3. Strategy execution on different timeframes and multi-data
For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/

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).

    0

  • 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.

    0
  • 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()
    1

  • @backtrader thank you sir

    0
  • S

    this is very helpful - I typically backtest over same time series with 1min resolution for executions. Thanks for posting.

    0
  • H

    @backtrader @RandyT @Systematica

    I'm trying to implement this with the following live code:

    from __future__ import (absolute_import, division, print_function,
                        unicode_literals)


import datetime

import backtrader as bt

class St(bt.Strategy):

    def __init__(self):
        self.lendata1 = 0

    data_live = False

    def notify_data(self, data, status, *args, **kwargs):
        print('*' * 5, data._name ,'DATA NOTIF:', data._getstatusname(status),
              *args)
        if status == data.LIVE:
            self.data_live = True

    def next(self):
        txt = list()
        txt.append('Data0')
        txt.append('%04d' % len(self.data0))
        dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
        txt.append('{}'.format(self.data.datetime[0]))
        txt.append('%s' % self.data.datetime.datetime(0).strftime(dtfmt))
        txt.append('{}'.format(self.data.open[0]))
        txt.append('{}'.format(self.data.high[0]))
        txt.append('{}'.format(self.data.low[0]))
        txt.append('{}'.format(self.data.close[0]))
        txt.append('{}'.format(self.data.volume[0]))
        txt.append('{}'.format(self.data.openinterest[0]))
        print(', '.join(txt))

        if len(self.datas) > 1 and len(self.data1):
            txt = list()
            txt.append('Data1')
            txt.append('%04d' % len(self.data1))
            dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
            txt.append('{}'.format(self.data1.datetime[0]))
            txt.append('%s' % self.data1.datetime.datetime(0).strftime(dtfmt))
            txt.append('{}'.format(self.data1.open[0]))
            txt.append('{}'.format(self.data1.high[0]))
            txt.append('{}'.format(self.data1.low[0]))
            txt.append('{}'.format(self.data1.close[0]))
            txt.append('{}'.format(self.data1.volume[0]))
            txt.append('{}'.format(self.data1.openinterest[0]))
            print(', '.join(txt))

        if len(self.data1) > self.lendata1:
            print(len(self.data1))
            self.lendata1 += 1
            print(self.lendata1)

def runstrat(args=None):

    cerebro = bt.Cerebro()

    # Store
    store = bt.stores.IBStore(port=7497, host='127.0.0.1')

    # Data feed
    data = store.getdata(dataname='AUD.CAD-CASH-IDEALPRO')
    data1 = store.getdata(dataname='AUD.CAD-CASH-IDEALPRO')
    tf0n = str('1m')
    tf1n = str('5m')
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes,
                         compression=1, name=tf0n)
    cerebro.resampledata(data1, timeframe=bt.TimeFrame.Minutes,
                         compression=5, name=tf1n)
    # Broker
    cerebro.broker = store.getbroker()

    # Strategy
    cerebro.addstrategy(St)

    # Execute
    cerebro.run()

if __name__ == '__main__':
    runstrat()

    The problem I'm having is that even though I have initiated lendata1 on init, it doesn't seem to be updating on next. The line printed 1 should be 1180, 2 should be 1181 and 282 should be 1197.

    Server Version: 76
TWS Time at connection:20181210 13:50:51 AEST
***** 1m DATA NOTIF: DELAYED
***** 5m DATA NOTIF: DELAYED
1340,2018-12-10T01:34:00,1m,0.95982,0.95984,0.95971,0.95975,-1.00000
1180
1
1341,2018-12-10T01:35:00,1m,0.95975,0.95983,0.95963,0.95964,-1.00000
1181
2
...
***** 1m DATA NOTIF: LIVE
***** 5m DATA NOTIF: LIVE
Data0, 0282, 737038.122222, 2018-12-09T21:56:00.000000, 0.9598, 0.95981, 0.95979, 0.95979, 0.0, 0.0
Data1, 1197, 737038.121528, 2018-12-09T21:55:00.000000, 0.95981, 0.95982, 0.95978, 0.95981, -1.0, 0.0
1197
282

    I assume that it is because of the backfill. I was wondering if you had any suggestions? Thank you.

    Weirdly, it has been working when testing on different timeframes. The following code modification stores the correct values for self.lendata1

        # Data feed
    data = store.getdata(dataname='AUD.CAD-CASH-IDEALPRO')
    data1 = store.getdata(dataname='AUD.CAD-CASH-IDEALPRO')
    tf0n = str('5m')
    tf1n = str('1h')
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes,
                         compression=5, name=tf0n)
    cerebro.resampledata(data1, timeframe=bt.TimeFrame.Minutes,
                         compression=60, name=tf1n)

    UPDATE: I have used the following:

    def nextstart(self):
     self.lendata1 = len(self.data1)

    Updated code:

    from __future__ import (absolute_import, division, print_function,
                        unicode_literals)


import datetime

import backtrader as bt

class St(bt.Strategy):

    def __init__(self):
        self.lendata1 = 0

    data_live = False

    def notify_data(self, data, status, *args, **kwargs):
        print('*' * 5, data._name ,'DATA NOTIF:', data._getstatusname(status),
              *args)
        if status == data.LIVE:
            self.data_live = True

    def nextstart(self):
        self.lendata1 = len(self.data1)

    def next(self):
        txt = list()
        txt.append('Data0')
        txt.append('{}'.format(len(self.data0)))
        txt.append('{}'.format(self.data.datetime.datetime(0).isoformat()))
        txt.append('{}'.format(self.data.open[0]))
        txt.append('{}'.format(self.data.high[0]))
        txt.append('{}'.format(self.data.low[0]))
        txt.append('{}'.format(self.data.close[0]))
        txt.append('{}'.format(self.data.volume[0]))
        txt.append('{}'.format(self.data.openinterest[0]))
        print(', '.join(txt))

        if len(self.datas) > 1 and len(self.data1):
            txt = list()
            txt.append('Data1')
            txt.append('{}'.format(len(self.data1)))
            txt.append('{}'.format(self.data1.datetime.datetime(0).isoformat()))
            txt.append('{}'.format(self.data1.open[0]))
            txt.append('{}'.format(self.data1.high[0]))
            txt.append('{}'.format(self.data1.low[0]))
            txt.append('{}'.format(self.data1.close[0]))
            txt.append('{}'.format(self.data1.volume[0]))
            txt.append('{}'.format(self.data1.openinterest[0]))
            print(', '.join(txt))

        if len(self.data1) > self.lendata1:
            print(len(self.data1))
            self.lendata1 += 1
            print(self.lendata1)
            print('new higher tf bar')

def runstrat(args=None):

    cerebro = bt.Cerebro()

    # Store
    store = bt.stores.IBStore(port=7497, host='127.0.0.1')

    # Data feed
    data = store.getdata(dataname='AUD.CAD-CASH-IDEALPRO',
                         timeframe=bt.TimeFrame.Ticks)
    
    tf0n = str('30s')
    tf1n = str('2m')

    cerebro.resampledata(data, timeframe=bt.TimeFrame.Seconds,
                         compression=30, name=tf0n)

    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes,
                         compression=2, name=tf1n)

    # Broker
    cerebro.broker = store.getbroker()

    # Strategy
    cerebro.addstrategy(St)

    # Execute
    cerebro.run()

if __name__ == '__main__':
    runstrat()
    0
 
});