I have gone through and worked out that I needed to add a second data feed.
def run(args=None):
cerebro = bt.Cerebro()
storekwargs = dict(
host='127.0.0.1', port=7496,
clientId=None, reconnect=100, timeout=3.0, _debug=False)
ibstore = bt.stores.IBStore(**storekwargs)
broker = ibstore.getbroker()
cerebro.setbroker(broker)
data0 = ibstore.getdata(reqRealTimeBars=True, dataname='AAPL-STK-SMART-USD', rtbar=False, what='BID',
timeframe=bt.TimeFrame.Seconds, compression=1, tradename='AAPL-CFD-SMART-USD')
cerebro.resampledata(data0, timeframe=bt.TimeFrame.Seconds,
compression=10)
# print('remix')
# print(data0)
# cerebro.adddata(data0, name='d0')
StockPercentile = pd.read_csv(r'C:\Users\Elliot Parker\Dropbox\Drums\QuantStrategyResults\AUSLeadsUSPercentile.csv',
header=0, index_col=0, parse_dates=True)
StockPercentile = StockPercentile[~StockPercentile.index.duplicated(keep='first')]
StockPercentile = StockPercentile.sort_index(ascending=False)
StockPercentile = pd.DataFrame(StockPercentile.iloc[:, :])
data1 = PandasData_Extend(dataname=StockPercentile, timeframe=bt.TimeFrame.Days, compression=1)
cerebro.resampledata(data1)
So, I now have two data feeds. The live data feed "data0" and the daily data from my csv "data1".
When I attempt to run:
class IBFwkLive(bt.Strategy):
def __init__(self):
self.datastatus = 0
self.orderid = list()
self.data_minute = self.data0
self.data_daily = self.data1
# self.close0 = self.datas[0].close
# self.close1 = self.datas[1].close
# self.PercentileDailyPctChange = self.datas[1].PercentileDailyPctChange
# self.open = self.datas[1].open
def notify_data(self, data, status, *args, **kwargs):
# print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
if status == data.LIVE:
self.datastatus = 1
def notify_store(self, msg, *args, **kwargs):
# print('*' * 5, 'STORE NOTIF:', msg)
return
def notify_order(self, order):
if order.status in [order.Completed, order.Cancelled, order.Rejected]:
self.order = None
# print('-' * 50, 'ORDER BEGIN', datetime.datetime.now())
# print(order)
# print('-' * 50, 'ORDER END')
def notify_trade(self, trade):
# print('-' * 50, 'TRADE BEGIN', datetime.datetime.now())
# print(trade)
# print('-' * 50, 'TRADE END')
return
def prenext(self):
self.next(frompre=False)
def next(self, frompre=False):
for i, d in enumerate(self.datas):
txt = []
txt.append('%04d' % len(d))
txt.append('Data_%d' % i)
print(len(self.data_minute))
# txt.append(d.PercentileDailyPctChange[0])
if i == 1:
txt.append(d.datetime.datetime().isoformat())
# txt.append(str(d.PercentileDailyPctChange[0]))
# txt.append(str(d.open[0]))
# txt.append(str(d.high[0]))
# txt.append(str(d.low[0]))
# txt.append(str(self.close1[0]))
# txt.append(str(d.volume[0]))
# txt.append(str(d.openinterest[0]))
# txt.append(str(d.PercentileDailyPctChange[0]))
else:
txt.append(d.datetime.datetime().isoformat())
txt.append(str(d.high[0]) + str('movingapack'))
# txt.append(d.datetime.datetime().isoformat())
# txt.append('%.4f' % d.close[0])
print(','.join(txt))
def start(self):
if self.data0.contractdetails is not None:
# print('Timezone from ContractDetails: {}'.format(
# self.data0.contractdetails.m_timeZoneId))
return
header = ['Datetime', 'Open', 'High', 'Low', 'Close']
# print(', '.join(header))
self.done = False
The "PercentileDailyPctChange" column is a column from "data1" which I added to the lines using:
import backtrader as bt
class PandasData_Extend(bt.feeds.PandasData):
lines = ('SPIPctChange',
'IndexPctChange',
'PctChange',
'PercentileDPR',
'DailyPctChange',
'PercentileDailyPctChange',)
params = (
('SPIPctChange', -1),
('IndexPctChange', -1),
('PctChange', -1),
('PercentileDPR', -1),
('DailyPctChange', -1),
('PercentileDailyPctChange', -1)
)
bt.feeds.PandasData.datafields = bt.feeds.PandasData.datafields + [u'SPIPctChange'] + [u'N225PctChange'] + [u'PctChange'] + [u'PercentileDPR'] + [u'DailyPctChange'] \
+ [u'PercentileDailyPctChange']
I am attempting to find the latest value of PercentileDailyPctChange.
I have tried adding it under init as self.PercentileDailyPctChange = self.datas[1].PercentileDailyPctChange and then accessing it under next(self) as d.PercentileDailyPctChange[0] wherein I get the error: ValueError: len() should return >= 0
If I try to access it alternately as self.PercentileDailyPctChange[0] I receive "IndexError: array index out of range"
I best like the first option as that feels like it should be correct. I am a little bit lost. To recap:
I have added my local csv as the second datafeed and I am able to access other values from it (such as close, but it's a bit funny).
I am unsure how to workout how to access values from PercentileDailyPctChange column of the "data1" data feed. I read that there might be an issue with backtrader being unable to recognize the date. As when i run the code it is unable to count more than 1 in regards to the len(d). When I run any variation of d.close or self.close1 or variations with [0] or [-1] I receive an index error IndexError: array index out of range
When I attempt to run:
def next(self, frompre=False):
for i, d in enumerate(self.datas):
txt = []
txt.append('%04d' % len(d))
txt.append('Data_%d' % i)
# print(len(self.data_minute))
# txt.append(d.PercentileDailyPctChange[0])
if i == 1:
print('1')
txt.append(d.datetime.datetime().isoformat())
txt.append(str(d.close[0]))
# txt.append(str(d.PercentileDailyPctChange))
# print(txt)
# return
else:
print('0')
txt.append(d.datetime.datetime().isoformat())
# txt.append(str(d.high[0]) + str('movingapack'))
txt.append('%.4f' % d.close[0])
print(txt)
# return
print(','.join(txt))
I receive return:
1
0001,Data_1,2018-12-12T23:59:59.999989,-22.0
-22 corresponds to the value of close from data1 on the 3/12/2018 as opposed to the latest 12/12/2018 or the earliest 15/11/2018.
But when I change d.close[0] to d.PercentileDailyPctChange[0] it returns nan despite there being a value for that date (7).
Here is a link to the csv for data1 I am working with: https://www.dropbox.com/s/5h3h14bpxuvzmik/AUSLeadsUSPercentile.csv?dl=0
These were some incredibly helpful resources along the way:
https://community.backtrader.com/topic/26/example-of-adding-live-data-to-static-in-strategy/51?page=3
https://community.backtrader.com/topic/26/example-of-adding-live-data-to-static-in-strategy/51?page=3
https://community.backtrader.com/topic/133/unable-to-get-closing-daily-values-for-spy/91?page=5