3. Question on resampledata with 1min data to 60 mins
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Question on resampledata with 1min data to 60 mins


  • Hi,

    I'm resampling the 1 min data into 60 mins, with session start at 9:15 AM,

    data = bt.feeds.GenericCSVData(
        dataname=datapath,
        fromdate=datetime.datetime(2019, 2, 26),
        todate=datetime.datetime(2019, 2, 27),
        timeframe=bt.TimeFrame.Minutes,
        sessionstart=datetime.time(9, 15),
        sessionend=datetime.time(15, 30),
        dtformat=('%Y%m%d %H%M%S'),
        headers=False,
        separator=';',
        datetime=0,
        time=-1,
        open=1,
        high=2,
        low=3,
        close=4,
        volume=5,
        openinterest=-1)

cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=60)

    1min data as following

    2019-02-26 09:15:00, Open: 10794.00, High: 10818.00, Low: 10793.00, Close: 10817.60, Volume: 384900
2019-02-26 09:16:00, Open: 10817.00, High: 10833.00, Low: 10816.55, Close: 10833.00, Volume: 145650
2019-02-26 09:17:00, Open: 10831.70, High: 10843.45, Low: 10830.60, Close: 10830.60, Volume: 137250
2019-02-26 09:18:00, Open: 10831.40, High: 10836.00, Low: 10820.10, Close: 10820.10, Volume: 128400
2019-02-26 09:19:00, Open: 10820.10, High: 10821.05, Low: 10805.75, Close: 10815.05, Volume: 107550
2019-02-26 09:20:00, Open: 10816.10, High: 10816.10, Low: 10798.00, Close: 10798.00, Volume: 125550
.
.
.
2019-02-26 15:24:00, Open: 10826.85, High: 10827.35, Low: 10824.00, Close: 10826.25, Volume: 32400
2019-02-26 15:25:00, Open: 10826.40, High: 10826.90, Low: 10825.00, Close: 10825.00, Volume: 49050
2019-02-26 15:26:00, Open: 10825.00, High: 10825.50, Low: 10823.60, Close: 10823.65, Volume: 82800
2019-02-26 15:27:00, Open: 10823.75, High: 10825.00, Low: 10823.65, Close: 10824.50, Volume: 53100
2019-02-26 15:28:00, Open: 10824.00, High: 10825.90, Low: 10824.00, Close: 10824.95, Volume: 84750
2019-02-26 15:29:00, Open: 10825.00, High: 10825.00, Low: 10822.00, Close: 10822.00, Volume: 114750

    60mins resample as following

    2019-02-26 10:00:00, Open: 10794.00, High: 10843.45, Low: 10732.00, Close: 10732.75, Volume: 3788550
2019-02-26 11:00:00, Open: 10734.00, High: 10806.35, Low: 10725.20, Close: 10793.80, Volume: 3184800
2019-02-26 12:00:00, Open: 10794.95, High: 10847.05, Low: 10792.75, Close: 10832.75, Volume: 2198400
2019-02-26 13:00:00, Open: 10832.75, High: 10874.00, Low: 10815.75, Close: 10856.05, Volume: 1879650
2019-02-26 14:00:00, Open: 10856.05, High: 10862.00, Low: 10827.00, Close: 10845.95, Volume: 1197675
2019-02-26 15:00:00, Open: 10845.95, High: 10892.80, Low: 10817.00, Close: 10836.25, Volume: 2613675
2019-02-26 16:00:00, Open: 10835.55, High: 10844.00, Low: 10821.85, Close: 10822.00, Volume: 1374750

    60mins resample starts frin 9 AM instead of 9:15 AM thats specified in the session start.

    Can the resample to start from 9:15, instead of 9:00 Hours?

    thanks in advance
    Sathish

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     1 Reply
  • B
    administrators

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    60mins resample starts frin 9 AM instead of 9:15 AM thats specified in the session start.
    Can the resample to start from 9:15, instead of 9:00 Hours?

    Sorry, but you see something which the rest of us probably doesn't ...

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    2019-02-26 10:00:00, Open: 10794.00, High: 10843.45, Low: 10732.00, Close: 10732.75, Volume: 3788550
2019-02-26 11:00:00, Open: 10734.00, High: 10806.35, Low: 10725.20, Close: 10793.80, Volume: 3184800
...

