Re-sample of Oanda demo live data
I am testing Backtrader with the Oanda demo live streaming data. I can receive the tick data & aggregate the data in minute time frame (I can see the data0 with OHLC in the log every minute).
I am trying to work on some indicators like RSI, and I can generate the RSI (14 period) using the 1-min data.
Now I try to generate the RSI using 5-min data by applying "compression = 5" for re-sampling, but the data0 is now produced every 5 minutes.
I want to have the data0 generated every minute while to calculate the RSI with 5-min data. How can I do that?
That's not resampling, that's replaying, because you replay your target until you get to the final target.
If you are using the live stream you have to:
- resample to 1 minute
- replay the resampled data to 5 minutes
Something like this
data = oandastore.getdata(...) data1 = cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=1) data2 = cerebro.replaydata(data1, timeframe=bt.TimeFrame.Minutes, compression=5)
This of course adds automatically 2 data feeds to the system: the resampled and the replayed. Take it into account when addressing the data.
Note: probably never tried before.
Soham Jain last edited by
Hello, I've tried replaying data containing one minute bars. But there's something I'm missing. I've used the example given in the docs. It works well for destination timeframe
weeklybut fails for
Here is a brief explanation of what I've done.
Please have a look into it.
Thank you in advance:)