3. Issue with extending a data feed
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Issue with extending a data feed


  • Hi,

    I want to extend PandasData feed to include other fields like PE, ROA, etc.. I am currently trying to add just the field 'adjclose', present in the input dataframe but the data is always 'nan'.

    To clarify here's the code that I'm using:

    class TestData(bt.feeds.PandasData):
    lines = ('adjclose',)
    params = (('adjclose', 6),)

...
datafeed = TestData(dataname=df_prices, name=symbol, plot=False)
cerebro.resampledata(datafeed, timeframe=bt.TimeFrame.Days)
...

    The dataframe df_prices looks like this:

                               date        high  ...    adjclose  formatted_date
date                                         ...                            
2018-12-31 15:30:00  1546266600  159.360001  ...  155.405045      2018-12-31
2019-01-02 15:30:00  1546439400  158.850006  ...  155.582367      2019-01-02
2019-01-03 15:30:00  1546525800  145.720001  ...  140.085220      2019-01-03
2019-01-04 15:30:00  1546612200  148.550003  ...  146.065353      2019-01-04
2019-01-07 15:30:00  1546871400  148.830002  ...  145.740265      2019-01-07

[5 rows x 8 columns]

    However when I check for the data the new added field 'adjclose' is always 'nan' unlike the standard fields like 'close', 'volume', etc...

    self.data.close[0] = 188.72000122070312
self.data.volume[0] = 20780400.0
self.data.adjclose[0] = nan

    I checked both the documentation and the forum on similar topics and it seems I'm following the recommended approach but for some reason I can't get this to work.
    Any obvious mistake that you can see?

    Thank you in advance

    0
  • J

    I have the same issue. Looks like data extending does not work with cerebro.resampledata(). You can duplicate with the following code and data. @sirbradflies @backtrader

    import datetime
import numpy as np
import pandas as pd
import backtrader as bt


class PandasDataExt(bt.feeds.PandasData):
    lines = ('dtstamp',)
    params=(
        ('datetime', None),
        ('open', 'open'),
        ('high', 'high'),
        ('low', 'low'),
        ('close', 'close'),
        ('volume', 'volume'),
        ('openinterest', None),
        ('dtstamp', 'dtstamp'),
    )
setattr(bt.metabase, PandasDataExt.__name__, PandasDataExt)

class MyStrategy(bt.Strategy):
    def next(self):
        print(self.data.datetime.datetime(0), self.data0.dtstamp[0], self.data1.dtstamp[0])


if __name__ == '__main__':
    cerebro = bt.Cerebro()
    cerebro.addstrategy(MyStrategy)

    df = pd.read_csv("~/Workspace/data.csv", index_col=0)
    df.index = pd.DatetimeIndex(df.index)
    df['dtstamp'] = df.index.astype(np.int64) // 10**9
    my_data = PandasDataExt(dataname=df, name='MyData', timeframe=bt.TimeFrame.Minutes)
    cerebro.adddata(my_data, name='MyData')
    resampled_data = PandasDataExt(dataname=df, name='ResampledData', timeframe=bt.TimeFrame.Minutes)
    cerebro.resampledata(resampled_data, name='ResampledData', timeframe=bt.TimeFrame.Minutes, compression=5)
    cerebro.run()

