Resampling data using 1minute freq

coder1111

Hi Team

I am getting error while I am using "1min" frequency in the resampling function rest is I use other timeframe like "2min","15min","60min" it works well.

Also my data frequency is "1min".
Also I have tried to comment the resampling code while passing directly "1min" data and I am getting error.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import datetime
import pandas as pd
from collections import OrderedDict
import backtrader as bt
import backtrader.indicators as btind
import backtrader.analyzers as btanalyzers
import argparse
import backtrader.feeds as btfeeds
import datetime

def runstrat():
    args = parse_args()
    datapath_bn = 'data/BANKNIFTY_FUT.csv'
    datapath_nf = 'data/NIFTY_FUT.csv'
    timeframe_resample = '1min'
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(PairTrading)
    dataframe_bn = getData(datapath_bn)
    dataframe_nf = getData(datapath_nf)
    #Data for specific Market Time
    dataframe_nf = dataframe_nf.between_time('09:00', '15:30', axis=0, include_start=True, include_end=True)
    dataframe_bn = dataframe_bn.between_time('09:00', '15:30', axis=0, include_start=True, include_end=True)

    #Resample Here
    dataframe_bn = resample_df(dataframe_bn,timeframe_resample)
    dataframe_nf = resample_df(dataframe_nf,timeframe_resample)
    dataframe_nf['symbol'] = 'nifty'
    dataframe_bn['symbol'] = 'banknifty'
    dataframe_bn = dataframe_bn.dropna()
    dataframe_nf = dataframe_nf.dropna()
    # skiprows = 1 if args.noheaders else 0
    # header = None if args.noheaders else 0
    
    data = bt.feeds.PandasData(dataname=dataframe_bn)
    print(dataframe_bn)
    data1 = bt.feeds.PandasData(dataname=dataframe_nf)
    print(dataframe_nf)

    #cerebro.addwriter(bt.WriterFile, csv=True)

    # Add the Data Feed to Cerebro
    cerebro.adddata(data,name='banknifty')
    cerebro.adddata(data1,name='nifty')

    # Set our desired cash start
    cerebro.broker.setcash(10000000.0)

    # Add the analyzers we are interested in
    cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta")
    cerebro.addanalyzer(bt.analyzers.SQN, _name="sqn")

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    #cerebro.addanalyzer(btanalyzers.PyFolio.get_analysis(), _name='mysharpe')
    # Run over everything
    strategies= cerebro.run(tradehistory = True)
    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
    # Plot the result
    #cerebro.plot(style='candlestick')

    firstStrat = strategies[0]
    # print the analyzers
    printTradeAnalysis(firstStrat.analyzers.ta.get_analysis())
    printSQN(firstStrat.analyzers.sqn.get_analysis())

And the error I get is :-

Traceback (most recent call last):
  File "D:/Python/Pycharm/Strategies /Trading/t_v1.py", line 367, in <module>
    runstrat()
  File "D:/Python/Pycharm/Strategies /Trading/t_v1.py", line 337, in runstrat
    strategies= cerebro.run(tradehistory = True)
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\cerebro.py", line 1652, in _runonce
    strat._once()
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\lineiterator.py", line 297, in _once
    indicator._once()
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\lineiterator.py", line 297, in _once
    indicator._once()
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\lineiterator.py", line 318, in _once
    self.once(self._minperiod, self.buflen())
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\indicator.py", line 136, in once_via_next
    self.next()
  File "D:\Python\Pycharm\Strategies\venv\lib\site-packages\backtrader\indicators\ols.py", line 54, in next
    intercept, slope = sm.OLS(p0, p1).fit().params
ValueError: not enough values to unpack (expected 2, got 1)

Process finished with exit code 1

Also I think might be its for the indicator I am using:

self.transform = btind.OLS_TransformationN(self.data1, self.data, period=self.p.period)
self.zscore = self.transform.zscore

Please can anyone let me know how to fix it?

run-out

@coder1111 said in Resampling data using 1minute freq:

data = bt.feeds.PandasData(dataname=dataframe_bn)
print(dataframe_bn)
data1 = bt.feeds.PandasData(dataname=dataframe_nf)
print(dataframe_nf)

It's a bit hard to tell without seeing the data going in. Could you include a few rows from each dataframe?

In the mean time, try adding in the time frequency to tell backtrader what size your data is.

data = bt.feeds.PandasData(dataname=dataframe_bn, timeframe = bt.TimeFrame.Minutes, compression = 1)

coder1111

@run-out I just tried to add the changes but still the same problem. I think might be, it is because of btind.OLS_TransformationN.

run-out

@coder1111 I just tested the following:

self.ols = bt.ind.OLS_TransformationN(period=10)
self.ols = bt.ind.OLS_TransformationN(self.datas[0], self.datas[1], period=10)
self.ols = bt.ind.OLS_TransformationN(self.datas[0].close, self.datas[1].close, period=10)

And they are all working fine. Perhaps as I suggested in my earlier post you could share your data, and while you are at it, share the rest of your code altogether, and we can help you find your problem. As it stands we don't have enough information.