initializing resampled/replayed data
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Hello,
I want to reduce the time required for backfilling.
I was wondering whether it is ever possible to backfill replayed data. Currently backfilling is done via executing the strategy on low time frame data and higher time framed replayed datas, which takes a bit of time. I just need to do backfilling to initialize higher time frame datas before executing my strategy live.
It would be easier for me if I was directly allowed to provide higher timeframe data myself instead of executing the strategy for backfilling.
Best
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@bb2 said in initializing resampled/replayed data:
I was wondering whether it is ever possible to backfill replayed data
No.
But your source data could provide the higher target timeframe until it deems fit to provide the smaller timeframe ticks. The replay filter should take the higher target timeframe as it is until it sees smaller ticks which will be accumulated.
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@backtrader thank you for the suggestion. Though would that still work If I need to replay multiple timeframes?
I was thinking of resampling my low tf data dataframe with pandas to higher timeframe and use it for backfilling source. (if I got you right above).
If I have multiple replays, then I will do the pandas resampling multiple times, but I think concatenating and backfilling wouldn't be the right approach, because they have different compressions on bt PandasData level.
What would you suggest for multiple replays?
