i fixed issues with my datafeeds by adjusting the time to the end of the period they are on. Backtrader expects somehow the endtime of a period, while most data will have the starttime of a period as the datetime.
A custom csv feed with time adjustment which can be used to fix that:
import backtrader as bt
from backtrader.utils import date2num
from datetime import datetime, time, timedelta
def getstarttime(timeframe, compression, dt, sessionstart=None, offset=0):
'''
This method will return the start of the period based on current
time (or provided time).
'''
if sessionstart is None:
# use UTC 22:00 (5:00 pm New York) as default
sessionstart = time(hour=22, minute=0, second=0)
if dt is None:
dt = datetime.utcnow()
if timeframe == bt.TimeFrame.Seconds:
dt = dt.replace(
second=(dt.second // compression) * compression,
microsecond=0)
if offset:
dt = dt - timedelta(seconds=compression*offset)
elif timeframe == bt.TimeFrame.Minutes:
if compression >= 60:
hours = 0
minutes = 0
# get start of day
dtstart = getstarttime(bt.TimeFrame.Days, 1, dt, sessionstart)
# 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 == bt.TimeFrame.Days:
if dt.hour < sessionstart.hour:
dt = dt - timedelta(days=1)
if offset:
dt = dt - timedelta(days=offset)
dt = dt.replace(
hour=sessionstart.hour,
minute=sessionstart.minute,
second=sessionstart.second,
microsecond=sessionstart.microsecond)
elif timeframe == bt.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=sessionstart.hour,
minute=sessionstart.minute,
second=sessionstart.second,
microsecond=sessionstart.microsecond)
elif timeframe == bt.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
if dt.day < last_day_of_month:
dt = dt - timedelta(days=dt.day)
dt = dt.replace(
hour=sessionstart.hour,
minute=sessionstart.minute,
second=sessionstart.second,
microsecond=sessionstart.microsecond)
return dt
class CSVAdjustTime(bt.feeds.GenericCSVData):
params = dict(
adjstarttime=False,
)
def _loadline(self, linetokens):
res = super(CSVAdjustTime, self)._loadline(linetokens)
if self.p.adjstarttime:
# move time to start time of next candle
# and subtract 0.1 miliseconds (ensures no
# rounding issues, 10 microseconds is minimum)
new_date = getstarttime(
self._timeframe,
self._compression,
self.datetime.datetime(0),
self.sessionstart,
-1) - timedelta(microseconds=100)
self.datetime[0] = date2num(new_date)
return res