Hi,
I have a strange issue using GenericCSVData.
As you can see, in orc-2014.txt, the dates start from 2014-1-1 till 2014-12-31.
orcl-2014.txt
2014-12-22,45.57,46.05,45.41,45.65,21264400,45.53
2014-12-23,45.53,46.50,45.46,46.01,14042400,45.89
2014-12-24,46.36,46.71,46.15,46.23,10238200,46.10
2014-12-26,46.19,46.50,46.07,46.10,6893500,45.98
2014-12-29,46.02,46.09,45.60,45.61,9701400,45.49
2014-12-30,45.55,45.66,45.29,45.34,9968400,45.22
2014-12-31,45.45,45.56,44.97,44.97,13269200,44.85
Below is taken from the tutorial:
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import datetime # For datetime objects
import os.path # To manage paths
import sys # To find out the script name (in argv[0])
# Import the backtrader platform
import backtrader as bt
# Create a Stratey
class TestStrategy(bt.Strategy):
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
# To keep track of pending orders
self.order = None
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
# Check if an order has been completed
# Attention: broker could reject order if not enougth cash
if order.status in [order.Completed]:
if order.isbuy():
self.log('BUY EXECUTED, %.2f' % order.executed.price)
elif order.issell():
self.log('SELL EXECUTED, %.2f' % order.executed.price)
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
# Write down: no pending order
self.order = None
def next(self):
# Simply log the closing price of the series from the reference
# self.log('Close, %.2f' % self.dataclose[0])
# Check if an order is pending ... if yes, we cannot send a 2nd one
if self.order:
return
if __name__ == '__main__':
# Create a cerebro entity
cerebro = bt.Cerebro()
# Add a strategy
cerebro.addstrategy(TestStrategy)
cerebro.addobserver(bt.observers.DrawDown)
cerebro.addobserver(bt.observers.TimeReturn)
# Datas are in a subfolder of the samples. Need to find where the script is
# because it could have been called from anywhere
data = bt.feeds.GenericCSVData(
dataname='datas/orcl-2014.txt',
nullvalue=0.0,
dtformat=('%Y-%m-%d'),
datetime=0,
time=-1,
high=2,
low=3,
open=1,
close=4,
volume=5,
openinterest=-1)
# Add the Data Feed to Cerebro
cerebro.adddata(data)
# Set our desired cash start
cerebro.broker.setcash(100000.0)
cerebro.addwriter(bt.WriterFile, csv=True)
# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Run over everything
cerebro.run()
# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
Output shown in terminal:
249,orcl-2014,249,2014-12-26 23:59:59.999989,46.19,46.5,46.07,46.1,6893500.0,0.0,TestStrategy,249,735593.9999999999,Broker,249,100000.0,100000.0,BuySell,249,,,Trades,249,,,DrawDown,249,0.0,0.0,TimeReturn,249,0.0
2014-12-29, Close, 45.61
250,orcl-2014,250,2014-12-29 23:59:59.999989,46.02,46.09,45.6,45.61,9701400.0,0.0,TestStrategy,250,735596.9999999999,Broker,250,100000.0,100000.0,BuySell,250,,,Trades,250,,,DrawDown,250,0.0,0.0,TimeReturn,250,0.0
2014-12-30, Close, 45.34
251,orcl-2014,251,2014-12-30 23:59:59.999989,45.55,45.66,45.29,45.34,9968400.0,0.0,TestStrategy,251,735597.9999999999,Broker,251,100000.0,100000.0,BuySell,251,,,Trades,251,,,DrawDown,251,0.0,0.0,TimeReturn,251,0.0
2014-12-31, Close, 44.97
252,orcl-2014,252,2014-12-31 23:59:59.999989,45.45,45.56,44.97,44.97,13269200.0,0.0,TestStrategy,252,735598.9999999999,Broker,252,100000.0,100000.0,BuySell,252,,,Trades,252,,,DrawDown,252,0.0,0.0,TimeReturn,252,0.0
output show in excel
249 orcl-2014 249 2014-12-27 46.19 46.5 46.07 46.1 6893500 0 TestStrategy 249 735594 Broker 249 100000 100000
250 orcl-2014 250 2014-12-30 46.02 46.09 45.6 45.61 9701400 0 TestStrategy 250 735597 Broker 250 100000 100000
251 orcl-2014 251 2014-12-31 45.55 45.66 45.29 45.34 9968400 0 TestStrategy 251 735598 Broker 251 100000 100000
252 orcl-2014 252 2015-1-1 45.45 45.56 44.97 44.97 13269200 0 TestStrategy 252 735599 Broker 252 100000 100000
The issue is when i open the results in Excel, date for the last row is showing as 2015-1-1(it should be 2014-12-31 as shown in the source). Actually all the dates are off by one day.
I guess this is because the date 2014-12-31 was changed to 2014-12-31 23:59:59.999989 , and Excel automatically convert it to 2015-1-1.
So why the time 23:59:59.999989 was added? Is it possible to add 00:00:00 instead?
Thanks.