    datetime,open,high,low,close,volume
2020-02-02 17:00:00,8982.75,9024.0,8975.0,9013.5,2480
2020-02-02 17:01:00,9011.75,9024.75,9011.75,9017.75,875
2020-02-02 17:02:00,9018.75,9032.75,9018.0,9031.0,802
2020-02-02 17:03:00,9030.5,9032.0,9021.25,9029.0,493
2020-02-02 17:04:00,9029.0,9032.25,9024.0,9024.0,454
2020-02-02 17:05:00,9024.0,9024.25,9017.5,9021.75,419
2020-02-02 17:06:00,9021.5,9027.5,9018.75,9027.25,360
2020-02-02 17:07:00,9027.5,9032.5,9027.25,9028.0,316
2020-02-02 17:08:00,9028.75,9029.0,9016.5,9017.0,467
2020-02-02 17:09:00,9017.0,9017.75,9009.75,9012.0,431
2020-02-02 17:10:00,9011.25,9012.5,9008.0,9008.0,198
2020-02-02 17:11:00,9008.75,9008.75,8999.0,8999.5,617
2020-02-02 17:12:00,8999.0,9017.0,8998.0,9012.5,764
2020-02-02 17:13:00,9012.75,9018.25,9011.5,9018.0,296
2020-02-02 17:14:00,9017.25,9023.25,9014.75,9022.75,369
2020-02-02 17:15:00,9022.75,9024.5,9016.25,9021.5,352
2020-02-02 17:16:00,9021.5,9028.0,9015.0,9023.5,388
2020-02-02 17:17:00,9023.0,9025.75,9021.25,9023.75,121
2020-02-02 17:18:00,9024.5,9026.25,9018.25,9020.25,196
2020-02-02 17:19:00,9021.5,9021.5,9017.75,9020.75,105
2020-02-02 17:20:00,9020.25,9023.5,9020.25,9023.0,167
2020-02-02 17:21:00,9022.25,9028.0,9022.25,9024.75,246
2020-02-02 17:22:00,9025.5,9031.0,9021.25,9022.5,381
2020-02-02 17:23:00,9023.0,9023.25,9018.0,9018.5,180
2020-02-02 17:24:00,9019.0,9029.75,9019.0,9028.0,296
2020-02-02 17:25:00,9027.25,9031.25,9023.5,9024.5,444
2020-02-02 17:26:00,9024.5,9028.5,9021.75,9028.5,198
2020-02-02 17:27:00,9028.75,9031.25,9026.0,9030.25,358
2020-02-02 17:28:00,9030.0,9030.25,9027.0,9027.25,190
2020-02-02 17:29:00,9026.75,9030.25,9024.5,9025.5,276
2020-02-02 17:30:00,9026.0,9028.5,9022.75,9027.5,245
2020-02-02 17:31:00,9028.25,9031.25,9028.25,9030.75,160
2020-02-02 17:32:00,9031.25,9038.25,9030.25,9030.5,682
2020-02-02 17:33:00,9030.5,9031.25,9029.25,9029.5,132
2020-02-02 17:34:00,9029.75,9030.25,9023.75,9025.25,312
2020-02-02 17:35:00,9025.5,9029.25,9021.0,9026.0,262
2020-02-02 17:36:00,9026.0,9027.5,9020.75,9021.5,177
2020-02-02 17:37:00,9022.0,9026.75,9021.75,9025.75,165
2020-02-02 17:38:00,9026.0,9029.25,9026.0,9029.0,181
2020-02-02 17:39:00,9029.25,9031.5,9028.25,9030.5,123
2020-02-02 17:40:00,9031.0,9034.75,9027.25,9028.5,291
2020-02-02 17:41:00,9028.5,9031.5,9026.0,9027.0,182
2020-02-02 17:42:00,9028.0,9030.5,9028.0,9029.5,95
2020-02-02 17:43:00,9029.75,9030.25,9026.25,9027.75,113
2020-02-02 17:44:00,9028.0,9031.75,9027.25,9030.0,137
2020-02-02 17:45:00,9030.25,9031.75,9021.5,9025.5,297
2020-02-02 17:46:00,9024.75,9024.75,9016.0,9022.25,535
2020-02-02 17:47:00,9022.0,9026.0,9018.0,9019.75,318
2020-02-02 17:48:00,9019.75,9023.5,9018.0,9020.0,246
2020-02-02 17:49:00,9020.5,9021.0,9017.25,9018.75,165
2020-02-02 17:50:00,9018.25,9019.25,9012.75,9014.5,334
