3. GenericCSVData not feeding data?
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GenericCSVData not feeding data?


  • 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.

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     1 Reply
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    administrators

    @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?

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  • 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

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     1 Reply
  • B
    administrators

    @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.

    0 1 Reply

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

    I missed that totally. Thanks for the help.

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