3. Pandas data feed extension issue
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Pandas data feed extension issue


  • Hi all, I am new to use BT. I hope to ask a question related to pandas data feed extension. I was hoping to add a column called "delta" into my data feed but after I run the codes, it always generates the AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'delta'.

    from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import backtrader as bt
import pandas as pd
import numpy as np

%matplotlib inline






class PandasData_delta(bt.feeds.PandasData):
    Lines = ('delta',)
    params = (('delta',7),)

    

    



class MyStrategy(bt.Strategy):

    def __init__(self):
        self.delta = self.datas[0].delta
        if (self.delta > self.datas.high and self.delta != 0):
            self.buy_signal = 1
            
        elif (self.delta < self.datas.low and self.delta != 0):
            self.sell_signal = -1

    def next(self):
        if not self.position and self.buy_signal[0] == 1:
            self.order = self.buy()

        if self.getposition().size < 0 and self.buy_signal[0] == 1:
            self.order = self.close()
            self.order = self.buy()

        if not self.position and self.sell_signal[0] == 1:
            self.order =self.sell()

        if self.getposition().size > 0 and self.sell_signal[0] == 1:
            self.order = self.close()
            self.order = self.sell()



if __name__ == '__main__':
    # 1. Create a cerebro
    cerebro = bt.Cerebro(stdstats=True)

    # 2. Add data feed
    # 2.1 Creat a data feed
    
    # load dataframe

    data = pd.read_csv('futures.csv')
    data['datetime'] = pd.to_datetime(data['datetime'])
    data.set_index('datetime', inplace=True)
    data = PandasData_delta(dataname=data,
                                    fromdate=datetime.datetime(2017, 8, 1),
                                    todate=datetime.datetime(2017, 8, 10)
                                    )
    
    # 2.2Add the Data Feed to Cerebro
    cerebro.adddata(data, name='data')
    # 3 Add strategy
    cerebro.addstrategy(MyStrategy)


    # broker setting
    cerebro.broker.setcash(1![alt text](image url)00000.0)
    cerebro.addobserver(bt.observers.Benchmark, data=data)


    # 4. Run
    cerebro.run()

    pos = cerebro.broker.getposition(data)
    print('size:', pos.size)
    print('price:', pos.price)

    print('value:', cerebro.broker.get_value())
    print('cash:', cerebro.broker.get_cash())

    # 5.Plot result
    cerebro.plot(style='candle')

    ---------------------------------------------------------------------------
AttributeError                            Traceback (most recent call last)
<ipython-input-23-28e9b1b66044> in <module>
     82 
     83     # 4. Run
---> 84     cerebro.run()
     85 
     86     pos = cerebro.broker.getposition(data)

~\Anaconda3\lib\site-packages\backtrader\cerebro.py in run(self, **kwargs)
   1125             # let's skip process "spawning"
   1126             for iterstrat in iterstrats:
-> 1127                 runstrat = self.runstrategies(iterstrat)
   1128                 self.runstrats.append(runstrat)
   1129                 if self._dooptimize:

~\Anaconda3\lib\site-packages\backtrader\cerebro.py in runstrategies(self, iterstrat, predata)
   1215             sargs = self.datas + list(sargs)
   1216             try:
-> 1217                 strat = stratcls(*sargs, **skwargs)
   1218             except bt.errors.StrategySkipError:
   1219                 continue  # do not add strategy to the mix

~\Anaconda3\lib\site-packages\backtrader\metabase.py in __call__(cls, *args, **kwargs)
     86         _obj, args, kwargs = cls.donew(*args, **kwargs)
     87         _obj, args, kwargs = cls.dopreinit(_obj, *args, **kwargs)
---> 88         _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
     89         _obj, args, kwargs = cls.dopostinit(_obj, *args, **kwargs)
     90         return _obj

~\Anaconda3\lib\site-packages\backtrader\metabase.py in doinit(cls, _obj, *args, **kwargs)
     76 
     77     def doinit(cls, _obj, *args, **kwargs):
---> 78         _obj.__init__(*args, **kwargs)
     79         return _obj, args, kwargs
     80 

<ipython-input-23-28e9b1b66044> in __init__(self)
     27 
     28     def __init__(self):
---> 29         self.delta = self.datas[0].delta
     30         if (self.delta > self.datas.high and self.delta != 0):
     31             self.buy_signal = 1

~\Anaconda3\lib\site-packages\backtrader\lineseries.py in __getattr__(self, name)
    459         # in this object if we set an attribute in this object it will be
    460         # found before we end up here
--> 461         return getattr(self.lines, name)
    462 
    463     def __len__(self):

AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'delta'

    excel.png

    I could not figure out the reason why and I tried to follow answers from previous posts but I am still stuck. Please help if possible. Thank you very much.

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