Multi-Timeframe works for compression=15 but fails for 16

[Soham Jain]

Datafeed: feed.csv [0_1610445720484_feed.csv](Uploading 100%)
Original timeframe of the feed is 1 minute

Objective:

• To create an indicator that uses data from two different time frames.

from backtrader import Strategy
from backtrader import Indicator
import pandas as pd

class Dummy(Indicator):
    lines = ('l',)

    def next(self):
        # Datetime of the latest completed bars in both Time-Frames
        print(self.data0.datetime.datetime(0), end=": ")
        print(self.data1.datetime.datetime(0))


class TestStrategy(Strategy):
    params = ()

    def __init__(self):
        # Initializing dummy indicator (defined above)
        self.d = Dummy(self.data0, self.data1)
        pass

    def next(self):
        # Datetime of the latest completed bars in both Time-Frames
        print(self.data0.datetime.datetime(0), end=": ")
        print(self.data1.datetime.datetime(0))


df  =  pd.read_csv('feed.csv',
                   index_col='timestamp',
                   parse_dates=True)

data = bt.feeds.PandasData(
    dataname=df,
    openinterest='oi',
    timeframe=bt.TimeFrame.Minutes,
    compression=1,
    sessionstart=sessionstart,
    sessionend=sessionend
)

#  Creating the Cerebro instance
cerebro = bt.Cerebro(runonce=False)

# Adding Strategy: TestStrategy (defined above)
cerebro.addstrategy(TestStrategy)

# Adding feed 1 -> `1 minute` data. Smaller Time-Frame First
cerebro.adddata(data)

# Adding feed 2 -> Resampling `1 minute' to `15 minute`
cerebro.resampledata(data,
                     timeframe=bt.TimeFrame.Minutes,
                     compression=15)

# Executing
cerebro.run(stdstats=False)
cerebro.plot(style='candle', barup='green')

Output using compression 15:

2020-01-01 09:15:00: 2020-01-01 09:15:00
2020-01-01 09:15:00: 2020-01-01 09:15:00
2020-01-01 09:16:00: 2020-01-01 09:15:00
2020-01-01 09:16:00: 2020-01-01 09:15:00
2020-01-01 09:17:00: 2020-01-01 09:15:00
2020-01-01 09:17:00: 2020-01-01 09:15:00
2020-01-01 09:18:00: 2020-01-01 09:15:00
2020-01-01 09:18:00: 2020-01-01 09:15:00
2020-01-01 09:19:00: 2020-01-01 09:15:00
2020-01-01 09:19:00: 2020-01-01 09:15:00
2020-01-01 09:20:00: 2020-01-01 09:15:00
2020-01-01 09:20:00: 2020-01-01 09:15:00
2020-01-01 09:21:00: 2020-01-01 09:15:00
2020-01-01 09:21:00: 2020-01-01 09:15:00
2020-01-01 09:22:00: 2020-01-01 09:15:00

But when the compression is changed to 16, execution throws Index Error

# Adding feed 2 -> Resampling `1 minute' to `15 minute`
cerebro.resampledata(data,
                     timeframe=bt.TimeFrame.Minutes,
                     compression=16)

Output using compression 16:

  File "C:\Users\PC2\PycharmProjects\Backtrader\venv\lib\site-packages\backtrader\lineiterator.py", line 347, in nextstart
    self.next()
  File "C:/Users/PC2/.PyCharmCE2019.1/config/scratches/Test.py", line 10, in next
    print(self.data1.datetime.datetime(0))
  File "C:\Users\PC2\PycharmProjects\Backtrader\venv\lib\site-packages\backtrader\linebuffer.py", line 387, in datetime
    return num2date(self.array[self.idx + ago],
IndexError: array index out of range

Problem: Multi-Timeframe works well with compression=15 but fails with compression=16 (or any other than 15)

Observation:

self.data1.datetime.datetime(0)

works well for all Time-Frames in the next method of Strategy. But throws Index Error for Time-Frames other than 15 in the next method of Indicator

I'd be really grateful if someone can help me understand where am I going wrong.

[rajanprabu]

only a guess.. you may need to add a warm up period to your indicator

class Dummy(Indicator):
    lines = ('l',)
    params = (('period', 16),)

    def __init__(self):
        self.addminperiod(self.params.period)

    def next(self):
        # Datetime of the latest completed bars in both Time-Frames
        print(self.data0.datetime.datetime(0), end=": ")
        print(self.data1.datetime.datetime(0))
        

[Soham Jain]

@rajanprabu said in Multi-Timeframe works for compression=15 but fails for 16:

params = (('period', 16),)

def __init__(self):
    self.addminperiod(self.params.period)

Worked like a charm...
Thank you very much @rajanprabu