Timers
Release 1.9.44.116 added timers to the arsenal of tools available in
backtrader. This functionality allows to get a call back to the
notify_timer (available in Cerebro and Strategy) at given points in
time, with a fine grained end-user control.
Note
Some corrections have been made in 1.9.46.116
Options
-
Timer based in absolute time input or with regards to session start/end times
-
Timezone specification for the time specification, be it directly or via pytz compatible objects or via data feed session end times
-
Starting offset with regards to the specified time
-
Repetitions intervals
-
Weekdays filter (with carry over option)
-
Monthdays filter (with carry over option)
-
Custom callback filter
Usage pattern
Both in Cerebro and Strategy subclasses the timer callback will be
received in the following method.
def notify_timer(self, timer, when, *args, **kwargs):
'''Receives a timer notification where ``timer`` is the timer which was
returned by ``add_timer``, and ``when`` is the calling time. ``args``
and ``kwargs`` are any additional arguments passed to ``add_timer``
The actual ``when`` time can be later, but the system may have not be
able to call the timer before. This value is the timer value and not the
system time.
'''
Adding timers - Via Strategy
Done with the method
def add_timer(self, when,
offset=datetime.timedelta(), repeat=datetime.timedelta(),
weekdays=[], weekcarry=False,
monthdays=[], monthcarry=True,
allow=None,
tzdata=None, cheat=False,
*args, **kwargs):
'''
It returns the created Timer instance.
See below for an explanation of the parameters.
Adding timers - Via Cerebro
Done with the same method and just the addition of the parameter strats. If
set to True the timer will not only be notified to the cerebro, it will
also be notified to all strategies running in the system.
def add_timer(self, when,
offset=datetime.timedelta(), repeat=datetime.timedelta(),
weekdays=[], weekcarry=False,
monthdays=[], monthcarry=True,
allow=None,
tzdata=None, cheat=False, strats=False,
*args, **kwargs):
'''
It returns the created Timer instance.
When are timers called
If cheat=False
This is the default. In this case a timer will be called:
-
After the data feeds have loaded the new values for the current bar
-
After the broker has evaluated orders and recalculated the portfolio value
-
Before indicators have been recalculated (because this is triggered by the strategies)
-
Before any
nextmethod of any strategy is called
If cheat=True
In this case a timer will be called:
-
After the data feeds have loaded the new values for the current bar
-
Before the broker has evaluated orders and recalculated the portfolio value
-
And consequently before indicators have been recalculated and
nextmethod of any strategy is called
Which allows for example the following scenario with daily bars:
-
Before the new bar is evaluated by the broker the timer is called
-
The indicators have the value from the previous day at the close and can be used to generate an entry/exit signal (or a flag may have been set during the last evaluation of
next) -
Because the new prices are available, the stake can be calculated using the opening price. This assumes that one is for example getting a good indication about the
openfrom watching the opening auction.
Running with daily bars
The sample scheduled.py defaults to running with the standard daily bars
available in the backtrader distribution. The parameters to the strategy
class St(bt.Strategy):
params = dict(
when=bt.timer.SESSION_START,
timer=True,
cheat=False,
offset=datetime.timedelta(),
repeat=datetime.timedelta(),
weekdays=[],
)
And the data has the following session times:
-
start: 09:00
-
end: 17:30
Running with just a time
$ ./scheduled.py --strat when='datetime.time(15,30)'
strategy notify_timer with tid 0, when 2005-01-03 15:30:00 cheat False
1, 2005-01-03 17:30:00, Week 1, Day 1, O 2952.29, H 2989.61, L 2946.8, C 2970.02
strategy notify_timer with tid 0, when 2005-01-04 15:30:00 cheat False
2, 2005-01-04 17:30:00, Week 1, Day 2, O 2969.78, H 2979.88, L 2961.14, C 2971.12
strategy notify_timer with tid 0, when 2005-01-05 15:30:00 cheat False
3, 2005-01-05 17:30:00, Week 1, Day 3, O 2969.0, H 2969.0, L 2942.69, C 2947.19
strategy notify_timer with tid 0, when 2005-01-06 15:30:00 cheat False
...
