Hey guys, so, I've backtested the strategy and I'm now ready to try running on IB demo paper account.
The strategy needs 2 datafeeds - one "live" minutely (the current day from market open), and one daily (with history going back 3 years, so it has to have the historical=True).

How to add new daily data to the "3 year history" feed after each day ends (market close), so the last day's OHLCV would always be available on the next day's open (along with the history data)? Does backfill work on a feed created with historical=True ?

What are the possible options for this? Does BT have to be restarted before each market open, or are there other options (i.e. running BT continuously) ?

Regards

Anyone ?!

Hey guys, so, I've backtested the strategy and I'm now ready to try running on IB demo paper account.
The strategy needs 2 datafeeds - one "live" minutely (the current day from market open), and one daily (with history going back 3 years).

How to add new daily data to the "3 year history" feed after each day ends (market close), so the last day's OHLCV would always be available on the next day's open (along with the history data)?

What are the possible options for this? Does BT have to be restarted before each market open, or are there other options (i.e. running BT continuously) ?

Regards

So when the timer acts on 09:31, i.e. the first intraday bar has already been delivered, why the buy/sell price would match a price on that bar ?

And as per the documentation, "0" stands for "today", -1 "yesterday" and so forth. Correct me if I'm wrong.

The notify_timer() logs aren't necessarily bound to any dataset, I'm explicitly setting "0" to get the "today" value when the function executes. That should be the same Date for both data fees.

That's odd... as per the documentation the primary data feed needs to be the one with the most "ticks" i.e. the intraday one. Why would the timer act on the secondary feed? I don't see that behavior. The timer acts only once, or else I would have seen double logs (i.e. timer acting twice, once for each feed?)

I'm running 2 datasets - one intraday (1-minute), 1 daily (resampled from the intraday dataset, though the problem also occurs with any other daily dataset).

The intraday dataset is loaded first, the daily - second.
Signals are generated using the 2nd dataset (daily), trades are executed on the intraday dataset.

I'm running the buy/sell logic via timer, next() method is skipped (there's nothing in there)
self.add_timer(
when=dtm.time(9, 45),
offset=dtm.timedelta(),
repeat=dtm.timedelta(),
weekdays=[],
weekcarry=True
)

Inside notify_timer, I'm logging this:
currentIntradayDate = self.data0.datetime.date(0)
currentDailyDate = self.data1.datetime.date(0)
self.log("Daily DB Date: {} | Intraday DB Date: {}" .format(currentDailyDate, currentIntradayDate))

This is what I see:
Daily DB Date: 2020-05-18 | Intraday DB Date: 2020-05-19

So, for some reason the Daily db date is not the same as the intraday one.

Any ideas on why this is the case, and what could be done to fix it? (Already tried oldsync=True, which made the backtest not run at all)

Issue is also open @ https://github.com/backtrader2/backtrader/issues/38

Regards
D

Using daily dataset and several SMA over short & long period, I get normal values when using the next() function to calculate values and execute trades, but if I place a timer and move the logic from next() into notify_timer(), for example:
self.add_timer(
when=dtm.time(9, 31),
offset=dtm.timedelta(),
repeat=dtm.timedelta(),
weekdays=[],
)

The timer executes, but there are gaps of several days here and there in the SMA data with the exact same dataset.
Why notify_timer() doesn't see the precalculated values of the SMA properly the same way next() sees them?

Here is an example using Yahoo daily dataset of SPY:
2020-05-20, DATA
2020-05-21, DATA
2020-05-22, DATA
2020-05-26 NO DATA (timer doesn't execute?)
2020-05-27, DATA
2020-05-28 NO DATA (timer doesn't execute?)
2020-05-29, DATA

Where as if the logic is in next(), all days have data

@Anton-Kozin Is the "raw" value a negative number?