Indicator based on other indicators with 2 data feeds

Søren Pallesen

Getting an error when base an indicator on a calculation of two other indicators from a second data feed:

import backtrader as bt
import backtrader.indicators as btind

class myStrategy(bt.SignalStrategy):        
    def __init__(self):
        self.ema_day = btind.EMA(self.data1, period=15)
        self.kama_day = btind.KAMA(self.data1, period=25, fast=3, slow=30)
        differ = self.ema_day - self.kama_day
        self.roc = btind.ROC(differ, period=6)

    def next(self):
        pass

data = bt.feeds.GenericCSVData(
    dataname='./data/VXX-15m-2017-10-01us.csv',
    dtformat='%Y-%m-%d %H:%M:%S',
    openinterest=-1, 
    timeframe=bt.TimeFrame.Minutes, 
    compression=15
)    
    
data_day = bt.feeds.GenericCSVData(
    dataname='./data/VXX-1d-2017-10-01us.csv',
    dtformat='%Y-%m-%d',
    openinterest=-1, 
    timeframe=bt.TimeFrame.Days, 
    compression=1
)

cerebro = bt.Cerebro()
cerebro.addstrategy(myStrategy)
cerebro.adddata(data)
cerebro.adddata(data_day)

cerebro.run()
cerebro.plot()

And get this error: ValueError: x and y must have same first dimension, but have shapes (7542,) and (300,)

Here is the full message:

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-1-6c0f97016110> in <module>
     34 
     35 cerebro.run()
---> 36 cerebro.plot()

~\Anaconda3\envs\IBbt\lib\site-packages\backtrader\cerebro.py in plot(self, plotter, numfigs, iplot, start, end, width, height, dpi, tight, use, **kwargs)
    989                 rfig = plotter.plot(strat, figid=si * 100,
    990                                     numfigs=numfigs, iplot=iplot,
--> 991                                     start=start, end=end, use=use)
    992                 # pfillers=pfillers2)
    993 

~\Anaconda3\envs\IBbt\lib\site-packages\backtrader\plot\plot.py in plot(self, strategy, figid, numfigs, iplot, start, end, **kwargs)
    226                         subinds=self.dplotsover[ind],
    227                         upinds=self.dplotsup[ind],
--> 228                         downinds=self.dplotsdown[ind])
    229 
    230             cursor = MultiCursor(

~\Anaconda3\envs\IBbt\lib\site-packages\backtrader\plot\plot.py in plotind(self, iref, ind, subinds, upinds, downinds, masterax)
    450                 xdata = np.array(xdata)[lplotmask]
    451 
--> 452             plottedline = pltmethod(xdata, lplotarray, **plotkwargs)
    453             try:
    454                 plottedline = plottedline[0]

~\Anaconda3\envs\IBbt\lib\site-packages\matplotlib\__init__.py in inner(ax, *args, **kwargs)
   1715                     warnings.warn(msg % (label_namer, func.__name__),
   1716                                   RuntimeWarning, stacklevel=2)
-> 1717             return func(ax, *args, **kwargs)
   1718         pre_doc = inner.__doc__
   1719         if pre_doc is None:

~\Anaconda3\envs\IBbt\lib\site-packages\matplotlib\axes\_axes.py in plot(self, *args, **kwargs)
   1370         kwargs = cbook.normalize_kwargs(kwargs, _alias_map)
   1371 
-> 1372         for line in self._get_lines(*args, **kwargs):
   1373             self.add_line(line)
   1374             lines.append(line)

~\Anaconda3\envs\IBbt\lib\site-packages\matplotlib\axes\_base.py in _grab_next_args(self, *args, **kwargs)
    402                 this += args[0],
    403                 args = args[1:]
--> 404             for seg in self._plot_args(this, kwargs):
    405                 yield seg
    406 

~\Anaconda3\envs\IBbt\lib\site-packages\matplotlib\axes\_base.py in _plot_args(self, tup, kwargs)
    382             x, y = index_of(tup[-1])
    383 
--> 384         x, y = self._xy_from_xy(x, y)
    385 
    386         if self.command == 'plot':

~\Anaconda3\envs\IBbt\lib\site-packages\matplotlib\axes\_base.py in _xy_from_xy(self, x, y)
    241         if x.shape[0] != y.shape[0]:
    242             raise ValueError("x and y must have same first dimension, but "
--> 243                              "have shapes {} and {}".format(x.shape, y.shape))
    244         if x.ndim > 2 or y.ndim > 2:
    245             raise ValueError("x and y can be no greater than 2-D, but have "

ValueError: x and y must have same first dimension, but have shapes (7542,) and (300,)

Its a resent install of BT (v1.9.67.122). I'm properly missing something simple ...Any ideas?

backtrader

You are getting a plotting error due to the usage of multiple data feeds with different timeframes. The calculation has run fine. Not all plotting scenarios can be handled.

Søren Pallesen

@søren-pallesen said in Indicator based on other indicators with 2 data feeds:

@backtrader thanks for the response. Just to be clear there are no problems plotting with multiple data feeds with different timeframes. It breaks when I add calculated indicators on the 2nd feed like:

        differ = self.ema_day - self.kama_day
        self.roc = btind.ROC(differ, period=6)

Adding the same calculated indicator on the first feed works and plots fine.

backtrader

It was already clear. It is simply that putting all things together in a matplotlib chart with multiple timeframes and multiple different lengths (due to indicators) cannot always be done. There were several iterations of the code to try to achieve it.