Poll live data - how to make this better

dasch

Hi

in the backtrader oanda v20 store, I added a method to use poll instead of stream. This provides volume in live data (which is delayed by the interval). I poll for data based on qcheck, but this will do a lot of unnecessary requests.

How would I best check if interval is about to end or how to minimize the amount of requests when no new data is expected?

For example when the timeframe is 15 Minutes, the feed should poll shortly after the timeframe is complete (0:00, 0:15, 0:30, 0:45 ... + a few microseconds)

Is there some functionality in backtrader to give me that info in a feed?

The oanda v20 store is located here:
https://github.com/ftomassetti/backtrader-oandav20

The last commit added the candles support

Thanks in advance for any ideas or help :)

dasch

Maybe an example of data I need would explain it a bit better:

Assume:
Now: 4:13
Period: 5 Min

Required time / data:
Previous complete period start: 4:05
Current period start: 4:10

I would then use previous period time for start time,
current period time stored, to check if it is different from current period start of current time (at 4:16 it would be 4:15 as start, so I would fetch new data if not already done and current stored period start is 4:15)

I hope that is more understandable

backtrader

@dasch said in Poll live data - how to make this better:

Is there some functionality in backtrader to give me that info in a feed?

Wrong area.

Your best bet is to use a: queue.Queue which can timeout if nothing has been put in the queue and is thread-safe: Python 3 Docs - queue - A synchronized queue class

Of course, if you are running in a independent thread you can simply call time.sleep on that thread if there is no communication with the outer world for thread control or message passing during the life of the thread.

You need to wait for the 1st period and then calculate an interval which leaves you a few micro/milli-seconds away from the next target.

dasch

I added a method to calculate the start time of the period.

It's for oanda, so i set the day, week and month to UTC 22:00 as the start time. Maybe someone will need this code, so here is how I do it.

def _getstarttime(self, timeframe, compression, dt = None, offset = 0):
       if dt == None:
           dt = datetime.utcnow()
       if timeframe == TimeFrame.Seconds:
           dt = dt.replace(second=dt.second//compression, microsecond=0)
           if offset > 0:
               dt = dt - timedelta(seconds=compression*offset)
       elif timeframe == TimeFrame.Minutes:
           hour = 0
           if compression >= 60:
               hour = compression//60
           minute = compression % 60
           dt = dt - timedelta(hours=hour, minutes=minute)
           dt = dt.replace(minute=dt.minute//minute, second=0, microsecond=0)
           if offset > 0:
               dt = dt - timedelta(minutes=compression*offset)
       elif timeframe == TimeFrame.Days:
           # start of day is UTC 22 (5pm new york)
           if dtnow.hour < 22:
               dt = dt - timedelta(days=1)
           if offset:
               dt = dt - timedelta(days=offset)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       elif timeframe == TimeFrame.Weeks:
           if dt.weekday() != 6:
               # sunday is start of week at 5pm new york
               dt = dt - timedelta(days=dt.weekday() + 1)
           if offset:
               dt = dt - timedelta(days=offset * 7)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       elif timeframe == TimeFrame.Months:
           if offset > 0:
               dt.replace(month=dt.month - offset)
           # last day of month
           last_day_of_month = dt.replace(day=28) + timedelta(days=4)
           last_day_of_month = last_day_of_month - timedelta(days=last_day_of_month.day)
           last_day_of_month = last_day_of_month.day
           # start of month (1 at 0, 22 last day of prev month)
           if dt.day < last_day_of_month:
               dt = dt - timedelta(days=dt.day)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       return dt

Edit:

This method above will not have correct start times for intervals > 60 minutes for intraday. Will post an updated version, which fixes that issue.

dasch

This method will return the start of the period based on current time (or provided time). It is using UTC 22:00 (5:00 pm New York) as the start of the day.

Fixed version:

