Python backtrader.date2num方法代碼示例

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_ohlcv(self):
        try:
            ohlcv = self._data.popleft()
        except IndexError:
            return None  # no data in the queue

        tstamp, open_, high, low, close, volume = ohlcv

        dtime = datetime.utcfromtimestamp(tstamp // 1000)

        self.lines.datetime[0] = bt.date2num(dtime)
        self.lines.open[0] = open_
        self.lines.high[0] = high
        self.lines.low[0] = low
        self.lines.close[0] = close
        self.lines.volume[0] = volume

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_rtbar(self, rtbar, hist=False):
        # A complete 5 second bar made of real-time ticks is delivered and
        # contains open/high/low/close/volume prices
        # The historical data has the same data but with 'date' instead of
        # 'time' for datetime
        dt = date2num(rtbar.time if not hist else rtbar.date)
        if dt < self.lines.datetime[-1] and not self.p.latethrough:
            return False  # cannot deliver earlier than already delivered

        self.lines.datetime[0] = dt
        # Put the tick into the bar
        self.lines.open[0] = rtbar.open
        self.lines.high[0] = rtbar.high
        self.lines.low[0] = rtbar.low
        self.lines.close[0] = rtbar.close
        self.lines.volume[0] = rtbar.volume
        self.lines.openinterest[0] = 0

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_rtvolume(self, rtvol):
        # A single tick is delivered and is therefore used for the entire set
        # of prices. Ideally the
        # contains open/high/low/close/volume prices
        # Datetime transformation
        dt = date2num(rtvol.datetime)
        if dt < self.lines.datetime[-1] and not self.p.latethrough:
            return False  # cannot deliver earlier than already delivered

        self.lines.datetime[0] = dt

        # Put the tick into the bar
        tick = rtvol.price
        self.lines.open[0] = tick
        self.lines.high[0] = tick
        self.lines.low[0] = tick
        self.lines.close[0] = tick
        self.lines.volume[0] = rtvol.size
        self.lines.openinterest[0] = 0

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_tick(self, msg):
        dtobj = datetime.utcfromtimestamp(int(msg['time']) / 10 ** 6)
        dt = date2num(dtobj)
        if dt <= self.lines.datetime[-1]:
            return False  # time already seen

        # Common fields
        self.lines.datetime[0] = dt
        self.lines.volume[0] = 0.0
        self.lines.openinterest[0] = 0.0

        # Put the prices into the bar
        tick = float(msg['ask']) if self.p.useask else float(msg['bid'])
        self.lines.open[0] = tick
        self.lines.high[0] = tick
        self.lines.low[0] = tick
        self.lines.close[0] = tick
        self.lines.volume[0] = 0.0
        self.lines.openinterest[0] = 0.0

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _get_start_end(strategy, start, end):
        st_dtime = strategy.lines.datetime.array
        if start is None:
            start = 0
        if end is None:
            end = len(st_dtime)

        if isinstance(start, datetime.date):
            start = bisect.bisect_left(st_dtime, bt.date2num(start))

        if isinstance(end, datetime.date):
            end = bisect.bisect_right(st_dtime, bt.date2num(end))

        if end < 0:
            end = len(st_dtime) + 1 + end

        return start, end 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_tick(self, msg):
        time_stamp, _bid, _ask = msg
        # convert unix timestamp to float for millisecond resolution
        d_time = datetime.utcfromtimestamp(
            float(time_stamp) / 1000.0)

        dt = date2num(d_time)

        # time already seen
        if dt <= self.lines.datetime[-1]:
            return False

        # Common fields
        self.lines.datetime[0] = dt
        self.lines.volume[0] = 0.0
        self.lines.openinterest[0] = 0.0

        # Put the prices into the bar
        tick = float(_ask) if self.p.useask else float(_bid)
        self.lines.open[0] = tick
        self.lines.high[0] = tick
        self.lines.low[0] = tick
        self.lines.close[0] = tick
        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_candle(self, ohlcv):
        # TODO support bid/ask using spread
        time_stamp, _open, _high, _low, _close, _volume = ohlcv
        d_time = datetime.utcfromtimestamp(
            time_stamp)

        dt = date2num(d_time)

        # time already seen
        if dt <= self.lines.datetime[-1]:
            return False

        self.lines.datetime[0] = dt
        self.lines.open[0] = _open
        self.lines.high[0] = _high
        self.lines.low[0] = _low
        self.lines.close[0] = _close
        self.lines.volume[0] = _volume
        self.lines.openinterest[0] = 0.0
        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def __call__(self, data):
        '''
        Return Values:

          - False: data stream was not touched
          - True: data stream was manipulated (bar outside of session times and
          - removed)
        '''
        datadt = data.datetime.datetime()
        newdt = datetime(datadt.year,
                         datadt.month,
                         datadt.day,
                         datadt.hour,
                         datadt.minute,
                         0)
        dseconds = (datadt - newdt).seconds

        if dseconds <= self.p.jitter:
            data.datetime[0] = backtrader.date2num(newdt)
            return True
        return False 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_tick(self, msg):
        dtobj = datetime.utcfromtimestamp(int(msg['time']))
        dt = date2num(dtobj)
        if dt <= self.lines.datetime[-1]:
            return False  # time already seen

        # Common fields
        self.lines.datetime[0] = dt
        self.lines.volume[0] = 0.0
        self.lines.openinterest[0] = 0.0

        # Put the prices into the bar
        tick = float(
            msg['askprice']) if self.p.useask else float(
            msg['bidprice'])
        self.lines.open[0] = tick
        self.lines.high[0] = tick
        self.lines.low[0] = tick
        self.lines.close[0] = tick
        self.lines.volume[0] = 0.0
        self.lines.openinterest[0] = 0.0

