3. Resampling Data - IBBroker - several data feed with different compression values
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Resampling Data - IBBroker - several data feed with different compression values


  • Hi,

    There is something I don't understand in the behavior of my script when I resample data.
    I'm resampling the same data in another time-frame with different compression values.

    See below :

    Server Version: 76
TWS Time at connection:20200723 14:22:55 AWST
***** DATA NOTIF: DELAYED
EUR.USD, 10, 2020-07-23 00:53:04, 1.16, compression=16
EUR.USD, 10, 2020-07-23 00:53:04, 1.16, compression=8
EUR.USD, 10, 2020-07-23 00:53:04, 1.16, compression=4
EUR.USD, 10, 2020-07-23 00:53:04, 1.16, compression=1
EUR.USD, 11, 2020-07-23 00:53:04, 1.16, compression=8
EUR.USD, 11, 2020-07-23 00:53:04, 1.16, compression=4
EUR.USD, 11, 2020-07-23 00:53:05, 1.16, compression=1
EUR.USD, 12, 2020-07-23 00:53:04, 1.16, compression=4
EUR.USD, 12, 2020-07-23 00:53:06, 1.16, compression=1
EUR.USD, 13, 2020-07-23 00:53:07, 1.16, compression=1
EUR.USD, 14, 2020-07-23 00:53:08, 1.16, compression=1
EUR.USD, 15, 2020-07-23 00:53:09, 1.16, compression=1

    My understanding is the following :
    in the strategy data0 will be updated every 1 second
    in the strategy data1 will be updated every 2 seconds
    in the strategy data2 will be updated every 4 seconds
    in the strategy data3 will be updated every 8 seconds
    in the strategy data4 will be updated every 16 seconds

    When I log the output of the data in the next(self) of my strategy it doesn't seem to be the case :

    WS Time at connection:20200723 12:11:49 AWST
***** DATA NOTIF: DELAYED
EUR.USD, 4, 2020-07-22 22:41:52, 1.16, 1.16, 1.16, 1.16, -4.00, compression=16
EUR.USD, 4, 2020-07-22 22:41:52, 1.16, 1.16, 1.16, 1.16, -4.00, compression=8
EUR.USD, 4, 2020-07-22 22:41:52, 1.16, 1.16, 1.16, 1.16, -4.00, compression=4
EUR.USD, 4, 2020-07-22 22:41:52, 1.16, 1.16, 1.16, 1.16, -2.00, compression=2
EUR.USD, 4, 2020-07-22 22:41:52, 1.16, 1.16, 1.16, 1.16, -1.00, compression=1
EUR.USD, 5, 2020-07-22 22:41:52, 1.16, 1.16, 1.16, 1.16, -2.00, compression=2
EUR.USD, 5, 2020-07-22 22:41:53, 1.16, 1.16, 1.16, 1.16, -1.00, compression=1
EUR.USD, 6, 2020-07-22 22:41:54, 1.16, 1.16, 1.16, 1.16, -2.00, compression=2
EUR.USD, 6, 2020-07-22 22:41:54, 1.16, 1.16, 1.16, 1.16, -1.00, compression=1
EUR.USD, 7, 2020-07-22 22:41:55, 1.16, 1.16, 1.16, 1.16, -1.00, compression=1
EUR.USD, 8, 2020-07-22 22:41:56, 1.16, 1.16, 1.16, 1.16, -1.00, compression=1
EUR.USD, 9, 2020-07-22 22:41:57, 1.16, 1.16, 1.16, 1.16, -1.00, compression=1

    At the beginning I receive updates from the 4 compressed data.

    In Live my strategy only receive data0 updates :

    ***** DATA NOTIF: LIVE
EUR.USD, 1801, 2020-07-23 01:22:56, 1.16, compression=1
EUR.USD, 1802, 2020-07-23 01:22:59, 1.16, compression=1
EUR.USD, 1803, 2020-07-23 01:22:59, 1.16, compression=1
EUR.USD, 1804, 2020-07-23 01:23:01, 1.16, compression=1
EUR.USD, 1805, 2020-07-23 01:23:02, 1.16, compression=1

    Am I missing something ?
    How can I have, on the same original data set, several data feeds with different compression values ?

    Thanks for your help,

    0

  • The resampling code :

    stockkwargs = dict(
        dataname='EUR.USD',
        sectype='CASH',
        exchange='IDEALPRO',
        # timeframe=bt.TimeFrame.Seconds,
        # compression=1
    )
    data = ibstore.getdata( **stockkwargs)
    cerebro.resampledata(data, name=stockkwargs['dataname'], timeframe=bt.TimeFrame.Seconds, compression=1)
    cerebro.resampledata(data, name=stockkwargs['dataname'], timeframe=bt.TimeFrame.Seconds, compression=2)
    cerebro.resampledata(data, name=stockkwargs['dataname'], timeframe=bt.TimeFrame.Seconds, compression=4)
    cerebro.resampledata(data, name=stockkwargs['dataname'], timeframe=bt.TimeFrame.Seconds, compression=8)
    cerebro.resampledata(data, name=stockkwargs['dataname'], timeframe=bt.TimeFrame.Seconds, compression=16)
    0

  • I found the Error, It was in my code ==> []

    Thanks for this great platform.

    Chears,

    1
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