GenericCSVData not feeding data?

Brian Lin

Hello, I am just working on the Quickstart tutorial, except I am trying to use the GenericCSVData to parse per minute data:

Here is a sample of the csv file:

3/12/2018 16:00:00,97.025,97.07,96.76,96.77,2661032,1
3/12/2018 15:59:00,96.9871,97.03,96.98,97.03,141136,2
3/12/2018 15:58:00,96.95,96.99,96.93,96.99,132356,3
3/12/2018 15:57:00,96.93,96.95,96.9,96.94,111733,4
3/12/2018 15:56:00,96.91,96.98,96.9,96.93,132513,5
3/12/2018 15:55:00,96.99,96.99,96.89,96.91,128721,6
3/12/2018 15:54:00,96.9844,97.01,96.965,96.99,93297,7
3/12/2018 15:53:00,97.01,97.025,96.975,96.9881,62685,8
3/12/2018 15:52:00,97.01,97.04,96.98,97.005,106785,9
3/12/2018 15:51:00,97.08,97.11,97.01,97.02,168636,10
3/12/2018 15:50:00,97.18,97.21,96.95,97.08,145091,11

My code to read the data is as follows:

data = bt.feeds.GenericCSVData(
dataname = 'intraday_1min_MSFT_1.csv',
openinterest = -1,
fromdate=datetime.datetime(2018, 2, 27),
todate=datetime.datetime(2018, 3, 12),
dtformat=('%m/%d/%Y %H:%M:%S'),
headers = False,
timeframe = bt.TimeFrame.Minutes,
)

It simply outputs:
Starting Portfolio Value: 1000000.00
Final Portfolio Value: 1000000.00

It doesn't show any portfolio actions(buying/selling)

This is my strategy code(which I just copied from quickstart)

class TestStrategy(bt.Strategy):

def log(self, txt, dt=None):
    ''' Logging function fot this strategy'''
    dt = dt or self.datas[0].datetime.date(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 self.dataclose[0] < self.dataclose[-1]:
        # current close less than previous close

        if self.dataclose[-1] < self.dataclose[-2]:
            # previous close less than the previous close

            # BUY, BUY, BUY!!! (with all possible default parameters)
            self.log('BUY CREATE, %.2f' % self.dataclose[0])
            self.buy()

I noticed something interesting, when I commented out the fromdate and todate lines in the GenericCSVData, it does output trades, but does so in backwards date order.

backtrader

@brian-lin said in GenericCSVData not feeding data?:

3/12/2018 16:00:00,97.025,97.07,96.76,96.77,2661032,1
3/12/2018 15:59:00,96.9871,97.03,96.98,97.03,141136,2
3/12/2018 15:58:00,96.95,96.99,96.93,96.99,132356,3

@brian-lin said in GenericCSVData not feeding data?:

I noticed something interesting, when I commented out the fromdate and todate lines in the GenericCSVData, it does output trades, but does so in backwards date order.

Isn't the data in backwards order?

Brian Lin

Should the data be fed in from oldest to newest? I wasn't sure about that.

I did try and feed it in in reversed order, and it printed in proper order, however I still got a strange result.

My strategy code is the same as you can see. It only creates buy orders, and not sells. However at the end of my code execution I end up with more money in my account than I started with

Eg:

I started with 1,000,000
.
.
.
2018-03-12, Close, 97.00
2018-03-12, BUY CREATE, 97.00
2018-03-12, Close, 96.99
2018-03-12, BUY CREATE, 96.99
2018-03-12, Close, 96.99
2018-03-12, Close, 96.91
2018-03-12, Close, 96.93
2018-03-12, Close, 96.94
2018-03-12, Close, 96.99
2018-03-12, Close, 97.03
2018-03-12, Close, 96.77
Final Portfolio Value: 1002221.66
Final Portfolio Value: 1002221.66

backtrader

@brian-lin said in GenericCSVData not feeding data?:

Should the data be fed in from oldest to newest? I wasn't sure about that.

If you want to trade forward, it seems pretty obvious you should be feeding the data forwards. If data were coming from a socket, with a bar each 10 seconds, how should the platform know which data goes first and which second?

@brian-lin said in GenericCSVData not feeding data?:

My strategy code is the same as you can see. It only creates buy orders, and not sells. However at the end of my code execution I end up with more money in my account than I started with

You have a greater value. It isn't cash.

Let me suggest that you get used with the basics of trading and basics like portfolio value, before you go any further.

Brian Lin

You have a greater value. It isn't cash.

I missed that totally. Thanks for the help.