3. PandasData won't read a datetime column
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2019-10-02: The community is currently in read-only mode

PandasData won't read a datetime column

  • R

    This is my code:

    import ipdb
import backtrader as bt
import pandas

cerebro = bt.Cerebro(stdstats=False)
cerebro.addstrategy(bt.Strategy)

dataframe = pandas.read_json('BTC_XMR-30m.json')

data = bt.feeds.PandasData(
    dataname=dataframe,
    datetime=1
)
cerebro.adddata(data)

cerebro.run()
cerebro.plot(style='bar')

    dataframe looks like this:

          close                date      high       low      open  quoteVolume  \
0  0.004200 2014-07-18 16:00:00  0.004316  0.004030  0.004045  3412.578648   
1  0.004180 2014-07-18 16:30:00  0.004295  0.004180  0.004295    80.464673   
2  0.004226 2014-07-18 17:00:00  0.004500  0.004150  0.004195  2041.539606   
3  0.004404 2014-07-18 17:30:00  0.004509  0.004226  0.004226  1840.058267   
4  0.004435 2014-07-18 18:00:00  0.004511  0.004404  0.004404   866.016845   

      volume  weightedAverage  
0  14.166824         0.004151  
1   0.338532         0.004207  
2   8.865568         0.004343  
3   8.079922         0.004391  
4   3.851588         0.004447

    According to the docs I can tell PandasData that the date is in column 1, which I did in the constructor. But then it fails with this:

    (exch) shinichi@ayanami ~/source/poloniex $ ipython --pdb importer.py
---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
~/.virtualenvs/exch/lib/python3.6/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
   2441             try:
-> 2442                 return self._engine.get_loc(key)
   2443             except KeyError:

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc (pandas/_libs/index.c:5280)()

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc (pandas/_libs/index.c:5126)()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item (pandas/_libs/hashtable.c:20523)()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item (pandas/_libs/hashtable.c:20477)()

KeyError: 1

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
~/source/poloniex/importer.py in <module>()
     14 cerebro.adddata(data)
     15 
---> 16 cerebro.run()
     17 cerebro.plot(style='bar')

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/cerebro.py in run(self, **kwargs)
   1071             # let's skip process "spawning"
   1072             for iterstrat in iterstrats:
-> 1073                 runstrat = self.runstrategies(iterstrat)
   1074                 self.runstrats.append(runstrat)
   1075         else:

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/cerebro.py in runstrategies(self, iterstrat, predata)
   1145                 if self._exactbars < 1:  # datas can be full length
   1146                     data.extend(size=self.params.lookahead)
-> 1147                 data._start()
   1148                 if self._dopreload:
   1149                     data.preload()

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/feed.py in _start(self)
    201 
    202     def _start(self):
--> 203         self.start()
    204 
    205         if not self._started:

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/feeds/pandafeed.py in start(self)
    205             if v is None:
    206                 continue  # special marker for datetime
--> 207             self._colmapping[k] = self.p.dataname.columns.get_loc(v)
    208 
    209     def _load(self):

~/.virtualenvs/exch/lib/python3.6/site-packages/pandas/core/indexes/base.py in get_loc(self, key, method, tolerance)
   2442                 return self._engine.get_loc(key)
   2443             except KeyError:
-> 2444                 return self._engine.get_loc(self._maybe_cast_indexer(key))
   2445 
   2446         indexer = self.get_indexer([key], method=method, tolerance=tolerance)

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc (pandas/_libs/index.c:5280)()

pandas/_libs/index.pyx in pandas._libs.index.IndexEngine.get_loc (pandas/_libs/index.c:5126)()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item (pandas/_libs/hashtable.c:20523)()

pandas/_libs/hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item (pandas/_libs/hashtable.c:20477)()

KeyError: 1
> /Users/shinichi/source/poloniex/pandas/_libs/hashtable_class_helper.pxi(1218)pandas._libs.hashtable.PyObjectHashTable.get_item (pandas/_libs/hashtable.c:20477)()

ipdb>

    However, when I changed the code to look like this:

    data = bt.feeds.PandasData(
    dataname=dataframe,
    datetime='date'
)

    It still fails!

    (exch) shinichi@ayanami ~/source/poloniex $ ipython --pdb importer.py
---------------------------------------------------------------------------
IndexError                                Traceback (most recent call last)
~/source/poloniex/importer.py in <module>()
     14 cerebro.adddata(data)
     15 
---> 16 cerebro.run()
     17 cerebro.plot(style='bar')

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/cerebro.py in run(self, **kwargs)
   1071             # let's skip process "spawning"
   1072             for iterstrat in iterstrats:
-> 1073                 runstrat = self.runstrategies(iterstrat)
   1074                 self.runstrats.append(runstrat)
   1075         else:

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/cerebro.py in runstrategies(self, iterstrat, predata)
   1147                 data._start()
   1148                 if self._dopreload:
-> 1149                     data.preload()
   1150 
   1151         for stratcls, sargs, skwargs in iterstrat:

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/feed.py in preload(self)
    433 
    434     def preload(self):
--> 435         while self.load():
    436             pass
    437 

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/feed.py in load(self)
    474 
    475             if not self._fromstack(stash=True):
--> 476                 _loadret = self._load()
    477                 if not _loadret:  # no bar use force to make sure in exactbars
    478                     # the pointer is undone this covers especially (but not

~/.virtualenvs/exch/lib/python3.6/site-packages/backtrader/feeds/pandafeed.py in _load(self)
    235         else:
    236             # it's in a different column ... use standard column index
--> 237             tstamp = self.p.dataname.index[coldtime][self._idx]
    238 
    239         # convert to float via datetime and store it

IndexError: invalid index to scalar variable.

    What's wrong with PandasData? So far the documentation isn't very clear, at one point I thought the standard procedure was to subclass bt.feeds.PandasData.

    0
  • B
    administrators

    Even if not obvious, a 2 liner of the original data (you can fake it if you wish) would be key to actually try to reproduce your behavior.

    All those ipdb statements are only confusing, giving information about many things which have nothing to do with the potential problem.

    In any case this is probably due to a recent pull request was issued to remove the usage of ix (deprecated in the latest versions of Pandas), which is replaced with either loc (label based) or iloc (numeric based) and which didn't catch all use cases (In most occasions the datetime timestamps are the index of the dataframe)

    The latest development commit contains some code to correct the situation and simplify the autodetection:

    0
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