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我正在学习使用 backtrader，但在尝试打印数据馈送时遇到了问题。它正确打印日期、开盘价、最高价、最低价、收盘价和成交量，但小时和分钟数据似乎默认为每行的 23:59:59.999989。

以下是数据源的示例：

datetime,open,high,low,close,volume,,
11/2/2020 9:30,330.187,330.188,329.947,330.038,4.79,,
11/2/2020 9:31,330.038,330.438,329.538,329.677,5.49,,
11/2/2020 9:32,329.667,330.248,329.577,330.117,5.8,,
11/2/2020 9:33,330.128,330.328,329.847,329.948,5.59,,
11/2/2020 9:34,329.967,330.308,329.647,329.698,6.24,,

我用来将数据添加到 backtrader 的代码是：

data = bt.feeds.GenericCSVData(
    dataname = 'SPY_11_2020_1M.txt',
    name= 'SPY',
    datetime = 0,
    dtformat = ('%m/%d/%Y %H:%M'),
    period = bt.TimeFrame.Ticks,
    compression = 1,
    fromdate = params['fromdate'], 
    todate = params['todate'],
    open = 1,
    high = 2,
    low = 3,
    close = 4,
    volume = 5,
    openinterest = -1,
    )
cerebro.adddata(data)

我的策略代码是一个简单的买入并持有策略，是：

import backtrader as bt
from datetime import datetime as dt

class BuyHold(bt.Strategy):

    def __init__(self):
        # self.time = self.datas[0].datetime.datetime(0),
        self.open = self.datas[0].open
        self.high = self.datas[0].high
        self.low = self.datas[0].low
        self.close = self.datas[0].close
        self.volume = self.datas[0].volume

    def next(self):
        print('{0} {1}\t{2}\t{3}\t{4}\t{5}\t{6}'.format(
            self.datas[0].datetime.date(0),
            self.datas[0].datetime.time(0),
            self.open[0],
            self.high[0],
            self.low[0],
            self.close[0],
            self.volume[0]
            ))

       # print('{0}\t{1}\t{2}\t{3}\t{4}\t{5}'.format(
        #     self.time,
        #     self.open[0],
        #     self.high[0],
        #     self.low[0],
        #     self.close[0],
        #     self.volume[0]
        #     ))

        if self.position.size == 0:
            size = int(self.broker.getcash() / self.data)
            self.buy(size = size)

我得到的打印输出如下：

2020-11-02 23:59:59.999989      330.187 330.188 329.947 330.038 4.79
2020-11-02 23:59:59.999989      330.038 330.438 329.538 329.677 5.49
2020-11-02 23:59:59.999989      329.667 330.248 329.577 330.117 5.8
2020-11-02 23:59:59.999989      330.128 330.328 329.847 329.948 5.59
2020-11-02 23:59:59.999989      329.967 330.308 329.647 329.698 6.24

我还尝试使用带有注释行self.time的注释掉它，print它以稍微不同的格式提供类似的结果：

(datetime.datetime(2020, 11, 2, 23, 59, 59, 999989),)   330.187 330.188 329.947 330.038 4.79
(datetime.datetime(2020, 11, 2, 23, 59, 59, 999989),)   330.038 330.438 329.538 329.677 5.49
(datetime.datetime(2020, 11, 2, 23, 59, 59, 999989),)   329.667 330.248 329.577 330.117 5.8
(datetime.datetime(2020, 11, 2, 23, 59, 59, 999989),)   330.128 330.328 329.847 329.948 5.59
(datetime.datetime(2020, 11, 2, 23, 59, 59, 999989),)   329.967 330.308 329.647 329.698 6.24
(datetime.datetime(2020, 11, 2, 23, 59, 59, 999989),)   329.698 330.198 329.568 329.948 6.51

我不知道我在这里错过了什么。

4

1 回答 1

0

有几天遇到这个问题，我使用 isoformat 读取时间和日期

战略

class my_strategy1(bt.Strategy):
    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        # dt = dt or self.datas[0].datetime.date(0)
        #the fellowing will print date ,that is,2021-08-06
        print(self.datas[0].datetime.date(0).isoformat())
        #the fellowing will print time,that is,08:09:01
        print(self.datas[0].datetime.time(0).isoformat())
        print(txt)
    def __int__(self):
        pass
    def next(self):
        self.log('Close, %.2f' % self.dataclose[0])
        print("trend is", self.datas[0].lines.trend[0])
        pass

数据类



class My_CSVData(bt.feeds.GenericCSVData):
    """
    如何添加格外的数据列在excel中进行处理
    how to append the other data to csv
    """
    lines = ('trend',)
    params = (
     ('trend', -1),
)

def get_data_via_excel(path):
    datatest=My_CSVData(
        dataname=path, 
        timeframe=bt.TimeFrame.Minutes, 
        compression=60,
        dtformat='%Y-%m-%d %H:%M:%S',
        tmformat = '%H:%M:%S',
        fromdate = datetime(2021,4,16),
        todate = datetime(2021,7,30),
        datetime = 0,
        high=2,
        open =1,
        close=4,
        low =3,
        volume=5,
        openinterest =6,
        trend = 7 ,#not use -1
        )
    return datatest

数据源

datetime,open,high,low,close,volume,openinterest,trend
2021-04-16 09:59:00,5138,5144,5109,5117,200,0,-2
2021-04-16 11:00:00,5117,5122,5089,5102,200,0,-2
2021-04-16 11:29:00,5103,5118,5096,5105,200,0,-1
2021-04-16 14:00:00,5105,5152,5105,5142,200,0,0
2021-04-16 15:00:00,5141,5142,5111,5116,200,0,1
2021-04-16 21:59:00,5122,5141,5116,5129,200,0,0
2021-04-16 23:00:00,5128,5136,5108,5120,200,0,0
于 2021-08-06T06:11:54.843 回答