As specified the timer is ticking at 15:30. No surprises there. Let’s add
an offset of 30 minutes.
$ ./scheduled.py --strat when='datetime.time(15,30)',offset='datetime.timedelta(minutes=30)'
strategy notify_timer with tid 0, when 2005-01-03 16:00:00 cheat False
1, 2005-01-03 17:30:00, Week 1, Day 1, O 2952.29, H 2989.61, L 2946.8, C 2970.02
strategy notify_timer with tid 0, when 2005-01-04 16:00:00 cheat False
2, 2005-01-04 17:30:00, Week 1, Day 2, O 2969.78, H 2979.88, L 2961.14, C 2971.12
strategy notify_timer with tid 0, when 2005-01-05 16:00:00 cheat False
...
And the time has changed from 15:30 to 16:00 for the timer. No
surprises. Let’s do the same but referencing the start of the session.
$ ./scheduled.py --strat when='bt.timer.SESSION_START',offset='datetime.timedelta(minutes=30)'
strategy notify_timer with tid 0, when 2005-01-03 09:30:00 cheat False
1, 2005-01-03 17:30:00, Week 1, Day 1, O 2952.29, H 2989.61, L 2946.8, C 2970.02
strategy notify_timer with tid 0, when 2005-01-04 09:30:00 cheat False
2, 2005-01-04 17:30:00, Week 1, Day 2, O 2969.78, H 2979.88, L 2961.14, C 2971.12
...
Et voilá! The time at which the callback is called is 09:30. And the
session start, see above, is 09:00. This gives the ability to simply say
that one wants to execute an action 30 minutes after the start of the
session.
Let’s add a repetition:
$ ./scheduled.py --strat when='bt.timer.SESSION_START',offset='datetime.timedelta(minutes=30)',repeat='datetime.timedelta(minutes=30)'
strategy notify_timer with tid 0, when 2005-01-03 09:30:00 cheat False
1, 2005-01-03 17:30:00, Week 1, Day 1, O 2952.29, H 2989.61, L 2946.8, C 2970.02
strategy notify_timer with tid 0, when 2005-01-04 09:30:00 cheat False
2, 2005-01-04 17:30:00, Week 1, Day 2, O 2969.78, H 2979.88, L 2961.14, C 2971.12
strategy notify_timer with tid 0, when 2005-01-05 09:30:00 cheat False
...
There is no repetition. The reason being that the resolution of the prices
is daily. The timer is called for the 1st time at 09:30 like in the
previous example. But when the system get the next batch of prices, they are
happening on the next day. And the timer can only, obviously, be called once. A
lower resolution is needed.
But before moving on to a lower resolution, let’s cheat by having the timer called before the end of the session.
$ ./scheduled.py --strat when='bt.timer.SESSION_START',cheat=True
strategy notify_timer with tid 1, when 2005-01-03 09:00:00 cheat True
-- 2005-01-03 Create buy order
strategy notify_timer with tid 0, when 2005-01-03 09:00:00 cheat False
1, 2005-01-03 17:30:00, Week 1, Day 1, O 2952.29, H 2989.61, L 2946.8, C 2970.02
strategy notify_timer with tid 1, when 2005-01-04 09:00:00 cheat True
strategy notify_timer with tid 0, when 2005-01-04 09:00:00 cheat False
-- 2005-01-04 Buy Exec @ 2969.78
2, 2005-01-04 17:30:00, Week 1, Day 2, O 2969.78, H 2979.88, L 2961.14, C 2971.12
strategy notify_timer with tid 1, when 2005-01-05 09:00:00 cheat True
strategy notify_timer with tid 0, when 2005-01-05 09:00:00 cheat False
...
The strategy adds a 2nd timer with cheat=True. This is added 2nd and will
therefore received the 2nd tid (timer id) which is 1 (see in the
above examples that the assigned tid was 0)
And 1 is called before 0, because that timer is cheating and is being
called before many events in the system happen (see above for the explanation)
Due to the daily resolution of the prices it doesn’t make much of a difference except that:
-
The strategy also issues an order right before the open … and it is being matched with the opening price the next day
This, even if cheating by acting before the open, is still the normal behavior, because cheating-on-open has also not been activated in the broker.
