BLD: fix issue #274 - a bug in which a wrong bar number was returned when requesting day freq history candles in backtest

catalyst/exchange/exchange_data_portal.py

@@ -312,7 +312,7 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
             algo_end_dt=self._last_available_session,
         )
 
-        start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
+        start_dt = get_start_dt(end_dt, adj_bar_count, adj_data_frequency)
         df = resample_history_df(pd.DataFrame(series), freq, field, start_dt)
         return df
 

catalyst/support/issue_274.py

@@ -0,0 +1,72 @@
+import pytz
+from datetime import datetime, timedelta
+from catalyst.api import symbol
+from catalyst.utils.run_algo import run_algorithm
+#from utils.data import load_coin_data_from_csv
+
+exchange_name = 'bitfinex'
+coin = 'btc'
+base_currency = 'usd'
+n_candles = 5
+resample_frequency_minutes = 5
+
+
+def initialize(context):
+    context.symbol = symbol('%s_%s' % (coin, base_currency))
+    # very simple method that reads data from generated csv file
+    #context.all_data = load_coin_data_from_csv('btc', exchange_name, 'minute',
+    #                                           from_date=datetime(2017, 6, 1, 0, 0, 0, 0, pytz.utc),
+    #                                           resample='%dT' % resample_frequency_minutes)
+
+
+def handle_data_polo_partial_candles(context, data):
+    # all I do is print the current last 2 candles (5T)
+    history = data.history(symbol('btc_usdt'), ['volume'], bar_count=10, frequency='1D')
+    print('\nnow: %s\n%s' % (data.current_dt, history))
+    if not hasattr(context, 'i'): context.i = 0
+    context.i += 1
+    if context.i > 5: raise Exception('stop')
+
+
+run_algorithm(initialize=lambda ctx: True,
+              handle_data=handle_data_polo_partial_candles,
+              exchange_name='poloniex',
+              base_currency='usdt',
+              algo_namespace='ns',
+              live=False,
+              data_frequency='minute',
+              capital_base=3000,
+              start=datetime(2018, 2, 2, 0, 0, 0, 0, pytz.utc),
+              end=datetime(2018, 2, 20, 0, 0, 0, 0, pytz.utc))
+
+
+"""
+def handle_data(context, data):
+    #bundle_data = \
+    #context.all_data[data.current_dt - timedelta(minutes=(n_candles - 1) * resample_frequency_minutes):][:n_candles][
+    #    'close']
+    backtest_data = data.history(context.symbol, 'close', bar_count=n_candles,
+                                 frequency='%dT' % resample_frequency_minutes)
+    print('current_time:', data.current_dt)
+
+    #print('bundle_data:')
+    #print(bundle_data)
+
+    print('backtest_data:')
+    print(backtest_data)
+    #raise Exception('fail')
+
+
+run_algorithm(
+    initialize=initialize,
+    handle_data=handle_data,
+    exchange_name=exchange_name,
+    base_currency=base_currency,
+    algo_namespace='investigate_mismatching_final_candle',
+    live=False,
+    data_frequency='minute',
+    capital_base=3000,
+    simulate_orders=True,
+    start=datetime(2018, 2, 2, 0, 0, 0, 0, pytz.utc),
+    end=datetime(2018, 2, 3, 0, 0, 0, 0, pytz.utc))
+"""