Dear backtrader,

Any idea how I could investigate this further ?
thanks in advance

Regards
Lamp'

Hi Backtrader,

Thanks for getting back.

1. i have fixed the field indices but obviously this was not the issue
2. when i load one feed straight (i.e. using cerebro.adddata(ffeeds[0]) instead of rollover), i can see the header and the data being displayed
3. When i load one feed or multiple feeds using rolloverdata (e.g. cerebro.rolloverdata(ffeeds[0], name='MyRoll', **rollkwargs) or cerebro.rolloverdata(ffeeds[0],ffeeds[1], name='MyRoll', **rollkwargs)), i can see the header but not the header
4. When i load the data with chaindata (e.g. cerebro.chaindata(name='MyRoll', *ffeeds)), i can see the header and all the data (i.e. the data of the four futures one after the other)

Hope this clarifies the issue i'm facing. In case it is relevant, i'm running backtrader version 1.9.66.122

Thanks and regards
Lamp'

Dear All,

I'm trying to backtest a VIX futures strategy that requires actual futures contract. It is the first time i'm looking at the rollover feature of backtester. My code is fairly simple and inspired from the rollover sample / code I found on this forum. At a high level, I load each indidivudal futures (only 4 contracts in this example) contract from CSV, then i try to "chain" them using cerebro.rollover (with checkvolume). After that, i'm adding the strategy 'TheStrategy' (same as in sample code) to display the daily bars. Unfortunately, nothing gets displayed. it seems that the datafeed generated by cerebro.rollover is empty. I have tried to investigate this issue but i have not found anything (difficult since there is not even an error message). On thing i did is to replace cerebro.rollover by cerebro.chaindata. In this case, it works well, and i see the 4 futures contracts being displayed one after the others. Code used is shown below.

Any help to resolve/investigate this issue will be extremely welcome!

Thanks in advance and cheers!
Lamp'

data from CBOE website, e.g.
VX18 - https://markets.cboe.com/us/futures/market_statistics/historical_data/products/csv/VX/2018-12-19

import datetime
import time
import argparse
import bisect
import calendar
import datetime
import backtrader as bt
import backtrader.filters as btfilters
from backtrader.order import Order

class TheStrategy(bt.Strategy):
    def start(self):
        header = ['Len', 'Name', 'RollName', 'Datetime', 'Open',
                            'High', 'Low', 'Close', 'Volume', 'OpenInterest']
        print(', '.join(header))

    def next(self):
        txt = list()
        txt.append('%04d' % len(self.data0))
        txt.append('{}'.format(self.data0._dataname))
        # Internal knowledge ... current expiration in use is in _d
        txt.append('{}'.format(self.data0._d._dataname))
        txt.append('{}'.format(self.data.datetime.date()))
        txt.append('{}'.format(self.data.open[0]))
        txt.append('{}'.format(self.data.high[0]))
        txt.append('{}'.format(self.data.low[0]))
        txt.append('{}'.format(self.data.close[0]))
        txt.append('{}'.format(self.data.volume[0]))
        txt.append('{}'.format(self.data.openinterest[0]))
        print(', '.join(txt))

def get_data_feed(data_filename):
    data = bt.feeds.GenericCSVData(
        dataname=data_filename,
        headers=True,
        dtformat=('%Y-%m-%d'),
        datetime=0,
        open=3,
        high=4,
        low=5,
        close=6,
        volume=8,
        openinterest=10,
        timeframe=bt.TimeFrame.Days,
        compression=1
    )

    return data

def checkvolume(d0, d1):
    return d0.volume[0] < d1.volume[0]  # Switch if volume from d0 < d1

month_codes = ['U18', 'V18', 'X18', 'Z18']
ffeeds = [get_data_feed('./CFE_{0}_VX.csv'.format(x)) for x in month_codes]

month_codes = ['U18', 'V18', 'X18', 'Z18']
ffeeds = [get_data_feed('./CFE_{0}_VX.csv'.format(x)) for x in month_codes]
cerebro = bt.Cerebro()
rollkwargs = dict()
rollkwargs['checkcondition'] = checkvolume
cerebro.rolloverdata(name='FESX', *ffeeds, **rollkwargs)
#cerebro.chaindata(name='FESX', *ffeeds)
cerebro.addstrategy(TheStrategy)
cerebro.run()