Datetime

Marcos Antonio Avila Morales

I need some help. I have loaded a data on 30 minute candles. However, the chart and the report always shows 23:59:59, and most of the trades are at a different time.

Balance inicial del portafolio: 100000.00
2018-10-11T23:59:59.999989, Close, 2770.10
2018-10-11T23:59:59.999989, Close, 2777.90
2018-10-11T23:59:59.999989, Close, 2772.10
2018-10-11T23:59:59.999989, Close, 2753.50
.........................................................................................
2019-03-28T23:59:59.999989, Close, 2804.70
2019-03-28T23:59:59.999989, Close, 2805.00
2019-03-28T23:59:59.999989, Close, 2811.50
2019-03-28T23:59:59.999989, Close, 2812.10
Balance final del portafolio: 97906.30

How can this be fixed?

Thank you very much in advance!

Marcos Antonio Avila Morales

@emr I am loading the data from a .csv file, which has this format:

time,open,high,low,close,tick_volume,spread,real_volume
2018-09-28 04:00:00,2916.9,2918.2,2916.9,2917.9,166,0,0

And this is the code I use to load it:

data = btfeeds.GenericCSVData(
dataname='S&P500.csv',
fromdate=datetime.datetime(2018, 9, 28, 4, 0, 0),
todate=datetime.datetime(2019, 3, 29, 23, 30, 0),
nullvalue=0.0,
dtformat=('%Y-%m-%d %H:%M:%S'),
datetime=0,
high=2,
low=3,
open=1,
close=4)

Marcos Antonio Avila Morales

@emr
Hello, has reason. Here you attached to the code and the file format .csv (a snippet):

CODE:
import datetime
import backtrader as bt
import backtrader.indicators as btind
import backtrader.feeds as btfeeds
#Definiendo dimensión de las operaciones

class MySizer(bt.Sizer):
def _getsizin(self, comminfo, cash, data, isbuy):
return cash*0.01

def _getsizin(self, comminfo, cash, data, issell):
    return cash*0.005

Creando la línea estrategia

class Poseidon(bt.Strategy):

params = (
    ('period_p', 20),
    ('period_m', 200),
    ('n', 10)
)

def log(self, txt, dt=None):
    ''' Función de registro'''
    dt = dt or self.datas[0].datetime.datetime(0)
    print('%s, %s' % (dt.isoformat(sep=' ', timespec='seconds'), txt))

def __init__(self):
    #Medias móviles:
    self.sma1 = btind.SMA(self.data.close, period=self.params.period_p)
    self.sma2 = btind.SMA(self.data.close, period=self.params.period_m)
    
    
def next(self):
    #Entradas en largo
    if self.sma1 > self.sma2:
        self.close()
        self.buy()
        self.log('Close, %.2f' % self.data.close[0])
    
        
    #Entradas en corto
    #Por cruce de la media móvil menor:
    if self.sma1 < self.sma2:
        self.close()
        self.sell()
        self.log('Close, %.2f' % self.data.close[0])

Creando la línea cerebro

cerebro = bt.Cerebro()

Agregado la estrategia

cerebro.addstrategy(Poseidon)

Cargando la data

data = btfeeds.GenericCSVData(
dataname='S&P500.csv',

fromdate=datetime.datetime(2018, 9, 28, 4, 0, 0),
todate=datetime.datetime(2019, 3, 29, 23, 30, 0),

nullvalue=0.0,

dtformat=('%Y-%m-%d %H:%M:%S'),
datetime=0,
high=2,
low=3,
open=1,
close=4)

Agregando la data

cerebro.adddata(data)

#Agregando el observador Drawdown
cerebro.addobserver(bt.observers.DrawDown)

#Definiendo el balance de la cuenta
cerebro.broker.setcash(100000.0)

print('Balance inicial del portafolio: %.2f' % cerebro.broker.getvalue())

Ejecutando el cerebro

cerebro.run()
print('Balance final del portafolio: %.2f' % cerebro.broker.getvalue())

Gráfico

cerebro.plot(style='candles')

