Categories

• Announcements
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  119
  Posts

  B

  1.9.75.123: Adding extra day before dtcmp calc, as otherwise the extradays have no effect (#388) Fixing the issue with TWS API Bust events (err code 10225) (#396) Add support for ASK quotes for CASH assets (#395) plus fixes Remove duplicated note (#386) Fixing time.clock for python>=3.8 (#394) Changed file initiation for WriterFile to make it work under multi-process optimization (#397) plus fixes Fixed backend loading if a backend is loaded (Google Collab) and backend to use on MacOSX Fix: crumb in feeds.YahooFinanceData (#400) Fix color assignments, ticks line widths and some pep-8 improvements Fix timeframe/compression detection when plotting Fix default value for ticks display format on X-axis Sample with ta-lib SAR test Generic support of multiple "text/*" content types for Yahoo
• Blog

  Blog posts

  99
  Topics
  234
  Posts

  

  I think it's possible to have 1 large bar to form multiple bricks but not with the implementation in backtrader's filter, you have to implement your own renko filter. every extra bricks need to have a small time offset, due to the precision, the smallest value is 10 microseconds which is small enough to use I think.
• General Discussion

  Feedback, comments and anything in general

  666
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  3518
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  @run-out I would suggest to discuss this as a separate topic or even as an enhancement issue in the repository. One note about it is to check that it will work well with all exactbar cerebro parameter values.
• Indicators/Strategies/Analyzers
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  2434
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  B

  Hi Guys, My data feed is hour bar, 6 bars per day. But it seems buy/sell marker is not in the right position sometimes. Some of the marker is in the right position, but some of them not. I've no clue about it. Like the picture below, 2020-05-21T23:00:00, BUY CREATE, 3375.00. Buy order should be placed on the hand drawn red arrow (2020-05-21T23:00:00), But it was moved behind couple K lines. data 3376.0,3386.0,3373.0,3384.0,269762,14987,0.0,2020,5,20,10,0,2020-05-20 10:00,3.780170763331913e-40 3384.0,3388.0,3379.0,3386.0,268820,8959,0.0,2020,5,20,11,15,2020-05-20 11:15,3.766970531797973e-40 3385.0,3387.0,3375.0,3381.0,266271,13117,0.0,2020,5,20,14,15,2020-05-20 14:15,3.731251433942334e-40 3381.0,3384.0,3376.0,3376.0,268181,10815,0.0,2020,5,20,15,0,2020-05-20 15:00,3.758016234610938e-40 3370.0,3386.0,3370.0,3379.0,266282,13071,0.0,2020,5,21,22,0,2020-05-21 22:00,3.731405576773409e-40 3380.0,3382.0,3375.0,3375.0,266156,6290,0.0,2020,5,21,23,0,2020-05-21 23:00,3.72963994070836e-40 3376.0,3394.0,3376.0,3384.0,262578,14631,0.0,2020,5,21,10,0,2020-05-21 10:00,3.679501481654818e-40 3384.0,3392.0,3381.0,3390.0,261784,9748,0.0,2020,5,21,11,15,2020-05-21 11:15,3.668375171848079e-40 3390.0,3407.0,3382.0,3405.0,257708,23010,0.0,2020,5,21,14,15,2020-05-21 14:15,3.6112582464421996e-40 3405.0,3406.0,3394.0,3403.0,255225,19957,0.0,2020,5,21,15,0,2020-05-21 15:00,3.5764640055730144e-40 3405.0,3423.0,3403.0,3420.0,250612,23267,0.0,2020,5,22,22,0,2020-05-22 22:00,3.5118221074137106e-40 class data_feed_future(btfeed.GenericCSVData): params = ( ('dtformat', '%Y-%m-%d %H:%M'), ('datetime', 12), ('open', 0), ('high', 1), ('low', 2), ('close', 3), ('volume', 5), ('openinterest', -1) ) if __name__ == '__main__': cerebro = bt.Cerebro() data = data_feed_future(dataname=data_file_dir + '\\' + ticker + '.csv',compression=60 ,timeframe=bt.TimeFrame.Minutes) cerebro.adddata(data) cerebro.addstrategy(strategy_under_test) # Set our desired cash start cerebro.broker.setcash(startcash) # Set the commission - 0.1% ... divide by 100 to remove the % cerebro.broker.setcommission(commission=0.002) # Add a FixedSize sizer according to the stake cerebro.addsizer(bt.sizers.FixedSize, stake=1) results = cerebro.run() # run it all cerebro.plot(style='candlestick') 
• General Code/Help
  1750
  Topics
  8051
  Posts

  L

  I suspected that this could be a timezone mis-match issue so I tried changing IB's timezone to UTC (GMT+0) and setting the expiry time works fine now. I think what happens is this: Backtrader's does this (pseudocode): dt = current date & time in UTC expiry_date_time = dt + valid place order with expiry_date_time Order reaches IB. On IB's end, expiry_date_time is interpreted in the user's IB client's timezone (e.g. for someone running IB in australia, expiry_date_time is assumed to be in australia's timezone).
• bta-lib
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  Topics
  21
  Posts

  

  self.macd = btalib.macd(self.get_data_bars(self.symbol, '1Min')[self.symbol], pfast=self.params.macdfast, pslow=self.params.macdslow, psignal=self.params.macdsignal) self.macdX = btalib.crossover(self.macd.macd, self.macd.signal) print(self.macd.df) time macd signal histogram 2020-10-19 11:37:00-04:00 NaN NaN NaN 2020-10-19 11:38:00-04:00 NaN NaN NaN 2020-10-19 11:39:00-04:00 NaN NaN NaN 2020-10-19 11:40:00-04:00 NaN NaN NaN 2020-10-19 11:41:00-04:00 NaN NaN NaN ... ... ... ... 2020-10-19 14:52:00-04:00 -0.248898 -0.304889 0.055992 2020-10-19 14:53:00-04:00 -0.252423 -0.298331 0.045908 2020-10-19 14:54:00-04:00 -0.225212 -0.289191 0.063979 2020-10-19 14:55:00-04:00 -0.164539 -0.273610 0.109071 2020-10-19 14:56:00-04:00 -0.086874 -0.250268 0.163394 Error: UserWarning: evaluating in Python space because the '-' operator is not supported by numexpr for the bool dtype, use '^' instead f"evaluating in Python space because the {repr(op_str)} " What I am doing wrong?