The same but with coo=True for the broker
$ ./scheduled.py --strat when='bt.timer.SESSION_START',cheat=True --broker coo=True
strategy notify_timer with tid 1, when 2005-01-03 09:00:00 cheat True
-- 2005-01-03 Create buy order
strategy notify_timer with tid 0, when 2005-01-03 09:00:00 cheat False
-- 2005-01-03 Buy Exec @ 2952.29
1, 2005-01-03 17:30:00, Week 1, Day 1, O 2952.29, H 2989.61, L 2946.8, C 2970.02
strategy notify_timer with tid 1, when 2005-01-04 09:00:00 cheat True
strategy notify_timer with tid 0, when 2005-01-04 09:00:00 cheat False
2, 2005-01-04 17:30:00, Week 1, Day 2, O 2969.78, H 2979.88, L 2961.14, C 2971.12
strategy notify_timer with tid 1, when 2005-01-05 09:00:00 cheat True
strategy notify_timer with tid 0, when 2005-01-05 09:00:00 cheat False
...
And something has changed.
-
The order is issued on
2005-01-03in the cheating timer -
The order is executed on
2005-01-03with the opening priceEffectively like if one had acted on the opening auction price seconds before the real opening of the market.
Running with 5-minute bars
The sample scheduled-min.py defaults to running with the standard 5-minute
bars available in the backtrader distribution. The parameters to the strategy
are extended to include monthdays and the carry options
class St(bt.Strategy):
params = dict(
when=bt.timer.SESSION_START,
timer=True,
cheat=False,
offset=datetime.timedelta(),
repeat=datetime.timedelta(),
weekdays=[],
weekcarry=False,
monthdays=[],
monthcarry=True,
)
The data has the same session times:
-
start: 09:00
-
end: 17:30
Let’s do some experiments. First a single timer.
$ ./scheduled-min.py --strat when='datetime.time(15, 30)'
1, 2006-01-02 09:05:00, Week 1, Day 1, O 3578.73, H 3587.88, L 3578.73, C 3582.99
2, 2006-01-02 09:10:00, Week 1, Day 1, O 3583.01, H 3588.4, L 3583.01, C 3588.03
...
77, 2006-01-02 15:25:00, Week 1, Day 1, O 3599.07, H 3599.68, L 3598.47, C 3599.68
strategy notify_timer with tid 0, when 2006-01-02 15:30:00 cheat False
78, 2006-01-02 15:30:00, Week 1, Day 1, O 3599.64, H 3599.73, L 3599.0, C 3599.67
...
179, 2006-01-03 15:25:00, Week 1, Day 2, O 3634.72, H 3635.0, L 3634.06, C 3634.87
strategy notify_timer with tid 0, when 2006-01-03 15:30:00 cheat False
180, 2006-01-03 15:30:00, Week 1, Day 2, O 3634.81, H 3634.89, L 3634.04, C 3634.23
...
The timer kicks in as requested at 15:30. The log shows how it does that
during the 1st two days.
Adding a repeat of 15 minutes to the mix
$ ./scheduled-min.py --strat when='datetime.time(15, 30)',repeat='datetime.timedelta(minutes=15)'
...
