example code: how to resample data from quotes to minute bars in pape…

…r/live

sample/strategy_resampling_example.py

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+import alpaca_backtrader_api
+import backtrader as bt
+from datetime import datetime, timedelta
+
+# Your credentials here
+ALPACA_API_KEY = "<key_id>"
+ALPACA_SECRET_KEY = "<secret_key>"
+
+
+IS_LIVE = False
+symbol = "GOOG"
+USE_POLYGON = True
+
+
+class Resample(bt.Strategy):
+    def notify_data(self, data, status, *args, **kwargs):
+        super().notify_data(data, status, *args, **kwargs)
+        print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
+        if data._getstatusname(status) == "LIVE":
+            self.live_bars = True
+
+    def __init__(self):
+        self.live_bars = False
+
+    def next(self):
+        if not self.live_bars:
+            return
+        print(datetime.utcnow())
+
+
+if __name__ == '__main__':
+    import logging
+    logging.basicConfig(format='%(asctime)s %(message)s', level=logging.INFO)
+
+    cerebro = bt.Cerebro()
+    cerebro.addstrategy(Resample)
+
+    store = alpaca_backtrader_api.AlpacaStore(
+        key_id=ALPACA_API_KEY,
+        secret_key=ALPACA_SECRET_KEY,
+        paper=not IS_LIVE,
+        usePolygon=USE_POLYGON
+    )
+    DataFactory = store.getdata
+    data0 = DataFactory(dataname=symbol,
+                        historical=False,
+                        timeframe=bt.TimeFrame.Minutes,
+                        qcheck=10.0,
+                        backfill_start=True,
+                        fromdate=datetime.utcnow() - timedelta(
+                            minutes=20)
+                        )
+    broker = store.getbroker()
+    cerebro.setbroker(broker)
+    cerebro.resampledata(data0,
+                         compression=2,
+                         timeframe=bt.TimeFrame.Minutes)
+    cerebro.run()