I can share the same as @chewbacca. It took sometime to get used to it.. But its worth spending the initial time to learn and understand. Once you get it, lt will make life lot easier. You can always ask in the forum if you are stuck.. people are very helpful. of course happy to connect and share ideas if that's exactly what you prefer.

By DEBUG lines I meant these lines in the output

DEBUG:bokeh.server.tornado:[pid 72891] 0 clients connected
DEBUG:bokeh.server.tornado:[pid 72891]   / has 1 sessions with 1 unused
13-Oct-20 19:24:18 DEBUG     Sending patch for figurepage: defaultdict(<class 'list'>, {'datetime': [(0, Timestamp('2020-10-13 17:24:17.222988'))]})
13-Oct-20 19:24:18 DEBUG     Sending patch for figure: defaultdict(<class 'list'>, {'datetime': [(0, Timestamp('2020-10-13 17:24:17.222988'))]})
13-Oct-20 19:24:18 DEBUG     Sending patch for figure: defaultdict(<class 'list'>, {'140360762382800': [(0, 'NaN')], '140360762382992': [(0, 'NaN')], '140360762383184': [(0, 'NaN')], 'datetime': [(0, Timestamp('2020-10-13 17:24:17.222988'))]})
13-Oct-20 19:24:18 DEBUG     Sending patch for figure: defaultdict(<class 'list'>, {'140360474604560open': [(0, 'NaN')], '140360474604560high': [(0, 'NaN')], '140360474604560low': [(0, 'NaN')], '140360474604560close': [(0, 'NaN')], '140360474604560volume': [(0, 'NaN')], '140360762380368': [(0, 'NaN')], '140360762380560': [(0, 'NaN')], 'datetime': [(0, Timestamp('2020-10-13 17:24:17.222988'))]})
DEBUG:bokeh.server.contexts:Scheduling 1 sessions to discard
DEBUG:bokeh.server.contexts:Discarding session 'DsZV4Kgrj4zubFpXMK4MFTgQd3AyalCksvFAFmN5ItYq' last in use 26883.637406999987 milliseconds ago
DEBUG:bokeh.document.document:Deleting 0 modules for <bokeh.document.document.Document object at 0x7fa7e8e04c10>

@dasch said in Real-Time Plotting:

@rajanprabu said in Real-Time Plotting:

it should handle resampled data, but with ticks, the gaps are wide, depending on the resampled timeframe. for example, if you resample to 1 min from ticks, then they will not be that visible. In live plotting, you can configure what is being shown.

Understood, Thanks for your time and effort. Very much appreciate it.

@dasch This is wonderful, thank you so much. I just tested and it works just out of the box. Just one small comment. Please increase the default port number, otherwise one need supervisor credentials to make it run.

I have couple of questions. How does it handle resample data ? I just tried with ibstore and I can see the ticks but not resampled data.. any suggestions ? How does one disable the DEBUG aka logger messages ?

Once again thanks for sharing.

If its not too late Im happy to step in and develop.. Im also looking for a solution to this issue.

@switchfire https://community.backtrader.com/topic/3043/vwap-indicator-session-day-based

Its not a perfect one.. But a possible solution..

@ab_trader Thank you.. perhaps its me who has to read the docs again.

@Nikhil-Kumar
you should first read Platform concepts and handling MultiTimeframe in backtrader. It will save lots of time for you. That would have clarified that datas[0] is not data0. You need to use data1 rather than data[1].

You need to use resampled data in your strategy which is data1, but you are referencing the data aka data0 which is the input data.

Hello Everyone,

Backtrader is a wonderful platform, I'm am very grateful to the author and the community.

I was looking for vwap indicator and some implementations are already posted in this forum by @bigdavediode. Its a nice and crisp four line code, which calculates the Volume weighted average price for a given period.

Problem

I wanted to have a vwap which was specific to particular session ( I believe this is what al charting platforms are using ). Meaning when the session starts in the morning vwap period has to be 1 and increased there after for every new candle. ( For example 15 minutes candle data

Time period
9:00 1
9:15 2
9:30 3
..

and so on.. and when next day/session starts period is reset and starts with 1 again. One need to calculate cumulative and volume and price.

Approach

First we need a flag to reset the period every session. This can be done using Timers. We also need to change the period within the indicator so that its dynamic. Luckily backtrader already had a framework dynamic indicators. We have to use renounce=False in cerebro otherwise it wont work.

