Backtrader中文笔记之Tick Data and Resampling

参考链接:https://www.backtrader.com/blog/posts/2015-09-25-tickdata-resample/resample-tickdata/

backtrader could already do resampling up from minute data. Accepting tick data was not a problem, by simply setting the 4 usual fields (open, high, low, close) to the tick value.

backtrader已经可以从微小数据进行重新采样。接受点数据不是问题，只要简单地将4个常用字段(open, high, low, close)设置为点值。

But passing the tick data to be resampled produced the same data again. As or release 1.1.11.88 this is no longer so. Now

但是传递要重新采样的tick数据会再次产生相同的数据。现在已经不是1.1.11.88版本了。

TimeFrame (backtrader.TimeFrame) has been extended to contain constants and names for “Ticks”, “MicroSeconds” and “Seconds”
时间帧(backtrader.TimeFrame)被扩展为包含“Ticks”、“MicroSeconds”和“Seconds”的常量和名称。
Resampling can manage the 3 aforementioned timeframes and sample them up.
重新采样可以管理上述3个时间框架和样本。

Note

Because tick data is the lowest possible timeframe it can actually be “compressed” (n bars to 1 bar) but not be sampled up from a smallest timeframe.

因为tick数据是最低可能的时间框架，它实际上可以被“压缩”(n条到1条)，但不能从最小的时间框架进行采样。

The new release contains a small tickdata.csv sample added to the sources data a new sample script resample-tickdata.py to play with it.

新版本包含一个添加到源数据的小示例tickdata.csv，一个新的示例脚本resams -tickdata.py来处理它。

Note

Updated the script to use the new Cerebro.resampledata method which avoids the need to manually instantiate a backtrader.DataResampler

更新了脚本以使用新的Cerebro.resampledata方法，避免了手动实例化backtrader.DataResampler

The default execution doesn’t touch the data:

默认的操作不会接触到数据

$ ./resample-tickdata.py

Producing this chart:

产生的图形:

Compressing 3 ticks to 1:

压缩三个ticks到1个:

$ ./resample-tickdata.py --timeframe ticks --compression 3

Producing this chart:

After the compression we no longer have single “ticks” but “bars”.

在压缩之后，我们不再有单一的“刻度”，而是“条”。

Now compressing to seconds and 5 bars compression:

现在压缩到秒和5条压缩:

$ ./resample-tickdata.py --timeframe seconds --compression 5

With a new chart:

And finally to minutes. The sample data contains tick data from 4 different minutes (the last tick in the file is the only tick for the 4^th minute):

最后是分钟数据。示例数据包含4分钟的tick数据(文件中的最后一个tick是第4分钟的唯一tick):

$ ./resample-tickdata.py --timeframe minutes

With a 4 bars (at the top it can be seen the final price was 3069). The 4^th bar is a single point given for this minute a single tick is present in the file.

4个bars(在顶部可以看到最终价格是3069)。第4个bar是为这分钟给定的一个单点，文件中有一个单点。

The script usage:

$ ./resample-tickdata.py --help
usage: resample-tickdata.py [-h] [--dataname DATANAME]
                            [--timeframe {ticks,microseconds,seconds,minutes,daily,weekly,monthly}]
                            [--compression COMPRESSION]

Resampling script down to tick data

optional arguments:
  -h, --help            show this help message and exit
  --dataname DATANAME   File Data to Load
  --timeframe {ticks,microseconds,seconds,minutes,daily,weekly,monthly}
                        Timeframe to resample to
  --compression COMPRESSION
                        Compress n bars into 1

And the code.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import argparse

import backtrader as bt
import backtrader.feeds as btfeeds


def runstrat():
    args = parse_args()

    # Create a cerebro entity
    cerebro = bt.Cerebro(stdstats=False)

    # Add a strategy
    cerebro.addstrategy(bt.Strategy)

    # Load the Data
    datapath = args.dataname or '../../datas/ticksample.csv'

    data = btfeeds.GenericCSVData(
        dataname=datapath,
        dtformat='%Y-%m-%dT%H:%M:%S.%f',
        timeframe=bt.TimeFrame.Ticks,
    )

    # Handy dictionary for the argument timeframe conversion
    tframes = dict(
        ticks=bt.TimeFrame.Ticks,
        microseconds=bt.TimeFrame.MicroSeconds,
        seconds=bt.TimeFrame.Seconds,
        minutes=bt.TimeFrame.Minutes,
        daily=bt.TimeFrame.Days,
        weekly=bt.TimeFrame.Weeks,
        monthly=bt.TimeFrame.Months)

    # Resample the data
    data = cerebro.resampledata(data,
                                timeframe=tframes[args.timeframe],
                                compression=args.compression)

    # add a writer
    cerebro.addwriter(bt.WriterFile, csv=True)

    # Run over everything
    cerebro.run()

    # Plot the result
    cerebro.plot(style='bar')


def parse_args():
    parser = argparse.ArgumentParser(
        description='Resampling script down to tick data')

    parser.add_argument('--dataname', default='', required=False,
                        help='File Data to Load')

    parser.add_argument('--timeframe', default='ticks', required=False,
                        choices=['ticks', 'microseconds', 'seconds',
                                 'minutes', 'daily', 'weekly', 'monthly'],
                        help='Timeframe to resample to')

    parser.add_argument('--compression', default=1, required=False, type=int,
                        help=('Compress n bars into 1'))

    return parser.parse_args()


if __name__ == '__main__':
    runstrat()

经过调试，可以在策略里面调试使用。后面就可以通过这种格式进行时间的压缩。

Backtrader中文笔记之Tick Data and Resampling

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