Feeding Multiple Data Feeds in Indicators

KT

Hi! I would like to ask how to add multiple data feeds into indicators. I am using StandardDeviation indicator and instead of using multiple indicators, I am planning to input 3 data into the indicator so that the indicator can give me 3 sd for different data. Thanks :)

backtrader

You can pass as many data feeds (or anything that looks like it, like indicators for example) to indicators. The same concepts applied to reach data feeds are applied in indicators.

See Docs - Platform Concepts

WillDawn24

Can you give an example about indicator instance initiation? The example you referred, I think, is a build-in class. Can you elaborate on how to self define an indicator class with multiple data as input? Thanks!

backtrader

It's already built-in. From the documentation link:

Data Feeds are automagically provided member variables to the strategy in the form of an array and shortcuts to the array positions

And the same applies to indicators, with the exception noted in: Docs - Using Indicators in the section Some Notes

This is intentional. If no data is passed, the 1st data of the parent (in this case the Strategy in which is being created) will be automatically passed in the background

I.e.: You don't need to define anything. The data(s) are provided automatically to the indicator in the self.datas array.

And the minimum number that a caller has to provide can be determined. See Blog - Crossing over numbers

WillDawn24

@backtrader Thanks! I later solved it by passing self.data into the instance initiation and it works. I wonder if there is a way to control the size of indicator panel? The height is too narrow to see the exact value for me. Thanks!

_m_d_b

@WillDawn24 @backtrader

Can you please give an example of how passing multiple data feeds into an indicator is done? For example, if you had two feeds (self.datas[0] and self.datas[1] in the parent strategy):

How do you pass the self.datas array to the indicator?
How would you access each feed in the indicator?
How would you access each feed in the indicator if you didn't know how many data feeds sent in before program execution? I.e. without using the self.data[#] notation and using a loop to loop over available data feeds.

Paska Houso

@_m_d_b said in Feeding Multiple Data Feeds in Indicators:

Can you please give an example of how passing multiple data feeds into an indicator is done? For example, if you had two feeds (self.datas[0] and self.datas[1] in the parent strategy):

Have you tried?:

MySuperIndicator(self.datas[0], self.datas[1])  # or MySuperIndicators(*self.datas[0:2]) or MySuperIndicator(self.data0, self.data1)

@_m_d_b said in Feeding Multiple Data Feeds in Indicators:

How do you pass the self.datas array to the indicator?

If that is the entire array: MySuperIndicator(*self.datas) or is the question asking something different?

@_m_d_b said in Feeding Multiple Data Feeds in Indicators:

How would you access each feed in the indicator?

Same as in the strategy? It's in the document that was quoted above (Platform concepts) and in the answer from @backtrader

I.e.: You don't need to define anything. The data(s) are provided automatically to the indicator in the self.datas array.

@_m_d_b said in Feeding Multiple Data Feeds in Indicators:

How would you access each feed in the indicator if you didn't know how many data feeds sent in before program execution? I.e. without using the self.data[#] notation and using a loop to loop over available data feeds.

for data in self.datas or is the question asking something different?

_m_d_b

@Paska-Houso

Thank you! I think I was just missing the *self.datas notation. I'll give this a try.

I also pasted a more detailed version of this question here.

I think your solution works and I was just passing the object incorrectly to the indicator.

How does *self.datas in MySuperIndicator(*self.datas) get mapped to the self.datas object in MySuperIndicator? I didn't expect that. What's the mechanism there?

I thought parameters had to be passed in by name (e.g. MySuperIndicator(data=self.data)) and accepted as "params" (params = (('data',{}),).

Paska Houso

It's in the documentation linked above: Platform Concepts: https://www.backtrader.com/docu/concepts.html

_m_d_b

@Paska-Houso Sorry to be annoying here, I don't see that in the documentation. Can you quote the relevant snippet?

Paska Houso

It 1st says:

Data Feeds are automagically provided member variables to the strategy in the
form of an array and shortcuts to the array positions

And then

So it is. Data Feeds get added to the platform and they will show up inside the strategy
in the sequential order in which they were added to the system.

Note
This also applies to Indicators, should the end user develop his own custom Indicator or
when having a look at the source code for some of the existing Indicator Reference

The documentation is obviously not going to describe what's done in the source code. It's telling you that you automatically get a self.datas array with the datas. In the case of the indicators, obviously those you pass or only the 0th (as you have named it) if you are not explicit about passing data feeds.