2020-02-02 17:51:00,9014.0,9018.0,9013.0,9013.25,200
2020-02-02 17:52:00,9013.5,9016.5,9013.25,9015.25,145
2020-02-02 17:53:00,9014.75,9015.0,9011.5,9011.75,131
2020-02-02 17:54:00,9011.75,9014.25,9010.5,9013.0,183
2020-02-02 17:55:00,9013.0,9016.25,9012.0,9015.0,247
2020-02-02 17:56:00,9014.75,9018.75,9014.25,9017.75,248
2020-02-02 17:57:00,9017.5,9020.25,9017.25,9019.25,161
2020-02-02 17:58:00,9019.75,9020.75,9017.5,9018.75,97
2020-02-02 17:59:00,9018.25,9020.75,9017.25,9020.75,127
2020-02-02 18:00:00,9020.0,9020.0,9017.75,9018.0,148
2020-02-02 18:01:00,9018.25,9019.0,9011.25,9016.25,323
2020-02-02 18:02:00,9016.0,9020.25,9016.0,9018.75,177
2020-02-02 18:03:00,9018.75,9024.25,9017.5,9017.5,357
2020-02-02 18:04:00,9017.5,9021.75,9016.0,9020.25,212
2020-02-02 18:05:00,9020.5,9025.0,9020.5,9023.25,228
2020-02-02 18:06:00,9023.25,9024.25,9019.5,9023.0,233
2020-02-02 18:07:00,9023.0,9023.0,9019.0,9020.0,206
2020-02-02 18:08:00,9020.75,9023.25,9020.75,9022.5,139
2020-02-02 18:09:00,9022.0,9023.75,9020.75,9023.25,100
2020-02-02 18:10:00,9023.25,9027.75,9022.25,9024.0,441
2020-02-02 18:11:00,9023.75,9032.25,9023.75,9031.25,440
2020-02-02 18:12:00,9031.5,9035.0,9030.5,9030.75,613
2020-02-02 18:13:00,9031.0,9034.0,9029.0,9031.0,261
2020-02-02 18:14:00,9031.0,9031.75,9027.25,9028.0,244
2020-02-02 18:15:00,9028.25,9028.5,9025.5,9025.75,156
2020-02-02 18:16:00,9026.0,9026.0,9021.0,9024.0,317
2020-02-02 18:17:00,9024.5,9026.25,9022.0,9022.5,147
2020-02-02 18:18:00,9022.25,9024.0,9020.25,9023.0,244
2020-02-02 18:19:00,9022.5,9025.0,9021.25,9025.0,157
2020-02-02 18:20:00,9024.5,9026.0,9023.5,9025.75,139
2020-02-02 18:21:00,9026.0,9028.0,9025.75,9027.75,123
2020-02-02 18:22:00,9027.75,9029.25,9025.75,9026.5,161
2020-02-02 18:23:00,9026.5,9028.0,9025.75,9026.75,77
2020-02-02 18:24:00,9026.75,9029.25,9026.75,9028.25,91
2020-02-02 18:25:00,9028.25,9031.0,9028.0,9028.5,172
2020-02-02 18:26:00,9028.25,9028.5,9027.5,9027.5,48
2020-02-02 18:27:00,9028.0,9029.0,9027.0,9029.0,80
2020-02-02 18:28:00,9028.75,9029.5,9027.5,9028.25,47
2020-02-02 18:29:00,9028.5,9029.75,9028.5,9028.5,77
2020-02-02 18:30:00,9028.5,9029.0,9027.0,9027.75,62
2020-02-02 18:31:00,9027.75,9031.25,9026.25,9030.5,140
2020-02-02 18:32:00,9030.5,9032.75,9030.25,9032.5,129
2020-02-02 18:33:00,9032.5,9032.75,9031.5,9032.75,76
2020-02-02 18:34:00,9032.75,9034.0,9032.0,9033.75,130
2020-02-02 18:35:00,9033.5,9040.0,9033.5,9040.0,495
2020-02-02 18:36:00,9039.5,9044.25,9039.5,9040.75,581
2020-02-02 18:37:00,9041.0,9048.5,9040.75,9047.5,507
2020-02-02 18:38:00,9047.5,9055.25,9047.5,9053.25,908
2020-02-02 18:39:00,9053.5,9053.5,9049.0,9050.0,362
2020-02-02 18:40:00,9049.75,9051.25,9046.25,9048.0,278
2020-02-02 18:41:00,9048.25,9048.25,9042.25,9044.25,341
2020-02-02 18:42:00,9043.75,9046.5,9043.25,9044.75,108
