Detect new resampled price
algoguy235 last edited by
I have a code that uses both a tick data and a resampled data, let's call it 5 min period. I have a set of logics that only need to occur when a NEW 5m candle comes in. This will save a ton of computation. In order to detect this new price, here's what I've been doing:
(Lf = low frequency, meaning resampled data)
class St(bt.Strategy) def __init__(self): self.Lf_dt = self.datas.datetime # memeory functionality self.__previous_Lf_dt = None def next(self): # Check to see if there's a new Lf candle printed this period self.__new_Lf_print = (self.Lf_dt != self.__previous_Lf_dt) self.__previous_Lf_dt = self.Lf_dt if self.__new_Lf_print: execute_Lf_logics()
Is there an easier way to do this? something built-in perhaps?
Use the length of the data feed:
len(data1). It will only change when new data is available.
Ahh yes that makes sense. Something like this.
class St(bt.Strategy) def __init__(self): # memeory functionality self.__previous_Lf_len = 0 def next(self): if len(data1) != self.__previous_Lf_len: execute_Lf_logics() self.__previous_Lf_len = len(data1)
In any case I would recommend against prefixing your member attributes with
__. But it is your code of course.
Yes fair enough. But you would agree this is the most efficient way to accomplish this?
class St(bt.Strategy) def __init__(self): # memeory functionality self.previous_Lf_len = 0 def next(self) if len(data1) != self.previous_Lf_len: self.new_Lf_print = True self.previous_Lf_len = len(data1) if self.new_Lf_print: execute_Lf_logics()
Efficiency depends on your entire logic. If you simply want to act on a new bar, that's efficient enough for sure.
algoguy235 last edited by
for reference - very similar issue here:
This is the most efficient solution I've found.
class St(bt.Strategy) def __init__(self): self.new_Lf_print = self.data1.datatime() != self.data1.datatime()(-1) def next(self) if self.new_Lf_print: execute_Lf_logics()
By putting the empty brackets after the line object (datetime) it creates a linecoupler that is coupled to the base sample rate. Documentation here.
This slightly outperforms the len() calculation from the previous. I wasn't able to get len() as a line object in the init function, so datetime works well enough.
I also like this solution because the code is clean. Only requires a single line in init.
I wasn't able to get len() as a line object in the init function
lenis a builtin and cannot be overridden. Given it is only meant to check a single value (because it increase monotonically) it seems pointless to have a replacement function for it to deliver a lines object.