CSV FILE:
time,open,high,low,close,tick_volume,spread,real_volume
2018-09-28 04:00:00,2916.9,2918.2,2916.9,2917.9,166,0,0
2018-09-28 04:30:00,2917.8,2919.2,2917.4,2917.8,266,0,0
2018-09-28 05:00:00,2917.9,2919.4,2917.7,2918.9,170,0,0
2018-09-28 05:30:00,2918.9,2919.7,2918.8,2918.8,142,0,0
2018-09-28 06:00:00,2918.8,2919.7,2918.4,2919.5,117,0,0
2018-09-28 06:30:00,2919.7,2919.7,2918.2,2918.5,150,0,0
2018-09-28 07:00:00,2918.5,2918.9,2917.2,2917.5,106,0,0
2018-09-28 07:30:00,2917.5,2918.3,2916.9,2918.3,83,0,0
2018-09-28 08:00:00,2918.2,2918.3,2916.7,2917.0,131,0,0
2018-09-28 08:30:00,2917.2,2917.7,2916.7,2916.7,76,0,0
2018-09-28 09:00:00,2916.7,2916.9,2914.9,2915.0,152,0,0
2018-09-28 09:30:00,2915.0,2915.4,2913.7,2913.7,153,0,0
2018-09-28 10:00:00,2913.9,2914.2,2910.8,2911.7,408,0,0
2018-09-28 10:30:00,2911.9,2914.8,2911.9,2912.9,524,0,0
2018-09-28 11:00:00,2912.8,2915.7,2912.4,2915.2,285,0,0
2018-09-28 11:30:00,2915.2,2916.9,2915.2,2916.5,224,0,0
2018-09-28 12:00:00,2916.4,2916.9,2913.3,2914.2,284,0,0
2018-09-28 12:30:00,2913.9,2914.5,2912.2,2912.7,233,0,0
2018-09-28 13:00:00,2912.9,2913.2,2907.9,2909.7,433,0,0
2018-09-28 13:30:00,2909.4,2911.4,2908.4,2910.0,390,0,0
2018-09-28 14:00:00,2910.0,2910.0,2907.2,2908.2,282,0,0
2018-09-28 14:30:00,2907.9,2908.3,2904.4,2905.3,342,0,0
2018-09-28 15:00:00,2905.4,2906.4,2903.7,2906.4,339,0,0
2018-09-28 15:30:00,2906.7,2908.2,2905.9,2908.0,320,0,0
2018-09-28 16:00:00,2908.0,2909.2,2906.2,2908.0,309,0,0
2018-09-28 16:30:00,2908.2,2912.5,2907.7,2912.0,1458,0,0
2018-09-28 17:00:00,2912.0,2915.0,2909.9,2915.0,991,0,0
2018-09-28 17:30:00,2914.9,2919.5,2914.0,2918.5,745,0,0
2018-09-28 18:00:00,2918.5,2921.0,2917.9,2919.2,737,0,0
2018-09-28 18:30:00,2919.4,2920.0,2916.9,2917.3,694,0,0
2018-09-28 19:00:00,2917.2,2918.8,2916.4,2917.0,345,0,0
2018-09-28 19:30:00,2916.8,2918.0,2911.3,2915.5,615,0,0
2018-09-28 20:00:00,2915.2,2917.3,2914.3,2917.3,262,0,0
2018-09-28 20:30:00,2917.3,2919.6,2916.9,2917.0,496,0,0
2018-09-28 21:00:00,2916.9,2917.3,2913.3,2916.3,506,0,0
2018-09-28 21:30:00,2915.9,2917.0,2913.7,2914.0,438,0,0
2018-09-28 22:00:00,2913.9,2916.5,2912.9,2915.3,665,0,0
2018-09-28 22:30:00,2914.9,2916.0,2911.7,2914.4,1282,0,0
2018-09-28 23:00:00,2914.7,2917.7,2914.2,2916.7,248,0,0
2018-09-28 23:30:00,2916.6,2917.7,2915.7,2916.2,93,0,0
2018-10-01 01:00:00,2918.6,2922.8,2918.6,2921.1,412,0,0
2018-10-01 01:30:00,2921.1,2922.0,2920.6,2921.8,118,0,0
2018-10-01 02:00:00,2921.8,2925.9,2921.8,2925.4,345,0,0
2018-10-01 02:30:00,2925.3,2925.3,2923.3,2924.5,232,0,0
