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Simple bidask.py example doesn't seemt work
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Hi guys, I am new to BackTrader and I just installed to try out an example
It waas the ./samples/data-bid-ask/bidask.py
I tried to run it under python3.7 and it came with anaconda
While the input is
TIMESTAMP,BID,ASK 02/03/2010 16:53:50,0.5346,0.5347 02/03/2010 16:53:51,0.5343,0.5347 02/03/2010 16:53:52,0.5543,0.5545 02/03/2010 16:53:53,0.5342,0.5344 02/03/2010 16:53:54,0.5245,0.5464 02/03/2010 16:53:54,0.5460,0.5470 02/03/2010 16:53:56,0.5824,0.5826 02/03/2010 16:53:57,0.5371,0.5374 02/03/2010 16:53:58,0.5793,0.5794 02/03/2010 16:53:59,0.5684,0.5688Tried on my Linux and Mac
The output seems to be1: 2010-02-03T23:59:59.999989 - Bid 0.5346 - 0.5347 Ask 2: 2010-02-03T23:59:59.999989 - Bid 0.5343 - 0.5347 Ask 3: 2010-02-03T23:59:59.999989 - Bid 0.5543 - 0.5545 Ask 4: 2010-02-03T23:59:59.999989 - Bid 0.5342 - 0.5344 Ask 5: 2010-02-03T23:59:59.999989 - Bid 0.5245 - 0.5464 Ask 6: 2010-02-03T23:59:59.999989 - Bid 0.5460 - 0.5470 Ask 7: 2010-02-03T23:59:59.999989 - Bid 0.5824 - 0.5826 Ask 8: 2010-02-03T23:59:59.999989 - Bid 0.5371 - 0.5374 Ask 9: 2010-02-03T23:59:59.999989 - Bid 0.5793 - 0.5794 Ask 10: 2010-02-03T23:59:59.999989 - Bid 0.5684 - 0.5688 AskThis is on linux
and1: 02/03/2010 23:59:59 - Bid 0.5346 - 0.5347 Ask 2: 02/03/2010 23:59:59 - Bid 0.5343 - 0.5347 Ask 3: 02/03/2010 23:59:59 - Bid 0.5543 - 0.5545 Ask 4: 02/03/2010 23:59:59 - Bid 0.5342 - 0.5344 Ask 5: 02/03/2010 23:59:59 - Bid 0.5245 - 0.5464 Ask 6: 02/03/2010 23:59:59 - Bid 0.5460 - 0.5470 Ask 7: 02/03/2010 23:59:59 - Bid 0.5824 - 0.5826 Ask 8: 02/03/2010 23:59:59 - Bid 0.5371 - 0.5374 Ask 9: 02/03/2010 23:59:59 - Bid 0.5793 - 0.5794 Ask 10: 02/03/2010 23:59:59 - Bid 0.5684 - 0.5688 AskTihs is on my mac.
I think the format difference doesn't matter. I would like to figure out why it differ from this article: https://www.backtrader.com/blog/posts/2016-03-08-escape-from-ohlc-land/escape-from-ohlc-land/
Anyone knows what went wrong?
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Please add in a full copy of your code. Thanks.
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I am using the code from the repo (I believe this is the same code as in the article)
https://github.com/mementum/backtrader/blob/master/samples/data-bid-ask/bidask.py#!/usr/bin/env python # -*- coding: utf-8; py-indent-offset:4 -*- ############################################################################### # # Copyright (C) 2015-2020 Daniel Rodriguez # # This program is free software: you can redistribute it and/or modify # it under the terms of the GNU General Public License as published by # the Free Software Foundation, either version 3 of the License, or # (at your option) any later version. # # This program is distributed in the hope that it will be useful, # but WITHOUT ANY WARRANTY; without even the implied warranty of # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the # GNU General Public License for more details. # # You should have received a copy of the GNU General Public License # along with this program. If not, see <http://www.gnu.org/licenses/>. # ############################################################################### from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import backtrader as bt import backtrader.feeds as btfeeds import backtrader.indicators as btind class BidAskCSV(btfeeds.GenericCSVData): linesoverride = True # discard usual OHLC structure # datetime must be present and last lines = ('bid', 'ask', 'datetime') # datetime (always 1st) and then the desired order for params = ( # (datetime, 0), # inherited from parent class ('bid', 1), # default field pos 1 ('ask', 2), # default field pos 2 ) class St(bt.Strategy): params = (('sma', False), ('period', 3)) def __init__(self): if self.p.sma: self.sma = btind.SMA(self.data, period=self.p.period) def next(self): dtstr = self.data.datetime.datetime().isoformat() txt = '%4d: %s - Bid %.4f - %.4f Ask' % ( (len(self), dtstr, self.data.bid[0], self.data.ask[0])) if self.p.sma: txt += ' - SMA: %.4f' % self.sma[0] print(txt) def parse_args(): parser = argparse.ArgumentParser( description='Bid/Ask Line Hierarchy', formatter_class=argparse.ArgumentDefaultsHelpFormatter, ) parser.add_argument('--data', '-d', action='store', required=False, default='../../datas/bidask.csv', help='data to add to the system') parser.add_argument('--dtformat', '-dt', required=False, default='%m/%d/%Y %H:%M:%S', help='Format of datetime in input') parser.add_argument('--sma', '-s', action='store_true', required=False, help='Add an SMA to the mix') parser.add_argument('--period', '-p', action='store', required=False, default=5, type=int, help='Period for the sma') return parser.parse_args() def runstrategy(): args = parse_args() cerebro = bt.Cerebro() # Create a cerebro data = BidAskCSV(dataname=args.data, dtformat=args.dtformat) cerebro.adddata(data) # Add the 1st data to cerebro # Add the strategy to cerebro cerebro.addstrategy(St, sma=args.sma, period=args.period) cerebro.run() if __name__ == '__main__': runstrategy() -
I figured out the reason.
I think the example is absolutely out-dated and I fortunately first went into this example. Thus the confusion.
The catch here is that data should specify the timeframe now:
data = BidAskCSV(dataname=args.data, dtformat=args.dtformat, timeframe=bt.TimeFrame.Ticks)because in
csvgeneric.py
If timeframe not specified, end of session time will be usedif self.p.timeframe >= TimeFrame.Days: # check if the expected end of session is larger than parsed if self._tzinput: dtin = self._tzinput.localize(dt) # pytz compatible-ized else: dtin = dt dtnum = date2num(dtin) # utc'ize dteos = datetime.combine(dt.date(), self.p.sessionend) dteosnum = self.date2num(dteos) # utc'ize if dteosnum > dtnum: self.lines.datetime[0] = dteosnum else: # Avoid reconversion if already converted dtin == dt self.l.datetime[0] = date2num(dt) if self._tzinput else dtnum else: self.lines.datetime[0] = date2num(dt)
