backtrader.feeds.rollover module

Rollover Data Feed Module - Futures contract rollover.

This module provides the RollOver feed for automatically rolling over to the next futures contract when conditions are met.

Classes:

RollOver: Rolls over to the next future when conditions are met.

Example

>>> data_old = bt.feeds.BacktraderCSVData(dataname='contract_old.csv')
>>> data_new = bt.feeds.BacktraderCSVData(dataname='contract_new.csv')
>>> data = bt.feeds.RollOver(data_old, data_new, checkdate=my_check_func)
>>> cerebro.adddata(data)

class backtrader.feeds.rollover.RollOver

Bases: DataBase

Class that rolls over to the next future when a condition is met

Params:

• checkdate (default: None)

  This must be a callable with the following signature:

  Checkdate(dt, d):
  

  Where:

  • dt is a datetime.datetime object

  • d is the current data feed for the active future

  Expected Return Values:

  • True: as long as the callable returns this, a switchover can happen to the next future

If a commodity expires on the 3rd Friday of March, checkdate could return True for the entire week in which the expiration takes place.

• False: the expiration cannot take place

# This parameter is a callable object checkdate(dt,d), where dt is a time object, d is current active data, # If return value is True, will switch to next contract; if False, will not switch to next contract

• checkcondition (default: None)

  Note: This will only be called if checkdate has returned True

  If None this will evaluate to True (execute roll over) internally

  Else this must be a callable with this signature:

  Checkcondition(d0, d1)
  

  Where:

  • d0 is the current data feed for the active future

  • d1 is the data feed for the next expiration

  Expected Return Values:

  • True: roll-over to the next future

Following with the example from checkdate, this could say that the roll-over can only happen if the volume from d0 is already less than the volume from d1

• False: the expiration cannot take place

# When checkdate returns True, this function will be called, this must be a callable object, checkcondition(d0,d1) # Where d0 is current active futures contract, d1 is next expiring contract, if True, will switch from d0 to d1, if not, switch will not happen.

islive()

Returns True to notify Cerebro that preloading and runonce should be deactivated

__init__(*args, **kwargs)

Initialize a LineMultiple instance.

Sets up the internal state for managing multiple lines, including line type indicator, lines collection, clock reference, and line iterator tracking.

Initializes:

_ltype: Line type indicator (None for base LineMultiple). lines: Collection of line objects (creates if not exists). _clock: Clock reference for synchronization. _lineiterators: Dictionary tracking registered lineiterators. _minperiod: Minimum period requirement (defaults to 1).

start()

Start the RollOver data feed.

Initializes all data feeds for rollover functionality.

stop()

Stop the RollOver data feed.

Stops all underlying data feeds.

frompackages = ()

packages = ()