74, 2006-01-02 15:10:00, Week 1, Day 1, O 3596.12, H 3596.63, L 3595.92, C 3596.63
75, 2006-01-02 15:15:00, Week 1, Day 1, O 3596.36, H 3596.65, L 3596.19, C 3596.65
76, 2006-01-02 15:20:00, Week 1, Day 1, O 3596.53, H 3599.13, L 3596.12, C 3598.9
77, 2006-01-02 15:25:00, Week 1, Day 1, O 3599.07, H 3599.68, L 3598.47, C 3599.68
strategy notify_timer with tid 0, when 2006-01-02 15:30:00 cheat False
78, 2006-01-02 15:30:00, Week 1, Day 1, O 3599.64, H 3599.73, L 3599.0, C 3599.67
79, 2006-01-02 15:35:00, Week 1, Day 1, O 3599.61, H 3600.29, L 3599.52, C 3599.92
80, 2006-01-02 15:40:00, Week 1, Day 1, O 3599.96, H 3602.06, L 3599.76, C 3602.05
strategy notify_timer with tid 0, when 2006-01-02 15:45:00 cheat False
81, 2006-01-02 15:45:00, Week 1, Day 1, O 3601.97, H 3602.07, L 3601.45, C 3601.83
82, 2006-01-02 15:50:00, Week 1, Day 1, O 3601.74, H 3602.8, L 3601.63, C 3602.8
83, 2006-01-02 15:55:00, Week 1, Day 1, O 3602.53, H 3602.74, L 3602.33, C 3602.61
strategy notify_timer with tid 0, when 2006-01-02 16:00:00 cheat False
84, 2006-01-02 16:00:00, Week 1, Day 1, O 3602.58, H 3602.75, L 3601.81, C 3602.14
85, 2006-01-02 16:05:00, Week 1, Day 1, O 3602.16, H 3602.16, L 3600.86, C 3600.96
86, 2006-01-02 16:10:00, Week 1, Day 1, O 3601.2, H 3601.49, L 3600.94, C 3601.27
...
strategy notify_timer with tid 0, when 2006-01-02 17:15:00 cheat False
99, 2006-01-02 17:15:00, Week 1, Day 1, O 3603.96, H 3603.96, L 3602.89, C 3603.79
100, 2006-01-02 17:20:00, Week 1, Day 1, O 3603.94, H 3605.95, L 3603.87, C 3603.91
101, 2006-01-02 17:25:00, Week 1, Day 1, O 3604.0, H 3604.76, L 3603.85, C 3604.64
strategy notify_timer with tid 0, when 2006-01-02 17:30:00 cheat False
102, 2006-01-02 17:30:00, Week 1, Day 1, O 3604.06, H 3604.41, L 3603.95, C 3604.33
103, 2006-01-03 09:05:00, Week 1, Day 2, O 3604.08, H 3609.6, L 3604.08, C 3609.6
104, 2006-01-03 09:10:00, Week 1, Day 2, O 3610.34, H 3617.31, L 3610.34, C 3617.31
105, 2006-01-03 09:15:00, Week 1, Day 2, O 3617.61, H 3617.87, L 3616.03, C 3617.51
106, 2006-01-03 09:20:00, Week 1, Day 2, O 3617.24, H 3618.86, L 3616.09, C 3618.42
...
179, 2006-01-03 15:25:00, Week 1, Day 2, O 3634.72, H 3635.0, L 3634.06, C 3634.87
strategy notify_timer with tid 0, when 2006-01-03 15:30:00 cheat False
180, 2006-01-03 15:30:00, Week 1, Day 2, O 3634.81, H 3634.89, L 3634.04, C 3634.23
...
As expected the 1st call is triggered at 15:30 and then starts repeating
every 15 minutes until the end of the session at 17:30. When the new session
kicks in, the timer has been reset to 15:30 again.
And now with cheating before the session start
$ ./scheduled-min.py --strat when='bt.timer.SESSION_START',cheat=True
strategy notify_timer with tid 1, when 2006-01-02 09:00:00 cheat True
-- 2006-01-02 09:05:00 Create buy order
strategy notify_timer with tid 0, when 2006-01-02 09:00:00 cheat False
1, 2006-01-02 09:05:00, Week 1, Day 1, O 3578.73, H 3587.88, L 3578.73, C 3582.99
-- 2006-01-02 09:10:00 Buy Exec @ 3583.01
2, 2006-01-02 09:10:00, Week 1, Day 1, O 3583.01, H 3588.4, L 3583.01, C 3588.03
...
Order creation is t 09:05:00 and execution at 09:10:00 because the
broker is not in cheat-on-open mode. Let’s set it …
$ ./scheduled-min.py --strat when='bt.timer.SESSION_START',cheat=True --broker coo=True
strategy notify_timer with tid 1, when 2006-01-02 09:00:00 cheat True
-- 2006-01-02 09:05:00 Create buy order
strategy notify_timer with tid 0, when 2006-01-02 09:00:00 cheat False
-- 2006-01-02 09:05:00 Buy Exec @ 3578.73
1, 2006-01-02 09:05:00, Week 1, Day 1, O 3578.73, H 3587.88, L 3578.73, C 3582.99
2, 2006-01-02 09:10:00, Week 1, Day 1, O 3583.01, H 3588.4, L 3583.01, C 3588.03
...
