Strategy execution on different timeframes and multi-data
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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 hittingnext()for every tick ofdata0 (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 Strategynext()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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nextis called for any tick which any data produces. Concentrating on a specific data is a matter of looking at thelenof the data.When the
lenof the data changes (it will always go up) you know you got a tick of that datadef 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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this is very helpful - I typically backtest over same time series with 1min resolution for executions. Thanks for posting.
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@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 282I 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()
