PyAlgoTrade: How to use resampleBarFeed with multiple instruments?

Question

I am resampling a few instruments with [pyalogtrade][1].

I have a base barfeed for 1-minute data, which is working fine

I have added a resampler to resample for 2 minutes, as follows:

class Strategy(strategy.BaseStrategy):
    def __init__(self, instruments,feed, brk):
        strategy.BaseStrategy.__init__(self, feed, brk)
        self.__position = None
        self.__instrument = instruments
        self._resampledBF = self.resampleBarFeed(2 * bar.Frequency.MINUTE, self.resampledOnBar_2minute)
        self.info ("initialised strategy")

I got this error:

2022-09-08 12:36:00,396 strategy [INFO] 1-MIN: INSTRUMENT1: Date: 2022-09-08 12:35:00+05:30 Open: 17765.55 High: 17774.5 Low: 17765.35 Close: 1777    myStrategy.run()
  File "pyalgotrade\pyalgotrade\strategy\__init__.py", line 514, in run
    self.__dispatcher.run()
  File "pyalgotrade\pyalgotrade\dispatcher.py", line 109, in run
    eof, eventsDispatched = self.__dispatch()
  File "pyalgotrade\pyalgotrade\dispatcher.py", line 97, in __dispatch
    if self.__dispatchSubject(subject, smallestDateTime):
  File "pyalgotrade\pyalgotrade\dispatcher.py", line 75, in __dispatchSubject    ret = subject.dispatch() is True
  File "pyalgotrade\pyalgotrade\feed\__init__.py", line 106, in dispatch
    dateTime, values = self.getNextValuesAndUpdateDS()
  File "pyalgotrade\pyalgotrade\feed\__init__.py", line 81, in getNextValuesAndUpdateDS
    dateTime, values = self.getNextValues()
  File "pyalgotrade\pyalgotrade\barfeed\__init__.py", line 101, in getNextValues
    raise Exception(
Exception: Bar date times are not in order. Previous datetime was 2022-09-08 12:34:00+05:30 and current datetime is 2022-09-08 12:34:00+05:30

However, the error does not occur if the self._resampledBF = self.resampleBarFeed is commented out.

Also, on searching online, I found a similar report/ possible fix reported earlier on Google groups: https://groups.google.com/g/pyalgotrade/c/v9ht1Bfz5Ds/m/ojF8uH8sFwAJ

The solution recommended was:

Sorry never mind, I fixed it. Using current timestamp instead of the one from IB and that fixed it.

Not sure if this is has been resolved.

Would like to know how to resolve the error while resampling.

PyAlgoTrade: How to use resampleBarFeed with multiple instruments?

0 Answers0