    The first resampled bar has a timestamp of 10:00:00 ...

    0 1 Reply

  • @backtrader said in Question on resampledata with 1min data to 60 mins:

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    60mins resample starts frin 9 AM instead of 9:15 AM thats specified in the session start.
    Can the resample to start from 9:15, instead of 9:00 Hours?

    Sorry, but you see something which the rest of us probably doesn't ...

    I did search in the community to see if anyone ran into similar issue, I didn't!

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    2019-02-26 10:00:00, Open: 10794.00, High: 10843.45, Low: 10732.00, Close: 10732.75, Volume: 3788550
2019-02-26 11:00:00, Open: 10734.00, High: 10806.35, Low: 10725.20, Close: 10793.80, Volume: 3184800
...

    The first resampled bar has a timestamp of 10:00:00 ...

    Yes right, it starts resample at 10:00 hours where I'm expecting 10:15, I can share the 1min data, if thats going to help to know on this issue.

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     1 Reply
  • B
    administrators

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    @backtrader said in Question on resampledata with 1min data to 60 mins:

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    60mins resample starts frin 9 AM instead of 9:15 AM thats specified in the session start.
    Can the resample to start from 9:15, instead of 9:00 Hours?

    Sorry, but you see something which the rest of us probably doesn't ...

    I did search in the community to see if anyone ran into similar issue, I didn't!

    This was meant as that you said 09:00 and there was no 09:00 in your post.

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    2019-02-26 10:00:00, Open: 10794.00, High: 10843.45, Low: 10732.00, Close: 10732.75, Volume: 3788550
2019-02-26 11:00:00, Open: 10734.00, High: 10806.35, Low: 10725.20, Close: 10793.80, Volume: 3184800
...

    The first resampled bar has a timestamp of 10:00:00 ...

    Yes right, it starts resample at 10:00 hours where I'm expecting 10:15, I can share the 1min data, if thats going to help to know on this issue.

    The bar ends at 10:00 it doesn't start there. The timestamp is the last timestamp that was considered for the bar.

    See if the boundoff parameter can help. Docs - Data Resampling

    0 1 Reply

  • @backtrader said in Question on resampledata with 1min data to 60 mins:

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    @backtrader said in Question on resampledata with 1min data to 60 mins:

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    60mins resample starts frin 9 AM instead of 9:15 AM thats specified in the session start.
    Can the resample to start from 9:15, instead of 9:00 Hours?

    Sorry, but you see something which the rest of us probably doesn't ...

    I did search in the community to see if anyone ran into similar issue, I didn't!

    This was meant as that you said 09:00 and there was no 09:00 in your post.

    Sorry, I didn't say it right, let me rephrase it,

    Trading session starts at 9:15 AM and ends at 3:30 PM.

    And my 1 min data starts at 9:15 AM and goes till 3:30 PM.

    when i resample this data to 60 mins, I expect data to start 9:15 , 10:15, 11:15, 12:15 ... 2:15, 3:15, but the actual result is 10:00 AM to 4:00 PM.

    expected resample data like following (Exported from Amibroker)

    2019-02-26 09:15:00,10794.00,10843.45,10725.20,10758.00,4740525
2019-02-26 10:15:00,10756.90,10808.75,10743.20,10804.75,2665425
2019-02-26 11:15:00,10803.05,10847.05,10796.10,10831.00,2006025
2019-02-26 12:15:00,10830.05,10874.00,10815.75,10853.00,1806600
2019-02-26 13:15:00,10853.00,10860.40,10827.00,10858.25,1344075
2019-02-26 14:15:00,10858.25,10892.80,10817.00,10829.00,2825550
2019-02-26 15:15:00,10828.05,10835.90,10821.85,10822.00,849300

    I do set the session start and end dates on the initial data load, is this expected?

    @tradersatz said in Question on resampledata with 1min data to 60 mins:

    2019-02-26 10:00:00, Open: 10794.00, High: 10843.45, Low: 10732.00, Close: 10732.75, Volume: 3788550
2019-02-26 11:00:00, Open: 10734.00, High: 10806.35, Low: 10725.20, Close: 10793.80, Volume: 3184800
...

