An Analysis of the Financial Market: Inflation and the Efficient Market Hypothesis¶

Author: Quan Anh Nguyen

Course Project, UC Irvine, Math 10, S22

Introduction¶

In this project, using the available data on prices and the financial market, I attempt to examine the relationship between inflation and the financial market. The S&P500(SPY) index is used as the representation for the financial market. In addition, I examine the profitability of a simple trading strategy using pyalgotrade library for backtesting and the S&P500 data from yfinance.

Main portion of the project¶

Section 1: Data Cleaning¶

import  pandas as pd, numpy as np

CPIAUCSL.csv is the file contain CPI(Consumer Price Index) data

df_temp1=pd.read_csv("CPIAUCSL.csv")

#Renaming columns for convenience purposes
df_temp1.rename(columns={"DATE":"Date","CPIAUCSL":"CPI"},inplace=True)

The following code is used to calculate inflation from the CPI data. Inflation is calculated by measuring the percentage difference of CPI in 12 months.(e.g. the rate of inflation for May 2019 is the percentage difference in CPI between May 2018 and May 2019)

year=[x[:4] for x in df_temp1.Date if x[4:]=="-01-01"]
df_temp1["inflation"]=0
for x in df_temp1.index[12:]:
    i=(df_temp1.loc[x,"CPI"]-df_temp1.loc[x-12,"CPI"])/df_temp1.loc[x-12,"CPI"]
    df_temp1.loc[x,"inflation"]=i

The file SPY (3).csv contains the pricing information of S&P500 (SPY) index

df_temp2=pd.read_csv("SPY (3).csv")

The following code is used to merge two data frames containing the inflation and the pricing information of the S&P500 index. The date data is converted into pandas datetime value in order to be sorted for convenience purpose.

df=df_temp1.merge(df_temp2,how="outer",on="Date")
df["Date"]=pd.to_datetime(df["Date"])
df.sort_values(by="Date",ascending=True,inplace=True)

The following code attempt to drop the rows which have the date before the earliest date in S&P500 index data.

df.drop([x for x in df.index if df.loc[x,"Date"].year<int(df_temp2.loc[0,"Date"][:4])],inplace=True)

Since the main purpose of this project is the inflation rate, CPI serves no purpose other than the data to calculate inflation. Thus, the CPI column is dropped with the following code.

df.drop(columns="CPI",inplace=True)

Since the inflation rate changes very gradually and is usually assumed to be constant in a short period of time such as a month. The following code is used to fill the missing values in the inflation columns with the inflation at beginning of each month.

df["inflation"].fillna(method="ffill",inplace=True)
df.dropna(inplace=True)

#Convert inflation into percentage
df.inflation= df.inflation.map(lambda x:100*x)

Section 2: The Relationship between Inflation and the Financial Market¶

from sklearn.linear_model import LinearRegression

from sklearn.pipeline import Pipeline
from sklearn.preprocessing import PolynomialFeatures, StandardScaler
from sklearn.metrics import mean_absolute_error

The following code instatiate a pipe with Polynomial Feature of degree 10 and Linear Regression

pipe=Pipeline(
    [
        ('poly',PolynomialFeatures(degree=10)),
        ('reg',LinearRegression())
    ]
)

pipe.fit(df[["inflation"]],df["Adj Close"])

Pipeline(steps=[('poly', PolynomialFeatures(degree=10)),
                ('reg', LinearRegression())])

df["Pred"]=pipe.predict(df[["inflation"]])

import altair as alt

In the following graph the red line is the predicted data using inflation and the blue line is the true data. As observed from the graph, SPY is extremely volatile. Even though the Polynomial Feature is set to degree 10 which have a lot of flexibility, the model did not do a good job at predicting the actual data
This graph is the evidence that the relationship between inflation and the financial market is very little to none.

c=alt.Chart(df.sample(2000)).mark_line().encode(
    x="Date",
    y="Adj Close"
)
c1=alt.Chart(df.sample(2000)).mark_line(color="red").encode(
    x="Date",
    y="Pred"
)
c+c1

The following high mean abosolute error confirms the conclusion that the relationship between inflation and the financial market is very little to none.

mean_absolute_error(df[["Pred"]],df["Adj Close"])

57.1608405516909

The following function takes the input a column name and creates a new column with the data from the original column scaled by StandardScaler.

def Std(x):
    std2=StandardScaler()
    std2.fit(df[[x]])
    df["Std " + x]= std2.transform(df[[x]])

cols=["inflation",'Adj Close']

The following code applies the above function the inflation and Adj Close column.

for x in cols:
    Std(x)

#The resulting DataFrame
df

	Date	inflation	Open	High	Low	Close	Adj Close	Volume	Pred	Std inflation	Std Adj Close
904	1999-01-04	1.666667	123.375000	125.218750	121.718750	123.031250	80.810333	9450400.0	163.036271	-0.438319	-0.738027
905	1999-01-05	1.666667	122.937500	124.875000	122.937500	124.437500	81.733994	8031000.0	163.036271	-0.438319	-0.728563
906	1999-01-06	1.666667	125.812500	127.750000	125.750000	127.437500	83.704468	7737700.0	163.036271	-0.438319	-0.708374
907	1999-01-07	1.666667	126.375000	127.218750	125.781250	126.812500	83.293930	5504900.0	163.036271	-0.438319	-0.712580
908	1999-01-08	1.666667	128.187500	128.500000	125.968750	127.750000	83.909737	6224400.0	163.036271	-0.438319	-0.706270
...	...	...	...	...	...	...	...	...	...	...	...
6587	2022-04-22	8.224139	436.910004	438.079987	425.440002	426.040009	426.040009	132471800.0	468.229548	3.928911	2.799174
6588	2022-04-25	8.224139	423.670013	428.690002	418.839996	428.510010	428.510010	119647700.0	468.229548	3.928911	2.824481
6589	2022-04-26	8.224139	425.829987	426.040009	416.070007	416.100006	416.100006	103996300.0	468.229548	3.928911	2.697329
6590	2022-04-27	8.224139	417.239990	422.920013	415.010010	417.269989	417.269989	122030000.0	468.229548	3.928911	2.709317
6591	2022-04-28	8.224139	422.290009	429.640015	417.600006	427.809998	427.809998	105449100.0	468.229548	3.928911	2.817309

5869 rows × 11 columns

Although from the above analysis, there is very little to no relationship between inflation and the financial market, in the following graph there are something quite interesting.
During the period of 2008-2009, when there was huge drop in the inflation rate, the financial market also followed with a huge drop. The same observation can be made in the year 2020.
These periods are special as there was a financial crisis in 2008-2009 and the covid pandemic in 2020.
Although a statistical evidence cannot be provided, I suspect the huge drop in inflation could be seen as a signal for a time of uncertainty which caused investors to pull capital out of the financial market.

c2=alt.Chart(df.sample(2000)).mark_line().encode(
    x="Date",
    y="Std inflation",
    tooltip="inflation"
)
c3=alt.Chart(df.sample(2000)).mark_line(color="red").encode(
    x="Date",
    y="Std Adj Close",
    tooltip="Adj Close"
)
c2+c3

Section 3: Back Testing¶

from pyalgotrade import strategy
from pyalgotrade.barfeed import yahoofeed

import yfinance as yf

YahooFinance is used as the source for data.
The following code downloads the pricing information of S&P500 for the period between 2000 and the end of 2019 from YahooFinance.

data=yf.download("SPY",start="2000-01-01", end="2020-01-01")

[*********************100%***********************]  1 of 1 completed

#Convert data to a csv file
data.to_csv("spy.csv")

#Instantiate and add data
feed=yahoofeed.Feed()
feed.addBarsFromCSV("spy","spy.csv") #Provide the path and instrument name

The following code defines the strategy which is called EfficientMarket that will be used for backtesting. The strategy is to use all of the cash balance to buy shares of SPY on the very first day at closing price and hold them until the last day of the period.
Define the _init_ and onBars function which are used to intialize the atrributes of the object(e.g. instrument name) and feed the data into the strategy
This strategy follows the Efficient Market hypothesis which states information availability is immidiate and equal to everyone(i.e. the share price at all time reflects all the available information). Thus, it is impossible to profit from arbitrage and beat the market.
Certainly, this hypothesis is rather imperfect and cannot hold true at all time. However, it is important to attempt to analyze the return if following this hypothesis (i.e. buy and hold the market portfolio) as many investors do no have the capacity to obtain information before others to make profitable trade(e.g. arbitrage).

