Source code for backtrader.filters.bsplitter

#!/usr/bin/env python
"""Bar Splitter Filter Module - Daily bar splitting.

This module provides the DaySplitterClose filter for splitting daily
bars into two parts for intraday replay simulation.

Classes:
    DaySplitterClose: Splits daily bars into OHLX and CCCC ticks.

Example:
    >>> data = bt.feeds.GenericCSVData(dataname='daily.csv')
    >>> data.addfilter(bt.filters.DaySplitterClose())
    >>> cerebro.adddata(data)
"""

import datetime

from backtrader.parameters import ParameterizedBase

__all__ = ["DaySplitterClose", "DaySplitter_Close"]




class DaySplitterClose(ParameterizedBase):
    """
    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 indicates 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, **kwargs):
        """Initialize the DaySplitterClose filter.

        Args:
            data: The data feed to apply the filter to.
            **kwargs: Additional keyword arguments passed to parent class.
        """
        super().__init__(**kwargs)
        self.lastdt = None




    def __call__(self, data):
        """Process the data feed to split daily bars.

        This method is called for each bar in the data feed. It splits the daily
        bar into two parts - an OHLX tick and a CCCC tick - to simulate intraday
        trading behavior.

        Args:
            data: The data feed containing the bar to process.

        Returns:
            bool: False if the initial tick can be further processed from stack.
        """
        # 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




# Alias for backward compatibility
DaySplitter_Close = DaySplitterClose