3. How to fill missing data
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How to fill missing data

  • M

    I tried many ways to get SessionFiller to work...without success:

    Data looks like this (with some data missing):

    2017 11 19 02:40:00,0.026441389694809914,0.026441389694809914,0.026441389694809914,0.026441389694809914,158.64834594726562
2017 11 19 02:45:00,,,,,
2017 11 19 02:50:00,,,,,
2017 11 19 02:55:00,,,,,
2017 11 19 03:00:00,0.026379242539405823,0.026379242539405823,0.026301197707653046,0.026301197707653046,359.79620361328125

    Some sample code:

    dtstart = datetime.datetime.strptime('2017 11 18 12:05:00', '%Y %m %d %H:%M:%S')
dtend = datetime.datetime.strptime('2017 12 18 12:05:00', '%Y %m %d %H:%M:%S')

# Create a Data Feed
data = bt.feeds.GenericCSVData(
    timeframe=bt.TimeFrame.Minutes,
    compression=5,
    dataname=datapath,
    openinterest=-1,
    fromdate=dtstart,
    todate=dtend,
    dtformat="%Y %m %d %H:%M:%S",
    sessionstart=dtstart,
    sessionend=dtend,
    )
data.addfilter(bt.filters.SessionFiller, fill_vol=0.0)
cerebro.adddata(data)

    I tried many variations, but in none of the plots or logic it seems SessionFiller is actually inserting something.

    What's wrong here?

    0
  • P

    Your data is not missing ... it's simply empty, but you still have a timestamp ... that may be the key.

    0
  • M

    That's one of the variations I tried :) I removed the "empty" lines and ran the code above. In the plots the missing timespans are missing as well. I would have expected them to be filled with the last values.

    Or is there a special way to access the filled data?

    0