Adding Multiple CSV data feeds
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Hello guys I am currently starting with backtrader and i am struggling to add multiple data feeds.
The following code ends with exit code 0 however does only consider the very last csv file ("AM.CVX.csv"). Thanks for your help and I know that this is a very basic question but everyone has to start somewhere.
P.S. The example in the documentation did not really help me.import backtrader as bt import backtrader.feeds as btfeed from datetime import datetime class dataFeed(btfeed.GenericCSVData): params = ( ('dtformat', '%Y-%m-%d %H:%M:%S'), ('datetime', 0), ('open', 1), ('high', 2), ('low', 3), ('close', 4), ('volume', 5), ('openinterest', -1) ) class firstStrategy(bt.Strategy): def log(self, txt, dt=None): ''' Logging function fot this strategy''' for i, d in enumerate(self.datas): dt = dt or self.datas[i].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def __init__(self): for i, d in enumerate(self.datas): self.dataclose = self.datas[i].close def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: # Buy/Sell order submitted/accepted to/by broker - Nothing to do return # Check if an order has been completed # Attention: broker could reject order if not enough cash if order.status in [order.Completed]: if order.isbuy(): self.log('BUY EXECUTED, %.2f' % order.executed.price) elif order.issell(): self.log('SELL EXECUTED, %.2f' % order.executed.price) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') # Write down: no pending order #self.order = None def next(self): for i, d in enumerate(self.datas): self.dataclose = self.datas[i].close dt, dn = self.datetime.date(), d._name pos = self.getposition(d).size # Simply log the closing price of the series from the reference self.log('Close, %.2f' % self.dataclose[0]) # Check if an order is pending ... if yes, we cannot send a 2nd one #if self.order: # return # Check if we are in the market if not self.position: # Not yet ... we MIGHT BUY if ... if self.dataclose[0] < self.dataclose[-1]: # current close less than previous close if self.dataclose[-1] < self.dataclose[-2]: # previous close less than the previous close # BUY, BUY, BUY!!! (with default parameters) self.log('BUY CREATE, %.2f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.buy() else: # Already in the market ... we might sell if len(self) >= (self.bar_executed + 5): # SELL, SELL, SELL!!! (with all possible default parameters) self.log('SELL CREATE, %.2f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.sell() if __name__ == '__main__': # Create a cerebro entity cerebro = bt.Cerebro() startcash = 10000 # Add a strategy cerebro.addstrategy(firstStrategy) datalist = [("AM.ATVI.csv"), ("AM.MO.csv"), ("AM.GM.csv"), ("AM.CL.csv") , ("AM.FDX.csv"), ("AM.NAKD.csv"), ("AM.NVDA.csv"), ("AM.OCGN.csv"), ("AM.ON.csv") , ("AM.PDD.csv"), ("AM.PLUG.csv"), ("AM.QCOM.csv"), ("AM.MDLZ.csv"), ("AM.ADP.csv") , ("AM.C.csv"), ("AM.AZN.csv"), ("AM.PEP.csv"), ("AM.ORCL.csv"), ("AM.QTT.csv") , ("AM.RUN.csv"), ("AM.SABR.csv"), ("AM.SNDL.csv"), ("AM.TSLA.csv"), ("AM.UAL.csv") , ("AM.UXIN.csv"), ("AM.WEN.csv"), ("AM.WFC.csv"), ("AM.YY.csv"), ("AM.ZNGA.csv") , ("AM.MSFT.csv"), ("AM.AAPL.csv"), ("AM.FB.csv"), ("AM.BABA.csv"), ("AM.TSM.csv") , ("AM.V.csv"), ("AM.JPM.csv"), ("AM.JNJ.csv") , ("AM.PG.csv"), ("AM.BAC.csv"), ("AM.INTC.csv"), ("AM.VZ.csv"), ("AM.NKE.csv") , ("AM.XOM.csv"), ("AM.KO.csv"), ("AM.T.csv"), ("AM.PFE.csv") , ("AM.MRK.csv"), ("AM.MS.csv"), ("AM.AAL.csv"), ("AM.GT.csv"), ("AM.UBER.csv") , ("AM.AMD.csv"), ("AM.PDD.csv"), ("AM.CVX.csv")] #the files are located in my python project for i in range(len(datalist)): data = dataFeed(dataname=datalist[i], timeframe=bt.TimeFrame.Minutes, compression=60) cerebro.adddata(data, name=datalist[i]) # Set our desired cash start cerebro.broker.setcash(startcash) # Set the commission #cerebro.broker.setcommission(commission=0.0005) # Add a sizer #cerebro.addsizer(bt.sizers.PercentSizer, percents=50) cerebro.run() # Print out the starting conditions print('Starting Portfolio Value: %.2f' % startcash) # Get final portfolio Value portvalue = cerebro.broker.getvalue() pnl = portvalue - startcash # Print out the final result print('Final Portfolio Value: ${}'.format(portvalue)) print('P/L: ${}'.format(pnl))
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@hexabraum said in Adding Multiple CSV data feeds:
def __init__(self): for i, d in enumerate(self.datas): self.dataclose = self.datas[i].close
It seems you are overriding the same instance variable
self.dataclose
for each data feed. Soself.dataclose
will just point to the latest symbol close line. -
@hexabraum said in Adding Multiple CSV data feeds:
for i, d in enumerate(self.datas):
self.dataclose = self.datas[i].close
dt, dn = self.datetime.date(), d._name
pos = self.getposition(d).size
# Simply log the closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])In addition to my very learned collegue's @vladisld above, you don't really need that code in the init, nor the enumerate in next.
self.datas
is a list of data and you can just use the data in your work for keys and the like. You could write the next code as follows:for d in self.datas: dt, dn = self.datetime.date(), d._name pos = self.getposition(d).size # Simply log the closing price of the series from the reference self.log('Close, %.2f' % d.close[0])
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@run-out Thanks for your answer. Now each csv file is being considered but the logging output looks really weird.
[...] 2021-02-18, SELL CREATE, 102.31 2021-02-18, SELL CREATE, 102.31 2021-02-18, SELL CREATE, 102.31 2021-02-18, SELL CREATE, 102.31 2021-02-18, SELL EXECUTED, 102.30 2021-02-18, SELL EXECUTED, 102.30 2021-02-18, SELL EXECUTED, 102.30 2021-02-18, SELL EXECUTED, 102.30 2021-02-18, Close, 102.22 2021-02-18, Close, 102.22 2021-02-18, Close, 102.22 2021-02-18, Close, 102.22 2021-02-18, Close, 43.62 2021-02-18, Close, 43.62 2021-02-18, Close, 43.62 2021-02-18, Close, 43.62 2021-02-18, Close, 52.13 2021-02-18, Close, 52.13 2021-02-18, Close, 52.13 2021-02-18, Close, 52.13 2021-02-18, Close, 78.65 2021-02-18, Close, 78.65 2021-02-18, Close, 78.65 2021-02-18, Close, 78.65 2021-02-18, Close, 102.21 2021-02-18, Close, 102.21 2021-02-18, Close, 102.21 2021-02-18, Close, 102.21 2021-02-18, Close, 43.62 2021-02-18, Close, 43.62 2021-02-18, Close, 43.62 2021-02-18, Close, 43.62 2021-02-18, Close, 52.10 2021-02-18, Close, 52.10 2021-02-18, Close, 52.10 2021-02-18, Close, 52.10 2021-02-18, Close, 78.63 2021-02-18, Close, 78.63 2021-02-18, Close, 78.63 2021-02-18, Close, 78.63 2021-02-18, Close, 102.28 2021-02-18, Close, 102.28 2021-02-18, Close, 102.28 2021-02-18, Close, 102.28 2021-02-18, Close, 43.61 2021-02-18, Close, 43.61 2021-02-18, Close, 43.61 2021-02-18, Close, 43.61 2021-02-18, Close, 52.14 2021-02-18, Close, 52.14 2021-02-18, Close, 52.14 2021-02-18, Close, 52.14 2021-02-18, Close, 78.71 2021-02-18, Close, 78.71 2021-02-18, Close, 78.71 2021-02-18, Close, 78.71 Starting Portfolio Value: 10000.00 Final Portfolio Value: $9979.769999999993 P/L: $-20.23000000000684
Each closing price, selling action and buying action is getting printed 4 times when my datalist includes 4 Files, 3 times when it includes 3 files etc.
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@hexabraum i fixed it by deleting the for loop in the log function.