Handling of Multiple Data Feeds with different start date

Nicola Prada

Hello,

I am adding 69 Data Feeds to cerebro, each one with its own start and end date. In this example, mostly of them but not all of them, have 2010-01-01 as start date:

1 63DU GY Equity DEUTSCHE BOERSE AG-NEW 2011-05-20 2012-02-10
2 ABI BB Equity ANHEUSER-BUSCH INBEV SA/NV 2010-01-01 2019-12-27
3 ACA FP Equity CREDIT AGRICOLE SA 2010-01-01 2019-12-27
4 AD NA Equity KONINKLIJKE AHOLD DELHAIZE N 2010-01-01 2019-12-27
5 ADS GY Equity ADIDAS AG 2010-01-01 2019-12-27
6 AGN NA Equity AEGON NV 2010-01-01 2019-12-27
7 AI FP Equity AIR LIQUIDE SA 2010-01-01 2019-12-27
8 AIR FP Equity AIRBUS SE 2010-01-01 2019-12-27
9 ALO FP Equity ALSTOM 2010-01-01 2019-12-27
10 ALV GY Equity ALLIANZ SE-REG 2010-01-01 2019-12-27
11 AMS SQ Equity AMADEUS IT GROUP SA 2010-04-30 2019-12-27
12 ASML NA Equity ASML HOLDING NV 2010-01-01 2019-12-27
13 BAS GY Equity BASF SE 2010-01-01 2019-12-27
14 BAYN GY Equity BAYER AG-REG 2010-01-01 2019-12-27
15 BBVA SQ Equity BANCO BILBAO VIZCAYA ARGENTA 2010-01-01 2019-12-27
16 BMW GY Equity BAYERISCHE MOTOREN WERKE AG 2010-01-01 2019-12-27
17 BN FP Equity DANONE 2010-01-01 2019-12-27
18 BNP FP Equity BNP PARIBAS 2010-01-01 2019-12-27
19 CA FP Equity CARREFOUR SA 2010-01-01 2019-12-27
20 CRH ID Equity CRH PLC 2010-01-01 2019-12-27
21 CS FP Equity AXA SA 2010-01-01 2019-12-27
22 DAI GY Equity DAIMLER AG-REGISTERED SHARES 2010-01-01 2019-12-27
23 DB1 GY Equity DEUTSCHE BOERSE AG 2010-01-01 2019-12-27
24 DBK GY Equity DEUTSCHE BANK AG-REGISTERED 2010-01-01 2019-12-27
25 DG FP Equity VINCI SA 2010-01-01 2019-12-27
26 DPW GY Equity DEUTSCHE POST AG-REG 2010-01-01 2019-12-27
27 DTE GY Equity DEUTSCHE TELEKOM AG-REG 2010-01-01 2019-12-27
28 EL FP Equity ESSILORLUXOTTICA 2010-01-01 2019-12-27
29 ENEL IM Equity ENEL SPA 2010-01-01 2019-12-27
30 ENGI FP Equity ENGIE 2010-01-01 2019-12-27
31 ENI IM Equity ENI SPA 2010-01-01 2019-12-27
32 EOAN GY Equity E.ON SE 2010-01-01 2019-12-27
33 FP FP Equity TOTAL SA 2010-01-01 2019-12-27
34 FRE GY Equity FRESENIUS SE & CO KGAA 2010-01-01 2019-12-27
35 G IM Equity ASSICURAZIONI GENERALI 2010-01-01 2019-12-27
36 GLE FP Equity SOCIETE GENERALE SA 2010-01-01 2019-12-27
37 IBE SQ Equity IBERDROLA SA 2010-01-01 2019-12-27
38 INGA NA Equity ING GROEP NV 2010-01-01 2019-12-27
39 ISP IM Equity INTESA SANPAOLO 2010-01-01 2019-12-27
40 ITX SQ Equity INDUSTRIA DE DISENO TEXTIL 2010-01-01 2019-12-27
41 KER FP Equity KERING 2010-01-01 2019-12-27
42 LIN GY Equity LINDE PLC 2018-11-02 2019-12-27
43 LINU GY Equity LINDE AG - TENDER 2017-08-25 2018-10-26
44 MC FP Equity LVMH MOET HENNESSY LOUIS VUI 2010-01-01 2019-12-27
45 MT NA Equity ARCELORMITTAL 2010-01-01 2019-12-27
46 MUV2 GY Equity MUENCHENER RUECKVER AG-REG 2010-01-01 2019-12-27
47 NOKIA FH Equity NOKIA OYJ 2010-01-01 2019-12-27
48 OR FP Equity L'OREAL 2010-01-01 2019-12-27
49 ORA FP Equity ORANGE 2010-01-01 2019-12-27
50 PHIA NA Equity KONINKLIJKE PHILIPS NV 2010-01-01 2019-12-27
51 REP SQ Equity REPSOL SA 2010-01-01 2019-12-27
52 RWE GY Equity RWE AG 2010-01-01 2019-12-27
53 SAF FP Equity SAFRAN SA 2010-01-01 2019-12-27
54 SAN FP Equity SANOFI 2010-01-01 2019-12-27
55 SAN SQ Equity BANCO SANTANDER SA 2010-01-01 2019-12-27
56 SAP GY Equity SAP SE 2010-01-01 2019-12-27
57 SGO FP Equity COMPAGNIE DE SAINT GOBAIN 2010-01-01 2019-12-27
58 SIE GY Equity SIEMENS AG-REG 2010-01-01 2019-12-27
59 SU FP Equity SCHNEIDER ELECTRIC SE 2010-01-01 2019-12-27
60 TEF SQ Equity TELEFONICA SA 2010-01-01 2019-12-27
61 TIT IM Equity TELECOM ITALIA SPA 2010-01-01 2019-12-27
62 UCG IM Equity UNICREDIT SPA 2010-01-01 2019-12-27
63 UL FP Equity UNIBAIL-RODAMCO SE 2010-01-01 2013-03-01
64 UL NA Equity UNIBAIL-RODAMCO SE 2010-01-01 2018-06-08
65 UNA NA Equity UNILEVER NV 2010-01-01 2019-12-27
66 URW NA Equity UNIBAIL-RODAMCO-WESTFIELD 2010-01-01 2019-12-27
67 VIV FP Equity VIVENDI 2010-01-01 2019-12-27
68 VOW GY Equity VOLKSWAGEN AG 2010-01-01 2019-07-12
69 VOW3 GY Equity VOLKSWAGEN AG-PREF 2010-01-01 2019-12-27

