Topics created by nimrare

Update:

Okay, I have solved it. I found this article detailing a bit about the matter: https://www.backtrader.com/blog/posts/2016-04-19-sync-different-markets/sync-different-markets/

However, I did not really like the possible solutions so I solved it like that:

... datamaster = "VIXY" universe = ["SPY"] # add a strategy cerebro.addstrategy(MultiFeedStrategy) # synchronize data by dropping all indices that are not present in the datamaster data_feed_dfs = [] # load datamaster datamaster_df = pd.read_csv("../../data/{}.csv".format(datamaster), index_col="datetime", parse_dates=True) datamaster_df = datamaster_df[["open", "high", "low", "close", "volume"]].copy() data_feed_dfs.append(datamaster_df) for symbol in universe: # load data dataframe = pd.read_csv("../../data/{}.csv".format(symbol), index_col="datetime", parse_dates=True) dataframe = dataframe[["open", "high", "low", "close", "volume"]].copy() dataframe = dataframe.loc[dataframe.index.isin(datamaster_df.index)].copy() data_feed_dfs.append(dataframe) for data_feed_df in data_feed_dfs: try: # convert the dataframe to data feed data = bt.feeds.PandasData(dataname=data_feed_df, fromdate=fromdate, todate=todate, plot=True) # add the data feed to cerebro cerebro.adddata(data, name=symbol) except Exception as e: print(e) # set our desired cash start cerebro.broker.setcash(100000) ...

Basically I am only selecting timestamps that are also present in the datamaster (i.e. first data feed added to the strategy)

Hope this helps others that run into similar problems. :)

However, I would still appreciate if someone could clarify my questions in the first post.

Best,
nimrare

@backtrader

Ah, that makes sense. Thanks a lot for your response.

@backtrader

Hello backtrader

Thanks for your reply. What you say makes sense and I will use the trading calendar feature. But just to make sure I understand the behavior correctly, let's look at the duplicate timestamp of 2018-02-09 shown in my first post above.

2018-02-09 is a Friday. So the the backtrader resampling mechanism creates a daily bar at the end of the day 2018-02-09. At this point it cannot know whether trading might continue on the weekend so it basically looks at the days 2018-02-10 and 2018-02-11. It cannot find that data, so it produces a weekly bar with the timestamp 2018-02-09 in a separate call to next().

Am I assuming correctly that backtrader assumes by default that a week is ending on Sunday if nothing else is specified in terms of trading calendars?

Also in the above code you see that I am using two resampled data feeds but NOT the original data feed. If I am using the original data feed together with one resampled data feed this alignment problem does not seem to happen. I understand that you may need more information to give an answer to this but maybe it's obvious and I am missing something.

@nimrare said in order.ref keeps increasing after new cerebro instantiation:

why?

Because you are in a single Python script.