2018-10-01 03:00:00,2924.6,2925.1,2923.3,2924.3,331,0,0
2018-10-01 03:30:00,2924.3,2925.5,2924.3,2925.5,238,0,0
2018-10-01 04:00:00,2925.5,2926.3,2924.8,2924.8,167,0,0
2018-10-01 04:30:00,2924.8,2926.3,2924.8,2925.8,105,0,0
2018-10-01 05:00:00,2925.8,2930.1,2925.8,2929.5,223,0,0
2018-10-01 05:30:00,2929.8,2932.1,2929.5,2930.8,313,0,0
2018-10-01 06:00:00,2931.0,2932.0,2930.8,2932.0,258,0,0
2018-10-01 06:30:00,2932.0,2932.0,2931.1,2931.1,210,0,0
2018-10-01 07:00:00,2931.1,2931.5,2930.8,2931.4,102,0,0
2018-10-01 07:30:00,2931.3,2931.9,2930.0,2931.6,180,0,0
2018-10-01 08:00:00,2931.6,2931.6,2930.3,2930.5,117,0,0
2018-10-01 08:30:00,2930.5,2931.0,2930.0,2930.3,167,0,0
2018-10-01 09:00:00,2930.3,2931.3,2929.5,2930.4,343,0,0
2018-10-01 09:30:00,2930.3,2930.4,2929.3,2929.6,188,0,0
2018-10-01 10:00:00,2929.5,2932.1,2928.3,2931.9,823,0,0
2018-10-01 10:30:00,2931.8,2933.6,2931.5,2933.1,436,0,0
2018-10-01 11:00:00,2932.8,2933.6,2932.3,2933.1,305,0,0
2018-10-01 11:30:00,2933.3,2933.9,2932.5,2933.7,138,0,0
2018-10-01 12:00:00,2933.6,2933.9,2931.8,2932.8,192,0,0
2018-10-01 12:30:00,2932.9,2933.9,2932.4,2933.6,195,0,0
2018-10-01 13:00:00,2933.8,2933.8,2932.0,2932.9,220,0,0
2018-10-01 13:30:00,2932.8,2933.4,2932.0,2932.6,187,0,0
2018-10-01 14:00:00,2932.5,2933.6,2931.8,2933.4,135,0,0
2018-10-01 14:30:00,2932.3,2932.6,2930.5,2931.6,226,0,0
2018-10-01 15:00:00,2931.6,2932.4,2929.8,2929.9,335,0,0
2018-10-01 15:30:00,2929.9,2929.9,2928.0,2929.6,255,0,0
2018-10-01 16:00:00,2929.3,2930.4,2929.0,2930.1,170,0,0
2018-10-01 16:30:00,2930.3,2935.4,2929.0,2934.5,1266,0,0
2018-10-01 17:00:00,2934.6,2937.1,2933.8,2936.9,809,0,0
2018-10-01 17:30:00,2936.9,2938.1,2934.0,2935.6,861,0,0
2018-10-01 18:00:00,2935.8,2936.1,2934.0,2934.4,729,0,0
2018-10-01 18:30:00,2934.6,2936.1,2932.5,2934.1,673,0,0
2018-10-01 19:00:00,2934.0,2934.3,2928.1,2930.1,666,0,0
2018-10-01 19:30:00,2930.0,2930.4,2927.9,2928.6,608,0,0
2018-10-01 20:00:00,2928.3,2930.8,2928.0,2930.4,353,0,0
2018-10-01 20:30:00,2930.4,2931.4,2928.6,2929.1,472,0,0
2018-10-01 21:00:00,2929.3,2929.3,2926.0,2929.1,621,0,0
2018-10-01 21:30:00,2929.1,2929.1,2925.8,2928.5,547,0,0
2018-10-01 22:00:00,2928.8,2929.5,2922.3,2923.3,649,0,0
2018-10-01 22:30:00,2923.1,2926.1,2918.8,2925.5,1170,0,0
2018-10-01 23:00:00,2925.1,2926.5,2923.8,2925.5,275,0,0
2018-10-01 23:30:00,2925.7,2927.0,2924.8,2925.3,100,0,0
2018-10-02 01:00:00,2924.9,2926.0,2924.5,2925.3,91,0,0
2018-10-02 01:30:00,2925.3,2926.0,2924.8,2925.6,176,0,0