   def _getstarttime(self, timeframe, compression, dt = None, offset = 0):
       if dt == None:
           dt = datetime.utcnow()
       if timeframe == TimeFrame.Seconds:
           dt = dt.replace(second=dt.second//compression, microsecond=0)
           if offset > 0:
               dt = dt - timedelta(seconds=compression*offset)
       elif timeframe == TimeFrame.Minutes:
           if compression >= 60:
               hours = 0
               minutes = 0
               # get start of day
               dtstart = self._getstarttime(TimeFrame.Days, 1, dt)
               #diff start of day with current time to get seconds since start of day
               dtdiff = dt - dtstart
               hours = dtdiff.seconds//((60*60)*(compression//60))
               minutes = compression % 60
               dt = dtstart + timedelta(hours=hours, minutes=minutes)
           else:
               dt = dt.replace(minute=compression, second=0, microsecond=0)
           if offset > 0:
               dt = dt - timedelta(minutes=compression*offset)
       elif timeframe == TimeFrame.Days:
           # start of day is UTC 22 (5pm new york)
           if dt.hour < 22:
               dt = dt - timedelta(days=1)
           if offset:
               dt = dt - timedelta(days=offset)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       elif timeframe == TimeFrame.Weeks:
           if dt.weekday() != 6:
               # sunday is start of week at 5pm new york
               dt = dt - timedelta(days=dt.weekday() + 1)
           if offset:
               dt = dt - timedelta(days=offset * 7)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       elif timeframe == TimeFrame.Months:
           if offset > 0:
               dt= dt - timedelta(days=(min(28+dt.day, 31)))
           # last day of month
           last_day_of_month = dt.replace(day=28) + timedelta(days=4)
           last_day_of_month = last_day_of_month - timedelta(days=last_day_of_month.day)
           last_day_of_month = last_day_of_month.day
           # start of month (1 at 0, 22 last day of prev month)
           if dt.day < last_day_of_month:
               dt = dt - timedelta(days=dt.day)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       return dt

dasch

I finished the polling, I am using sleep in a thread, the time diff I calculate by start of next period and current time.

Thanks again for your help @backtrader

   def poll_thread(self):
       t = threading.Thread(target=self._t_poll)
       t.daemon = True
       t.start()

   def _t_poll(self):
       dtstart = self._getstarttime(self._timeframe, self._compression, offset=2)
       qcandles = queue.Queue()
       while True:
           dtcurr = self._getstarttime(self._timeframe, self._compression)
           # request candles in live instead of stream
           if dtcurr > dtstart:
               if len(self) > 1:
                   # len == 1 ... forwarded for the 1st time
                   dtbegin = self.datetime.datetime(-1)
               elif self.fromdate > float('-inf'):
                   dtbegin = num2date(self.fromdate)
               else:  # 1st bar and no begin set
                   dtbegin = dtstart
               self.qlive = self.o.candles(
                   self.p.dataname, dtbegin, None,
                   self._timeframe, self._compression,
                   candleFormat=self._candleFormat,
                   onlyComplete=True,
                   includeFirst=False)
               dtstart = dtbegin
               # sleep until next call
               dtnow = datetime.utcnow()
               dtnext = self._getstarttime(self._timeframe, self._compression, dt=dtnow, offset=-1)
               dtdiff = dtnext - dtnow
               tmout = (dtdiff.days*24*60*60) + dtdiff.seconds + 1
               if tmout <= 0: tmout = 5
               _time.sleep(tmout)

   def _getstarttime(self, timeframe, compression, dt = None, offset = 0):
       '''This method will return the start of the period based on current 
       time (or provided time). It is using UTC 22:00 (5:00 pm New York) 
       as the start of the day.'''
       if dt == None:
           dt = datetime.utcnow()
       if timeframe == TimeFrame.Seconds:
           dt = dt.replace(second=(dt.second//compression)*compression, microsecond=0)
           if offset:
               dt = dt - timedelta(seconds=compression*offset)
       elif timeframe == TimeFrame.Minutes:
           if compression >= 60:
               hours = 0
               minutes = 0
               # get start of day
               dtstart = self._getstarttime(TimeFrame.Days, 1, dt)
               #diff start of day with current time to get seconds since start of day
               dtdiff = dt - dtstart
               hours = dtdiff.seconds//((60*60)*(compression//60))
               minutes = compression % 60
               dt = dtstart + timedelta(hours=hours, minutes=minutes)
           else:
               dt = dt.replace(minute=(dt.minute//compression)*compression, second=0, microsecond=0)
           if offset:
               dt = dt - timedelta(minutes=compression*offset)
       elif timeframe == TimeFrame.Days:
           # start of day is UTC 22 (5pm new york)
           if dt.hour < 22:
               dt = dt - timedelta(days=1)
           if offset:
               dt = dt - timedelta(days=offset)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       elif timeframe == TimeFrame.Weeks:
           if dt.weekday() != 6:
               # sunday is start of week at 5pm new york
               dt = dt - timedelta(days=dt.weekday() + 1)
           if offset:
               dt = dt - timedelta(days=offset * 7)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       elif timeframe == TimeFrame.Months:
           if offset:
               dt= dt - timedelta(days=(min(28+dt.day, 31)))
           # last day of month
           last_day_of_month = dt.replace(day=28) + timedelta(days=4)
           last_day_of_month = last_day_of_month - timedelta(days=last_day_of_month.day)
           last_day_of_month = last_day_of_month.day
           # start of month (1 at 0, 22 last day of prev month)
           if dt.day < last_day_of_month:
               dt = dt - timedelta(days=dt.day)
           dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
       return dt