Oanda and resampling

leecallen

Merry Christmas everyone.

One of my wife's gifts to me is time to work on my forex project today. So I am tackling a problem that has mystified me for weeks. Here is a snippet of my code:

def runstrategy( currpair ):
    cerebro = bt.Cerebro()
    broker = BrokerCls( token='my-token-here', account='my-account-here', practice=True )
    cerebro.setbroker(broker)
    DataFactory = DataCls
    data = DataFactory( dataname=currpair[0] + '_' + currpair[1], timeframe=bt.TimeFrame.Minutes, compression=5 )
    cerebro.resampledata(data , timeframe=bt.TimeFrame.Minutes, compression=60, rightedge=True)
    cerebro.resampledata(data , timeframe=bt.TimeFrame.Minutes, compression=240, rightedge=True)
    cerebro.addstrategy()
    cycles = cerebro.run()

and then:

    def next( self ):
        for i, d in enumerate(self.datas):
            print(i, d.datetime.datetime(0).strftime('%Y-%m-%dT%H:%M:%S.%f'))

My problem: next() gets invoked for my two resampled timeframes - 60 & 240 minutes - but never for the raw M5 'ticks'. Every output looks like this:

0 2020-12-24T11:00:00.000000
1 2020-12-24T08:00:00.000000

So self.datas[0] contains the first resample (M60) and self.datas[1] contains the second (M240). Where is my M5 data???

I have been working around this by request M1 data and resampling to M5,M60,M240. That way data0,data1,data2 reflect those timeframes. But I need more backfill data on startup, and I think I would get more if I request M5 data instead of M1.

I hope I am just misunderstanding something.

Thanks to any fellow nerds who are active here today. And yes, I realize not everyone celebrates Christmas.

rajanprabu

hi @leecallen You did not add the ticks to BT but only the resamples ones.

cerebro.adddata(data) would also take ticks in to next ()

leecallen

@rajanprabu said in Oanda and resampling:

cerebro.adddata(data)

Omigod THANK YOU! So fast, so simple, and so right.

It's a festivus miracle!