How to use historical and live data together

James Liu

Hello everyone,

I want to use historical data and live data in my strategy like this.

add historical data
add live data feeder (I wrote a simulator feeder for LIVE)
I hope MyInd calculates historical data firstly(warmup data), and then MyInd append LIVE data to historical data when it receives LIVE data
MyInd calculates merged historical and LIVE data.
MyStrategy can use MyInd results to do something.

The following is my code and my questions:
Questions:

In MyInd, I can't get LIVE data

Code:

import _thread
from datetime import datetime
import time
import backtrader as bt
import pandas as pd
from backtrader import date2num
from backtrader.feeds import DataBase


class LiveDataStream(DataBase):
    def __init__(self):
        self.isOpen = True
        self.i = 0
        _thread.start_new_thread(self._timerstart, (1,))

    def start(self):
        print('in live data start')
        super(LiveDataStream, self).start()

    def _timerstart(self, n):
        print('in live data timer')
        while True:
            if self.isOpen == False:
                self.isOpen = True
            time.sleep(n)

    def _load(self):
        if self.isOpen == True:
            print('in live data load')
            self.i += 1
            self.lines.datetime[0] = date2num(datetime.now())
            # Get the rest of the unpacked data
            self.lines.open[0] = 100 + self.i
            self.lines.high[0] = 120 + self.i
            self.lines.low[0] = 80 + self.i
            self.lines.close[0] = 90 + self.i
            self.lines.volume[0] = 2342 + self.i
            self.lines.openinterest[0] = 443 + self.i
            self.isOpen = False
            return True
        else:
            return None

    def islive(self):
        '''Returns ``True`` to notify ``Cerebro`` that preloading and runonce
        should be deactivated'''
        print('in live data islive')
        return True

    def stop(self):
        '''Stops and tells the store to stop'''
        print('in live data stop')
        super().stop()


class MyInd(bt.Indicator):
    lines = ('ma',)
    params = (('period', 5),)
    plotinfo = dict(subplot=False)

    def __init__(self):
        self.l.ma = bt.ind.SMA(self.data, period=self.p.period)
        super(MyInd, self).__init__()

    def prenext(self):
        print("in MyInd prenext")

    def next(self):
        self.l.ma = bt.ind.SMA(self.data, period=self.p.period)
        print("in MyInd data0 next: %s, %.2f" % (self.data.datetime.date(0), self.data.close[0]))
        # print("in MyInd data1 next: %s, %.2f" % (self.data1.datetime.date(0), self.data1.close[0]))


class MyStrategy(bt.Strategy):
    def __init__(self):
        self.my_ind = MyInd()

    def next(self):
        print('in MyStrategy data0 next: date: %s, close: %.2f' % (self.data.datetime.date(0),
                                                                   self.data.close[0]))
        print('in MyStrategy data1 next: date: %s, close: %.2f' % (self.data1.datetime.date(0),
                                                                   self.data1.close[0]))

    def notify_data(self, data, status, *args, **kwargs):
        if status == data.LIVE:
            print("live data")
        elif status == data.DELAYED:
            print("DELAYED data")


cerebro = bt.Cerebro()
cerebro.addstrategy(MyStrategy)

history_price = pd.read_csv('2006-day-001.txt', parse_dates=['Date']).set_index('Date')
data0 = bt.feeds.PandasData(dataname=history_price)
cerebro.adddata(data0)

cerebro.adddata(LiveDataStream())

cerebro.run()

James Liu

Thank you.

And, this is the output:

in live data islive
in live data start
in live data load
in MyInd prenext
in MyInd prenext
in MyInd prenext
in MyInd prenext
in live data timer
in MyInd data0 next: 2006-12-07, 4018.69
in MyInd data0 next: 2006-12-08, 4019.89
in MyInd data0 next: 2006-12-11, 4052.89
in MyInd data0 next: 2006-12-12, 4059.74
in MyInd data0 next: 2006-12-13, 4094.33
in MyInd data0 next: 2006-12-14, 4118.84
in MyInd data0 next: 2006-12-15, 4140.66
in MyInd data0 next: 2006-12-18, 4130.06
in MyInd data0 next: 2006-12-19, 4100.48
in MyInd data0 next: 2006-12-20, 4118.54
in MyInd data0 next: 2006-12-21, 4112.10
in MyInd data0 next: 2006-12-22, 4073.50
in MyInd data0 next: 2006-12-27, 4134.86
in MyInd data0 next: 2006-12-28, 4130.66
in MyInd data0 next: 2006-12-29, 4119.94
in MyInd data0 next: 2006-12-29, 4119.94
in MyStrategy data0 next: date: 2006-12-29, close: 4119.94, ma: 4114.21
in MyStrategy data1 next: date: 2021-11-23, close: 91.00, ma: 4114.21
in live data load
in MyInd data0 next: 2006-12-29, 4119.94
in MyStrategy data0 next: date: 2006-12-29, close: 4119.94, ma: 4114.21
in MyStrategy data1 next: date: 2021-11-23, close: 92.00, ma: 4114.21