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vbs

Could you maybe comment on my assumption that the interface of the function schedule is to return the opening and closing time of the session that ends next (instead of the opening/closing for the provided day)?
It's the important point for me. I can hopefully deal with the rest alone.

vbs

I am trying to implement my own class derived from TradingCalenderBase and I am trying for some time to understand the existing implementation TradingCalendar. I have problems implementing the function schedule (and I do not fully understand the implementation in TradingCalendar either).

So either its my bad or maybe there even is a bug in the current implementation. The first is more probable :)
I will just explain what I see and what I do not understand, please feel free to correct me where I am wrong. I do not say my findings are facts.

The current implementation in TradingCalendar is this:

    def schedule(self, day, tz=None):
        '''
        Returns the opening and closing times for the given ``day``. If the
        method is called, the assumption is that ``day`` is an actual trading
        day

        The return value is a tuple with 2 components: opentime, closetime
        '''
        while True:
            dt = day.date()
            try:
                i = self._earlydays.index(dt)
                o, c = self.p.earlydays[i][1:]
            except ValueError:  # not found
                o, c = self.p.open, self.p.close

            closing = datetime.combine(dt, c)
            if tz is not None:
                closing = tz.localize(closing).astimezone(UTC)
                closing = closing.replace(tzinfo=None)

            if day > closing:  # current time over eos
                day += ONEDAY
                continue

            opening = datetime.combine(dt, o)
            if tz is not None:
                opening = tz.localize(opening).astimezone(UTC)
                opening = opening.replace(tzinfo=None)

            return opening, closing

This is what I am struggling with the most:

while True:
...
    if day > closing:  # current time over eos
        day += ONEDAY
        continue

I am not totally sure what this code means to do. But when analyzing where schedule is used (in feed._getnexteos) I guess the whole point of schedule is actually not to return opening and closing time for the date specified by date but to return the session that ends next. This would be in contradiction to the function header saying Returns the opening and closing times for the given day. Is this correct so far?

When thinking about that, some possible problems came to mind:

Regarding that while-loop: let's say we have regular trading hours Mon to Fri from 09:00 to 18:00. If the function gets called with day being a random trading day date with its time being 18:05 then I suspect it will run into an endless loop cause day will always be greater than closing. ONEDAY will be added again and again but the actual time will never chance so it will always be greater than the current date's closing time. Is this a bug or did I misinterpret? Maybe there are assumptions this function makes to avoid this scenario to ever happen?
Suggestion: Do the compare day > closing always with the original datetime value passed to the function (and not with the variable day which got increment by ONEDAY)
I think there is a problem for trading hours that start before UTC midnight 00:00 and end after. Let's say opening is 22:00 UTC and closing 06:00 UTC.
Let's take New Zealand exchange which opens at 22:00 UTC and closes at 05:00 UTC (+12h UTC offset). So when calling schedule with day being e.g. 2005-05-23 04:00 UTC we are actually in NZSX's trading hours (2005-05-22 22:00 UTC to 2005-05-23 05:00 UTC) from date 2005-05-22 (22th !) which should be the expected return value. But the function would start search at the provided date 2005-05-23 and therefore miss the 22th and return then opening and closing times for the 23th which are 2005-05-23 22:00 UTC to 2005-05-24 22:00 UTC. This would be wrong I suspsect.
Suggestion: Do not start searching exactly from the provided date in day but from the day before (Subtract ONEDAY before starting the search).
If this is true day > closing then ONEDAY will be added and then searched again for the next day. But there is no check if the next day is a trading day at all. I think this is missing and can lead to returning trading hours for a non-trading day.
Suggestion: Instead of adding ONEDAY, call _nextday to jump the actual next trading day.

vbs

IBStore is clearly in there, I can see it :P

And you are sure that this does not work now? Well, it has to work

store = backtrader.stores.ibstore.IBStore(port=7497)

vbs

@vbs said in module 'backtrader.stores' has no attribute 'IBStore':

import backtrader.stores.ibstore

Hm please open a python shell and do this:

import backtrader.stores.ibstore

and then

dir(backtrader.stores.ibstore)

and post the output.

vbs

You didnt import the module ibstore. Try e.g.

import backtrader.stores.ibstore as ibstore
store = ibstore.IBStore(port=7497)

vbs

I can just guess that you have an outdated Bokeh version. For a better guess you will need to add information what you are using and what you did in the first place to get to that error.

vbs

I uploaded a wheel to pypi. Could you give it a try?
https://pypi.org/project/backtrader-plotting/

vbs

Hello gentlemen,

I am back at this topic (everyhing I say is based on my current understanding, please feel to comment if I am wrong somewhere):
When resampling ticks to a higher timeframe then currently backtrader counts ticks on the edge (e.g. 14:00:00 when Tick -> Hour) as last (closing) value for the current bar. This intentionally as far as I know.
I was expeceting (since I know it from other software packages) that such ticks would count as the open value for the following bar.

I had a topic about this here already (I thought it was a bug back then):
https://community.backtrader.com/topic/777/bug-building-bars-in-live-mode-regarding-last-tick

So I tried to change the backtrader code to make it behave like I am used to. I did it with this commit which touches backtrader's Resampler filter:
https://github.com/verybadsoldier/backtrader/commit/014344445e0fde1b217cf912619839f4cca20cc8

The commit adds a parameter tickedgestart to the Resampler (defaults to False). When setting to True then the alternative behavior is activated (only when resampling Tick). So far it does what I wanted for me.

Please @backtrader would you maybe take a look at the commit and tell me if you see problems with that approach? I feel that I don't have a well enough understanding of the internals to be sure to avoid side effects. :(

vbs

It needs python 3.6 to run. Your problem curre

vbs

I guess the problem is your Python version. You need at least Python 3.6.

vbs

@vbs

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