How to work with 15min ticks and resample it to 1h data

prnvat8197

I am new to backtrader, I was going through the quickstart guide and tried implementing it with my own data which is a 15min tick. I want to convert this 15m to 60m and then run the strategy. I am a little confused about how to do that using the resampledata functionality

# Datas are in a subfolder of the samples. Need to find where the script is
# because it could have been called from anywhere
modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
datapath = os.path.join(modpath, 'M&M15m.csv')

# Create a Data Feed
data = bt.feeds.YahooFinanceCSVData(
    dataname=datapath,
    # Do not pass values before this date
    # fromdate=datetime.datetime(2000, 1, 1),
    # # Do not pass values before this date
    # todate=datetime.datetime(2000, 12, 31),
    # Do not pass values after this date
    reverse=False)

# Add the Data Feed to Cerebro

cerebro.resampledata(data, timeframe = bt.TimeFrame.Minutes, compression = 15)
cerebro.adddata(data)

# Set our desired cash start
cerebro.broker.setcash(100000.0)

# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

# Run over everything
cerebro.run()

# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

I know this is not the right way to do it so can someone correct it for me, thanks!

run-out

@prnvat8197
Because you are uploading 15 bars (not ticks) you need to tell backtrader the timeframe/compression right away when you create the data. Then you add the data to cerebro using resample. This is where you indicate the compression of 60 (one hour)

data = bt.feeds.YahooFinanceCSVData(
    dataname=datapath,
    timeframe = bt.TimeFrame.Minutes, 
    compression = 15
    reverse=False
)

# Add the Data Feed to Cerebro

cerebro.resampledata(data, timeframe = bt.TimeFrame.Minutes, compression = 60)

prnvat8197

@run-out Yeah I tried it, but its still not printing the hourly close data as I expect it. Maybe its an issue with the format of my csv data? Can you take a look. https://drive.google.com/file/d/1JeyMrYXYN3_D3bN3scUNPQNC47IluvEm/view?usp=sharing

Also, my code is below as a reference

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt


# Create a Stratey
class TestStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.dataclose[0])



if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(TestStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, 'M&M15m.csv')

    # Create a Data Feed
   # Create a Data Feed
    data = bt.feeds.YahooFinanceCSVData(
    dataname=datapath,
    timeframe = bt.TimeFrame.Minutes, 
    compression = 15,
    reverse=False)

    # Add the Data Feed to Cerebro

    cerebro.resampledata(data, timeframe = bt.TimeFrame.Minutes, compression = 60)


    # Set our desired cash start
    cerebro.broker.setcash(100000.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

run-out

@prnvat8197 Your going to have to tell backtrader the format since your data is not in standard format. Default for backtrader is "%Y-%m-%-d %H:%M:%S which is for 2021-07-21 09:30:00 You have datetimes with 2021-07-21 9:30:00, single digit hours.

I'm not sure off the top of my head what the formatting is for that but you can start here

You then add in the new formatting when you load date with YahooFinanceCSVData adding in the parameter:

dtformat="%Y-%m-%d %H:%M:%S"

But you will need to change the <H>

prnvat8197

@run-out I updated the csv file to the new format https://drive.google.com/file/d/16q6dsFIUEqQofqEA51QfxefJGKM6jeCT/view?usp=sharing formatting was strftime('%Y-%m-%d %I:%M:%S')

However, Im still getting the daily close price getting printed instead of the hourly
even updated the input params

modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, 'M&M15m-2.csv')

    # Create a Data Feed
   # Create a Data Feed
    data = bt.feeds.YahooFinanceCSVData(
    dataname=datapath,
    dtformat="%Y-%m-%d %H:%M:%S",
    timeframe = bt.TimeFrame.Minutes, 
    compression = 15,
    reverse=False)

    # Add the Data Feed to Cerebro

    cerebro.resampledata(data, timeframe = bt.TimeFrame.Minutes, compression = 60)

Please, help.

prnvat8197

@prnvat8197 please use this link https://drive.google.com/file/d/1S49wCI-NdhLnPGrd-zsfpvu50qj7yZVd/view?usp=sharing

lixiaomai001

@prnvat8197
try this:

 dtformat="%Y-%m-%d %H:%M",

prnvat8197

@lixiaomai001 Nope :(
Can you try running on your machine maybe? I'm really stuck with this basic step for a while

vladisld

@prnvat8197 could it be that there is a new line char separating you date and time columns?

prnvat8197

@vladisld Its just a space. Can you share a sample csv/txt file in the correct format, I can try running my code on it and format my data based on that. Thanks!

prnvat8197

@prnvat8197 Aah, finally read the documentation thoroughly and did some tickering around, the Generic csv data is required as input

data = btfeeds.GenericCSVData(
    dataname=datapath,
    fromdate=datetime.datetime(2021, 7, 1),
    todate=datetime.datetime(2021, 7, 16),
    nullvalue=0.0,
    dtformat=('%Y-%m-%d %H:%M:%S'), 
    timeframe = bt.TimeFrame.Minutes, 
    compression = 15,
    Datetime=0,
    High=2,
    Low=3,
    Open=1,
    Close=4,
    Volume=7,
    Adj_Close=6)

Thanks to everyone who replied to this thread! Really appreciate the community :D