2018-10-02 02:00:00,2925.3,2925.5,2925.0,2925.3,23,0,0
2018-10-02 02:30:00,2925.3,2926.3,2925.0,2925.3,94,0,0
2018-10-02 03:00:00,2925.3,2925.5,2923.9,2924.0,221,0,0
2018-10-02 03:30:00,2924.0,2925.5,2924.0,2924.8,99,0,0
2018-10-02 04:00:00,2924.5,2924.5,2921.8,2922.8,300,0,0
2018-10-02 04:30:00,2922.6,2923.3,2921.0,2922.3,288,0,0
2018-10-02 05:00:00,2922.0,2922.1,2920.9,2921.0,216,0,0
2018-10-02 05:30:00,2920.9,2921.9,2920.3,2921.5,212,0,0
2018-10-02 06:00:00,2921.5,2922.8,2921.5,2922.6,95,0,0
2018-10-02 06:30:00,2922.8,2923.0,2922.0,2922.6,54,0,0
2018-10-02 07:00:00,2922.5,2922.9,2922.0,2922.0,56,0,0
2018-10-02 07:30:00,2921.8,2922.8,2921.8,2922.1,107,0,0
2018-10-02 08:00:00,2922.3,2922.3,2920.6,2921.1,166,0,0
2018-10-02 08:30:00,2921.3,2921.5,2920.5,2920.8,192,0,0
2018-10-02 09:00:00,2920.8,2921.0,2918.5,2919.5,310,0,0
2018-10-02 09:30:00,2919.3,2919.3,2917.8,2918.3,247,0,0
2018-10-02 10:00:00,2918.3,2920.1,2917.3,2918.4,722,0,0
2018-10-02 10:30:00,2918.4,2921.6,2918.3,2921.6,545,0,0
2018-10-02 11:00:00,2921.4,2921.9,2918.5,2918.8,388,0,0
2018-10-02 11:30:00,2918.6,2919.1,2914.7,2915.6,425,0,0
2018-10-02 12:00:00,2915.8,2916.9,2914.0,2916.4,426,0,0
2018-10-02 12:30:00,2916.1,2917.1,2914.3,2916.9,283,0,0
2018-10-02 13:00:00,2916.9,2918.6,2916.8,2917.1,352,0,0
2018-10-02 13:30:00,2917.3,2920.1,2916.5,2919.6,282,0,0
2018-10-02 14:00:00,2919.6,2921.1,2918.0,2919.1,320,0,0
2018-10-02 14:30:00,2919.1,2921.1,2918.8,2920.7,242,0,0
2018-10-02 15:00:00,2920.7,2923.3,2920.3,2923.1,262,0,0
2018-10-02 15:30:00,2923.0,2923.1,2921.5,2922.6,231,0,0
2018-10-02 16:00:00,2922.8,2924.5,2922.3,2924.1,207,0,0
2018-10-02 16:30:00,2924.3,2927.0,2922.6,2925.6,1302,0,0
2018-10-02 17:00:00,2925.6,2925.6,2921.3,2923.9,1026,0,0
2018-10-02 17:30:00,2923.8,2927.8,2920.0,2925.4,981,0,0
2018-10-02 18:00:00,2925.0,2927.9,2924.8,2926.0,681,0,0
2018-10-02 18:30:00,2926.0,2931.4,2925.8,2930.9,552,0,0
2018-10-02 19:00:00,2930.9,2932.3,2928.8,2929.9,405,0,0
2018-10-02 19:30:00,2930.0,2932.1,2927.3,2928.4,457,0,0
2018-10-02 20:00:00,2928.4,2930.6,2928.3,2929.6,399,0,0
2018-10-02 20:30:00,2929.8,2931.6,2929.5,2930.3,299,0,0
2018-10-02 21:00:00,2930.0,2932.1,2929.5,2931.4,368,0,0
2018-10-02 21:30:00,2931.0,2931.6,2926.6,2927.1,485,0,0
2018-10-02 22:00:00,2926.8,2927.0,2920.3,2922.5,850,0,0
2018-10-02 22:30:00,2922.3,2926.1,2922.3,2924.3,917,0,0
2018-10-02 23:00:00,2924.8,2925.1,2923.5,2923.5,154,0,0
2018-10-02 23:30:00,2924.5,2926.4,2924.5,2926.0,143,0,0
2018-10-03 01:00:00,2924.9,2926.4,2924.7,2926.3,77,0,0