And the issuing time and execution time are 09:05:00 with the execution
price being the opening price at 09:05:00.
Additional scenarios
Timers allow specifying on which days they have to be executed by passing a list of days (integers following the iso spec, where Mon=1 and Sun=7) as in
-
weekdays=[5]which would ask for the timer to only be valid on FridaysIn case a Friday is a non-trading day and the timer should kick-in on the next trading day, one can add
weekcarry=True
Similar to it, one can decide to act on the 15th day of each month with:
-
monthdays=[15]In case the 15th happens to be non-trading day and the timer should kick-in on the next trading day, one can add
monthcarry=True
There isn’t an implementation for things like: the 3rd Friday of March, June, September and December (futures/options expirations), but there is a possibility to implement rules by passing:
-
allow=callablewhere the callable acceptsdatetime.dateinstance. Notice this is not adatetime.datetimeinstance, because the allow callable is only meant to decide if a given day is suitable for timers or not.To implement something like the rule laid out above:
class FutOpExp(object): def __init__(self): self.fridays = 0 self.curmonth = -1 def __call__(self, d): _, _, isowkday = d.isocalendar() if d.month != self.curmonth: self.curmonth = d.month self.fridays = 0 # Mon=1 ... Sun=7 if isowkday == 5 and self.curmonth in [3, 6, 9, 12]: self.fridays += 1 if self.friday == 3: # 3rd Friday return True # timer allowed return False # timer disallowedAnd one would pass
allow=FutOpeExp()to the creation of the timerThis would allow a timer to kick in on the 3rd Friday of those months and may be close positions before the futures expire.
Parameters to add_timer
* `when`: can be
* `datetime.time` instance (see below `tzdata`)
* `bt.timer.SESSION_START` to reference a session start
* `bt.timer.SESSION_END` to reference a session end
-
offsetwhich must be adatetime.timedeltainstanceUsed to offset the value
when. It has a meaningful use in combination withSESSION_STARTandSESSION_END, to indicated things like a timer being called15 minutesafter the session start.repeatwhich must be adatetime.timedeltainstance
Indicates if after a 1st call, further calls will be scheduled within the same session at the scheduled
repeatdeltaOnce the timer goes over the end of the session it is reset to the original value for
whenweekdays: a sorted iterable with integers indicating on which days (iso codes, Monday is 1, Sunday is 7) the timers can be actually invoked
If not specified, the timer will be active on all days
-
weekcarry(default:False). IfTrueand the weekday was not seen (ex: trading holiday), the timer will be executed on the next day (even if in a new week) -
monthdays: a sorted iterable with integers indicating on which days of the month a timer has to be executed. For example always on day 15 of the month
If not specified, the timer will be active on all days
-
monthcarry(default:True). If the day was not seen (weekend, trading holiday), the timer will be executed on the next available day. -
allow(default:None). A callback which receives a datetime.date` instance and returnsTrueif the date is allowed for timers or else returnsFalse -
tzdatawhich can be eitherNone(default), apytzinstance or adata feedinstance.