class EfficientMarket(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument):
        super(EfficientMarket, self).__init__(feed)
        self.instrument = instrument
        self.setUseAdjustedValues(True) #Using adjusted value instead of the actual value
        self.position=None #Starting off with 0 share

    def onBars(self, bars):
        bar = bars[self.instrument]
        self.info(bar.getAdjClose())
        if self.position is None:
            close=bar.getClose() #the closing price on each day
            broker=self.getBroker() #Instantiate
            cash=broker.getCash() #The starting amount of cash
            quantity=cash/close #The number of shares to buy
            self.enterLong(self.instrument,quantity) #Enter long position(i.e. buy shares)

Provide the strategy with pre-defined feed and the instrument name spy.

strategy=EfficientMarket(feed,"spy")
strategy.run()

2018-01-05 00:00:00 strategy [INFO] 254.31854248046875
2018-01-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4532] for 0 share/s
2018-01-08 00:00:00 strategy [INFO] 254.78363037109375
2018-01-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4533] for 0 share/s
2018-01-09 00:00:00 strategy [INFO] 255.36036682128906
2018-01-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4534] for 0 share/s
2018-01-10 00:00:00 strategy [INFO] 254.9696044921875
2018-01-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4535] for 0 share/s
2018-01-11 00:00:00 strategy [INFO] 256.8298645019531
2018-01-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4536] for 0 share/s
2018-01-12 00:00:00 strategy [INFO] 258.5041809082031
2018-01-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4537] for 0 share/s
2018-01-16 00:00:00 strategy [INFO] 257.6205139160156
2018-01-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4538] for 0 share/s
2018-01-17 00:00:00 strategy [INFO] 260.0760803222656
2018-01-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4539] for 0 share/s
2018-01-18 00:00:00 strategy [INFO] 259.638916015625
2018-01-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4540] for 0 share/s
2018-01-19 00:00:00 strategy [INFO] 260.8202209472656
2018-01-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4541] for 0 share/s
2018-01-22 00:00:00 strategy [INFO] 262.94091796875
2018-01-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4542] for 0 share/s
2018-01-23 00:00:00 strategy [INFO] 263.4989929199219
2018-01-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4543] for 0 share/s
2018-01-24 00:00:00 strategy [INFO] 263.3966064453125
2018-01-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4544] for 0 share/s
2018-01-25 00:00:00 strategy [INFO] 263.5082702636719
2018-01-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4545] for 0 share/s
2018-01-26 00:00:00 strategy [INFO] 266.5591735839844
2018-01-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4546] for 0 share/s
2018-01-29 00:00:00 strategy [INFO] 264.7918701171875
2018-01-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4547] for 0 share/s
2018-01-30 00:00:00 strategy [INFO] 262.0758972167969
2018-01-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4548] for 0 share/s
2018-01-31 00:00:00 strategy [INFO] 262.2060852050781
2018-02-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4549] for 0 share/s
2018-02-01 00:00:00 strategy [INFO] 261.908447265625
2018-02-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4550] for 0 share/s
2018-02-02 00:00:00 strategy [INFO] 256.20672607421875
2018-02-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4551] for 0 share/s
2018-02-05 00:00:00 strategy [INFO] 245.49148559570312
2018-02-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4552] for 0 share/s
2018-02-06 00:00:00 strategy [INFO] 250.3282928466797
2018-02-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4553] for 0 share/s
2018-02-07 00:00:00 strategy [INFO] 248.97021484375
2018-02-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4554] for 0 share/s
2018-02-08 00:00:00 strategy [INFO] 239.63162231445312
2018-02-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4555] for 0 share/s
2018-02-09 00:00:00 strategy [INFO] 243.23130798339844
2018-02-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4556] for 0 share/s
2018-02-12 00:00:00 strategy [INFO] 246.8030242919922
2018-02-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4557] for 0 share/s
2018-02-13 00:00:00 strategy [INFO] 247.4169158935547
2018-02-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4558] for 0 share/s
2018-02-14 00:00:00 strategy [INFO] 250.75604248046875
2018-02-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4559] for 0 share/s
2018-02-15 00:00:00 strategy [INFO] 253.95571899414062
2018-02-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4560] for 0 share/s
2018-02-16 00:00:00 strategy [INFO] 254.0301971435547
2018-02-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4561] for 0 share/s
2018-02-20 00:00:00 strategy [INFO] 252.4396514892578
2018-02-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4562] for 0 share/s
2018-02-21 00:00:00 strategy [INFO] 251.18399047851562
2018-02-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4563] for 0 share/s
2018-02-22 00:00:00 strategy [INFO] 251.50950622558594
2018-02-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4564] for 0 share/s
2018-02-23 00:00:00 strategy [INFO] 255.5184326171875
2018-02-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4565] for 0 share/s
2018-02-26 00:00:00 strategy [INFO] 258.4855651855469
2018-02-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4566] for 0 share/s
2018-02-27 00:00:00 strategy [INFO] 255.25794982910156
2018-02-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4567] for 0 share/s
2018-02-28 00:00:00 strategy [INFO] 252.6721649169922
2018-03-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4568] for 0 share/s
2018-03-01 00:00:00 strategy [INFO] 248.99813842773438
2018-03-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4569] for 0 share/s
2018-03-02 00:00:00 strategy [INFO] 250.2816925048828
2018-03-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4570] for 0 share/s
2018-03-05 00:00:00 strategy [INFO] 253.17446899414062
2018-03-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4571] for 0 share/s
2018-03-06 00:00:00 strategy [INFO] 253.81626892089844
2018-03-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4572] for 0 share/s
2018-03-07 00:00:00 strategy [INFO] 253.7232208251953
2018-03-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4573] for 0 share/s
2018-03-08 00:00:00 strategy [INFO] 254.9510498046875
2018-03-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4574] for 0 share/s
2018-03-09 00:00:00 strategy [INFO] 259.3877868652344
2018-03-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4575] for 0 share/s
2018-03-12 00:00:00 strategy [INFO] 259.06219482421875
2018-03-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4576] for 0 share/s
2018-03-13 00:00:00 strategy [INFO] 257.38800048828125
2018-03-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4577] for 0 share/s
2018-03-14 00:00:00 strategy [INFO] 256.06719970703125
2018-03-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4578] for 0 share/s
2018-03-15 00:00:00 strategy [INFO] 255.78817749023438
2018-03-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4579] for 0 share/s
2018-03-16 00:00:00 strategy [INFO] 256.0655212402344
2018-03-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4580] for 0 share/s
2018-03-19 00:00:00 strategy [INFO] 252.6008758544922
2018-03-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4581] for 0 share/s
2018-03-20 00:00:00 strategy [INFO] 253.03045654296875
2018-03-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4582] for 0 share/s
2018-03-21 00:00:00 strategy [INFO] 252.54483032226562
2018-03-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4583] for 0 share/s
2018-03-22 00:00:00 strategy [INFO] 246.23194885253906
2018-03-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4584] for 0 share/s
2018-03-23 00:00:00 strategy [INFO] 240.9835968017578
2018-03-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4585] for 0 share/s
2018-03-26 00:00:00 strategy [INFO] 247.57667541503906
2018-03-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4586] for 0 share/s
2018-03-27 00:00:00 strategy [INFO] 243.36497497558594
2018-03-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4587] for 0 share/s
2018-03-28 00:00:00 strategy [INFO] 242.64588928222656
2018-03-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4588] for 0 share/s
2018-03-29 00:00:00 strategy [INFO] 245.74630737304688
2018-04-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4589] for 0 share/s
2018-04-02 00:00:00 strategy [INFO] 240.44198608398438
2018-04-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4590] for 0 share/s
2018-04-03 00:00:00 strategy [INFO] 243.52374267578125
2018-04-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4591] for 0 share/s
2018-04-04 00:00:00 strategy [INFO] 246.12918090820312
2018-04-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4592] for 0 share/s
2018-04-05 00:00:00 strategy [INFO] 248.07164001464844
2018-04-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4593] for 0 share/s
2018-04-06 00:00:00 strategy [INFO] 242.5431365966797
2018-04-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4594] for 0 share/s
2018-04-09 00:00:00 strategy [INFO] 243.73846435546875
2018-04-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4595] for 0 share/s
2018-04-10 00:00:00 strategy [INFO] 247.6140594482422
2018-04-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4596] for 0 share/s
2018-04-11 00:00:00 strategy [INFO] 246.31597900390625
2018-04-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4597] for 0 share/s
2018-04-12 00:00:00 strategy [INFO] 248.34246826171875
2018-04-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4598] for 0 share/s
2018-04-13 00:00:00 strategy [INFO] 247.6140594482422
2018-04-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4599] for 0 share/s
2018-04-16 00:00:00 strategy [INFO] 249.6498565673828
2018-04-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4600] for 0 share/s
2018-04-17 00:00:00 strategy [INFO] 252.32066345214844
2018-04-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4601] for 0 share/s
2018-04-18 00:00:00 strategy [INFO] 252.50747680664062
2018-04-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4602] for 0 share/s
2018-04-19 00:00:00 strategy [INFO] 251.1067352294922
2018-04-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4603] for 0 share/s
2018-04-20 00:00:00 strategy [INFO] 248.9774932861328
2018-04-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4604] for 0 share/s
2018-04-23 00:00:00 strategy [INFO] 248.94015502929688
2018-04-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4605] for 0 share/s
2018-04-24 00:00:00 strategy [INFO] 245.58753967285156
2018-04-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4606] for 0 share/s
2018-04-25 00:00:00 strategy [INFO] 246.19461059570312
2018-04-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4607] for 0 share/s
2018-04-26 00:00:00 strategy [INFO] 248.69735717773438
2018-04-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4608] for 0 share/s
2018-04-27 00:00:00 strategy [INFO] 248.9307403564453
