@d-virant i am not sure about anaconda but you would go:
I run a "pip install backtrader v20" in the Anaconda prompt, it runs
I clone the btoandaV20 github repository (the btoandav20 directory from repository) into some folder on my PC (wherever my script is saved)
@d-virant you need v20 for it. So install v20:
sudo pip install v20
then make btoandav20 available for python, you need to put it manually where python will find it. You could copy the whole folder into the directory where your backorder script is or add the path to your script:
import sys
sys.path.append('../lib')
and copy btoandav20 into this lib directory.
Hope that helps.
@d-virant you could give the btoandav20 chance. This is still maintained and works.
@realz you have one data feed with backfilled data (it will fetch 500 entries from the past at startup), the other does not. Maybe this causes some problems too?
For the data, as soon, as your data will come live, you will not get S10 and M15 data but instead tick data.
to get resampled data live you would use:
# cerebro.resampledata(data0, timeframe=bt.TimeFrame.Minutes, compression=15,name="mlong")
You can also count the amount of lines before trying to access them?
But without code there It is hard to say, what's not working.
I finished the polling, I am using sleep in a thread, the time diff I calculate by start of next period and current time.
Thanks again for your help @backtrader
def poll_thread(self):
t = threading.Thread(target=self._t_poll)
t.daemon = True
t.start()
def _t_poll(self):
dtstart = self._getstarttime(self._timeframe, self._compression, offset=2)
qcandles = queue.Queue()
while True:
dtcurr = self._getstarttime(self._timeframe, self._compression)
# request candles in live instead of stream
if dtcurr > dtstart:
if len(self) > 1:
# len == 1 ... forwarded for the 1st time
dtbegin = self.datetime.datetime(-1)
elif self.fromdate > float('-inf'):
dtbegin = num2date(self.fromdate)
else: # 1st bar and no begin set
dtbegin = dtstart
self.qlive = self.o.candles(
self.p.dataname, dtbegin, None,
self._timeframe, self._compression,
candleFormat=self._candleFormat,
onlyComplete=True,
includeFirst=False)
dtstart = dtbegin
# sleep until next call
dtnow = datetime.utcnow()
dtnext = self._getstarttime(self._timeframe, self._compression, dt=dtnow, offset=-1)
dtdiff = dtnext - dtnow
tmout = (dtdiff.days*24*60*60) + dtdiff.seconds + 1
if tmout <= 0: tmout = 5
_time.sleep(tmout)
def _getstarttime(self, timeframe, compression, dt = None, offset = 0):
'''This method will return the start of the period based on current
time (or provided time). It is using UTC 22:00 (5:00 pm New York)
as the start of the day.'''
if dt == None:
dt = datetime.utcnow()
if timeframe == TimeFrame.Seconds:
dt = dt.replace(second=(dt.second//compression)*compression, microsecond=0)
if offset:
dt = dt - timedelta(seconds=compression*offset)
elif timeframe == TimeFrame.Minutes:
if compression >= 60:
hours = 0
minutes = 0
# get start of day
dtstart = self._getstarttime(TimeFrame.Days, 1, dt)
#diff start of day with current time to get seconds since start of day
dtdiff = dt - dtstart
hours = dtdiff.seconds//((60*60)*(compression//60))
minutes = compression % 60
dt = dtstart + timedelta(hours=hours, minutes=minutes)
else:
dt = dt.replace(minute=(dt.minute//compression)*compression, second=0, microsecond=0)
if offset:
dt = dt - timedelta(minutes=compression*offset)
elif timeframe == TimeFrame.Days:
# start of day is UTC 22 (5pm new york)
if dt.hour < 22:
dt = dt - timedelta(days=1)
if offset:
dt = dt - timedelta(days=offset)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
elif timeframe == TimeFrame.Weeks:
if dt.weekday() != 6:
# sunday is start of week at 5pm new york
dt = dt - timedelta(days=dt.weekday() + 1)
if offset:
dt = dt - timedelta(days=offset * 7)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
elif timeframe == TimeFrame.Months:
if offset:
dt= dt - timedelta(days=(min(28+dt.day, 31)))
# last day of month
last_day_of_month = dt.replace(day=28) + timedelta(days=4)
last_day_of_month = last_day_of_month - timedelta(days=last_day_of_month.day)
last_day_of_month = last_day_of_month.day
# start of month (1 at 0, 22 last day of prev month)
if dt.day < last_day_of_month:
dt = dt - timedelta(days=dt.day)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
return dt
This method will return the start of the period based on current time (or provided time). It is using UTC 22:00 (5:00 pm New York) as the start of the day.