2020-02-02 18:43:00,9044.25,9047.75,9044.25,9045.5,161
2020-02-02 18:44:00,9046.0,9053.75,9045.75,9051.75,394
2020-02-02 18:45:00,9051.5,9058.0,9051.5,9057.25,481
2020-02-02 18:46:00,9057.75,9065.5,9057.25,9063.75,596
2020-02-02 18:47:00,9063.5,9063.5,9054.25,9057.25,371
2020-02-02 18:48:00,9057.5,9058.0,9053.5,9055.25,264
2020-02-02 18:49:00,9056.0,9056.0,9050.0,9050.25,216
2020-02-02 18:50:00,9050.25,9051.75,9047.25,9049.75,375
2020-02-02 18:51:00,9049.25,9050.5,9045.75,9049.25,256
2020-02-02 18:52:00,9049.5,9051.5,9048.0,9049.0,177
2020-02-02 18:53:00,9049.25,9049.75,9046.5,9047.0,262
2020-02-02 18:54:00,9047.25,9049.75,9046.75,9048.75,157
2020-02-02 18:55:00,9049.0,9051.5,9046.25,9050.75,358
2020-02-02 18:56:00,9050.75,9053.5,9046.75,9046.75,219
2020-02-02 18:57:00,9046.5,9049.25,9046.25,9048.0,188
2020-02-02 18:58:00,9047.75,9048.0,9046.0,9048.0,79
2020-02-02 18:59:00,9048.0,9049.0,9045.0,9045.0,146
2020-02-02 19:00:00,9044.75,9045.75,9028.5,9040.5,940
2020-02-02 19:01:00,9040.25,9043.0,9036.5,9039.25,662
2020-02-02 19:02:00,9039.25,9044.25,9037.0,9043.75,301
2020-02-02 19:03:00,9043.75,9044.0,9040.75,9040.75,266
2020-02-02 19:04:00,9041.0,9041.25,9028.5,9033.75,729
2020-02-02 19:05:00,9033.75,9037.0,9028.0,9036.75,765
2020-02-02 19:06:00,9037.0,9037.5,9034.0,9036.75,312
2020-02-02 19:07:00,9037.25,9047.75,9035.0,9043.5,612
2020-02-02 19:08:00,9043.0,9051.5,9041.0,9045.75,560
2020-02-02 19:09:00,9045.75,9053.75,9045.25,9049.0,437
2020-02-02 19:10:00,9049.25,9056.0,9047.5,9053.25,444
2020-02-02 19:11:00,9053.75,9058.25,9052.75,9054.0,386
2020-02-02 19:12:00,9054.5,9057.75,9054.0,9055.0,319
2020-02-02 19:13:00,9054.0,9054.0,9048.5,9050.5,399
2020-02-02 19:14:00,9050.5,9053.0,9047.5,9048.25,337
2020-02-02 19:15:00,9048.5,9051.75,9046.0,9050.5,356
2020-02-02 19:16:00,9050.0,9050.25,9043.0,9045.0,399
2020-02-02 19:17:00,9045.0,9045.0,9040.75,9042.5,294
2020-02-02 19:18:00,9042.75,9050.0,9042.0,9047.75,310
2020-02-02 19:19:00,9047.5,9047.5,9043.25,9044.75,173
2020-02-02 19:20:00,9044.75,9049.25,9043.0,9049.25,146
2020-02-02 19:21:00,9048.5,9050.0,9044.0,9046.25,244
2020-02-02 19:22:00,9045.5,9047.25,9041.25,9041.5,200
2020-02-02 19:23:00,9041.25,9041.25,9034.0,9037.0,367
2020-02-02 19:24:00,9037.25,9038.25,9034.75,9037.75,305
2020-02-02 19:25:00,9037.5,9045.5,9035.25,9043.75,295
2020-02-02 19:26:00,9043.5,9044.25,9040.0,9041.75,149
2020-02-02 19:27:00,9041.5,9043.0,9034.25,9036.75,315
2020-02-02 19:28:00,9036.5,9040.0,9034.25,9035.25,245
2020-02-02 19:29:00,9035.0,9045.0,9033.0,9043.75,384
2020-02-02 19:30:00,9043.75,9048.5,9037.75,9043.5,466
2020-02-02 19:31:00,9043.75,9056.25,9042.75,9055.75,462
2020-02-02 19:32:00,9056.0,9058.75,9051.0,9056.5,542
2020-02-02 19:33:00,9056.25,9069.75,9055.5,9068.25,969
2020-02-02 19:34:00,9067.75,9068.75,9061.5,9063.0,650
