Trading Calendar Error: "searchsorted requires compatible dtype or scalar, not date"

Maor Kima

i would like to configure my app to run online on NYSE Regular Trading hours.
so i thought that Trading Calendar will be a great help.

fllowing the docs, i've tried to add cerebro.addcalendar('NYSE') to my multi data feed app, i get the below error:

Exception has occurred: TypeError
searchsorted requires compatible dtype or scalar, not date
  File "AppData\Local\Programs\Python\Python38-32\Lib\site-packages\pandas\core\indexes\datetimes.py", line 859, in searchsorted
    raise TypeError(
  File "AppData\Local\Programs\Python\Python38-32\Lib\site-packages\backtrader\tradingcal.py", line 270, in schedule
    i = self.idcache.index.searchsorted(day.date())
  File "AppData\Local\Programs\Python\Python38-32\Lib\site-packages\backtrader\feed.py", line 232, in _getnexteos

any ideas on what can cause it? will the trading calendar can help with disregarding pre/post market?
Thanks in advance!!

run-out

Would you mind to please add your code to the question?

Maor Kima

Hi, Sure.
edited the tcal-intra.py

def runstrat(args=None):
    args = parse_args(args)

    cerebro = bt.Cerebro()

    # Data feed kwargs
    # kwargs = dict(tz='US/Eastern')
    # import pytz
    # tz = tzinput = pytz.timezone('Europe/Berlin')
   
    back=bt.feeds.GenericCSVData(name="xom_min", dataname='C:\xom_1M.csv',timeframe=bt.TimeFrame.Minutes,dtformat=('%Y%m%d    %H:%M:%S'),open=1,high=2,low=3,close=4,volume=5,openinterest=-1,reverse=True,compression=1)
      
    data1 = cerebro.replaydata(back,name="xom_min", timeframe=bt.TimeFrame.Minutes,compression=1)
    data2 = cerebro.resampledata(data1,name="xom_hour", timeframe=bt.TimeFrame.Minutes,compression=60)
    cerebro.addcalendar('NYSE')
    
    # Strategy
    cerebro.addstrategy(St, **eval('dict(' + args.strat + ')'))

    # Execute
    cerebro.run(**eval('dict(' + args.cerebro + ')'))

resulted in the error described .

thanks.

Maor Kima

I dug the code a bit and it looks like there is an issue with tardingcal.py schedule method.
the searchsorted on line 269 should receive a datetime object, not date.

i've tweaked the code as follows which seems to work.

    def schedule(self, day, tz=None):
        '''
        Returns the opening and closing times for the given ``day``. If the
        method is called, the assumption is that ``day`` is an actual trading
        day

        The return value is a tuple with 2 components: opentime, closetime
        '''

        while True:
            i = self.idcache.index.searchsorted(day.replace(hour=00,minute=00))
            if i == len(self.idcache):
                # keep a cache of 1 year to speed up searching
                self.idcache = self._calendar.schedule(day, day + self.csize)
                continue

run-out

This is an open issue for backtrader. Would you like to have a look at it?
https://github.com/backtrader2/backtrader/issues/18

Maor Kima

@run-out - thanks. that's indeed solves the problem.