Cannot access the resampled data in self defined indicators

[yoghurtshawn]

I had a data source in Minutes time frame, and I resampled it into 15 minutes data. However, I cannot get the resample data value in my custom Indicators' __init__ function (it calls some talib functions). It says "Exception: inputs are all NaN". Is there anything wrong?

[backtrader]

@yoghurtshawn said in Cannot access the resampled data in self defined indicators:

Is there anything wrong?

Knowledge osmosis is not yet possible. No data, no code, no nothing ... no answer

[yoghurtshawn]

Sorry.

The data look like this, being 1MIN kline and have been added.

Then, I resample it with cerebro.resample(data, timeframe=bt.TimeFrame.Minutes, compression=15), hoping to get klines of 15MIN.

It can be accessed in bt.indicators.SimpleMovingAverage(self.datas[1].close, period=30) and it works fine.

However, when the indicator is defined by myself, for example,

class SMACustIndicator(Indicator):
    lines = ('sma_cust',)
    params = (
        ('period', 30),
    )
    plotinfo = dict(subplot=False)

    def __init__(self):
        self.sma_cust = talib.SMA(
            pd.Series(self.data.close.array),
            timeperiod=self.params.period
        )

    def next(self):
        cur = len(self)
        self.lines.sma_cust[0] = self.sma_cust.iloc[cur-1, ]

It raises "Exception: inputs are all NaN".

[backtrader]

@yoghurtshawn said in Cannot access the resampled data in self defined indicators:

    def __init__(self):
        self.sma_cust = talib.SMA(
            pd.Series(self.data.close.array),
            timeperiod=self.params.period
        )

At that stage there is no data available, which means you are creating a pd.Series full of NaN, hence the result.

ta-lib is integrated with backtrader, use the integration directly. Doc - Indicators - ta-lib

[yoghurtshawn]

Thanks! @backtrader

One more question, do you mean, the data will only be filled at next() calls?

[backtrader]

No, I mean that you are initializing a pd.Series with an array which is full of NaN values.