2018-04-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4609] for 0 share/s
2018-04-30 00:00:00 strategy [INFO] 247.01638793945312
2018-05-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4610] for 0 share/s
2018-05-01 00:00:00 strategy [INFO] 247.45530700683594
2018-05-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4611] for 0 share/s
2018-05-02 00:00:00 strategy [INFO] 245.7930145263672
2018-05-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4612] for 0 share/s
2018-05-03 00:00:00 strategy [INFO] 245.25132751464844
2018-05-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4613] for 0 share/s
2018-05-04 00:00:00 strategy [INFO] 248.426513671875
2018-05-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4614] for 0 share/s
2018-05-07 00:00:00 strategy [INFO] 249.26699829101562
2018-05-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4615] for 0 share/s
2018-05-08 00:00:00 strategy [INFO] 249.26699829101562
2018-05-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4616] for 0 share/s
2018-05-09 00:00:00 strategy [INFO] 251.67633056640625
2018-05-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4617] for 0 share/s
2018-05-10 00:00:00 strategy [INFO] 254.0296630859375
2018-05-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4618] for 0 share/s
2018-05-11 00:00:00 strategy [INFO] 254.8047637939453
2018-05-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4619] for 0 share/s
2018-05-14 00:00:00 strategy [INFO] 254.9262237548828
2018-05-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4620] for 0 share/s
2018-05-15 00:00:00 strategy [INFO] 253.17051696777344
2018-05-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4621] for 0 share/s
2018-05-16 00:00:00 strategy [INFO] 254.23509216308594
2018-05-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4622] for 0 share/s
2018-05-17 00:00:00 strategy [INFO] 254.02035522460938
2018-05-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4623] for 0 share/s
2018-05-18 00:00:00 strategy [INFO] 253.38526916503906
2018-05-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4624] for 0 share/s
2018-05-21 00:00:00 strategy [INFO] 255.29039001464844
2018-05-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4625] for 0 share/s
2018-05-22 00:00:00 strategy [INFO] 254.58062744140625
2018-05-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4626] for 0 share/s
2018-05-23 00:00:00 strategy [INFO] 255.28106689453125
2018-05-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4627] for 0 share/s
2018-05-24 00:00:00 strategy [INFO] 254.75807189941406
2018-05-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4628] for 0 share/s
2018-05-25 00:00:00 strategy [INFO] 254.1510772705078
2018-05-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4629] for 0 share/s
2018-05-29 00:00:00 strategy [INFO] 251.2281036376953
2018-05-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4630] for 0 share/s
2018-05-30 00:00:00 strategy [INFO] 254.58062744140625
2018-05-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4631] for 0 share/s
2018-05-31 00:00:00 strategy [INFO] 253.0211181640625
2018-06-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4632] for 0 share/s
2018-06-01 00:00:00 strategy [INFO] 255.50518798828125
2018-06-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4633] for 0 share/s
2018-06-04 00:00:00 strategy [INFO] 256.7191467285156
2018-06-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4634] for 0 share/s
2018-06-05 00:00:00 strategy [INFO] 256.906005859375
2018-06-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4635] for 0 share/s
2018-06-06 00:00:00 strategy [INFO] 259.0538635253906
2018-06-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4636] for 0 share/s
2018-06-07 00:00:00 strategy [INFO] 259.0258483886719
2018-06-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4637] for 0 share/s
2018-06-08 00:00:00 strategy [INFO] 259.7916564941406
2018-06-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4638] for 0 share/s
2018-06-11 00:00:00 strategy [INFO] 260.13720703125
2018-06-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4639] for 0 share/s
2018-06-12 00:00:00 strategy [INFO] 260.4734191894531
2018-06-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4640] for 0 share/s
2018-06-13 00:00:00 strategy [INFO] 259.6421813964844
2018-06-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4641] for 0 share/s
2018-06-14 00:00:00 strategy [INFO] 260.2958984375
2018-06-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4642] for 0 share/s
2018-06-15 00:00:00 strategy [INFO] 259.9638671875
2018-06-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4643] for 0 share/s
2018-06-18 00:00:00 strategy [INFO] 259.4291076660156
2018-06-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4644] for 0 share/s
2018-06-19 00:00:00 strategy [INFO] 258.4347839355469
2018-06-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4645] for 0 share/s
2018-06-20 00:00:00 strategy [INFO] 258.87567138671875
2018-06-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4646] for 0 share/s
2018-06-21 00:00:00 strategy [INFO] 257.2528381347656
2018-06-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4647] for 0 share/s
2018-06-22 00:00:00 strategy [INFO] 257.72186279296875
2018-06-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4648] for 0 share/s
2018-06-25 00:00:00 strategy [INFO] 254.21353149414062
2018-06-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4649] for 0 share/s
2018-06-26 00:00:00 strategy [INFO] 254.7763671875
2018-06-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4650] for 0 share/s
2018-06-27 00:00:00 strategy [INFO] 252.66574096679688
2018-06-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4651] for 0 share/s
2018-06-28 00:00:00 strategy [INFO] 254.11036682128906
2018-06-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4652] for 0 share/s
2018-06-29 00:00:00 strategy [INFO] 254.47622680664062
2018-07-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4653] for 0 share/s
2018-07-02 00:00:00 strategy [INFO] 255.0203094482422
2018-07-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4654] for 0 share/s
2018-07-03 00:00:00 strategy [INFO] 254.1196746826172
2018-07-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4655] for 0 share/s
2018-07-05 00:00:00 strategy [INFO] 256.19287109375
2018-07-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4656] for 0 share/s
2018-07-06 00:00:00 strategy [INFO] 258.3597717285156
2018-07-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4657] for 0 share/s
2018-07-09 00:00:00 strategy [INFO] 260.6861572265625
2018-07-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4658] for 0 share/s
2018-07-10 00:00:00 strategy [INFO] 261.62420654296875
2018-07-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4659] for 0 share/s
2018-07-11 00:00:00 strategy [INFO] 259.7105407714844
2018-07-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4660] for 0 share/s
2018-07-12 00:00:00 strategy [INFO] 262.0650939941406
2018-07-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4661] for 0 share/s
2018-07-13 00:00:00 strategy [INFO] 262.2714538574219
2018-07-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4662] for 0 share/s
2018-07-16 00:00:00 strategy [INFO] 262.03692626953125
2018-07-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4663] for 0 share/s
2018-07-17 00:00:00 strategy [INFO] 263.0970153808594
2018-07-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4664] for 0 share/s
2018-07-18 00:00:00 strategy [INFO] 263.65045166015625
2018-07-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4665] for 0 share/s
2018-07-19 00:00:00 strategy [INFO] 262.65606689453125
2018-07-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4666] for 0 share/s
2018-07-20 00:00:00 strategy [INFO] 262.3559265136719
2018-07-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4667] for 0 share/s
2018-07-23 00:00:00 strategy [INFO] 262.84375
2018-07-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4668] for 0 share/s
2018-07-24 00:00:00 strategy [INFO] 264.16632080078125
2018-07-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4669] for 0 share/s
2018-07-25 00:00:00 strategy [INFO] 266.4176940917969
2018-07-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4670] for 0 share/s
2018-07-26 00:00:00 strategy [INFO] 265.7891845703125
2018-07-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4671] for 0 share/s
2018-07-27 00:00:00 strategy [INFO] 263.9880676269531
2018-07-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4672] for 0 share/s
2018-07-30 00:00:00 strategy [INFO] 262.6091613769531
2018-07-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4673] for 0 share/s
2018-07-31 00:00:00 strategy [INFO] 263.9036865234375
2018-08-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4674] for 0 share/s
2018-08-01 00:00:00 strategy [INFO] 263.4627380371094
2018-08-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4675] for 0 share/s
2018-08-02 00:00:00 strategy [INFO] 264.89801025390625
2018-08-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4676] for 0 share/s
2018-08-03 00:00:00 strategy [INFO] 266.0330810546875
2018-08-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4677] for 0 share/s
2018-08-06 00:00:00 strategy [INFO] 267.0086364746094
2018-08-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4678] for 0 share/s
2018-08-07 00:00:00 strategy [INFO] 267.8904113769531
2018-08-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4679] for 0 share/s
2018-08-08 00:00:00 strategy [INFO] 267.7778625488281
2018-08-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4680] for 0 share/s
2018-08-09 00:00:00 strategy [INFO] 267.4120178222656
2018-08-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4681] for 0 share/s
2018-08-10 00:00:00 strategy [INFO] 265.6203308105469
2018-08-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4682] for 0 share/s
2018-08-13 00:00:00 strategy [INFO] 264.6259765625
2018-08-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4683] for 0 share/s
2018-08-14 00:00:00 strategy [INFO] 266.314453125
2018-08-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4684] for 0 share/s
2018-08-15 00:00:00 strategy [INFO] 264.3258056640625
2018-08-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4685] for 0 share/s
2018-08-16 00:00:00 strategy [INFO] 266.464599609375
2018-08-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4686] for 0 share/s
2018-08-17 00:00:00 strategy [INFO] 267.40264892578125
2018-08-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4687] for 0 share/s
2018-08-20 00:00:00 strategy [INFO] 267.974853515625
2018-08-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4688] for 0 share/s
2018-08-21 00:00:00 strategy [INFO] 268.60333251953125
2018-08-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4689] for 0 share/s
2018-08-22 00:00:00 strategy [INFO] 268.44390869140625
2018-08-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4690] for 0 share/s
2018-08-23 00:00:00 strategy [INFO] 268.0874328613281
2018-08-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4691] for 0 share/s
2018-08-24 00:00:00 strategy [INFO] 269.7008972167969
2018-08-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4692] for 0 share/s
2018-08-27 00:00:00 strategy [INFO] 271.83026123046875
2018-08-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4693] for 0 share/s
