3. Problem with resampling 1m data to 5m/15m
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Problem with resampling 1m data to 5m/15m


  • I have 1m OHLC data and would like to compress that into 5m and 15m data. I know Backtrader has resampling and I tried different options but I still can't get it to align correctly with my data and charts at TradingView.

    What I want to achieve:

    1m bars 17:00-17:04 (inclusive) -> 5m bar dated 17:00

    What Backtrader does by default:

    1m bars 17:01-17:05 (inclusive) -> 5m bar dated 17:05

    Obviously this gives me OHLC data that is not matching what I want so I used the boundoff=1 option. This results in correct OHLC for the 5m bars but they are dated incorrectly for my needs, like this:

    1m bars 17:00-17:04 (inclusive) -> 5m bar dated 17:04

    I tried other resampling options but perhaps I don't fully understand them and I could not get the result I want.

    Could you give me some hints if it can be achieved before I dive into the Backtrader code?

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  • B
    administrators

    You want rightedge=False. Docs - Data Resampling

    But what you probably really want is to resample your data outise of backtrader and thenn lod it, to avoid a problem with the convention.

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  • @backtrader I tried that already and it does not seem to have any effect - I get the same results with either rightedge=false or true (default I guess).

    Might that be a conflict of this option with boundoff=1?

    In any case, I would prefer to avoid processing the data outside of Backtrader because I already am storing 1m bar data so no point storing 5m as well. So I'm thinking about writing a data source for Backtrader which converts this automatically or adding an option to the resampling method that outputs correct bars for my use case. If I would make it work with resampling, does it make sense to put it in a PR?

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  • B
    administrators

    There were several patches to resampling, which probably had an impact on rightedge.

    Use this code as a template to achieve your desired effect.

        rd = cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=5)

    def _new_load(self):
        ret = self._old_load()
        if ret:
            dt = self.datetime.datetime(0)
            self.datetime[0] = bt.date2num(dt - datetime.timedelta(minutes=5))

        return ret

    rd._old_load, rd._load = rd._load, _new_load.__get__(rd, rd.__class__)
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