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    Adding Multiple CSV data feeds

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    csv datafeed multiple data
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    • H
      HexaBraum last edited by

      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))
      vladisld run-out 2 Replies Last reply Reply Quote 0
      • vladisld
        vladisld @HexaBraum last edited by

        @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. So self.dataclose will just point to the latest symbol close line.

        1 Reply Last reply Reply Quote 2
        • run-out
          run-out @HexaBraum last edited by

          @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])
          H 1 Reply Last reply Reply Quote 1
          • H
            HexaBraum @run-out last edited by

            @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.

            H 1 Reply Last reply Reply Quote 0
            • H
              HexaBraum @HexaBraum last edited by

              @hexabraum i fixed it by deleting the for loop in the log function.

              1 Reply Last reply Reply Quote 0
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