ValueError: could not convert string to float: '10:00:00' when trying to backtest on intraday data

Brian Zheng

As the title suggests, I am having problems loading intraday data into my code. It is giving ValueError, but I don't know why.
Here is my code:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import datetime
import os.path
import sys
import backtrader as bt
class TestStrategy(bt.Strategy):
    params = (
        ('exitbars', 5),
    )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.dataclose = self.datas[0].close
        self.order = None
        self.buyprice = None
        self.buycomm = None

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                 (trade.pnl, trade.pnlcomm))

    def next(self):
        self.log('Close, %.2f' % self.dataclose[0])
        if self.order:
            return
        if not self.position:
            if self.dataclose[0] < self.dataclose[-1]:
                    if self.dataclose[-1] < self.dataclose[-2]:
                        self.log('BUY CREATE, %.2f' % self.dataclose[0])
                        self.order = self.buy()

        else:
            if len(self) >= (self.bar_executed + self.params.exitbars):
                # SELL, SELL, SELL!!! (with all possible default parameters)
                self.log('SELL CREATE, %.2f' % self.dataclose[0])
                self.order = self.sell()
if __name__ == '__main__':
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)
    data = bt.feeds.BacktraderCSVData(dataname="dat.csv")
    cerebro.adddata(data)
    cerebro.broker.setcash(100000.0)
    cerebro.addsizer(bt.sizers.FixedSize, stake=25)
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.run()
    cerebro.plot()
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

Here is the error it is giving me:

Starting Portfolio Value: 100000.00
Traceback (most recent call last):
  File "code.py", line 79, in <module>
    cerebro.run()
  File "C:\Users\Brian\AppData\Local\Programs\Python\Python37-32\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\Brian\AppData\Local\Programs\Python\Python37-32\lib\site-packages\backtrader\cerebro.py", line 1212, in runstrategies
    data.preload()
  File "C:\Users\Brian\AppData\Local\Programs\Python\Python37-32\lib\site-packages\backtrader\feed.py", line 688, in preload
    while self.load():
  File "C:\Users\Brian\AppData\Local\Programs\Python\Python37-32\lib\site-packages\backtrader\feed.py", line 479, in load
    _loadret = self._load()
  File "C:\Users\Brian\AppData\Local\Programs\Python\Python37-32\lib\site-packages\backtrader\feed.py", line 710, in _load
    return self._loadline(linetokens)
  File "C:\Users\Brian\AppData\Local\Programs\Python\Python37-32\lib\site-packages\backtrader\feeds\btcsv.py", line 52, in _loadline
    self.lines.open[0] = float(next(itoken))
ValueError: could not convert string to float: '10:00:00'

and here is a peek inside my data, which is a csv file.

Date,Time,Open,High,Low,Close,Volume
2020-04-28,10:00:00,1.16,1.16,1.15,1.16,2660
2020-04-28,10:01:00,1.16,1.16,1.155,1.1565,11098
2020-04-28,10:02:00,1.16,1.16,1.15,1.155,4958
2020-04-28,10:03:00,1.16,1.16,1.15,1.1501,45815
2020-04-28,10:04:00,1.1439,1.1499,1.14,1.1422,8953
2020-04-28,10:05:00,1.14,1.1485,1.14,1.1439,4114
2020-04-28,10:06:00,1.15,1.15,1.15,1.15,425
2020-04-28,10:07:00,1.15,1.15,1.14,1.15,8364
2020-04-28,10:08:00,1.15,1.16,1.1496,1.16,42291
2020-04-28,10:09:00,1.1501,1.16,1.15,1.16,4751
2020-04-28,10:10:00,1.15,1.155,1.15,1.155,10705
2020-04-28,10:11:00,1.1501,1.16,1.1501,1.155,2971
2020-04-28,10:12:00,1.16,1.16,1.155,1.155,1776
2020-04-28,10:13:00,1.16,1.16,1.1515,1.16,3115
2020-04-28,10:14:00,1.16,1.16,1.155,1.16,2321
2020-04-28,10:15:00,1.16,1.16,1.155,1.16,875

Any help is appreciated. Thank you!

run-out

You are loading the default csv datafeeder that is looking for the date only. So your second data column of time cerebro thinks is pricing data and is trying to make a float type from it.

data = bt.feeds.BacktraderCSVData(dataname="dat.csv")

Try adding it this way:

data = btfeeds.GenericCSVData(
    dataname='mydata.csv',

    dtformat=('%Y-%m-%d'),
    tmformat=('%H.%M.%S'),

    datetime=0,
    time=1,
    high=2,
    low=3,
    open=4,
    close=5,
    volume=6,
    openinterest=-1
)

More info and this code can be found in the docs here.

Brian Zheng

Thank you it worked!