2018-08-28 00:00:00 strategy [INFO] 271.961669921875
2018-08-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4694] for 0 share/s
2018-08-29 00:00:00 strategy [INFO] 273.425048828125
2018-08-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4695] for 0 share/s
2018-08-30 00:00:00 strategy [INFO] 272.31805419921875
2018-08-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4696] for 0 share/s
2018-08-31 00:00:00 strategy [INFO] 272.3273620605469
2018-09-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4697] for 0 share/s
2018-09-04 00:00:00 strategy [INFO] 271.8583679199219
2018-09-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4698] for 0 share/s
2018-09-05 00:00:00 strategy [INFO] 271.1267395019531
2018-09-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4699] for 0 share/s
2018-09-06 00:00:00 strategy [INFO] 270.31060791015625
2018-09-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4700] for 0 share/s
2018-09-07 00:00:00 strategy [INFO] 269.78533935546875
2018-09-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4701] for 0 share/s
2018-09-10 00:00:00 strategy [INFO] 270.25433349609375
2018-09-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4702] for 0 share/s
2018-09-11 00:00:00 strategy [INFO] 271.1454772949219
2018-09-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4703] for 0 share/s
2018-09-12 00:00:00 strategy [INFO] 271.21112060546875
2018-09-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4704] for 0 share/s
2018-09-13 00:00:00 strategy [INFO] 272.815185546875
2018-09-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4705] for 0 share/s
2018-09-14 00:00:00 strategy [INFO] 272.8621826171875
2018-09-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4706] for 0 share/s
2018-09-17 00:00:00 strategy [INFO] 271.41754150390625
2018-09-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4707] for 0 share/s
2018-09-18 00:00:00 strategy [INFO] 272.89031982421875
2018-09-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4708] for 0 share/s
2018-09-19 00:00:00 strategy [INFO] 273.1810607910156
2018-09-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4709] for 0 share/s
2018-09-20 00:00:00 strategy [INFO] 275.3948974609375
2018-09-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4710] for 0 share/s
2018-09-21 00:00:00 strategy [INFO] 275.1432800292969
2018-09-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4711] for 0 share/s
2018-09-24 00:00:00 strategy [INFO] 274.229248046875
2018-09-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4712] for 0 share/s
2018-09-25 00:00:00 strategy [INFO] 273.9748840332031
2018-09-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4713] for 0 share/s
2018-09-26 00:00:00 strategy [INFO] 273.1549987792969
2018-09-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4714] for 0 share/s
2018-09-27 00:00:00 strategy [INFO] 273.91827392578125
2018-09-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4715] for 0 share/s
2018-09-28 00:00:00 strategy [INFO] 273.9465637207031
2018-10-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4716] for 0 share/s
2018-10-01 00:00:00 strategy [INFO] 274.89825439453125
2018-10-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4717] for 0 share/s
2018-10-02 00:00:00 strategy [INFO] 274.7380676269531
2018-10-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4718] for 0 share/s
2018-10-03 00:00:00 strategy [INFO] 274.8888854980469
2018-10-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4719] for 0 share/s
2018-10-04 00:00:00 strategy [INFO] 272.740478515625
2018-10-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4720] for 0 share/s
2018-10-05 00:00:00 strategy [INFO] 271.2138671875
2018-10-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4721] for 0 share/s
2018-10-08 00:00:00 strategy [INFO] 271.2138671875
2018-10-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4722] for 0 share/s
2018-10-09 00:00:00 strategy [INFO] 270.81805419921875
2018-10-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4723] for 0 share/s
2018-10-10 00:00:00 strategy [INFO] 262.24310302734375
2018-10-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4724] for 0 share/s
2018-10-11 00:00:00 strategy [INFO] 256.4668273925781
2018-10-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4725] for 0 share/s
2018-10-12 00:00:00 strategy [INFO] 260.0287780761719
2018-10-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4726] for 0 share/s
2018-10-15 00:00:00 strategy [INFO] 258.56817626953125
2018-10-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4727] for 0 share/s
2018-10-16 00:00:00 strategy [INFO] 264.22198486328125
2018-10-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4728] for 0 share/s
2018-10-17 00:00:00 strategy [INFO] 264.26910400390625
2018-10-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4729] for 0 share/s
2018-10-18 00:00:00 strategy [INFO] 260.4527893066406
2018-10-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4730] for 0 share/s
2018-10-19 00:00:00 strategy [INFO] 260.3114318847656
2018-10-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4731] for 0 share/s
2018-10-22 00:00:00 strategy [INFO] 259.1429443359375
2018-10-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4732] for 0 share/s
2018-10-23 00:00:00 strategy [INFO] 257.82373046875
2018-10-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4733] for 0 share/s
2018-10-24 00:00:00 strategy [INFO] 250.01206970214844
2018-10-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4734] for 0 share/s
2018-10-25 00:00:00 strategy [INFO] 254.4973907470703
2018-10-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4735] for 0 share/s
2018-10-26 00:00:00 strategy [INFO] 250.021484375
2018-10-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4736] for 0 share/s
2018-10-29 00:00:00 strategy [INFO] 248.6362762451172
2018-10-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4737] for 0 share/s
2018-10-30 00:00:00 strategy [INFO] 252.32066345214844
2018-10-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4738] for 0 share/s
2018-10-31 00:00:00 strategy [INFO] 255.01568603515625
2018-11-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4739] for 0 share/s
2018-11-01 00:00:00 strategy [INFO] 257.72955322265625
2018-11-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4740] for 0 share/s
2018-11-02 00:00:00 strategy [INFO] 256.2029724121094
2018-11-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4741] for 0 share/s
2018-11-05 00:00:00 strategy [INFO] 257.616455078125
2018-11-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4742] for 0 share/s
2018-11-06 00:00:00 strategy [INFO] 259.24664306640625
2018-11-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4743] for 0 share/s
2018-11-07 00:00:00 strategy [INFO] 264.79681396484375
2018-11-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4744] for 0 share/s
2018-11-08 00:00:00 strategy [INFO] 264.3161926269531
2018-11-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4745] for 0 share/s
2018-11-09 00:00:00 strategy [INFO] 261.7342834472656
2018-11-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4746] for 0 share/s
2018-11-12 00:00:00 strategy [INFO] 256.84375
2018-11-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4747] for 0 share/s
2018-11-13 00:00:00 strategy [INFO] 256.3631896972656
2018-11-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4748] for 0 share/s
2018-11-14 00:00:00 strategy [INFO] 254.6104736328125
2018-11-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4749] for 0 share/s
2018-11-15 00:00:00 strategy [INFO] 257.267822265625
2018-11-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4750] for 0 share/s
2018-11-16 00:00:00 strategy [INFO] 257.93682861328125
2018-11-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4751] for 0 share/s
2018-11-19 00:00:00 strategy [INFO] 253.57398986816406
2018-11-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4752] for 0 share/s
2018-11-20 00:00:00 strategy [INFO] 248.88128662109375
2018-11-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4753] for 0 share/s
2018-11-21 00:00:00 strategy [INFO] 249.72930908203125
2018-11-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4754] for 0 share/s
2018-11-23 00:00:00 strategy [INFO] 248.06146240234375
2018-11-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4755] for 0 share/s
2018-11-26 00:00:00 strategy [INFO] 252.06626892089844
2018-11-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4756] for 0 share/s
2018-11-27 00:00:00 strategy [INFO] 252.91436767578125
2018-11-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4757] for 0 share/s
2018-11-28 00:00:00 strategy [INFO] 258.73779296875
2018-11-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4758] for 0 share/s
2018-11-29 00:00:00 strategy [INFO] 258.17236328125
2018-11-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4759] for 0 share/s
2018-11-30 00:00:00 strategy [INFO] 259.7460021972656
2018-12-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4760] for 0 share/s
2018-12-03 00:00:00 strategy [INFO] 263.1854553222656
2018-12-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4761] for 0 share/s
2018-12-04 00:00:00 strategy [INFO] 254.65757751464844
2018-12-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4762] for 0 share/s
2018-12-06 00:00:00 strategy [INFO] 254.27125549316406
2018-12-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4763] for 0 share/s
2018-12-07 00:00:00 strategy [INFO] 248.36297607421875
2018-12-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4764] for 0 share/s
2018-12-10 00:00:00 strategy [INFO] 248.8341827392578
2018-12-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4765] for 0 share/s
2018-12-11 00:00:00 strategy [INFO] 248.89071655273438
2018-12-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4766] for 0 share/s
2018-12-12 00:00:00 strategy [INFO] 250.14398193359375
2018-12-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4767] for 0 share/s
2018-12-13 00:00:00 strategy [INFO] 250.05917358398438
2018-12-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4768] for 0 share/s
2018-12-14 00:00:00 strategy [INFO] 245.44190979003906
2018-12-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4769] for 0 share/s
2018-12-17 00:00:00 strategy [INFO] 240.62669372558594
2018-12-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4770] for 0 share/s
2018-12-18 00:00:00 strategy [INFO] 240.3628387451172
2018-12-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4771] for 0 share/s
2018-12-19 00:00:00 strategy [INFO] 236.7632598876953
2018-12-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4772] for 0 share/s
2018-12-20 00:00:00 strategy [INFO] 232.9092254638672
2018-12-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4773] for 0 share/s
2018-12-21 00:00:00 strategy [INFO] 228.1370086669922
2018-12-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4774] for 0 share/s
2018-12-24 00:00:00 strategy [INFO] 222.10897827148438
2018-12-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4775] for 0 share/s
2018-12-26 00:00:00 strategy [INFO] 233.3310089111328
2018-12-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4776] for 0 share/s
2018-12-27 00:00:00 strategy [INFO] 235.1223602294922
2018-12-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4777] for 0 share/s
2018-12-28 00:00:00 strategy [INFO] 234.81907653808594