None:whenis interpreted at face value (which translates to handling it as if it where UTC even if it’s not)pytzinstance:whenwill be interpreted as being specified in the local time specified by the timezone instance.data feedinstance:whenwill be interpreted as being specified in the local time specified by thetzparameter of the data feed instance.!!! note
If `when` is either `SESSION_START` or `SESSION_END` and `tzdata` is `None`, the 1st *data feed* in the system (aka `self.data0`) will be used as the reference to find out the session times.-
strats(default:False) call also thenotify_timerof strategies -
cheat(defaultFalse) ifTruethe timer will be called before the broker has a chance to evaluate the orders. This opens the chance to issue orders based on opening price for example right before the session starts -
*args: any extra args will be passed tonotify_timer -
**kwargs: any extra kwargs will be passed tonotify_timer
Sample usage scheduled.py
$ ./scheduled.py --help
usage: scheduled.py [-h] [--data0 DATA0] [--fromdate FROMDATE]
[--todate TODATE] [--cerebro kwargs] [--broker kwargs]
[--sizer kwargs] [--strat kwargs] [--plot [kwargs]]
Sample Skeleton
optional arguments:
-h, --help show this help message and exit
--data0 DATA0 Data to read in (default:
../../datas/2005-2006-day-001.txt)
--fromdate FROMDATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )
--todate TODATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )
--cerebro kwargs kwargs in key=value format (default: )
--broker kwargs kwargs in key=value format (default: )
--sizer kwargs kwargs in key=value format (default: )
--strat kwargs kwargs in key=value format (default: )
--plot [kwargs] kwargs in key=value format (default: )
Sample usage scheduled-min.py
$ ./scheduled-min.py --help
usage: scheduled-min.py [-h] [--data0 DATA0] [--fromdate FROMDATE]
[--todate TODATE] [--cerebro kwargs] [--broker kwargs]
[--sizer kwargs] [--strat kwargs] [--plot [kwargs]]
Timer Test Intraday
optional arguments:
-h, --help show this help message and exit
--data0 DATA0 Data to read in (default: ../../datas/2006-min-005.txt)
--fromdate FROMDATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )
--todate TODATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )
--cerebro kwargs kwargs in key=value format (default: )
--broker kwargs kwargs in key=value format (default: )
--sizer kwargs kwargs in key=value format (default: )
--strat kwargs kwargs in key=value format (default: )
--plot [kwargs] kwargs in key=value format (default: )
Sample source scheduled.py
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import backtrader as bt
class St(bt.Strategy):
params = dict(
when=bt.timer.SESSION_START,
timer=True,
cheat=False,
offset=datetime.timedelta(),
repeat=datetime.timedelta(),
weekdays=[],
)
def __init__(self):
bt.ind.SMA()
if self.p.timer:
self.add_timer(
when=self.p.when,
offset=self.p.offset,
repeat=self.p.repeat,
weekdays=self.p.weekdays,
)
if self.p.cheat:
self.add_timer(
when=self.p.when,
offset=self.p.offset,
repeat=self.p.repeat,
cheat=True,
)
self.order = None
def prenext(self):
self.next()
def next(self):
_, isowk, isowkday = self.datetime.date().isocalendar()
txt = '{}, {}, Week {}, Day {}, O {}, H {}, L {}, C {}'.format(
len(self), self.datetime.datetime(),
isowk, isowkday,
self.data.open[0], self.data.high[0],
self.data.low[0], self.data.close[0])
print(txt)
def notify_timer(self, timer, when, *args, **kwargs):
print('strategy notify_timer with tid {}, when {} cheat {}'.
format(timer.p.tid, when, timer.p.cheat))
if self.order is None and timer.p.cheat:
print('-- {} Create buy order'.format(self.data.datetime.date()))
self.order = self.buy()
def notify_order(self, order):
if order.status == order.Completed:
print('-- {} Buy Exec @ {}'.format(
self.data.datetime.date(), order.executed.price))
def runstrat(args=None):
args = parse_args(args)
cerebro = bt.Cerebro()
# Data feed kwargs
kwargs = dict(
timeframe=bt.TimeFrame.Days,
compression=1,
sessionstart=datetime.time(9, 0),
sessionend=datetime.time(17, 30),
)
# Parse from/to-date
dtfmt, tmfmt = '%Y-%m-%d', 'T%H:%M:%S'
for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']):
if a:
strpfmt = dtfmt + tmfmt * ('T' in a)
kwargs[d] = datetime.datetime.strptime(a, strpfmt)
# Data feed
data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **kwargs)
cerebro.adddata(data0)
# Broker
cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')'))
# Sizer
cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')'))
# Strategy
cerebro.addstrategy(St, **eval('dict(' + args.strat + ')'))
