3. Strategy execution on different timeframes and multi-data
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Strategy execution on different timeframes and multi-data


  • I'm attempting to complete a system that generates indicators and signals based on a daily timeframe and execute trades against a data feed running on a minute timeframe. As I have written in other threads, I am looking at minute data for the ES and daily data for the SPY. I have set sessionend=dt.time(16, 00) for the daily timeframe resample of the SPY data so I would only expect to see the daily bar for SPY at 16:00 EST.

    Note: I am also making an assumption that the sessionend= variable is set to the time in the timezone of that instrument and not my local timezone.

    In Strategy next(), how do I ignore the ticks from the minute timeframe data (data0) and only evaluate conditions based on the daily closing bar (data1) that the indicators are processing? As it stands, it appears I am hitting next() for every tick of data0 (ES).

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  • I think part of what I am seeing here is a replay of all backfilled data from my IB feed on ES data0.

    Here is how I am sourcing data:

            # ES Futures Live data timeframe resampled to 1 Minute
        data0 = ibstore.getdata(dataname=args.live_es, fromdate=fetchfrom,
                                timeframe=bt.TimeFrame.Minutes, compression=1)
        cerebro.resampledata(data0, name="ES", timeframe=bt.TimeFrame.Minutes, compression=1)

        # SPY Live data timeframe resampled to 1 Day
        data1 = ibstore.getdata(dataname=args.live_spy, backfill_from=bfdata0,
                                timeframe=bt.TimeFrame.Days, compression=1,
                                sessionend=dt.time(16, 00))
        cerebro.resampledata(data1, name="SPY", timeframe=bt.TimeFrame.Days, compression=1)

    After a full replay of backfilled minute data0 (ES), I now see a tick per minute playing through Strategy next()

    I'd like to ignore these ticks since the only purpose for the ES feed is to execute a trade on that instrument.

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  • B
    administrators

    next is called for any tick which any data produces. Concentrating on a specific data is a matter of looking at the len of the data.

    When the len of the data changes (it will always go up) you know you got a tick of that data

    def start(self):
    self.lendata1 = 0
def next(self):
    if len(self.data1) > self.lendata1:
        self.lendata1 += 1
        do_something_here()
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  • @backtrader thank you sir

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