2020-02-02 19:35:00,9063.0,9066.0,9061.0,9062.75,403
2020-02-02 19:36:00,9062.5,9067.75,9061.75,9062.75,280
2020-02-02 19:37:00,9062.5,9076.5,9059.75,9073.5,1012
2020-02-02 19:38:00,9073.75,9075.0,9068.5,9069.0,547
2020-02-02 19:39:00,9069.25,9071.25,9063.75,9068.75,589
2020-02-02 19:40:00,9068.25,9070.75,9065.75,9069.5,204
2020-02-02 19:41:00,9069.5,9073.0,9069.25,9072.0,306
2020-02-02 19:42:00,9072.75,9074.75,9069.25,9073.5,285
2020-02-02 19:43:00,9073.5,9073.5,9067.0,9067.25,341
2020-02-02 19:44:00,9067.25,9068.25,9063.75,9064.5,355
2020-02-02 19:45:00,9064.25,9072.25,9064.0,9065.75,315
2020-02-02 19:46:00,9065.25,9066.75,9061.5,9065.0,252
2020-02-02 19:47:00,9065.0,9066.25,9059.75,9059.75,355
2020-02-02 19:48:00,9059.75,9064.0,9059.5,9061.25,374
2020-02-02 19:49:00,9060.75,9068.25,9059.75,9064.5,293
2020-02-02 19:50:00,9065.25,9068.5,9064.25,9067.25,260
2020-02-02 19:51:00,9067.0,9070.5,9065.0,9069.75,205
2020-02-02 19:52:00,9070.0,9073.0,9069.0,9072.5,246
2020-02-02 19:53:00,9072.0,9075.25,9068.5,9070.5,382
2020-02-02 19:54:00,9071.25,9072.5,9068.5,9071.0,180
2020-02-02 19:55:00,9070.75,9071.0,9065.75,9066.5,231
2020-02-02 19:56:00,9066.75,9074.75,9066.5,9074.0,308
2020-02-02 19:57:00,9074.25,9074.5,9069.75,9071.0,215
2020-02-02 19:58:00,9071.25,9074.5,9069.0,9072.0,212
2020-02-02 19:59:00,9072.25,9079.5,9072.25,9077.5,593
2020-02-02 20:00:00,9077.5,9087.0,9073.5,9086.5,1824
2020-02-02 20:01:00,9086.75,9092.25,9082.5,9082.5,1141
2020-02-02 20:02:00,9082.75,9086.25,9080.25,9082.25,750
2020-02-02 20:03:00,9082.5,9083.5,9077.0,9077.25,364
2020-02-02 20:04:00,9077.0,9079.25,9076.0,9078.0,304
2020-02-02 20:05:00,9078.25,9078.75,9074.25,9074.75,233
2020-02-02 20:06:00,9074.75,9077.25,9072.0,9072.5,405
2020-02-02 20:07:00,9072.25,9073.5,9069.0,9069.25,394
2020-02-02 20:08:00,9069.25,9073.0,9066.75,9067.25,413
2020-02-02 20:09:00,9066.75,9072.25,9066.75,9071.25,191
2020-02-02 20:10:00,9071.5,9072.25,9070.0,9070.25,141
2020-02-02 20:11:00,9069.75,9070.0,9064.0,9070.0,595
2020-02-02 20:12:00,9069.75,9069.75,9065.25,9065.25,268
2020-02-02 20:13:00,9065.75,9067.5,9064.25,9065.75,241
2020-02-02 20:14:00,9065.75,9065.75,9061.5,9062.0,353
2020-02-02 20:15:00,9062.25,9066.75,9060.0,9066.75,708
2020-02-02 20:16:00,9066.25,9066.75,9062.5,9064.5,235
2020-02-02 20:17:00,9065.0,9071.5,9065.0,9070.75,270
2020-02-02 20:18:00,9071.25,9071.25,9067.75,9070.0,180
2020-02-02 20:19:00,9069.75,9072.0,9068.75,9069.5,177
2020-02-02 20:20:00,9069.25,9071.25,9067.0,9071.0,159
2020-02-02 20:21:00,9071.0,9073.5,9069.75,9072.0,208
2020-02-02 20:22:00,9072.5,9076.25,9071.0,9074.75,248
2020-02-02 20:23:00,9074.25,9075.0,9071.5,9072.25,103
2020-02-02 20:24:00,9072.5,9073.0,9066.75,9067.25,190
2020-02-02 20:25:00,9067.0,9070.25,9065.25,9066.0,163
