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
Script instructions:
python test_resampling.py --timeframe minute --compression 15
Result: Works
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.