Working Code
Im very new to Backtrader, please be kind if I made mistakes and Im sure code can be improved so much better

'''
Author: B. Bradford 
Dynamic vwap: Rajan Prabu

MIT License

Copyright (c) B. Bradford

Permission is hereby granted, free of charge, to any person obtaining a copy
of this software and associated documentation files (the "Software"), to deal
in the Software without restriction, including without limitation the rights
to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
copies of the Software, and to permit persons to whom the Software is
furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all
copies or substantial portions of the Software.

That they contact me for shipping information for the purpose of sending a 
local delicacy of their choice native to whatever region they are domiciled.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
SOFTWARE.


from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import datetime  # For datetime objects
import pandas as pd  # for reading data
import backtrader as bt
import backtrader.indicators as btind

class vwap(bt.Indicator):

    ''' This indicator needs a timer to reset the period to 1 at every session start
        also it needs a flag in next section of strategy to increment the self._vwap_period 
        run cerebro with runonce=False as we need dynamic indicator'''

    plotinfo = dict(subplot=False)

    alias = ('VWAP', 'VolumeWeightedAveragePrice','vwap',)
    lines = ('VWAP','typprice','cumprice', 'cumtypprice',)
    plotlines = dict(VWAP=dict(alpha=1.0, linestyle='-', linewidth=2.0, color = 'magenta'))

    def __init__(self):
        self._vwap_period = 1
        
    def vwap_period(self, period):
        self._vwap_period = period
        

    def next(self):
        
        self.l.typprice[0] = ((self.data.close + self.data.high + self.data.low)/3) * self.data.volume
        self.l.cumtypprice[0] = sum(self.l.typprice.get(size=self._vwap_period), self._vwap_period)
        self.cumvol = sum(self.data.volume.get(size=self._vwap_period), self._vwap_period)
        self.lines.VWAP[0] = self.l.cumtypprice[0] / self.cumvol

        #super(vwap, self).__init__()

# Create a Stratey
class strat(bt.Strategy):
    params = dict( 
        vwap_period = 1,
        when = bt.timer.SESSION_START,
    )

    def __init__(self):
    
        self.vwap = vwap(self.data) # get VWAP 

        self.add_timer(
                when=self.p.when,
            )

    def notify_timer(self, timer, when, *args, **kwargs):
        self.vwap_period = 1
        
    def next(self):
        
        ## Use the method insread of changing param
        self.vwap.vwap_period (self.vwap_period) 

        ##  print values for diagnostics
        txt = list()
        txt.append('{}'.format(len(self.data0)))
        txt.append('{}'.format(self.data.datetime.datetime(0)))
        txt.append('{}'.format(self.data.close[0]))
        txt.append('{}'.format(self.vwap[0]))
        txt.append('{}'.format(self.vwap_period))
        #print(', '.join(txt))  

        # Increment the Period
        self.vwap_period += 1
       
      
## Setup cerebro 
cerebro = bt.Cerebro() 

## Add a strat
cerebro.addstrategy (strat)

## input data file 
data_file = 'Nifty_combined_contracts_10_min.csv'

# Create a Data Feed and add to cerebro
df = pd.read_csv(data_file, header=0,  index_col=0, parse_dates=True)
data0 = bt.feeds.PandasData(dataname=df, \
    name = "nifty", \
    timeframe=bt.TimeFrame.Minutes, \
    compression=5, \
    sessionstart=datetime.time(9, 15), \
    sessionend=datetime.time(15, 30), \
    openinterest=-1, \
    fromdate=datetime.datetime(2020, 1, 1),\
    todate=datetime.datetime(2020, 1, 28)
    ) 

# add data
cerebro.adddata(data0)

## Run it with runonce=False 
cerebro.run(runonce=False)

# Plot the data
cerebro.plot(style="candlestick")

I have used some from @bigdavediode and modified it for the purpose ( I have included his license agreement on top ). In case you like and use the code please buy me a beer ;-) ( @Munich-DE )

It would be very helpful to get comments and improvements. Thanks

@Armaan-Syed You can use timers to do that. Reset the vwap period to 1 when the session starts and increment that in next section. In that case it would be similar to whats normally used.. meaning its for a particular session..