portfolio:1052 INFO one good optimization done
2017-01-04 21:45 before_trading_start:1151 INFO Time to run optimizer 33.54 secs
2017-01-04 21:45 before_trading_start:1156 INFO total weight: 1.0, total abs weight: 2.0, maxweight : 0.005, -0.005
2017-01-05 21:45 before_trading_start:1086 INFO started running pipeline on 2017-01-05 08:45:00-05:00
2017-01-05 21:45 before_trading_start:1089 INFO Time to run pipeline 0.00 secs
2017-01-05 21:45 before_trading_start:1124 DEBUG Number of secruities to be considered: 200
2017-01-05 21:45 get_best_portfolio:1052 INFO one good optimization done
2017-01-05 21:45 before_trading_start:1151 INFO Time to run optimizer 30.15 secs
2017-01-05 21:45 before_trading_start:1156 INFO total weight: 1.0, total abs weight: 2.0, maxweight : 0.005, -0.005
2017-01-06 21:45 before_trading_start:1086 INFO started running pipeline on 2017-01-06 08:45:00-05:00
2017-01-06 21:45 before_trading_start:1089 INFO Time to run pipeline 0.00 secs
2017-01-06 21:45 before_trading_start:1124 DEBUG Number of secruities to be considered: 200
2017-01-06 21:45 get_best_portfolio:1052 INFO one good optimization done
2017-01-06 21:45 before_trading_start:1151 INFO Time to run optimizer 29.93 secs
2017-01-06 21:45 before_trading_start:1156 INFO total weight: 1.0, total abs weight: 1.99999999999, maxweight : 0.005, -0.00499999999999
2017-01-09 21:45 before_trading_start:1086 INFO started running pipeline on 2017-01-09 08:45:00-05:00
2017-01-09 21:45 before_trading_start:1089 INFO Time to run pipeline 0.00 secs
2017-01-09 21:45 before_trading_start:1124 DEBUG Number of secruities to be considered: 200
2017-01-09 21:45 get_best_portfolio:1052 INFO one good optimization done
2017-01-09 21:45 before_trading_start:1151 INFO Time to run optimizer 32.78 secs
2017-01-09 21:45 before_trading_start:1156 INFO total weight: 1.0, total abs weight: 2.0, maxweight : 0.005, -0.005
2017-01-10 21:45 before_trading_start:1086 INFO started running pipeline on 2017-01-10 08:45:00-05:00
2017-01-10 21:45 before_trading_start:1089 INFO Time to run pipeline 0.00 secs
2017-01-10 21:45 before_trading_start:1124 DEBUG Number of secruities to be considered: 200
2017-01-10 21:45 get_best_portfolio:1052 INFO one good optimization done
2017-01-10 21:45 before_trading_start:1151 INFO Time to run optimizer 30.61 secs
2017-01-10 21:45 before_trading_start:1156 INFO total weight: 1.0, total abs weight: 1.99999999998, maxweight : 0.00499999999998, -0.00499999999997
2017-01-11 21:45 before_trading_start:1086 INFO started running pipeline on 2017-01-11 08:45:00-05:00
End of logs.

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