Pair Trading with minutes data

GwadaMan

Hi,

Since I upgrade my BT at last version, hours, minutes or secondes are not processes any more.
It's look like BT is blocked at only day level.

FYI : I setup timeframe and compression but it's still bloking to the first date to the first day "2016-11-29T23:59:59.999989".
cerebro.resampledata(data0,timeframe=tframes[args.timeframe], compression=args.compression)
cerebro.resampledata(data1,timeframe=tframes[args.timeframe], compression=args.compression)

Could you provide a version of pair-trading contribution working with minutes data ?

Regards,

backtrader

To properly provide an answer one would need some pieces of the puzzle.

A long shot: you are not loading the data feed with the proper timeframe/compression information.

GwadaMan

:Here a part of the source code with the timeframe/compression setting

def runstrategy():
    args = parse_args()

    # Create a cerebro
    cerebro = bt.Cerebro()

    # Get the dates from the args
    fromdate = datetime.datetime(2016, 11, 25) # datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
    todate = datetime.datetime(2016, 12, 02) # datetime.datetime.strptime(args.todate, '%Y-%m-%d')

    # Create the 1st data
    tframes = dict(
        secondes=bt.TimeFrame.Seconds,
        minutes=bt.TimeFrame.Minutes,
        days=bt.TimeFrame.Days,
        weeks=bt.TimeFrame.Weeks,
        months=bt.TimeFrame.Months,
        years=bt.TimeFrame.Years)

    # Create the 1st data
    """
    data0 = btfeeds.YahooFinanceCSVData(
        dataname=args.data0,
        fromdate=fromdate,
        todate=todate)
    """
    data0 = btfeeds.GenericCSVData(
        dataname=args.data0,

        fromdate=fromdate,
        todate=todate,

        nullvalue=0.0,

        dtformat=('%Y-%m-%d %H:%M:%S'),
        datetime=0,
        high=2,
        low=3,
        open=1,
        close=4,
        volume=5,
        openinterest=-1,
    )

    # Add the 1st data to cerebro
    cerebro.adddata(data0)

    # Create the 2nd data
    """
    data1 = btfeeds.YahooFinanceCSVData(
        dataname=args.data1,
        fromdate=fromdate,
        todate=todate)
    """
    data1 = btfeeds.GenericCSVData(
        dataname=args.data1,

        fromdate=fromdate,
        todate=todate,

        nullvalue=0.0,

        dtformat=('%Y-%m-%d %H:%M:%S'),
        datetime=0,
        high=2,
        low=3,
        open=1,
        close=4,
        volume=5,
        openinterest=-1,
    )

    # Add the 2nd data to cerebro
    cerebro.adddata(data1)


    cerebro.resampledata(data0,timeframe=tframes[args.timeframe], compression=args.compression)
    # Create the 2nd data
    # Add the 2nd data to cerebro
    #cerebro.adddata(data1)
    cerebro.resampledata(data1,timeframe=tframes[args.timeframe], compression=args.compression)

    # Add the strategy
    cerebro.addstrategy(PairTradingStrategy,
                        period=args.period,
                        stake=args.stake)

    # Add the commission - only stocks like a for each operation
    cerebro.broker.setcash(args.cash)

    # Add the commission - only stocks like a for each operation
    cerebro.broker.setcommission(commission=args.commperc)

    # And run it
    cerebro.run(runonce=not args.runnext,
                preload=not args.nopreload,
                oldsync=args.oldsync)

