BackTrader 中文文档（四）(1)

(Seconds, 1) -> (Days, 1)` 

data = MyDataFeed(dataname=myname)
data.addfilter(filter, *args, **kwargs)
cerebro.addata(data)

data = MyDataFeed(dataname=myname)
data.addfilter(filter, *args, **kwargs)
cerebro.replaydata(data)

callable(data, *args, **kwargs)` 

def __init__(self, data, *args, **kwargs)` 

def __call__(self, data, *args, **kwargs)` 

* `True`: the inner data fetching loop of the data feed must retry
  fetching data from the feed, becaue the length of the stream was
  manipulated
* `False` even if data may have been edited (example: changed
  `close` price), the length of the stream has remain untouched` 

def last(self, data, *args, **kwargs)` 

def __init__(self, data, *args, **kwargs) -> def __init__(self, data)

class SessionFilter(object):
    def __init__(self, data):
        pass
    def __call__(self, data):
        if data.p.sessionstart <= data.datetime.time() <= data.p.sessionend:
            # bar is in the session
            return False  # tell outer data loop the bar can be processed
        # bar outside of the regular session times
        data.backwards()  # remove bar from data stack
        return True  # tell outer data loop to fetch a new bar

With Len X     -> OHL
With Len X     -> OHLC
With Len X + 1 -> OHL
With Len X + 1 -> OHLC
With Len X + 2 -> OHL
With Len X + 2 -> OHLC
...` 

class DaySplitter_Close(bt.with_metaclass(bt.MetaParams, object)):
  '''
 Splits a daily bar in two parts simulating 2 ticks which will be used to
 replay the data:
 - First tick: ``OHLX``
 The ``Close`` will be replaced by the *average* of ``Open``, ``High``
 and ``Low``
 The session opening time is used for this tick
 and
 - Second tick: ``CCCC``
 The ``Close`` price will be used for the four components of the price
 The session closing time is used for this tick
 The volume will be split amongst the 2 ticks using the parameters:
 - ``closevol`` (default: ``0.5``) The value indicate which percentage, in
 absolute terms from 0.0 to 1.0, has to be assigned to the *closing*
 tick. The rest will be assigned to the ``OHLX`` tick.
 **This filter is meant to be used together with** ``cerebro.replaydata``
 '''
    params = (
        ('closevol', 0.5),  # 0 -> 1 amount of volume to keep for close
    )
    # replaying = True
    def __init__(self, data):
        self.lastdt = None
    def __call__(self, data):
        # Make a copy of the new bar and remove it from stream
        datadt = data.datetime.date()  # keep the date
        if self.lastdt == datadt:
            return False  # skip bars that come again in the filter
        self.lastdt = datadt  # keep ref to last seen bar
        # Make a copy of current data for ohlbar
        ohlbar = [data.lines[i][0] for i in range(data.size())]
        closebar = ohlbar[:]  # Make a copy for the close
        # replace close price with o-h-l average
        ohlprice = ohlbar[data.Open] + ohlbar[data.High] + ohlbar[data.Low]
        ohlbar[data.Close] = ohlprice / 3.0
        vol = ohlbar[data.Volume]  # adjust volume
        ohlbar[data.Volume] = vohl = int(vol * (1.0 - self.p.closevol))
        oi = ohlbar[data.OpenInterest]  # adjust open interst
        ohlbar[data.OpenInterest] = 0
        # Adjust times
        dt = datetime.datetime.combine(datadt, data.p.sessionstart)
        ohlbar[data.DateTime] = data.date2num(dt)
        # Ajust closebar to generate a single tick -> close price
        closebar[data.Open] = cprice = closebar[data.Close]
        closebar[data.High] = cprice
        closebar[data.Low] = cprice
        closebar[data.Volume] = vol - vohl
        ohlbar[data.OpenInterest] = oi
        # Adjust times
        dt = datetime.datetime.combine(datadt, data.p.sessionend)
        closebar[data.DateTime] = data.date2num(dt)
        # Update stream
        data.backwards(force=True)  # remove the copied bar from stream
        data._add2stack(ohlbar)  # add ohlbar to stack
        # Add 2nd part to stash to delay processing to next round
        data._add2stack(closebar, stash=True)
        return False  # initial tick can be further processed from stack

