Module backtrader.feeds.pandafeed

Classes

class PandasData

Uses a Pandas DataFrame as the feed source, using indices into column names (which can be "numeric")

This means that all parameters related to lines must have numeric values as indices into the tuples

Params

• nocase (default True) case insensitive match of column names

Note

• The dataname parameter is a Pandas DataFrame

• Values possible for datetime

• None: the index contains the datetime

• -1: no index, autodetect column

• = 0 or string: specific colum identifier

• For other lines parameters

• None: column not present

• -1: autodetect

• = 0 or string: specific colum identifier

Expand source code

class PandasData(feed.DataBase):
    '''
    Uses a Pandas DataFrame as the feed source, using indices into column
    names (which can be "numeric")

    This means that all parameters related to lines must have numeric
    values as indices into the tuples

    Params:

      - ``nocase`` (default *True*) case insensitive match of column names

    Note:

      - The ``dataname`` parameter is a Pandas DataFrame

      - Values possible for datetime

        - None: the index contains the datetime
        - -1: no index, autodetect column
        - >= 0 or string: specific colum identifier

      - For other lines parameters

        - None: column not present
        - -1: autodetect
        - >= 0 or string: specific colum identifier
    '''

    params = (
        ('nocase', True),

        # Possible values for datetime (must always be present)
        #  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
        ('datetime', None),

        # Possible values below:
        #  None : column not present
        #  -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', -1),
        ('high', -1),
        ('low', -1),
        ('close', -1),
        ('volume', -1),
        ('openinterest', -1),
    )

    datafields = [
        'datetime', 'open', 'high', 'low', 'close', 'volume', 'openinterest'
    ]

    def __init__(self):
        super(PandasData, self).__init__()

        # these "colnames" can be strings or numeric types
        colnames = list(self.p.dataname.columns.values)
        if self.p.datetime is None:
            # datetime is expected as index col and hence not returned
            pass

        # try to autodetect if all columns are numeric
        cstrings = filter(lambda x: isinstance(x, string_types), colnames)
        colsnumeric = not len(list(cstrings))

        # Where each datafield find its value
        self._colmapping = dict()

        # Build the column mappings to internal fields in advance
        for datafield in self.getlinealiases():
            defmapping = getattr(self.params, datafield)

            if isinstance(defmapping, integer_types) and defmapping < 0:
                # autodetection requested
                for colname in colnames:
                    if isinstance(colname, string_types):
                        if self.p.nocase:
                            found = datafield.lower() == colname.lower()
                        else:
                            found = datafield == colname

                        if found:
                            self._colmapping[datafield] = colname
                            break

                if datafield not in self._colmapping:
                    # autodetection requested and not found
                    self._colmapping[datafield] = None
                    continue
            else:
                # all other cases -- used given index
                self._colmapping[datafield] = defmapping

    def start(self):
        super(PandasData, self).start()

        # reset the length with each start
        self._idx = -1

        # Transform names (valid for .ix) into indices (good for .iloc)
        if self.p.nocase:
            colnames = [x.lower() for x in self.p.dataname.columns.values]
        else:
            colnames = [x for x in self.p.dataname.columns.values]

        for k, v in self._colmapping.items():
            if v is None:
                continue  # special marker for datetime
            if isinstance(v, string_types):
                try:
                    if self.p.nocase:
                        v = colnames.index(v.lower())
                    else:
                        v = colnames.index(v)
                except ValueError as e:
                    defmap = getattr(self.params, k)
                    if isinstance(defmap, integer_types) and defmap < 0:
                        v = None
                    else:
                        raise e  # let user now something failed

            self._colmapping[k] = v

    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

Ancestors

• DataBase
• AbstractDataBase
• OHLCDateTime
• OHLC
• DataSeries
• LineSeries
• LineMultiple
• LineRoot

Class variables

var alias

var aliased

var datafields

var frompackages

var linealias

var packages

var params

var plotinfo

var plotlines

Methods

def start(self)

Expand source code

def start(self):
    super(PandasData, self).start()

    # reset the length with each start
    self._idx = -1

    # Transform names (valid for .ix) into indices (good for .iloc)
    if self.p.nocase:
        colnames = [x.lower() for x in self.p.dataname.columns.values]
    else:
        colnames = [x for x in self.p.dataname.columns.values]

    for k, v in self._colmapping.items():
        if v is None:
            continue  # special marker for datetime
        if isinstance(v, string_types):
            try:
                if self.p.nocase:
                    v = colnames.index(v.lower())
                else:
                    v = colnames.index(v)
            except ValueError as e:
                defmap = getattr(self.params, k)
                if isinstance(defmap, integer_types) and defmap < 0:
                    v = None
                else:
                    raise e  # let user now something failed

        self._colmapping[k] = v

Inherited members

• DataBase:
  • addminperiod
  • compensate
  • get_notifications
  • incminperiod
  • islive
  • lines
  • minbuffer
  • next
  • nextstart
  • once
  • oncestart
  • prenext
  • preonce
  • put_notification
  • qbuffer
  • setenvironment
  • setminperiod
  • updateminperiod

class PandasDirectData (*args, **kwargs)

Uses a Pandas DataFrame as the feed source, iterating directly over the tuples returned by "itertuples".

This means that all parameters related to lines must have numeric values as indices into the tuples

Note

• The dataname parameter is a Pandas DataFrame

• A negative value in any of the parameters for the Data lines indicates it's not present in the DataFrame it is

Expand source code

class PandasDirectData(feed.DataBase):
    '''
    Uses a Pandas DataFrame as the feed source, iterating directly over the
    tuples returned by "itertuples".

    This means that all parameters related to lines must have numeric
    values as indices into the tuples

    Note:

      - The ``dataname`` parameter is a Pandas DataFrame

      - A negative value in any of the parameters for the Data lines
        indicates it's not present in the DataFrame
        it is
    '''

    params = (
        ('datetime', 0),
        ('open', 1),
        ('high', 2),
        ('low', 3),
        ('close', 4),
        ('volume', 5),
        ('openinterest', 6),
    )

    datafields = [
        'datetime', 'open', 'high', 'low', 'close', 'volume', 'openinterest'
    ]

    def start(self):
        super(PandasDirectData, self).start()

        # reset the iterator on each start
        self._rows = self.p.dataname.itertuples()

    def _load(self):
        try:
            row = next(self._rows)
        except StopIteration:
            return False

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

            # 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)

            # indexing for pandas: 1st is colum, then row
            line[0] = row[colidx]

        # datetime
        colidx = getattr(self.params, 'datetime')
        tstamp = row[colidx]

        # convert to float via datetime and store it
        dt = tstamp.to_pydatetime()
        dtnum = date2num(dt)

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

        # Done ... return
        return True

Ancestors

• DataBase
• AbstractDataBase
• OHLCDateTime
• OHLC
• DataSeries
• LineSeries
• LineMultiple
• LineRoot

Class variables

var alias

var aliased

var datafields

var frompackages

var linealias

var packages

var params

var plotinfo

var plotlines

Methods

def start(self)

Expand source code

def start(self):
    super(PandasDirectData, self).start()

    # reset the iterator on each start
    self._rows = self.p.dataname.itertuples()

Inherited members

• DataBase:
  • addminperiod
  • compensate
  • get_notifications
  • incminperiod
  • islive
  • lines
  • minbuffer
  • next
  • nextstart
  • once
  • oncestart
  • prenext
  • preonce
  • put_notification
  • qbuffer
  • setenvironment
  • setminperiod
  • updateminperiod