2018-12-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4778] for 0 share/s
2018-12-31 00:00:00 strategy [INFO] 236.87579345703125
2019-01-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4779] for 0 share/s
2019-01-02 00:00:00 strategy [INFO] 237.12220764160156
2019-01-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4780] for 0 share/s
2019-01-03 00:00:00 strategy [INFO] 231.46383666992188
2019-01-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4781] for 0 share/s
2019-01-04 00:00:00 strategy [INFO] 239.21688842773438
2019-01-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4782] for 0 share/s
2019-01-07 00:00:00 strategy [INFO] 241.10302734375
2019-01-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4783] for 0 share/s
2019-01-08 00:00:00 strategy [INFO] 243.36827087402344
2019-01-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4784] for 0 share/s
2019-01-09 00:00:00 strategy [INFO] 244.505615234375
2019-01-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4785] for 0 share/s
2019-01-10 00:00:00 strategy [INFO] 245.36814880371094
2019-01-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4786] for 0 share/s
2019-01-11 00:00:00 strategy [INFO] 245.4629364013672
2019-01-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4787] for 0 share/s
2019-01-14 00:00:00 strategy [INFO] 243.96539306640625
2019-01-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4788] for 0 share/s
2019-01-15 00:00:00 strategy [INFO] 246.76144409179688
2019-01-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4789] for 0 share/s
2019-01-16 00:00:00 strategy [INFO] 247.35855102539062
2019-01-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4790] for 0 share/s
2019-01-17 00:00:00 strategy [INFO] 249.23516845703125
2019-01-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4791] for 0 share/s
2019-01-18 00:00:00 strategy [INFO] 252.552490234375
2019-01-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4792] for 0 share/s
2019-01-22 00:00:00 strategy [INFO] 249.140380859375
2019-01-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4793] for 0 share/s
2019-01-23 00:00:00 strategy [INFO] 249.66168212890625
2019-01-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4794] for 0 share/s
2019-01-24 00:00:00 strategy [INFO] 249.7943572998047
2019-01-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4795] for 0 share/s
2019-01-25 00:00:00 strategy [INFO] 251.9080810546875
2019-01-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4796] for 0 share/s
2019-01-28 00:00:00 strategy [INFO] 249.99342346191406
2019-01-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4797] for 0 share/s
2019-01-29 00:00:00 strategy [INFO] 249.66168212890625
2019-01-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4798] for 0 share/s
2019-01-30 00:00:00 strategy [INFO] 253.61404418945312
2019-01-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4799] for 0 share/s
2019-01-31 00:00:00 strategy [INFO] 255.8414306640625
2019-02-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4800] for 0 share/s
2019-02-01 00:00:00 strategy [INFO] 255.96461486816406
2019-02-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4801] for 0 share/s
2019-02-04 00:00:00 strategy [INFO] 257.7654724121094
2019-02-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4802] for 0 share/s
2019-02-05 00:00:00 strategy [INFO] 258.8459167480469
2019-02-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4803] for 0 share/s
2019-02-06 00:00:00 strategy [INFO] 258.5047912597656
2019-02-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4804] for 0 share/s
2019-02-07 00:00:00 strategy [INFO] 256.0404357910156
2019-02-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4805] for 0 share/s
2019-02-08 00:00:00 strategy [INFO] 256.3532409667969
2019-02-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4806] for 0 share/s
2019-02-11 00:00:00 strategy [INFO] 256.4953918457031
2019-02-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4807] for 0 share/s
2019-02-12 00:00:00 strategy [INFO] 259.7937927246094
2019-02-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4808] for 0 share/s
2019-02-13 00:00:00 strategy [INFO] 260.63726806640625
2019-02-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4809] for 0 share/s
2019-02-14 00:00:00 strategy [INFO] 260.0591735839844
2019-02-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4810] for 0 share/s
2019-02-15 00:00:00 strategy [INFO] 262.89306640625
2019-02-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4811] for 0 share/s
2019-02-19 00:00:00 strategy [INFO] 263.34808349609375
2019-02-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4812] for 0 share/s
2019-02-20 00:00:00 strategy [INFO] 263.87884521484375
2019-02-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4813] for 0 share/s
2019-02-21 00:00:00 strategy [INFO] 262.9404602050781
2019-02-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4814] for 0 share/s
2019-02-22 00:00:00 strategy [INFO] 264.5706787109375
2019-02-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4815] for 0 share/s
2019-02-25 00:00:00 strategy [INFO] 264.9308776855469
2019-02-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4816] for 0 share/s
2019-02-26 00:00:00 strategy [INFO] 264.74127197265625
2019-02-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4817] for 0 share/s
2019-02-27 00:00:00 strategy [INFO] 264.6275939941406
2019-02-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4818] for 0 share/s
2019-02-28 00:00:00 strategy [INFO] 264.13470458984375
2019-03-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4819] for 0 share/s
2019-03-01 00:00:00 strategy [INFO] 265.7839050292969
2019-03-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4820] for 0 share/s
2019-03-04 00:00:00 strategy [INFO] 264.817138671875
2019-03-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4821] for 0 share/s
2019-03-05 00:00:00 strategy [INFO] 264.45697021484375
2019-03-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4822] for 0 share/s
2019-03-06 00:00:00 strategy [INFO] 262.85516357421875
2019-03-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4823] for 0 share/s
2019-03-07 00:00:00 strategy [INFO] 260.6562805175781
2019-03-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4824] for 0 share/s
2019-03-08 00:00:00 strategy [INFO] 260.135009765625
2019-03-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4825] for 0 share/s
2019-03-11 00:00:00 strategy [INFO] 263.9071960449219
2019-03-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4826] for 0 share/s
2019-03-12 00:00:00 strategy [INFO] 264.9024353027344
2019-03-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4827] for 0 share/s
2019-03-13 00:00:00 strategy [INFO] 266.6558837890625
2019-03-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4828] for 0 share/s
2019-03-14 00:00:00 strategy [INFO] 266.48529052734375
2019-03-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4829] for 0 share/s
2019-03-15 00:00:00 strategy [INFO] 267.8018798828125
2019-03-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4830] for 0 share/s
2019-03-18 00:00:00 strategy [INFO] 268.7728576660156
2019-03-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4831] for 0 share/s
2019-03-19 00:00:00 strategy [INFO] 268.8395080566406
2019-03-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4832] for 0 share/s
2019-03-20 00:00:00 strategy [INFO] 268.0303039550781
2019-03-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4833] for 0 share/s
2019-03-21 00:00:00 strategy [INFO] 271.0576477050781
2019-03-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4834] for 0 share/s
2019-03-22 00:00:00 strategy [INFO] 265.8408203125
2019-03-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4835] for 0 share/s
2019-03-25 00:00:00 strategy [INFO] 265.640869140625
2019-03-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4836] for 0 share/s
2019-03-26 00:00:00 strategy [INFO] 267.6209716796875
2019-03-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4837] for 0 share/s
2019-03-27 00:00:00 strategy [INFO] 266.2215881347656
2019-03-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4838] for 0 share/s
2019-03-28 00:00:00 strategy [INFO] 267.2307434082031
2019-03-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4839] for 0 share/s
2019-03-29 00:00:00 strategy [INFO] 268.91571044921875
2019-04-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4840] for 0 share/s
2019-04-01 00:00:00 strategy [INFO] 272.10479736328125
2019-04-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4841] for 0 share/s
2019-04-02 00:00:00 strategy [INFO] 272.2381286621094
2019-04-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4842] for 0 share/s
2019-04-03 00:00:00 strategy [INFO] 272.66650390625
2019-04-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4843] for 0 share/s
2019-04-04 00:00:00 strategy [INFO] 273.39007568359375
2019-04-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4844] for 0 share/s
2019-04-05 00:00:00 strategy [INFO] 274.7132568359375
2019-04-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4845] for 0 share/s
2019-04-08 00:00:00 strategy [INFO] 274.9226989746094
2019-04-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4846] for 0 share/s
2019-04-09 00:00:00 strategy [INFO] 273.51373291015625
2019-04-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4847] for 0 share/s
2019-04-10 00:00:00 strategy [INFO] 274.4467468261719
2019-04-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4848] for 0 share/s
2019-04-11 00:00:00 strategy [INFO] 274.3704833984375
2019-04-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4849] for 0 share/s
2019-04-12 00:00:00 strategy [INFO] 276.2268981933594
2019-04-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4850] for 0 share/s
2019-04-15 00:00:00 strategy [INFO] 276.0460205078125
2019-04-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4851] for 0 share/s
2019-04-16 00:00:00 strategy [INFO] 276.2268981933594
2019-04-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4852] for 0 share/s
2019-04-17 00:00:00 strategy [INFO] 275.551025390625
2019-04-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4853] for 0 share/s
2019-04-18 00:00:00 strategy [INFO] 276.09356689453125
2019-04-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4854] for 0 share/s
2019-04-22 00:00:00 strategy [INFO] 276.3316650390625
2019-04-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4855] for 0 share/s
2019-04-23 00:00:00 strategy [INFO] 278.8162841796875
2019-04-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4856] for 0 share/s
2019-04-24 00:00:00 strategy [INFO] 278.197509765625
2019-04-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4857] for 0 share/s
2019-04-25 00:00:00 strategy [INFO] 278.026123046875
2019-04-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4858] for 0 share/s
2019-04-26 00:00:00 strategy [INFO] 279.32086181640625
2019-04-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4859] for 0 share/s
2019-04-29 00:00:00 strategy [INFO] 279.75872802734375
2019-04-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4860] for 0 share/s
2019-04-30 00:00:00 strategy [INFO] 279.90155029296875
2019-05-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4861] for 0 share/s
2019-05-01 00:00:00 strategy [INFO] 277.79766845703125
2019-05-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4862] for 0 share/s
