Datafeed ReSample Query

[Priyadarshan S]

Hi,

I'm trying to resample 1 min data to hourly. The Exchange time isbetween 9:15am and 3:30pm. I want the first hourly bar from 9:15am to 10:15am, second hourly bar from 10:15am to 11:15am and so on. The last hourly bar will contain data from 3:15pm to 3:30pm. How can go about to get this implemented? Below is my code which gives hourly bar from 9:15 to 10, 10 to 11 etc and finally from 3 to 3:30.

class TestStrategy(bt.Strategy):


    def next(self):
        self.log (self.data.close[0])

    def log(self, txt):
        print (self.data.datetime.datetime(0),": ", txt)
                

if __name__ == '__main__':

    path = r'C:\Users\Priyadarshan.sathya\Documents\tata_mod.csv'
    
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)
    
    data = btfeeds.GenericCSVData(
        dataname=path,
        timeframe = bt.TimeFrame.Minutes,
        compression = 1,
        fromdate=datetime.datetime(2019, 7, 1),
        todate=datetime.datetime(2019, 8, 6),
        sessionstart=datetime.time(9, 15),
        sessionend=datetime.time(15, 30),
        nullvalue=0.0,
    
        dtformat=('%d-%m-%Y'),
        tmformat = ('%H:%M:%S'),
    
        datetime=1,
        high=3,
        low=4,
        open=2,
        close=5,
        volume=6,
        openinterest=-1,
        time = 7
    )
    cerebro.adddata(data)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes,
                             compression=60)

    cerebro.broker.setcash(100000.0)
    cerebro.broker.setcommission(commission=0.001)

    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.run()
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

[backtrader]

@Priyadarshan-S said in Datafeed ReSample Query:

I want the first hourly bar from 9:15am to 10:15am

That's actually not possible directly. You can always resample with pandas.