    # Plot if requested
    if args.plot:
        cerebro.plot(numfigs=args.numfigs, volume=False, zdown=False)


def parse_args():
    parser = argparse.ArgumentParser(description='MultiData Strategy')

    parser.add_argument('--data0', '-d0',
                        default='intra-DDD.csv',
                        help='1st data into the system')

    parser.add_argument('--data1', '-d1',
                        default='intra-SSYS.csv',
                        help='2nd data into the system')

    parser.add_argument('--fromdate', '-f',
                        default='1997-01-01',
                        help='Starting date in YYYY-MM-DD format')

    parser.add_argument('--todate', '-t',
                        default='1998-06-01',
                        help='Starting date in YYYY-MM-DD format')

    group = parser.add_mutually_exclusive_group()
    group.add_argument('--tframe', default='years', required=False,
                       choices=['days', 'weeks', 'months', 'years'],
                       help='TimeFrame for the returns/Sharpe calculations')

    group.add_argument('--legacyannual', action='store_true',
                       help='Use legacy annual return analyzer')


    pgroup = parser.add_mutually_exclusive_group(required=False)

    pgroup.add_argument('--replay',
                        required=False, action='store_true',
                        help='replay to chosen timeframe')

    pgroup.add_argument('--resample', default = True,
                        required=False, action='store_true',
                        help='resample to chosen timeframe')

    parser.add_argument('--timeframe', default='minutes',
                        choices=bt.TimeFrame.Names,
                        required=False, action='store',
                        help='TimeFrame for Resample/Replay')

    parser.add_argument('--compression', default=1, type=int,
                        required=False, action='store',
                        help='Compression for Resample/Replay')

    parser.add_argument('--timeframe1', default=True,
                        choices=bt.TimeFrame.Names,
                        required=False, action='store',
                        help='TimeFrame for Resample/Replay - Data1')

    parser.add_argument('--compression1', default=None, type=int,
                        required=False, action='store',
                        help='Compression for Resample/Replay - Data1')

    parser.add_argument('--period', default=10, type=int,
                        help='Period to apply to the Simple Moving Average')

    parser.add_argument('--cash', default=100000, type=int,
                        help='Starting Cash')

    parser.add_argument('--runnext', action='store_true',
                        help='Use next by next instead of runonce')

    parser.add_argument('--nopreload', action='store_true',
                        help='Do not preload the data')

    parser.add_argument('--oldsync', action='store_true',
                        help='Use old data synchronization method')

    parser.add_argument('--commperc', default=0.005, type=float,
                        help='Percentage commission (0.005 is 0.5%%')

    parser.add_argument('--stake', default=10, type=int,
                        help='Stake to apply in each operation')

    parser.add_argument('--plot', '-p', default=True, action='store_true',
                        help='Plot the read data')

    parser.add_argument('--numfigs', '-n', default=1,
                        help='Plot using numfigs figures')

    return parser.parse_args()


if __name__ == '__main__':
    runstrategy()

backtrader

@GwadaMan said in Pair Trading with minutes data:

data0 = btfeeds.GenericCSVData(
    dataname=args.data0,

    fromdate=fromdate,
    todate=todate,

    nullvalue=0.0,

    dtformat=('%Y-%m-%d %H:%M:%S'),
    datetime=0,
    high=2,
    low=3,
    open=1,
    close=4,
    volume=5,
    openinterest=-1,
)

timeframe? compression?

GwadaMan

@backtrader the code is splited. Does it miss something ? I didn't undestand your question.

cerebro.resampledata(data0,timeframe=tframes[args.timeframe], compression=args.compression)
cerebro.resampledata(data1,timeframe=tframes[args.timeframe], compression=args.compression)

parser.add_argument('--timeframe', default='minutes',
choices=bt.TimeFrame.Names,
required=False, action='store',
help='TimeFrame for Resample/Replay')

parser.add_argument('--compression', default=1, type=int,
required=False, action='store',
help='Compression for Resample/Replay')

backtrader

The code is not formatted because you have not added 3-tick marks (see the top of the page) before and after the code.

You are instantiating the data feed without any timeframe / compression indication. Same issue today: https://community.backtrader.com/topic/290/is-this-a-valid-way-of-analyzing-multiple-timeframes

GwadaMan

@backtrader thx I fixed it with your help !!!