3. Intraday time issue/Orders waiting until T+1
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Intraday time issue/Orders waiting until T+1

  • I

    All,

    Have been using Backtrader for about a week and still trying to get the hang of it. I thought I was doing well with some daily stock ideas, but get out over my skis with intraday data.

    I have a year of minute-by-minute EUR/USD data in a OHLC csv. The date is in %Y%M%D and time in %H%M%D. I even added a third column to combine them into a datetime thinking that was the problem.

    20150101,130000,20150101 130000,,1.20965,1.20977,1.20962,1.20962,0
20150101,130100,20150101 130100,,1.20963,1.20968,1.20962,1.20962,0
20150101,130200,20150101 130200,,1.20965,1.2097,1.20961,1.20961,0

    I add the data to the strategy via the GenericCSVData function

        data = btfeed.GenericCSVData(
        dataname='M:\\EURUSD2.csv',

        fromdate=datetime.datetime(2015, 1, 1),
        todate=datetime.datetime(2015, 1, 3),

        nullvalue=0.0,

        dtformat=('%Y%m%d %H%M%S'),

        timefame=bt.TimeFrame.Minutes,
        compression=1,

        datetime=2,
        time=-1,
        open=4,
        high=5,
        low=6,
        close=7,
        volume=-1,
        openinterest=-1
    )

    When I run a test strategy, all orders wait until the next day to complete. All log data is timestamped "23:59:59.999". From all I can tell, the time isn't being passed to the strategy right. I was under the impression that the strategy is agnostic to tick/minute/hour/etc., it only cares about the next bar.

    I must be missing something simple.

    Thank you.

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    B
     1 Reply
  • B
    administrators

    The marking of each bar with the end of day time indicates the data feed is being interpreted as `bt.TimeFrame.Days'. The obvious culprit:

    @iswanb said in Intraday time issue/Orders waiting until T+1:

     timefame=bt.TimeFrame.Minutes,
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  • I

    Thank you. Realize now that calling bt.TimeFrame.minutes was to be done if I wanted to resample or compress the data. However, there was no change when I commented out those lines.

    I even stripped everything down using the simple TestStrategy from the docs/quickstart with no change.

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

import datetime
import backtrader as bt
import backtrader.feeds as btfeed


class TestStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        #changed to datetime to view time as well
        dt = dt or self.datas[0].datetime.datetime(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)

    # Create a Data Feed
    data = btfeed.GenericCSVData(
        dataname='M:\\Stock Data\\EURUSD2.csv',

        fromdate=datetime.datetime(2015, 1, 1),
        todate=datetime.datetime(2015, 1, 3),

        nullvalue=0.0,

        dtformat=('%Y%m%d %H%M%S'),

        datetime=2,
        time=-1,
        open=4,
        high=5,
        low=6,
        close=7,
        volume=-1,
        openinterest=-1
    )


    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(10000.0)
    cerebro.broker.setcommission(commission=0.001)

    # 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())

    Results in:

    2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
2015-01-02T23:59:59.999989, Close, 1.20
Final Portfolio Value: 10000.00
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  • B
    administrators

    It seems you missed why the specific line of your code was extracted and highlighted:

    • You had written timefame (notice the missing r) as the name of the argument to the data feed.

    • And the name of the argument is timeframe

    The examples in the quickstart docs use a daily timeframe and this is the default. That's why there is no need in that case to specify timeframe=bt.TimeFrame.Minutes

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  • I

    Got it. Thanks so much!

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