_m_d_b

@Paska-Houso OK I guess I just didn't understand how *self.datas in MySuperIndicator(*self.datas) get mapped to the self.datas object in MySuperIndicator.

The docs show examples without the * like this

class MyStrategy(bt.Strategy):
    params = dict(period=20)

    def __init__(self):

        sma = btind.SimpleMovingAverage(self.data, period=self.params.period)

    ...

But I guess I'm to understand that anything passed in the indicator that is not a named parameter (i.e. not like param=x) is mapped to the self.datas object in the indicator?

Paska Houso

@_m_d_b said in Feeding Multiple Data Feeds in Indicators:

But I guess I'm to understand that anything passed in the indicator that is not a named parameter (i.e. not like param=x) is mapped to the self.datas object in the indicator?

I guess only data feeds are mapped to datas. From the same document:

No *args or **kwargs are being received by the strategy’s __init__ method (they may still be used)

So *args may still be used and I recall having seen posts (it would probably take too much digging) from people who were using several unnamed arguments in the snippets.

The alternatives

Dig in the source code and find out if that's true
Make a small snippet which passes something like this to the indicator
```
MySuperIndicator(self, p1, p2)
```
And see what makes it to your indicator when it is instantiated and you pass some data feeds and a couple of integers for example.

lalas

@_m_d_b It will be great if you can share a complete example for others to learn from.
Cheers

Sagittarius19

Hello all. I have gone over this post several times as well as the documentation and still cant figure out how to do this.

How am i supposed to reference the volume column in the datas if i dont call for it in the code for the indicator?

import backtrader.indicators as btind

params = dict(period=14)

def __init__(self):
    self.newSMA = btind.MovingAverageSimple(period = self.params.period)

Like the original writer of this post, I have issues when trying to get multiple data feeds involved. This is what the closet thing i have to working is but it only uses the [0]th datas as described in the documentation since "self.data has been completely removed from the invocation of SimpleMovingAverage"

import backtrader.indicators as btind

params = dict(period=14)

def __init__(self):
    for i, d in enumerate(self.datas): 
            day_vol = self.datas[i].volume
            self.newSMA = btind.MovingAverageSimple(day_vol, period = self.params.period)

Can @backtrader or anyone else provide some clarity please?

backtrader

@sagittarius19 said in Feeding Multiple Data Feeds in Indicators:

How am i supposed to reference the volume column in the datas if i dont call for it in the code for the indicator?

If you want to use the volume you have to reference it.

@sagittarius19 said in Feeding Multiple Data Feeds in Indicators:

Like the original writer of this post, I have issues when trying to get multiple data feeds involved.

I truly believe you are mistaken. A SimpleMovingAverage takes a single data feed (or the volume as you do, or another indicator if you wish), so there are no multiple data feeds when it comes down to the indicator.

What you are doing is creating an indicator on multiple data feeds, which is also fine and good.

Working with multiple data feeds in an indicator was shown above by @Paska-Houso, who even provided 3 different (but equivalent) notations.

@paska-houso said in Feeding Multiple Data Feeds in Indicators:

Have you tried?:

MySuperIndicator(self.datas[0], self.datas[1])  # or MySuperIndicators(*self.datas[0:2]) or MySuperIndicator(self.data0, self.data1)

Sagittarius19

@backtrader Can you show an example on how to reference it only volume? The only way i know how, is by

 self.newSMA = btind.MovingAverageSimple(self.data.volume, period = self.params.period)

but obviously this will just give me the simple moving average for 1 stock alone.

Also the examples @Paska-Houso give are for when you already know how many data feeds you are going to use. Not for when the amount of datafeeds could change. When i try to put in a "for data in datas:" loop within the init function, my next function only takes in 1 stock. Im not sure if those errors are because of something I am doing wrong though or if its because you cant use a loop like that in the init function.

backtrader

This thread is about Feeding multiple data feeds to an Indicator. You seem to want something else totally unrelated, which is creating N indicators using N data feeds.

Where is the difficulty? What's the error? Can you provide a full sample and your problem?

Sagittarius19

@backtrader Yes, il write another post now to illustrate the issue. Thanks

Sagittarius19

@backtrader Here is the link to the new post: link text