2019-05-02 00:00:00 strategy [INFO] 277.1979064941406
2019-05-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4863] for 0 share/s
2019-05-03 00:00:00 strategy [INFO] 279.9111022949219
2019-05-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4864] for 0 share/s
2019-05-06 00:00:00 strategy [INFO] 278.7591857910156
2019-05-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4865] for 0 share/s
2019-05-07 00:00:00 strategy [INFO] 274.10400390625
2019-05-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4866] for 0 share/s
2019-05-08 00:00:00 strategy [INFO] 273.7232360839844
2019-05-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4867] for 0 share/s
2019-05-09 00:00:00 strategy [INFO] 272.89495849609375
2019-05-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4868] for 0 share/s
2019-05-10 00:00:00 strategy [INFO] 274.26580810546875
2019-05-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4869] for 0 share/s
2019-05-13 00:00:00 strategy [INFO] 267.3734436035156
2019-05-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4870] for 0 share/s
2019-05-14 00:00:00 strategy [INFO] 269.7915344238281
2019-05-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4871] for 0 share/s
2019-05-15 00:00:00 strategy [INFO] 271.3717956542969
2019-05-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4872] for 0 share/s
2019-05-16 00:00:00 strategy [INFO] 273.8850402832031
2019-05-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4873] for 0 share/s
2019-05-17 00:00:00 strategy [INFO] 272.11431884765625
2019-05-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4874] for 0 share/s
2019-05-20 00:00:00 strategy [INFO] 270.3150939941406
2019-05-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4875] for 0 share/s
2019-05-21 00:00:00 strategy [INFO] 272.752197265625
2019-05-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4876] for 0 share/s
2019-05-22 00:00:00 strategy [INFO] 271.9144287109375
2019-05-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4877] for 0 share/s
2019-05-23 00:00:00 strategy [INFO] 268.59197998046875
2019-05-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4878] for 0 share/s
2019-05-24 00:00:00 strategy [INFO] 269.2013244628906
2019-05-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4879] for 0 share/s
2019-05-28 00:00:00 strategy [INFO] 266.69757080078125
2019-05-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4880] for 0 share/s
2019-05-29 00:00:00 strategy [INFO] 264.9078674316406
2019-05-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4881] for 0 share/s
2019-05-30 00:00:00 strategy [INFO] 265.63134765625
2019-05-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4882] for 0 share/s
2019-05-31 00:00:00 strategy [INFO] 262.0518798828125
2019-06-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4883] for 0 share/s
2019-06-03 00:00:00 strategy [INFO] 261.38555908203125
2019-06-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4884] for 0 share/s
2019-06-04 00:00:00 strategy [INFO] 267.0593566894531
2019-06-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4885] for 0 share/s
2019-06-05 00:00:00 strategy [INFO] 269.3725891113281
2019-06-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4886] for 0 share/s
2019-06-06 00:00:00 strategy [INFO] 271.124267578125
2019-06-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4887] for 0 share/s
2019-06-07 00:00:00 strategy [INFO] 273.8374328613281
2019-06-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4888] for 0 share/s
2019-06-10 00:00:00 strategy [INFO] 275.09405517578125
2019-06-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4889] for 0 share/s
2019-06-11 00:00:00 strategy [INFO] 275.02740478515625
2019-06-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4890] for 0 share/s
2019-06-12 00:00:00 strategy [INFO] 274.54193115234375
2019-06-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4891] for 0 share/s
2019-06-13 00:00:00 strategy [INFO] 275.67474365234375
2019-06-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4892] for 0 share/s
2019-06-14 00:00:00 strategy [INFO] 275.37017822265625
2019-06-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4893] for 0 share/s
2019-06-17 00:00:00 strategy [INFO] 275.4748229980469
2019-06-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4894] for 0 share/s
2019-06-18 00:00:00 strategy [INFO] 278.359375
2019-06-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4895] for 0 share/s
2019-06-19 00:00:00 strategy [INFO] 278.9876403808594
2019-06-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4896] for 0 share/s
2019-06-20 00:00:00 strategy [INFO] 281.6531982421875
2019-06-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4897] for 0 share/s
2019-06-21 00:00:00 strategy [INFO] 281.2437744140625
2019-06-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4898] for 0 share/s
2019-06-24 00:00:00 strategy [INFO] 280.8993835449219
2019-06-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4899] for 0 share/s
2019-06-25 00:00:00 strategy [INFO] 278.1443786621094
2019-06-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4900] for 0 share/s
2019-06-26 00:00:00 strategy [INFO] 277.866943359375
2019-06-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4901] for 0 share/s
2019-06-27 00:00:00 strategy [INFO] 278.8521728515625
2019-06-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4902] for 0 share/s
2019-06-28 00:00:00 strategy [INFO] 280.2871398925781
2019-07-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4903] for 0 share/s
2019-07-01 00:00:00 strategy [INFO] 282.8317565917969
2019-07-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4904] for 0 share/s
2019-07-02 00:00:00 strategy [INFO] 283.5683288574219
2019-07-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4905] for 0 share/s
2019-07-03 00:00:00 strategy [INFO] 285.8355407714844
2019-07-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4906] for 0 share/s
2019-07-05 00:00:00 strategy [INFO] 285.51019287109375
2019-07-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4907] for 0 share/s
2019-07-08 00:00:00 strategy [INFO] 283.94140625
2019-07-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4908] for 0 share/s
2019-07-09 00:00:00 strategy [INFO] 284.29541015625
2019-07-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4909] for 0 share/s
2019-07-10 00:00:00 strategy [INFO] 285.6537170410156
2019-07-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4910] for 0 share/s
2019-07-11 00:00:00 strategy [INFO] 286.3233947753906
2019-07-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4911] for 0 share/s
2019-07-12 00:00:00 strategy [INFO] 287.605224609375
2019-07-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4912] for 0 share/s
2019-07-15 00:00:00 strategy [INFO] 287.70086669921875
2019-07-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4913] for 0 share/s
2019-07-16 00:00:00 strategy [INFO] 286.77294921875
2019-07-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4914] for 0 share/s
2019-07-17 00:00:00 strategy [INFO] 284.8215026855469
2019-07-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4915] for 0 share/s
2019-07-18 00:00:00 strategy [INFO] 285.8642272949219
2019-07-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4916] for 0 share/s
2019-07-19 00:00:00 strategy [INFO] 284.2762451171875
2019-07-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4917] for 0 share/s
2019-07-22 00:00:00 strategy [INFO] 284.9745178222656
2019-07-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4918] for 0 share/s
2019-07-23 00:00:00 strategy [INFO] 287.01214599609375
2019-07-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4919] for 0 share/s
2019-07-24 00:00:00 strategy [INFO] 288.3609924316406
2019-07-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4920] for 0 share/s
2019-07-25 00:00:00 strategy [INFO] 286.9834289550781
2019-07-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4921] for 0 share/s
2019-07-26 00:00:00 strategy [INFO] 288.90625
2019-07-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4922] for 0 share/s
2019-07-29 00:00:00 strategy [INFO] 288.3800964355469
2019-07-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4923] for 0 share/s
2019-07-30 00:00:00 strategy [INFO] 287.67218017578125
2019-07-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4924] for 0 share/s
2019-07-31 00:00:00 strategy [INFO] 284.5249328613281
2019-08-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4925] for 0 share/s
2019-08-01 00:00:00 strategy [INFO] 282.04730224609375
2019-08-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4926] for 0 share/s
2019-08-02 00:00:00 strategy [INFO] 279.92364501953125
2019-08-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4927] for 0 share/s
2019-08-05 00:00:00 strategy [INFO] 271.5055236816406
2019-08-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4928] for 0 share/s
2019-08-06 00:00:00 strategy [INFO] 275.3127746582031
2019-08-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4929] for 0 share/s
2019-08-07 00:00:00 strategy [INFO] 275.4753723144531
2019-08-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4930] for 0 share/s
2019-08-08 00:00:00 strategy [INFO] 280.8802185058594
2019-08-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4931] for 0 share/s
2019-08-09 00:00:00 strategy [INFO] 278.967041015625
2019-08-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4932] for 0 share/s
2019-08-12 00:00:00 strategy [INFO] 275.5710754394531
2019-08-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4933] for 0 share/s
2019-08-13 00:00:00 strategy [INFO] 279.8566589355469
2019-08-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4934] for 0 share/s
2019-08-14 00:00:00 strategy [INFO] 271.58197021484375
2019-08-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4935] for 0 share/s
2019-08-15 00:00:00 strategy [INFO] 272.2994384765625
2019-08-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4936] for 0 share/s
2019-08-16 00:00:00 strategy [INFO] 276.31719970703125
2019-08-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4937] for 0 share/s
2019-08-19 00:00:00 strategy [INFO] 279.6462707519531
2019-08-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4938] for 0 share/s
2019-08-20 00:00:00 strategy [INFO] 277.50341796875
2019-08-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4939] for 0 share/s
2019-08-21 00:00:00 strategy [INFO] 279.76104736328125
2019-08-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4940] for 0 share/s
2019-08-22 00:00:00 strategy [INFO] 279.6749572753906
2019-08-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4941] for 0 share/s
2019-08-23 00:00:00 strategy [INFO] 272.4907531738281
2019-08-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4942] for 0 share/s
2019-08-26 00:00:00 strategy [INFO] 275.5040588378906
2019-08-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4943] for 0 share/s
2019-08-27 00:00:00 strategy [INFO] 274.4231262207031
2019-08-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4944] for 0 share/s
2019-08-28 00:00:00 strategy [INFO] 276.35546875
2019-08-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4945] for 0 share/s
2019-08-29 00:00:00 strategy [INFO] 279.88531494140625
2019-08-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4946] for 0 share/s
2019-08-30 00:00:00 strategy [INFO] 279.76104736328125
2019-09-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4947] for 0 share/s