# Execute
cerebro.run(**eval('dict(' + args.cerebro + ')'))
if args.plot: # Plot if requested to
cerebro.plot(**eval('dict(' + args.plot + ')'))
def parse_args(pargs=None):
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description=(
'Sample Skeleton'
)
)
parser.add_argument('--data0', default='../../datas/2005-2006-day-001.txt',
required=False, help='Data to read in')
# Defaults for dates
parser.add_argument('--fromdate', required=False, default='',
help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
parser.add_argument('--todate', required=False, default='',
help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
parser.add_argument('--cerebro', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--broker', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--sizer', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--strat', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--plot', required=False, default='',
nargs='?', const='{}',
metavar='kwargs', help='kwargs in key=value format')
return parser.parse_args(pargs)
if __name__ == '__main__':
runstrat()
Sample source scheduled-min.py
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import backtrader as bt
class St(bt.Strategy):
params = dict(
when=bt.timer.SESSION_START,
timer=True,
cheat=False,
offset=datetime.timedelta(),
repeat=datetime.timedelta(),
weekdays=[],
weekcarry=False,
monthdays=[],
monthcarry=True,
)
def __init__(self):
bt.ind.SMA()
if self.p.timer:
self.add_timer(
when=self.p.when,
offset=self.p.offset,
repeat=self.p.repeat,
weekdays=self.p.weekdays,
weekcarry=self.p.weekcarry,
monthdays=self.p.monthdays,
monthcarry=self.p.monthcarry,
# tzdata=self.data0,
)
if self.p.cheat:
self.add_timer(
when=self.p.when,
offset=self.p.offset,
repeat=self.p.repeat,
weekdays=self.p.weekdays,
weekcarry=self.p.weekcarry,
monthdays=self.p.monthdays,
monthcarry=self.p.monthcarry,
# tzdata=self.data0,
cheat=True,
)
self.order = None
def prenext(self):
self.next()
def next(self):
_, isowk, isowkday = self.datetime.date().isocalendar()
txt = '{}, {}, Week {}, Day {}, O {}, H {}, L {}, C {}'.format(
len(self), self.datetime.datetime(),
isowk, isowkday,
self.data.open[0], self.data.high[0],
self.data.low[0], self.data.close[0])
print(txt)
def notify_timer(self, timer, when, *args, **kwargs):
print('strategy notify_timer with tid {}, when {} cheat {}'.
format(timer.p.tid, when, timer.p.cheat))
if self.order is None and timer.params.cheat:
print('-- {} Create buy order'.format(
self.data.datetime.datetime()))
self.order = self.buy()
def notify_order(self, order):
if order.status == order.Completed:
print('-- {} Buy Exec @ {}'.format(
self.data.datetime.datetime(), order.executed.price))
def runstrat(args=None):
args = parse_args(args)
cerebro = bt.Cerebro()
# Data feed kwargs
kwargs = dict(
timeframe=bt.TimeFrame.Minutes,
compression=5,
sessionstart=datetime.time(9, 0),
sessionend=datetime.time(17, 30),
)
# Parse from/to-date
dtfmt, tmfmt = '%Y-%m-%d', 'T%H:%M:%S'
for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']):
if a:
strpfmt = dtfmt + tmfmt * ('T' in a)
kwargs[d] = datetime.datetime.strptime(a, strpfmt)
# Data feed
data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **kwargs)
cerebro.adddata(data0)
# Broker
cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')'))
# Sizer
cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')'))
# Strategy
cerebro.addstrategy(St, **eval('dict(' + args.strat + ')'))
# Execute
cerebro.run(**eval('dict(' + args.cerebro + ')'))
if args.plot: # Plot if requested to
cerebro.plot(**eval('dict(' + args.plot + ')'))
def parse_args(pargs=None):
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description=(
'Timer Test Intraday'
)
)
parser.add_argument('--data0', default='../../datas/2006-min-005.txt',
required=False, help='Data to read in')
# Defaults for dates
parser.add_argument('--fromdate', required=False, default='',
help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
parser.add_argument('--todate', required=False, default='',
help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
parser.add_argument('--cerebro', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--broker', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--sizer', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--strat', required=False, default='',
metavar='kwargs', help='kwargs in key=value format')
parser.add_argument('--plot', required=False, default='',
nargs='?', const='{}',
metavar='kwargs', help='kwargs in key=value format')
return parser.parse_args(pargs)
if __name__ == '__main__':
runstrat()