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    AB

    @AB

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    Latest posts made by AB

    • RE: [SOLVED] Version: 1.9.73.123 - Still issues with resampling minutes to days?

      Ok, I solved it... Of course a user error (and I'm not expecting cellular osmosis, LOL).

      Short story (Fix):
      When u start dealing with Multiple timeframes and resampling, labeling the timeframe of your datafeed becomes important. It might be important before as well, I just didn't notice.

      data = bt.feeds.PandasData(dataname=df,timeframe=bt.TimeFrame.Minutes)
      

      Looong story (since I typed it up already and explains the story of identifying this issue):

      Where there?

      As in version 1.9.66.122

      1.9.67.122

      • Fix compression only scenarios when resampling and resampling after

        changes in 1.9.66.122

      • Final correction for rollover fix introduced in 1.9.66.122

      • Cover use case for mininum period calculation when all

        operations/indicators don't use the data feeds directly but lines of it

      Script I'm running:

      from __future__ import (absolute_import, division, print_function,
      						unicode_literals)
      
      import argparse
      
      import backtrader as bt
      import backtrader.feeds as btfeeds
      import numpy as np
      
      
      def runstrat():
      	args = parse_args()
      
      	# Create a cerebro entity
      	cerebro = bt.Cerebro(stdstats=False)
      
      	# Add a strategy
      	cerebro.addstrategy(bt.Strategy)
      	
      	# Handy dictionary for the argument timeframe conversion
      	tframes = dict(
      		minute=bt.TimeFrame.Minutes,
      		daily=bt.TimeFrame.Days,
      		weekly=bt.TimeFrame.Weeks,
      		monthly=bt.TimeFrame.Months)
      	
      	
      	# Load the Data
      	dataframe = np.load('dataframe_1S_min.npy').item()
      	
      	for symbol, df in dataframe.items():
      		print(df)
      		data = bt.feeds.PandasData(dataname=df)
      		# Add the Data Feed to Cerebro
      		cerebro.adddata(data)
      		cerebro.resampledata(data,
      						 timeframe=tframes[args.timeframe],
      						 compression=args.compression)
      
      	# Run over everything
      	cerebro.run()
      
      	# Plot the result
      	cerebro.plot(style='bar')
      
      
      def parse_args():
      	parser = argparse.ArgumentParser(
      		description='Pandas test script')
      
      	parser.add_argument('--timeframe', default='daily', required=False,
      						choices=['minute','daily', 'weekly', 'monhtly'],
      						help='Timeframe to resample to')
      
      	parser.add_argument('--compression', default=1, required=False, type=int,
      						help='Compress n bars into 1')
      
      	return parser.parse_args()
      
      
      if __name__ == '__main__':
      	runstrat()
      

      Data screen grab:

                                     open      high       low     close  volume  openinterest
      2019-05-02 09:30:00-04:00  184.5000  184.5700  184.5000  184.5100     752             1
      2019-05-02 09:31:00-04:00  184.3600  184.7000  183.5600  183.7500  174074             1
      2019-05-02 09:32:00-04:00  183.7500  183.8100  183.3800  183.5000   35592             1
      ...                             ...       ...       ...       ...     ...           ...
      2019-05-10 15:57:00-04:00  175.6800  175.7900  175.5400  175.7900   97358             1
      2019-05-10 15:58:00-04:00  175.7850  175.9800  175.6400  175.7400  111693             1
      2019-05-10 15:59:00-04:00  175.7600  176.0400  175.4700  175.8400  204595             1
      
      [2728 rows x 6 columns]
      

      Script instructions:

      python test_resampling.py --timeframe weekly --compression 1
      

      Result: Works
      0_1557686167864_02099056-49c6-47a9-96c3-1128a3669777-image.png

      Script instructions:

      python test_resampling.py --timeframe minute --compression 15
      

      Result: Works
      0_1557686410141_24b75c71-38fb-423d-ae7d-7bbca541c480-image.png

      Script instructions:

      python test_resampling.py --timeframe daily --compression 1
      

      Result: Error

      Traceback (most recent call last):
        File "test_resampling.py", line 62, in <module>
          runstrat()
        File "test_resampling.py", line 41, in runstrat
          cerebro.run()
        File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1127, in run
          runstrat = self.runstrategies(iterstrat)
        File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
          self._runnext(runstrats)
        File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1557, in _runnext
          dt0 = min((d for i, d in enumerate(dts)
      ValueError: min() arg is an empty sequence
      

      The clue, which solved the problem:
      After looking at the plots again. It seems that the first data feed gets labeled as "Days" even though it's provided in minutes.

      posted in General Code/Help
      A
      AB
    • [SOLVED] Version: 1.9.73.123 - Still issues with resampling minutes to days?

      Hey,

      I'm having an issue with resampling to days. Everything else, 15M, weeks and months works. Days wont...

      Im running a adjusted verison (to my datafeed) of the script posted here?

      The fix suggested last year seems to be implemented in resamplerfilter.py...

      Can anybody confirm this?

      Thx,
      Andreas

      Error:

      Traceback (most recent call last):
        File "test_resampling.py", line 62, in <module>
          runstrat()
        File "test_resampling.py", line 41, in runstrat
          cerebro.run()
        File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1127, in run
          runstrat = self.runstrategies(iterstrat)
        File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
          self._runnext(runstrats)
        File "C:\Users\A\AppData\Local\Programs\Python\Python36\lib\site-packages\backtrader\cerebro.py", line 1557, in _runnext
          dt0 = min((d for i, d in enumerate(dts)
      ValueError: min() arg is an empty sequence
      
      posted in General Code/Help
      A
      AB