Error: TimeoutException: Too much time spent in handle

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Error: TimeoutException: Too much time spent in handle_data call

Youness AJ

edited

Hi everyone,

Whenever I try to backtest my algorithm in the minute mode I get this error

TypeError: Too much time spent in handle_data call.

Any help would be appreciated. Thanks!

import pandas

def initialize(context):  
    set_universe(universe.DollarVolumeUniverse(95, 100))  
    context.size = (context.portfolio.cash / 10)  
    #context.shorts =  context.size * 0.5  
    #context.longs =  context.size * 0.5  
    context.shorts = []  
    context.shorting= True  
    #set_do_not_order_list(security_lists.leveraged_etf_list)  
    #schedule_function(logic,date_rules.every_day(),time_rules.market_open(hours=0, minutes=1))

def handle_data(context, data):  

    high = history(252, "1d", "high")  
    low = history(252, "1d", "low")  
    rolling_max = pandas.stats.moments.rolling_max(high,251)  
    rolling_min = pandas.stats.moments.rolling_min(low,251)  

    for s in data:  
        price = data[s].price  
        pmin = rolling_min[s][-2]  
        pmax = rolling_max[s][-2]  
        ma5 = data[s].mavg(14)  
        ma10 = data[s].mavg(30)  
        ma50 = data[s].mavg(100)  
        ma200 = data[s].mavg(200)    

        current_position = context.portfolio.positions[s].amount  
        price = data[s].price  
        if  (price > pmax) and (current_position == 0) and (ma10 > ma50) and (ma50 > ma200)  :  
             if not get_open_orders():  
                 order_target_value(s, context.size )  
                 log.info("LONG " + str(s.symbol))  

        elif (price < ma5) and (current_position != 0) and s not in context.shorts :  
            order_target_value(s, 0)  
            log.info("sell " + str(s.symbol))  

        if context.shorting:  
            if (price < pmin) and (current_position == 0) and (ma10 < ma50) and (ma50 < ma200) :  
               # if s not in context.fundamentals:  
                if not get_open_orders() :  
                    order_target_value(s, -context.size )  
                    context.shorts.append(s)  
                    log.info("short " + str(s.symbol))  
            elif (price > ma5) and (current_position != 0) and s in context.shorts :  
                order_target_value(s, 0)  
                log.info("recover " + str(s.symbol))  
                context.shorts.remove(s)  
    record('Leverage',context.account.leverage)

4 responses

Youness AJ

has anyone encountered the same situation ?

Alisa Deychman

The .mavg() calculation is computationally slow and the most likely culprit for the timeout. You can use pandas' mean function instead to get the values:

prices_200 = history(200, '1d', 'price')   # gets the trailing 200 EOD prices for all stocks in algo  
prices_100 = prices_200[-100:]   # grab the last 100 prices  
prices_30 = prices_200[-30:]   # grab the last 30 prices  
prices_14= prices_200[-14:]   # grab the last 14 prices

for s in data:  
       price = data[s].price  
       pmin = rolling_min[s][-2]  
       pmax = rolling_max[s][-2]  
       ma14 = prices_14[s].mean()  
       ma30 = prices_30[s].mean()  
       ma100 = prices_100[s].mean()  
       ma200 = prices_200[s].mean()

For more info on indexing into the dataframe, take a look at the pandas documentation: http://pandas.pydata.org/pandas-docs/stable/indexing.html

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Blue Seahawk

As above. Also ...

Timing code for help with such things.

2015-02-02 timing:127 INFO Timing by highs descending:  
2015-02-02 timing:129 INFO avg 0.003677 lo 0.000431  hi 11.850341  mavg  
2015-02-02 timing:129 INFO avg 0.000080 lo 0.000053  hi 0.110973  other  
2015-02-02 timing:129 INFO avg 0.000252 lo 0.000213  hi 0.110847  roll2  
2015-02-02 timing:129 INFO avg 0.001168 lo 0.001112  hi 0.002116  roll1

And something like DollarVolumeUniverse(99.8, 100) or symbols('TSLA', 'AAPL') will provide for a chance to at least run.

Youness AJ

Thank you Alisa & garyha.

the algo works fine in the daily mode, but not in the minute mode. the minute mode uses too much leverage

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