Idiomatic way for adding multiple ibstore live data with different resampling and the same backfill start date

z_kvn

Hello

Suppose I want live data for a same security in 4 different timeframes: 1 minute, 15 minutes, 1 hour and 1 day, and trade on the smallest granular data which is 1 minute bar. I also need to backfill from a specific historical start date to make sure good indicator values coming out from the daily bars. To make sure I don't miss any good minute bar data, the smallest granular data source is 20 seconds bar with "qcheck=2" and "rtbar=True". Is below idiomatic way to do it? Do I have to specify "fromdate" argument for every "ibstore.getdata(...)" line?

Many thanks.

Kevin

data0= ibstore.getdata('FOO', timeframe=bt.TimeFrame.Seconds, compression=20, 
                    rtbar=True,
                    qcheck =2,
                    fromdate=datetime.datetime(2018,9,1) )

min_bar= cerebro.resampledata(data0, timeframe=bt.TimeFrame.Minutes,compression=1,name='min_bar')

data1= ibstore.getdata('FOO', timeframe=bt.TimeFrame.Minutes,  compression=15,
                    fromdate=datetime.datetime(2018,9,1))    

quarter_bar= cerebro.resampledata(data1, timeframe=bt.TimeFrame.Minutes,
                    compression=15,name='quarter_bar')    

data2= ibstore.getdata('FOO', timeframe=bt.TimeFrame.Minutes,  compression=60, 
                    fromdate=datetime.datetime(2018,9,1))    

hr_bar= cerebro.resampledata(data2, timeframe=bt.TimeFrame.Minutes,
                    compression=60,name='hr_bar')    

data3=ibstore.getdata(data2,timeframe=bt.TimeFrame.Days,compression=1,
                    fromdate=datetime.datetime(2018,9,1))   

day_bar= cerebro.resampledata(data3, timeframe=bt.TimeFrame.Days,
                    compression=1,name='day_bar')

z_kvn

The code is not quite stable as sometimes it would return an error like below, sometimes it would run just fine.

***** DATA NOTIF: DELAYED
***** DATA NOTIF: DELAYED
***** DATA NOTIF: DELAYED
***** DATA NOTIF: DELAYED
***** DATA NOTIF: UNKNOWN -420
Traceback (most recent call last):
.......
return self.data.datetime.datetime(0)
File ".../backtrader/linebuffer.py", line 387, in datetime
return num2date(self.array[self.idx + ago],
IndexError: array index out of range

yoghurtshawn

I found a similar exception as well. Does anyone have some idea about this problem?