    The first resampled bar has a timestamp of 10:00:00 ...

    Yes right, it starts resample at 10:00 hours where I'm expecting 10:15, I can share the 1min data, if thats going to help to know on this issue.

    The bar ends at 10:00 it doesn't start there. The timestamp is the last timestamp that was considered for the bar.

    See if the boundoff parameter can help. Docs - Data Resampling

    with boundoff=-15,

    2019-02-26 09:15:00, 10794.00,10818.00,10793.00,10817.60,384900
2019-02-26 10:15:00, 10817.00,10843.45,10725.20,10757.00,4399200
2019-02-26 11:15:00, 10757.75,10808.75,10743.20,10805.00,2651175
2019-02-26 12:15:00, 10805.00,10847.05,10796.10,10829.75,2014575
2019-02-26 13:15:00, 10829.75,10874.00,10815.75,10850.25,1785600
2019-02-26 14:15:00, 10852.25,10860.40,10827.00,10857.20,1417125
2019-02-26 15:15:00, 10857.25,10892.80,10817.00,10835.90,2774700
2019-02-26 16:00:00, 10835.10,10835.10,10821.85,10822.00,810225

    this is better, but not matching whats expected.

    thanks

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  • B
    administrators

    The easiest to would be to substract 15 minutes to all your timestamps with a filter and then resample.

    0 2 Replies

  • @backtrader said in Question on resampledata with 1min data to 60 mins:

    The easiest to would be to substract 15 minutes to all your timestamps with a filter and then resample.

    If you can point me documentation or code sample on the filter approach will be of great help.

    I'm still curious why Session start time provided on the data source not considered while resampling, is that per design?

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  • @backtrader said in Question on resampledata with 1min data to 60 mins:

    The easiest to would be to substract 15 minutes to all your timestamps with a filter and then resample.

    Playing around more with different resample mintues,

    15 mins setup

    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=15)

    result:

    2019-02-26 09:30:00, 10794.00,10843.45,10789.55,10805.00,1605225
2019-02-26 09:45:00, 10805.30,10807.30,10775.05,10782.00,912975
2019-02-26 10:00:00, 10782.00,10786.25,10761.00,10764.80,825375
.
.
.
2019-02-26 15:00:00, 10878.05,10879.90,10817.00,10834.90,822975
2019-02-26 15:15:00, 10833.20,10844.00,10823.00,10829.00,563325
2019-02-26 15:30:00, 10828.05,10835.90,10821.85,10822.00,849300

    30 mins setup

    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=30)

    result:

    2019-02-26 09:30:00, 10794.00,10843.45,10789.55,10805.00,1605225
2019-02-26 10:00:00, 10805.30,10807.30,10761.00,10764.80,1738350
2019-02-26 10:30:00, 10764.45,10777.35,10725.20,10775.20,2370375
.
.
.
2019-02-26 14:30:00, 10849.90,10866.00,10837.05,10864.75,931950
2019-02-26 15:00:00, 10865.80,10892.80,10817.00,10834.90,1656675
2019-02-26 15:30:00, 10833.20,10844.00,10821.85,10822.00,1412625

    60 mins setup

    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=60)

    result:

    2019-02-26 10:00:00, 10794.00,10843.45,10761.00,10764.80,3343575
2019-02-26 11:00:00, 10764.45,10806.35,10725.20,10794.85,3613125
2019-02-26 12:00:00, 10793.00,10847.05,10792.75,10827.85,2194800
2019-02-26 13:00:00, 10828.00,10874.00,10815.75,10853.10,1884750
2019-02-26 14:00:00, 10851.15,10862.00,10827.00,10849.90,1200000
2019-02-26 15:00:00, 10849.90,10892.80,10817.00,10834.90,2588625
2019-02-26 15:30:00, 10833.20,10844.00,10821.85,10822.00,1412625

    As per my findings, It's working fine for 5, 10, 15 mins!
    It's not working for 30 mins and 60 mins.

    When I says not working, first bar in 60 mins should be 10:15, instead of 10, and for 30 mins, first bar to be 9:45.

    I'll dig into the code as well.

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data 7 resample 2 data-resample 1
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