BackTrader 3 : DataFeed

Data Feeds

• Yahoo (online or already saved to a file)
• VisualChart (see www.visualchart.com
• Backtrader CSV (own cooked format for testing)
• Generic CSV support
• Data Feed 는 기존 주식 데이터인 OHLCV 데이터에 datetime 칼럼을 넣어 작동하는 기능입니다.

Quick Start 

import backtrader as bt
import backtrader.feeds as btfeeds

data = btfeeds.YahooFinanceCSVData(dataname='wheremydatacsvis.csv')

cerebro = bt.Cerebro()

cerebro.adddata(data)  # a 'name' parameter can be passed for plotting purposes

GenericCSVData

Paremeter

• dataname
• datetime (default: 0)
• time (default: -1) - datetime 과 또다른 time 존재시 표시 (-1 = time 존재 x)
• open (default: 1) , high (default: 2), low (default: 3), close (default: 4), volume (default: 5), openinterest (default: 6)
• nullvalue (default: float(‘NaN’)) - null value 특정할시 필요
• dtformat (default: %Y-%m-%d %H:%M:%S) - datetime format 할때 필요
• tmformat (default: %H:%M:%S) - time format 할때 필요

Pandas Data

Parameter

• datetime (default: None)
  • None : datetime is the “index” in the Pandas Dataframe
  • -1 : autodetect position or case-wise equal name
  • 0 : numeric index to the colum in the pandas dataframe
  • string : column name (as index) in the pandas dataframe
• open, high, low, high, close, volume, openinterest (default: -1 for all of them)
  • -1 : autodetect position or case-wise equal name
  • 0 : numeric index to the colum in the pandas dataframe
  • string : column name (as index) in the pandas dataframe

• data = bt.feeds.PandasData(dataname=dataframe)

•  

Data Resampling

Paremeter

• timeframe (default: bt.TimeFrame.Days)
• compression (default: 1) - 1 bar 에 표시할 time

The steps

• Load a data
• Resample it according to the user specified arguments
• The script also allows for loading a 2nd data
• Add the data to cerebro
• Add the resampled data (larger timeframe) to cerebro
• run

Example

    # Load the Data
    datapath = args.dataname or '../../datas/2006-day-001.txt'
    data = btfeeds.BacktraderCSVData(dataname=datapath)
    cerebro.adddata(data)  # First add the original data - smaller timeframe

    tframes = dict(daily=bt.TimeFrame.Days, weekly=bt.TimeFrame.Weeks,
                   monthly=bt.TimeFrame.Months)

    # Handy dictionary for the argument timeframe conversion
    # Resample the data
    if args.noresample:
        datapath = args.dataname2 or '../../datas/2006-week-001.txt'
        data2 = btfeeds.BacktraderCSVData(dataname=datapath)
        # And then the large timeframe
        cerebro.adddata(data2)
    else:
        cerebro.resampledata(data, timeframe=tframes[args.timeframe],
                             compression=args.compression)

    # Run over everything
    cerebro.run()

Data - Replay

Parameter

• timeframe (default: bt.TimeFrame.Days)
• compression (default: 1)
• bar2edge (default: True) - time boundaries as the target of the closed bar.
• adjbartime (default: False) - 마지막 시간대 상관없이 bar 조절
• rightedge (default: True) - 시간대에 맞춤

This is where Data Replay comes in to help

• The strategy operates on data with a timeframe X (example: daily)
• Data for a smaller timeframe Y (example: 1 minute) is available
• Replay a daily bar using the 1 minute data

The steps

• Load a data feed
• Pass the data to cerebro with replaydata
• Add a strategy

Example

  # Load the Data
    datapath = args.dataname or '../../datas/2006-day-001.txt'
    data = btfeeds.BacktraderCSVData(dataname=datapath)

    # Handy dictionary for the argument timeframe conversion
    tframes = dict(
        daily=bt.TimeFrame.Days,
        weekly=bt.TimeFrame.Weeks,
        monthly=bt.TimeFrame.Months)

    # First add the original data - smaller timeframe
    cerebro.replaydata(data,
                       timeframe=tframes[args.timeframe],
                       compression=args.compression)

Rolling over Futures

Start date 와 expiration dates 가 계속해서 이어질수 있는 데이터들을 합칠수 있다

Parameter

• checkdate (default: None) - 데이터들의 병합이 잘 되었는지 체크 (True or false)
• checkcondition (default: None) - data0 <-> data1 문제 체크

Example

import backtrader as bt

cerebro = bt.Cerebro()
data0 = bt.feeds.MyFeed(dataname='Expiry0')
data1 = bt.feeds.MyFeed(dataname='Expiry1')
...
dataN = bt.feeds.MyFeed(dataname='ExpiryN')

drollover = cerebro.rolloverdata(data0, data1, ..., dataN, name='MyRoll', **kwargs)

cerebro.run()

 

Reference : 

https://www.backtrader.com/docu/datafeed/

Data Feeds - Backtrader