Fixed version:
def _getstarttime(self, timeframe, compression, dt = None, offset = 0):
if dt == None:
dt = datetime.utcnow()
if timeframe == TimeFrame.Seconds:
dt = dt.replace(second=dt.second//compression, microsecond=0)
if offset > 0:
dt = dt - timedelta(seconds=compression*offset)
elif timeframe == TimeFrame.Minutes:
if compression >= 60:
hours = 0
minutes = 0
# get start of day
dtstart = self._getstarttime(TimeFrame.Days, 1, dt)
#diff start of day with current time to get seconds since start of day
dtdiff = dt - dtstart
hours = dtdiff.seconds//((60*60)*(compression//60))
minutes = compression % 60
dt = dtstart + timedelta(hours=hours, minutes=minutes)
else:
dt = dt.replace(minute=compression, second=0, microsecond=0)
if offset > 0:
dt = dt - timedelta(minutes=compression*offset)
elif timeframe == TimeFrame.Days:
# start of day is UTC 22 (5pm new york)
if dt.hour < 22:
dt = dt - timedelta(days=1)
if offset:
dt = dt - timedelta(days=offset)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
elif timeframe == TimeFrame.Weeks:
if dt.weekday() != 6:
# sunday is start of week at 5pm new york
dt = dt - timedelta(days=dt.weekday() + 1)
if offset:
dt = dt - timedelta(days=offset * 7)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
elif timeframe == TimeFrame.Months:
if offset > 0:
dt= dt - timedelta(days=(min(28+dt.day, 31)))
# last day of month
last_day_of_month = dt.replace(day=28) + timedelta(days=4)
last_day_of_month = last_day_of_month - timedelta(days=last_day_of_month.day)
last_day_of_month = last_day_of_month.day
# start of month (1 at 0, 22 last day of prev month)
if dt.day < last_day_of_month:
dt = dt - timedelta(days=dt.day)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
return dt
I added a method to calculate the start time of the period.
It's for oanda, so i set the day, week and month to UTC 22:00 as the start time. Maybe someone will need this code, so here is how I do it.
def _getstarttime(self, timeframe, compression, dt = None, offset = 0):
if dt == None:
dt = datetime.utcnow()
if timeframe == TimeFrame.Seconds:
dt = dt.replace(second=dt.second//compression, microsecond=0)
if offset > 0:
dt = dt - timedelta(seconds=compression*offset)
elif timeframe == TimeFrame.Minutes:
hour = 0
if compression >= 60:
hour = compression//60
minute = compression % 60
dt = dt - timedelta(hours=hour, minutes=minute)
dt = dt.replace(minute=dt.minute//minute, second=0, microsecond=0)
if offset > 0:
dt = dt - timedelta(minutes=compression*offset)
elif timeframe == TimeFrame.Days:
# start of day is UTC 22 (5pm new york)
if dtnow.hour < 22:
dt = dt - timedelta(days=1)
if offset:
dt = dt - timedelta(days=offset)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
elif timeframe == TimeFrame.Weeks:
if dt.weekday() != 6:
# sunday is start of week at 5pm new york
dt = dt - timedelta(days=dt.weekday() + 1)
if offset:
dt = dt - timedelta(days=offset * 7)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
elif timeframe == TimeFrame.Months:
if offset > 0:
dt.replace(month=dt.month - offset)
# last day of month
last_day_of_month = dt.replace(day=28) + timedelta(days=4)
last_day_of_month = last_day_of_month - timedelta(days=last_day_of_month.day)
last_day_of_month = last_day_of_month.day
# start of month (1 at 0, 22 last day of prev month)
if dt.day < last_day_of_month:
dt = dt - timedelta(days=dt.day)
dt = dt.replace(hour=22, minute=0, second=0, microsecond=0)
return dt
Edit:
This method above will not have correct start times for intervals > 60 minutes for intraday. Will post an updated version, which fixes that issue.
Maybe an example of data I need would explain it a bit better:
Assume:
Now: 4:13
Period: 5 Min
Required time / data:
Previous complete period start: 4:05
Current period start: 4:10
I would then use previous period time for start time,
current period time stored, to check if it is different from current period start of current time (at 4:16 it would be 4:15 as start, so I would fetch new data if not already done and current stored period start is 4:15)
I hope that is more understandable
Hi
in the backtrader oanda v20 store, I added a method to use poll instead of stream. This provides volume in live data (which is delayed by the interval). I poll for data based on qcheck, but this will do a lot of unnecessary requests.
How would I best check if interval is about to end or how to minimize the amount of requests when no new data is expected?
For example when the timeframe is 15 Minutes, the feed should poll shortly after the timeframe is complete (0:00, 0:15, 0:30, 0:45 ... + a few microseconds)
Is there some functionality in backtrader to give me that info in a feed?
The oanda v20 store is located here:
https://github.com/ftomassetti/backtrader-oandav20
The last commit added the candles support
Thanks in advance for any ideas or help :)