* [`en.wikipedia.org/wiki/Candlestick_chart#Heikin_Ashi_candlesticks`](https://en.wikipedia.org/wiki/Candlestick_chart#Heikin_Ashi_candlesticks)
* [`stockcharts.com/school/doku.php?id=chart_school:chart_analysis:heikin_ashi`](http://stockcharts.com/school/doku.php?id=chart_school:chart_analysis:heikin_ashi)

* [`stockcharts.com/school/doku.php?id=chart_school:chart_analysis:renko`](http://stockcharts.com/school/doku.php?id=chart_school:chart_analysis:renko)

data = bt.feeds.YahooFinanceData(
    ...
    version='',
    ...
)` 

data = bt.feeds.YahooFinanceCSVData(
    ...
    version='',
    ...
)` 

data = bt.feeds.YahooLegacyCSV(
    ...
    ...
)` 

class PandasData(feed.DataBase):
  '''
 The ``dataname`` parameter inherited from ``feed.DataBase`` is the pandas
 DataFrame
 '''
    params = (
        # 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),
    )

$ ./panda-test.py
--------------------------------------------------
               Open     High      Low    Close  Volume  OpenInterest
Date
2006-01-02  3578.73  3605.95  3578.73  3604.33       0             0
2006-01-03  3604.08  3638.42  3601.84  3614.34       0             0
2006-01-04  3615.23  3652.46  3615.23  3652.46       0             0

$ ./panda-test.py --noheaders
--------------------------------------------------
                  1        2        3        4  5  6
0
2006-01-02  3578.73  3605.95  3578.73  3604.33  0  0
2006-01-03  3604.08  3638.42  3601.84  3614.34  0  0
2006-01-04  3615.23  3652.46  3615.23  3652.46  0  0

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import argparse
import backtrader as bt
import backtrader.feeds as btfeeds
import pandas
def runstrat():
    args = parse_args()
    # Create a cerebro entity
    cerebro = bt.Cerebro(stdstats=False)
    # Add a strategy
    cerebro.addstrategy(bt.Strategy)
    # Get a pandas dataframe
    datapath = ('../../datas/2006-day-001.txt')
    # Simulate the header row isn't there if noheaders requested
    skiprows = 1 if args.noheaders else 0
    header = None if args.noheaders else 0
    dataframe = pandas.read_csv(datapath,
                                skiprows=skiprows,
                                header=header,
                                parse_dates=True,
                                index_col=0)
    if not args.noprint:
        print('--------------------------------------------------')
        print(dataframe)
        print('--------------------------------------------------')
    # Pass it to the backtrader datafeed and add it to the cerebro
    data = bt.feeds.PandasData(dataname=dataframe)
    cerebro.adddata(data)
    # Run over everything
    cerebro.run()
    # Plot the result
    cerebro.plot(style='bar')
def parse_args():
    parser = argparse.ArgumentParser(
        description='Pandas test script')
    parser.add_argument('--noheaders', action='store_true', default=False,
                        required=False,
                        help='Do not use header rows')
    parser.add_argument('--noprint', action='store_true', default=False,
                        help='Print the dataframe')
    return parser.parse_args()
if __name__ == '__main__':
    runstrat()

* close
* low
* high
* open
* volume
* openinterest
* datetime

* dataname (None)
* name ()
* compression (1)
* timeframe (5)
* fromdate (None)
* todate (None)
* sessionstart (None)
* sessionend (None)
* filters ([])
* tz (None)
* tzinput (None)
* qcheck (0.0)
* calendar (None)