2019-09-03 00:00:00 strategy [INFO] 278.125244140625
2019-09-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4948] for 0 share/s
2019-09-04 00:00:00 strategy [INFO] 281.2820739746094
2019-09-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4949] for 0 share/s
2019-09-05 00:00:00 strategy [INFO] 284.89801025390625
2019-09-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4950] for 0 share/s
2019-09-06 00:00:00 strategy [INFO] 285.1180725097656
2019-09-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4951] for 0 share/s
2019-09-09 00:00:00 strategy [INFO] 285.26153564453125
2019-09-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4952] for 0 share/s
2019-09-10 00:00:00 strategy [INFO] 285.1946105957031
2019-09-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4953] for 0 share/s
2019-09-11 00:00:00 strategy [INFO] 287.22259521484375
2019-09-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4954] for 0 share/s
2019-09-12 00:00:00 strategy [INFO] 288.2174072265625
2019-09-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4955] for 0 share/s
2019-09-13 00:00:00 strategy [INFO] 288.02618408203125
2019-09-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4956] for 0 share/s
2019-09-16 00:00:00 strategy [INFO] 287.13653564453125
2019-09-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4957] for 0 share/s
2019-09-17 00:00:00 strategy [INFO] 287.8635559082031
2019-09-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4958] for 0 share/s
2019-09-18 00:00:00 strategy [INFO] 288.0357360839844
2019-09-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4959] for 0 share/s
2019-09-19 00:00:00 strategy [INFO] 288.0165100097656
2019-09-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4960] for 0 share/s
2019-09-20 00:00:00 strategy [INFO] 286.65576171875
2019-09-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4961] for 0 share/s
2019-09-23 00:00:00 strategy [INFO] 286.5884704589844
2019-09-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4962] for 0 share/s
2019-09-24 00:00:00 strategy [INFO] 284.3396911621094
2019-09-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4963] for 0 share/s
2019-09-25 00:00:00 strategy [INFO] 286.0214538574219
2019-09-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4964] for 0 share/s
2019-09-26 00:00:00 strategy [INFO] 285.4256286621094
2019-09-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4965] for 0 share/s
2019-09-27 00:00:00 strategy [INFO] 283.8880310058594
2019-09-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4966] for 0 share/s
2019-09-30 00:00:00 strategy [INFO] 285.2045593261719
2019-10-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4967] for 0 share/s
2019-10-01 00:00:00 strategy [INFO] 281.8121643066406
2019-10-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4968] for 0 share/s
2019-10-02 00:00:00 strategy [INFO] 276.8340148925781
2019-10-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4969] for 0 share/s
2019-10-03 00:00:00 strategy [INFO] 279.10205078125
2019-10-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4970] for 0 share/s
2019-10-04 00:00:00 strategy [INFO] 282.8789367675781
2019-10-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4971] for 0 share/s
2019-10-07 00:00:00 strategy [INFO] 281.65838623046875
2019-10-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4972] for 0 share/s
2019-10-08 00:00:00 strategy [INFO] 277.2857360839844
2019-10-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4973] for 0 share/s
2019-10-09 00:00:00 strategy [INFO] 279.9189147949219
2019-10-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4974] for 0 share/s
2019-10-10 00:00:00 strategy [INFO] 281.8121643066406
2019-10-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4975] for 0 share/s
2019-10-11 00:00:00 strategy [INFO] 284.7336730957031
2019-10-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4976] for 0 share/s
2019-10-14 00:00:00 strategy [INFO] 284.41656494140625
2019-10-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4977] for 0 share/s
2019-10-15 00:00:00 strategy [INFO] 287.23236083984375
2019-10-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4978] for 0 share/s
2019-10-16 00:00:00 strategy [INFO] 286.7710876464844
2019-10-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4979] for 0 share/s
2019-10-17 00:00:00 strategy [INFO] 287.61676025390625
2019-10-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4980] for 0 share/s
2019-10-18 00:00:00 strategy [INFO] 286.3578186035156
2019-10-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4981] for 0 share/s
2019-10-21 00:00:00 strategy [INFO] 288.29913330078125
2019-10-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4982] for 0 share/s
2019-10-22 00:00:00 strategy [INFO] 287.3573303222656
2019-10-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4983] for 0 share/s
2019-10-23 00:00:00 strategy [INFO] 288.19342041015625
2019-10-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4984] for 0 share/s
2019-10-24 00:00:00 strategy [INFO] 288.664306640625
2019-10-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4985] for 0 share/s
2019-10-25 00:00:00 strategy [INFO] 289.8464050292969
2019-10-28 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4986] for 0 share/s
2019-10-28 00:00:00 strategy [INFO] 291.4801330566406
2019-10-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4987] for 0 share/s
2019-10-29 00:00:00 strategy [INFO] 291.39361572265625
2019-10-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4988] for 0 share/s
2019-10-30 00:00:00 strategy [INFO] 292.28741455078125
2019-10-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4989] for 0 share/s
2019-10-31 00:00:00 strategy [INFO] 291.5089111328125
2019-11-01 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4990] for 0 share/s
2019-11-01 00:00:00 strategy [INFO] 294.2094421386719
2019-11-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4991] for 0 share/s
2019-11-04 00:00:00 strategy [INFO] 295.3915100097656
2019-11-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4992] for 0 share/s
2019-11-05 00:00:00 strategy [INFO] 295.06475830078125
2019-11-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4993] for 0 share/s
2019-11-06 00:00:00 strategy [INFO] 295.1319885253906
2019-11-07 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4994] for 0 share/s
2019-11-07 00:00:00 strategy [INFO] 296.1699523925781
2019-11-08 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4995] for 0 share/s
2019-11-08 00:00:00 strategy [INFO] 296.9003601074219
2019-11-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4996] for 0 share/s
2019-11-11 00:00:00 strategy [INFO] 296.3332824707031
2019-11-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4997] for 0 share/s
2019-11-12 00:00:00 strategy [INFO] 296.95794677734375
2019-11-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4998] for 0 share/s
2019-11-13 00:00:00 strategy [INFO] 297.0541076660156
2019-11-14 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [4999] for 0 share/s
2019-11-14 00:00:00 strategy [INFO] 297.486572265625
2019-11-15 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5000] for 0 share/s
2019-11-15 00:00:00 strategy [INFO] 299.6392822265625
2019-11-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5001] for 0 share/s
2019-11-18 00:00:00 strategy [INFO] 299.8602600097656
2019-11-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5002] for 0 share/s
2019-11-19 00:00:00 strategy [INFO] 299.7738342285156
2019-11-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5003] for 0 share/s
2019-11-20 00:00:00 strategy [INFO] 298.6589660644531
2019-11-21 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5004] for 0 share/s
2019-11-21 00:00:00 strategy [INFO] 298.178466796875
2019-11-22 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5005] for 0 share/s
2019-11-22 00:00:00 strategy [INFO] 298.8415832519531
2019-11-25 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5006] for 0 share/s
2019-11-25 00:00:00 strategy [INFO] 301.15771484375
2019-11-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5007] for 0 share/s
2019-11-26 00:00:00 strategy [INFO] 301.8399963378906
2019-11-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5008] for 0 share/s
2019-11-27 00:00:00 strategy [INFO] 303.18548583984375
2019-11-29 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5009] for 0 share/s
2019-11-29 00:00:00 strategy [INFO] 302.06109619140625
2019-12-02 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5010] for 0 share/s
2019-12-02 00:00:00 strategy [INFO] 299.4951171875
2019-12-03 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5011] for 0 share/s
2019-12-03 00:00:00 strategy [INFO] 297.486572265625
2019-12-04 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5012] for 0 share/s
2019-12-04 00:00:00 strategy [INFO] 299.3221435546875
2019-12-05 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5013] for 0 share/s
2019-12-05 00:00:00 strategy [INFO] 299.8602600097656
2019-12-06 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5014] for 0 share/s
2019-12-06 00:00:00 strategy [INFO] 302.5992431640625
2019-12-09 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5015] for 0 share/s
2019-12-09 00:00:00 strategy [INFO] 301.6477966308594
2019-12-10 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5016] for 0 share/s
2019-12-10 00:00:00 strategy [INFO] 301.31146240234375
2019-12-11 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5017] for 0 share/s
2019-12-11 00:00:00 strategy [INFO] 302.166748046875
2019-12-12 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5018] for 0 share/s
2019-12-12 00:00:00 strategy [INFO] 304.7711486816406
2019-12-13 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5019] for 0 share/s
2019-12-13 00:00:00 strategy [INFO] 304.9537353515625
2019-12-16 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5020] for 0 share/s
2019-12-16 00:00:00 strategy [INFO] 307.0487976074219
2019-12-17 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5021] for 0 share/s
2019-12-17 00:00:00 strategy [INFO] 307.11602783203125
2019-12-18 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5022] for 0 share/s
2019-12-18 00:00:00 strategy [INFO] 307.13525390625
2019-12-19 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5023] for 0 share/s
2019-12-19 00:00:00 strategy [INFO] 308.3942565917969
2019-12-20 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5024] for 0 share/s
2019-12-20 00:00:00 strategy [INFO] 309.7463073730469
2019-12-23 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5025] for 0 share/s
2019-12-23 00:00:00 strategy [INFO] 310.219482421875
2019-12-24 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5026] for 0 share/s
2019-12-24 00:00:00 strategy [INFO] 310.22918701171875
2019-12-26 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5027] for 0 share/s
2019-12-26 00:00:00 strategy [INFO] 311.880615234375
2019-12-27 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5028] for 0 share/s
2019-12-27 00:00:00 strategy [INFO] 311.8033142089844
2019-12-30 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5029] for 0 share/s
2019-12-30 00:00:00 strategy [INFO] 310.08428955078125
2019-12-31 00:00:00 broker.backtesting [DEBUG] Not enough volume to fill spy market order [5030] for 0 share/s
2019-12-31 00:00:00 strategy [INFO] 310.8375549316406

