Could I resample the bidaskcsv?

陆韬

HI everyone, I want to resample my bidask csv(temp.csv) like below and write it to a new csv:

datetime,bid,ask
07/23/2023 21:05:13,1.11246,1.11278
07/23/2023 21:05:14,1.11248,1.11278

Here is my code:

import pandas as pd
import backtrader as bt
import backtrader.feeds as btfeeds


class MyStrategy(bt.Strategy):

    def stop(self):
        data = self.datas[0]
        df = pd.DataFrame({
            'Date Time': [bt.num2date(x) for x in data.datetime.array],
            'bid': data.bid.array,
            'ask': data.ask.array
        })
        df.to_csv("outputresult.csv", index=False)


class BidAskCSV(btfeeds.GenericCSVData):
    linesoverride = True  # discard usual OHLC structure
    # datetime must be present and last
    lines = ('bid', 'ask', 'datetime')
    # datetime (always 1st) and then the desired order for
    params = (
        ('dtformat', '%m/%d/%Y %H:%M:%S'),
        ('datetime', 0),  # inherited from parent class
        ('bid', 1),  # default field pos 1
        ('ask', 2),  # default field pos 2
    )


def resample(timeframe, compression, name):
    cerebro = bt.Cerebro()
    cerebro.addstrategy(MyStrategy)
    data = BidAskCSV(dataname=name, dtformat='%m/%d/%Y %H:%M:%S')

    cerebro.resampledata(data, timeframe=timeframe, compression=compression)

    cerebro.run()

    # cerebro.plot(volume=False, openinterest=False, cash=False, style='candle')


if __name__ == '__main__':
    resample(bt.TimeFrame.Seconds, 1, "temp.csv")

The following exception occurred when I was running my code：

D:\software\anaconda\envs\py38_lh\python.exe D:\project\code\mqlutil\convert_util_new.py 
Traceback (most recent call last):
  File "D:\project\code\mqlutil\convert_util_new.py", line 77, in <module>
    resample(bt.TimeFrame.Seconds, 1, "temp.csv")
  File "D:\project\code\mqlutil\convert_util_new.py", line 71, in resample
    cerebro.run()
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\cerebro.py", line 1542, in _runnext
    drets.append(d.next(ticks=False))
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\feed.py", line 407, in next
    ret = self.load()
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\feed.py", line 523, in load
    retff = ff(self, *fargs, **fkwargs)
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\resamplerfilter.py", line 522, in __call__
    self.bar.bupdate(data)  # update new or existing bar
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\dataseries.py", line 199, in bupdate
    self.high = max(self.high, data.high[0])
  File "D:\software\anaconda\envs\py38_lh\lib\site-packages\backtrader\lineseries.py", line 461, in __getattr__
    return getattr(self.lines, name)
AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'high'

I want to know is cerebro.resampledata could use for bidask csv?If possible, what is the problem with my code？ Thank you.

陆韬

Can anyone help me. Thank you

Hanery

Python
import pandas as pd

Read the bidaskcsv file into a Pandas DataFrame

df = pd.read_csv("bidaskcsv.csv")

Resample the DataFrame to 1 minute intervals

df = df.resample('1T').agg({'bid': 'mean', 'ask': 'mean'})

Save the resampled DataFrame to a new file

df.to_csv("bidask_1min.csv")
Use code with caution. Learn more
This code will read the bidaskcsv file into a Pandas DataFrame and then resample the DataFrame to 1 minute intervals. The resampled DataFrame will be saved to a new file called bidask_1min.csv.

The resample() method in Pandas takes a string as its first argument. This string specifies the frequency of the resampling. In this case, we are resampling the DataFrame to 1 minute intervals, so we use the string '1T'.

The resample() method also takes a dictionary as its second argument. This dictionary specifies the aggregation functions that should be used for each column. In this case, we are averaging the bid and ask prices, so we use the aggregation functions 'mean' for both columns.

Once the DataFrame has been resampled, it can be saved to a new file using the to_csv() method.