2020-02-02 20:26:00,9066.25,9071.75,9066.0,9071.0,143
2020-02-02 20:27:00,9070.25,9070.25,9065.5,9065.75,86
2020-02-02 20:28:00,9066.0,9070.0,9065.25,9068.25,173
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2020-02-02 20:33:00,9067.25,9067.25,9061.0,9061.75,299
2020-02-02 20:34:00,9061.5,9063.0,9060.25,9061.25,206
2020-02-02 20:35:00,9061.5,9067.25,9060.75,9067.0,218
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2020-02-02 20:38:00,9067.0,9068.75,9065.5,9067.5,127
2020-02-02 20:39:00,9067.75,9067.75,9062.75,9065.5,143
2020-02-02 20:40:00,9065.5,9066.25,9063.25,9065.0,98
2020-02-02 20:41:00,9065.0,9066.0,9064.0,9065.0,49
2020-02-02 20:42:00,9064.75,9065.25,9062.25,9063.25,70
2020-02-02 20:43:00,9063.75,9066.5,9063.5,9065.75,72
2020-02-02 20:44:00,9065.5,9065.5,9061.25,9064.0,141
2020-02-02 20:45:00,9064.25,9065.0,9061.5,9061.75,79
2020-02-02 20:46:00,9062.25,9063.75,9059.0,9059.5,201
2020-02-02 20:47:00,9059.5,9059.75,9055.75,9056.75,384
2020-02-02 20:48:00,9056.75,9058.75,9056.5,9056.5,138
2020-02-02 20:49:00,9056.5,9056.5,9053.75,9054.75,277
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2020-02-02 20:51:00,9056.0,9060.25,9056.0,9059.5,172
2020-02-02 20:52:00,9059.25,9059.25,9055.25,9056.0,139
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2020-02-02 20:55:00,9058.75,9058.75,9056.5,9058.25,83
2020-02-02 20:56:00,9057.75,9057.75,9054.5,9055.25,117
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2020-02-02 21:07:00,9054.75,9055.25,9052.75,9053.0,90
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2020-02-02 21:11:00,9057.75,9058.75,9056.75,9057.0,82
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2020-02-02 21:14:00,9060.75,9061.25,9059.25,9059.75,92
2020-02-02 21:15:00,9059.5,9059.5,9056.5,9059.0,172
2020-02-02 21:16:00,9059.25,9071.0,9059.25,9067.75,471
2020-02-02 21:17:00,9067.75,9070.0,9066.25,9068.75,428
2020-02-02 21:18:00,9068.5,9069.5,9067.75,9068.0,277
2020-02-02 21:19:00,9068.0,9069.0,9067.75,9069.0,82
2020-02-02 21:20:00,9068.75,9071.5,9068.0,9070.25,231
2020-02-02 21:21:00,9070.25,9071.25,9069.0,9070.25,198
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2020-02-02 21:29:00,9071.75,9072.75,9070.25,9072.5,120
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  • B
    administrators

    The resampler filter wouldn't know what to do with extra lines (add, max, min, sub, multiply, take the 3rd one, take the last ...) and works only with the fields for which it has a rule, the standard ones.

    You can create a 2nd data feed, assign your desired fields to open (keep 1st), high/low (keep max/min), close (keep last), volume (add) and use that resampled to match the timeframe of your master data feed.

    Or create your own resampling filter.

    0
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