2018-10-03 01:30:00,2926.5,2926.5,2925.9,2925.9,44,0,0
2018-10-03 02:00:00,2925.6,2926.4,2925.6,2926.1,24,0,0
2018-10-03 02:30:00,2926.4,2926.4,2924.6,2925.1,45,0,0
2018-10-03 03:00:00,2925.1,2925.4,2922.9,2923.4,177,0,0
2018-10-03 03:30:00,2923.1,2924.6,2922.4,2924.4,95,0,0
2018-10-03 04:00:00,2924.1,2925.1,2922.9,2923.6,175,0,0
2018-10-03 04:30:00,2923.9,2928.1,2923.4,2927.6,361,0,0
2018-10-03 05:00:00,2927.6,2932.1,2927.6,2931.4,377,0,0
2018-10-03 05:30:00,2931.6,2931.9,2930.1,2931.6,226,0,0
2018-10-03 06:00:00,2931.4,2931.6,2930.4,2930.6,113,0,0
2018-10-03 06:30:00,2930.4,2930.4,2928.9,2928.9,153,0,0
2018-10-03 07:00:00,2928.6,2929.1,2927.6,2928.4,73,0,0
2018-10-03 07:30:00,2928.1,2929.4,2928.1,2928.6,99,0,0
2018-10-03 08:00:00,2928.4,2930.9,2928.4,2930.6,116,0,0
2018-10-03 08:30:00,2930.4,2930.4,2927.9,2928.1,195,0,0
2018-10-03 09:00:00,2927.9,2930.6,2927.9,2930.4,251,0,0
2018-10-03 09:30:00,2930.1,2932.4,2930.1,2931.4,159,0,0
2018-10-03 10:00:00,2931.4,2932.1,2930.7,2930.8,216,0,0
2018-10-03 10:30:00,2930.8,2931.6,2930.2,2931.3,262,0,0
2018-10-03 11:00:00,2931.3,2932.1,2930.2,2931.3,175,0,0
2018-10-03 11:30:00,2931.3,2932.3,2931.1,2931.8,178,0,0
2018-10-03 12:00:00,2931.7,2931.7,2928.8,2929.3,338,0,0
2018-10-03 12:30:00,2929.1,2931.8,2929.1,2931.5,280,0,0
2018-10-03 13:00:00,2931.6,2932.6,2931.5,2932.0,185,0,0
2018-10-03 13:30:00,2932.0,2932.6,2931.6,2931.8,117,0,0
2018-10-03 14:00:00,2931.8,2934.6,2931.8,2934.1,162,0,0
2018-10-03 14:30:00,2934.1,2934.6,2933.5,2934.2,141,0,0
2018-10-03 15:00:00,2934.3,2936.1,2934.1,2934.2,208,0,0
2018-10-03 15:30:00,2934.3,2936.3,2934.3,2936.1,138,0,0
2018-10-03 16:00:00,2936.0,2936.1,2934.5,2936.1,143,0,0
2018-10-03 16:30:00,2936.0,2937.3,2933.2,2933.6,1042,0,0
2018-10-03 17:00:00,2934.0,2940.8,2933.6,2938.3,805,0,0
2018-10-03 17:30:00,2938.2,2938.6,2934.7,2935.3,991,0,0
2018-10-03 18:00:00,2935.3,2936.6,2932.2,2936.3,676,0,0
2018-10-03 18:30:00,2936.5,2937.6,2932.5,2937.6,676,0,0
2018-10-03 19:00:00,2937.7,2938.3,2935.2,2937.8,428,0,0
2018-10-03 19:30:00,2937.8,2938.3,2934.7,2936.8,473,0,0
2018-10-03 20:00:00,2936.6,2938.2,2935.2,2936.8,510,0,0
2018-10-03 20:30:00,2936.6,2937.3,2935.0,2936.5,416,0,0
2018-10-03 21:00:00,2936.6,2938.1,2935.1,2935.8,450,0,0
2018-10-03 21:30:00,2935.7,2935.8,2924.7,2927.8,1157,0,0
2018-10-03 22:00:00,2927.8,2929.0,2921.7,2924.3,1231,0,0
2018-10-03 22:30:00,2924.3,2927.7,2924.1,2926.2,1170,0,0
2018-10-03 23:00:00,2926.5,2929.0,2925.5,2927.5,166,0,0
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