next and prenext

If I should only use the next method the strategy will start to generate signals from the most recent common start date: 2018-11-02

I understand this is by design, so that code never breaks inside next.

To bypass this wanted behavior and generate signals from the first available start date of each data feed I am using the prenext method as suggested on several topics.

This is the code of a simple Strategy that does only some logging:

class Demo(bt.Strategy):
    """Demo Strategy"""
    
    def __init__(self):
        print('Init ', self.__class__.__name__)
        print()
        
    def prenext(self):
        self.next()
    
    def next(self):
        
        print()
        print('---------------------------')
        print('Date: {}'.format(self.datetime.date()))
        print('---------------------------')
        
        for i, s in enumerate(self.datas):
            print('{} {} {}'.format(i + 1, s.datetime.date(), s._name))

When I loop self.datas inside next I expected to have their datetime.date() in sync with self.datetime.date(), the “heartbeat”. I found this is not the case, here’s the log of the first next run:

Init Demo

Date: 2010-01-01

1 2012-02-10 63DU GY Equity
2 2010-01-01 ABI BB Equity
3 2010-01-01 ACA FP Equity
4 2010-01-01 AD NA Equity
5 2010-01-01 ADS GY Equity
6 2010-01-01 AGN NA Equity
7 2010-01-01 AI FP Equity
8 2010-01-01 AIR FP Equity
9 2010-01-01 ALO FP Equity
10 2010-01-01 ALV GY Equity
11 2019-12-27 AMS SQ Equity
12 2010-01-01 ASML NA Equity
13 2010-01-01 BAS GY Equity
14 2010-01-01 BAYN GY Equity
15 2010-01-01 BBVA SQ Equity
16 2010-01-01 BMW GY Equity
17 2010-01-01 BN FP Equity
18 2010-01-01 BNP FP Equity
19 2010-01-01 CA FP Equity
20 2010-01-01 CRH ID Equity
21 2010-01-01 CS FP Equity
22 2010-01-01 DAI GY Equity
23 2010-01-01 DB1 GY Equity
24 2010-01-01 DBK GY Equity
25 2010-01-01 DG FP Equity
26 2010-01-01 DPW GY Equity
27 2010-01-01 DTE GY Equity
28 2010-01-01 EL FP Equity
29 2010-01-01 ENEL IM Equity
30 2010-01-01 ENGI FP Equity
31 2010-01-01 ENI IM Equity
32 2010-01-01 EOAN GY Equity
33 2010-01-01 FP FP Equity
34 2010-01-01 FRE GY Equity
35 2010-01-01 G IM Equity
36 2010-01-01 GLE FP Equity
37 2010-01-01 IBE SQ Equity
38 2010-01-01 INGA NA Equity
39 2010-01-01 ISP IM Equity
40 2010-01-01 ITX SQ Equity
41 2010-01-01 KER FP Equity
42 2019-12-27 LIN GY Equity
43 2018-10-26 LINU GY Equity
44 2010-01-01 MC FP Equity
45 2010-01-01 MT NA Equity
46 2010-01-01 MUV2 GY Equity
47 2010-01-01 NOKIA FH Equity
48 2010-01-01 OR FP Equity
49 2010-01-01 ORA FP Equity
50 2010-01-01 PHIA NA Equity
51 2010-01-01 REP SQ Equity
52 2010-01-01 RWE GY Equity
53 2010-01-01 SAF FP Equity
54 2010-01-01 SAN FP Equity
55 2010-01-01 SAN SQ Equity
56 2010-01-01 SAP GY Equity
57 2010-01-01 SGO FP Equity
58 2010-01-01 SIE GY Equity
59 2010-01-01 SU FP Equity
60 2010-01-01 TEF SQ Equity
61 2010-01-01 TIT IM Equity
62 2010-01-01 UCG IM Equity
63 2010-01-01 UL FP Equity
64 2010-01-01 UL NA Equity
65 2010-01-01 UNA NA Equity
66 2010-01-01 URW NA Equity
67 2010-01-01 VIV FP Equity
68 2010-01-01 VOW GY Equity
69 2010-01-01 VOW3 GY Equity

If there was a simply buy signals on date 2010-01-01 (self.datetime.date()), the strategy would also buy 63DU GY Equity (2012-02-10 == start date), AMS SQ Equity (2019-12-27 == last date), LIN GY Equity ( 2019-12-27 == last date) and LINU GY Equity (2018-10-26 == last date).

Am I wrong (very likely) coding like this to generate signals on multiple data feeds with different start date and end date?

If I am not wrong, and this is by design, does it mean that before the logic to generate signals in the next method I should always check that s.datetime.date() == self.datetime.date() ??

Thanks

Nicola