CSVDataFeed for backtesting¶

Load CSV¶

csv parameters is reflect of pandas.read_csv() parameters

In [1]:

from lettrade.exchange.backtest import CSVBackTestDataFeed

df = CSVBackTestDataFeed(
    "example/data/data/DAT_ASCII_AUDUSD_M1_2022.csv",
    csv=dict(
        # skiprows=[0],
        names=["datetime", "open", "high", "low", "close", "volumn"],
        header=None,
        delimiter=";",
        parse_dates=[0],
        date_format="%Y%m%d %H%M%S",
    ),
    name="AUDUSD",
    timeframe="1m",
)

# df = df[df.high != df.low]

df

from lettrade.exchange.backtest import CSVBackTestDataFeed df = CSVBackTestDataFeed( "example/data/data/DAT_ASCII_AUDUSD_M1_2022.csv", csv=dict( # skiprows=[0], names=["datetime", "open", "high", "low", "close", "volumn"], header=None, delimiter=";", parse_dates=[0], date_format="%Y%m%d %H%M%S", ), name="AUDUSD", timeframe="1m", ) # df = df[df.high != df.low] df

Out[1]:

	open	high	low	close	volumn
datetime
2022-01-02 17:10:00	0.72538	0.72545	0.72538	0.72545	0
2022-01-02 17:11:00	0.72545	0.72553	0.72545	0.72553	0
2022-01-02 17:12:00	0.72553	0.72553	0.72542	0.72547	0
2022-01-02 17:13:00	0.72547	0.72550	0.72547	0.72547	0
2022-01-02 17:14:00	0.72547	0.72547	0.72547	0.72547	0
...	...	...	...	...	...
2022-01-11 17:30:00	0.72105	0.72105	0.72105	0.72105	0
2022-01-11 17:31:00	0.72105	0.72105	0.72079	0.72091	0
2022-01-11 17:32:00	0.72091	0.72091	0.72090	0.72090	0
2022-01-11 17:33:00	0.72079	0.72089	0.72079	0.72089	0
2022-01-11 17:34:00	0.72089	0.72089	0.72089	0.72089	0

10000 rows × 5 columns

Plot¶

Init Plotly environment¶

In [2]:

import plotly.io as pio

pio.renderers.default = "notebook"
pio.templates.default = "plotly_dark"

import plotly.io as pio pio.renderers.default = "notebook" pio.templates.default = "plotly_dark"

Show¶

In [3]:

import plotly.graph_objects as go

fig = go.Figure(
    data=[
        go.Candlestick(
            x=df.index,
            open=df.open,
            high=df.high,
            low=df.low,
            close=df.close,
        )
    ]
)

fig.show()

import plotly.graph_objects as go fig = go.Figure( data=[ go.Candlestick( x=df.index, open=df.open, high=df.high, low=df.low, close=df.close, ) ] ) fig.show()