The following code gets the value of equity after the strategy is run.

portfolio_values=strategy.getBroker().getEquity()

print(portfolio_values)

3289609.8205281785

Since the default starting balance of cash is 1,000,000; the return of roughly 3,289,610 means the return rate of roughly 290% for a period of 20 years (from 2000 to 2020)
This is impressive as the value of the portfolio almost triples within this period of time.
In this testing scenario only one investment was made at the beginning. If investments are made consistently every year, it is intuitive to believe that the return would be much higher.

Summary¶

Through examining the data and perform linear regression upon inflation and financial market data, there is very little to no relationship between them. However, it can be observed that sudden change in inflation can be a signal of uncertainty which caused drop in the financial market.
Using the Efficient Market hyposthesis to perform trade returns an impressive 290% rate of return for the period of 20 years.
The result of this trading strategy can be amplified with consistent investments every year thanks to the power of compounding.

References¶

What is the source of your dataset(s)?¶

U.S. BUREAU OF LABOR STATISTICS (CPI Data)
Yahoo Finance (SPY Data)
yfinance library (SPY Data for back testing)

Were any portions of the code or ideas taken from another source? List those sources here and say how they were used.¶

The code in the last part(i.e. back testing) follows a tutorial on pyalgotrade
Pyalgotrade Tutorial

List other references that you found helpful.¶

Created in Deepnote

UC Irvine Math 10 S22

An Analysis of the Financial Market: Inflation and the Efficient Market Hypothesis

Contents