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_history(self, msg):
        dtobj = msg['time'].to_pydatetime()
        dt = date2num(dtobj)
        if dt <= self.lines.datetime[-1]:
            return False  # time already seen

        # Common fields
        self.lines.datetime[0] = dt
        self.lines.volume[0] = msg['volume']
        self.lines.openinterest[0] = 0.0

        # Put the prices into the bar

        self.lines.open[0] = msg['open']
        self.lines.high[0] = msg['high']
        self.lines.low[0] = msg['low']
        self.lines.close[0] = msg['close']

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_ticks(self):
        if self._last_id is None:
            # first time get the latest trade only
            trades = [self.store.fetch_trades(self.p.dataname)[-1]]
        else:
            trades = self.store.fetch_trades(self.p.dataname)

        for trade in trades:
            trade_id = trade['id']

            if trade_id > self._last_id:
                trade_time = datetime.strptime(trade['datetime'], '%Y-%m-%dT%H:%M:%S.%fZ')
                self._data.append((trade_time, float(trade['price']), float(trade['amount'])))
                self._last_id = trade_id

        try:
            trade = self._data.popleft()
        except IndexError:
            return None  # no data in the queue

        trade_time, price, size = trade

        self.lines.datetime[0] = bt.date2num(trade_time)
        self.lines.open[0] = price
        self.lines.high[0] = price
        self.lines.low[0] = price
        self.lines.close[0] = price
        self.lines.volume[0] = size

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_history(self, msg):
        dtobj = datetime.utcfromtimestamp(int(msg['time']) / 10 ** 6)
        dt = date2num(dtobj)
        if dt <= self.lines.datetime[-1]:
            return False  # time already seen

        # Common fields
        self.lines.datetime[0] = dt
        self.lines.volume[0] = float(msg['volume'])
        self.lines.openinterest[0] = 0.0

        # Put the prices into the bar
        if self.p.bidask:
            if not self.p.useask:
                self.lines.open[0] = float(msg['openBid'])
                self.lines.high[0] = float(msg['highBid'])
                self.lines.low[0] = float(msg['lowBid'])
                self.lines.close[0] = float(msg['closeBid'])
            else:
                self.lines.open[0] = float(msg['openAsk'])
                self.lines.high[0] = float(msg['highAsk'])
                self.lines.low[0] = float(msg['lowAsk'])
                self.lines.close[0] = float(msg['closeAsk'])
        else:
            self.lines.open[0] = float(msg['openMid'])
            self.lines.high[0] = float(msg['highMid'])
            self.lines.low[0] = float(msg['lowMid'])
            self.lines.close[0] = float(msg['closeMid'])

        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load(self):
        try:
            row = next(self._rows)
        except StopIteration:
            return False

        # Set the standard datafields - except for datetime
        for datafield in self.datafields[1:]:
            # get the column index
            colidx = getattr(self.params, datafield)

            if colidx < 0:
                # column not present -- skip
                continue

            # get the line to be set
            line = getattr(self.lines, datafield)
            line[0] = row[colidx]

        # datetime - assumed blaze always serves a native datetime.datetime
        colidx = getattr(self.params, self.datafields[0])
        dt = row[colidx]
        dtnum = date2num(dt)

        # get the line to be set
        line = getattr(self.lines, self.datafields[0])
        line[0] = dtnum

        # Done ... return
        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load(self):
        self._idx += 1

        if self._idx >= len(self.p.dataname):
            # exhausted all rows
            return False

        # Set the standard datafields
        for datafield in self.getlinealiases():
            if datafield == 'datetime':
                continue

            colindex = self._colmapping[datafield]
            if colindex is None:
                # datafield signaled as missing in the stream: skip it
                continue

            # get the line to be set
            line = getattr(self.lines, datafield)

            # indexing for pandas: 1st is colum, then row
            line[0] = self.p.dataname.iloc[self._idx, colindex]

        # datetime conversion
        coldtime = self._colmapping['datetime']

        if coldtime is None:
            # standard index in the datetime
            tstamp = self.p.dataname.index[self._idx]
        else:
            # it's in a different column ... use standard column index
            tstamp = self.p.dataname.iloc[self._idx, coldtime]

        # convert to float via datetime and store it
        dt = tstamp.to_pydatetime()
        dtnum = date2num(dt)
        self.lines.datetime[0] = dtnum

        # Done ... return
        return True 

# 需要導入模塊: import backtrader [as 別名]
# 或者: from backtrader import date2num [as 別名]
def _load_tick(self, msg):
        dtobj = datetime.utcfromtimestamp(float(msg['time']))
        dt = date2num(dtobj)
        if dt <= self.lines.datetime[-1]:
            return False  # time already seen

        # Common fields
        self.lines.datetime[0] = dt
        self.lines.volume[0] = 0.0
        self.lines.openinterest[0] = 0.0

        # Put the prices into the bar
        if self.p.bidask:
            if self.p.useask:
                tick = float(msg['asks'][0]['price'])
            else:
                tick = float(msg['bids'][0]['price'])
        else:
            # create mid price
            tick = (
                float(msg['bids'][0]['price'])
                + float(msg['asks'][0]['price'])) / 2
        self.lines.open[0] = tick
        self.lines.high[0] = tick
        self.lines.low[0] = tick
        self.lines.close[0] = tick
        self.lines.volume[0] = 0.0
        self.lines.openinterest[0] = 0.0

        return True