Intraday time issue/Orders waiting until T+1

iswanb

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.

backtrader

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,

iswanb

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

backtrader

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

iswanb

Got it. Thanks so much!