[SOLVED] Version: 1.9.73.123 - Still issues with resampling minutes to days?

[AB]

Hey,

I'm having an issue with resampling to days. Everything else, 15M, weeks and months works. Days wont...

Im running a adjusted verison (to my datafeed) of the script posted here?

The fix suggested last year seems to be implemented in resamplerfilter.py...

Can anybody confirm this?

Thx,
Andreas

Error:

Traceback (most recent call last):
  File "test_resampling.py", line 62, in <module>
    runstrat()
  File "test_resampling.py", line 41, in runstrat
    cerebro.run()
  File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1557, in _runnext
    dt0 = min((d for i, d in enumerate(dts)
ValueError: min() arg is an empty sequence

[backtrader]

Your message contains the following keywords:

• Still?

  Were there?

• Error:

  And the code is ... (you run your own "adjusted" version of something)

• Data: None

What are you expecting? Cellular Osmosis?

[AB]

Ok, I solved it... Of course a user error (and I'm not expecting cellular osmosis, LOL).

Short story (Fix):
When u start dealing with Multiple timeframes and resampling, labeling the timeframe of your datafeed becomes important. It might be important before as well, I just didn't notice.

data = bt.feeds.PandasData(dataname=df,timeframe=bt.TimeFrame.Minutes)

Looong story (since I typed it up already and explains the story of identifying this issue):

Where there?

As in version 1.9.66.122

1.9.67.122

• Fix compression only scenarios when resampling and resampling after

  changes in 1.9.66.122

• Final correction for rollover fix introduced in 1.9.66.122

• Cover use case for mininum period calculation when all

  operations/indicators don't use the data feeds directly but lines of it

Script I'm running:

from __future__ import (absolute_import, division, print_function,
						unicode_literals)

import argparse

import backtrader as bt
import backtrader.feeds as btfeeds
import numpy as np


def runstrat():
	args = parse_args()

	# Create a cerebro entity
	cerebro = bt.Cerebro(stdstats=False)

	# Add a strategy
	cerebro.addstrategy(bt.Strategy)
	
	# Handy dictionary for the argument timeframe conversion
	tframes = dict(
		minute=bt.TimeFrame.Minutes,
		daily=bt.TimeFrame.Days,
		weekly=bt.TimeFrame.Weeks,
		monthly=bt.TimeFrame.Months)
	
	
	# Load the Data
	dataframe = np.load('dataframe_1S_min.npy').item()
	
	for symbol, df in dataframe.items():
		print(df)
		data = bt.feeds.PandasData(dataname=df)
		# Add the Data Feed to Cerebro
		cerebro.adddata(data)
		cerebro.resampledata(data,
						 timeframe=tframes[args.timeframe],
						 compression=args.compression)

	# Run over everything
	cerebro.run()

	# Plot the result
	cerebro.plot(style='bar')


def parse_args():
	parser = argparse.ArgumentParser(
		description='Pandas test script')

	parser.add_argument('--timeframe', default='daily', required=False,
						choices=['minute','daily', 'weekly', 'monhtly'],
						help='Timeframe to resample to')

	parser.add_argument('--compression', default=1, required=False, type=int,
						help='Compress n bars into 1')

	return parser.parse_args()


if __name__ == '__main__':
	runstrat()

Data screen grab:

                               open      high       low     close  volume  openinterest
2019-05-02 09:30:00-04:00  184.5000  184.5700  184.5000  184.5100     752             1
2019-05-02 09:31:00-04:00  184.3600  184.7000  183.5600  183.7500  174074             1
2019-05-02 09:32:00-04:00  183.7500  183.8100  183.3800  183.5000   35592             1
...                             ...       ...       ...       ...     ...           ...
2019-05-10 15:57:00-04:00  175.6800  175.7900  175.5400  175.7900   97358             1
2019-05-10 15:58:00-04:00  175.7850  175.9800  175.6400  175.7400  111693             1
2019-05-10 15:59:00-04:00  175.7600  176.0400  175.4700  175.8400  204595             1

[2728 rows x 6 columns]

Script instructions:

python test_resampling.py --timeframe weekly --compression 1

Result: Works

Script instructions:

python test_resampling.py --timeframe minute --compression 15

Result: Works

Script instructions:

python test_resampling.py --timeframe daily --compression 1

Result: Error

Traceback (most recent call last):
  File "test_resampling.py", line 62, in <module>
    runstrat()
  File "test_resampling.py", line 41, in runstrat
    cerebro.run()
  File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1557, in _runnext
    dt0 = min((d for i, d in enumerate(dts)
ValueError: min() arg is an empty sequence

The clue, which solved the problem:
After looking at the plots again. It seems that the first data feed gets labeled as "Days" even though it's provided in minutes.