Yuxuan Yan
36 lines
1.2 KiB
Python
36 lines
1.2 KiB
Python
"""Convert pandas DataFrames to backtrader data feeds."""
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import backtrader as bt
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import pandas as pd
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def df_to_bt_feed(df: pd.DataFrame) -> bt.feeds.PandasData:
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"""Convert a standardized OHLCV DataFrame to a backtrader PandasData feed."""
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df = df.copy()
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df["date"] = pd.to_datetime(df["date"])
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df = df.set_index("date")
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df = df[["open", "high", "low", "close", "volume"]]
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return bt.feeds.PandasData(dataname=df)
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class SignalPandasData(bt.feeds.PandasData):
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"""PandasData feed carrying an extra ``signal`` line alongside OHLCV."""
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lines = ("signal",)
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params = (("signal", -1),) # -1 -> match by column name
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def df_to_signal_feed(df: pd.DataFrame) -> "SignalPandasData":
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"""Convert an OHLCV+signal DataFrame to a SignalPandasData feed.
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Args:
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df: DataFrame with ``date``, OHLCV columns, and a ``signal`` column.
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Returns:
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A SignalPandasData feed (NaN signals are preserved for the strategy to skip).
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"""
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df = df.copy()
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df["date"] = pd.to_datetime(df["date"])
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df = df.set_index("date")
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df = df[["open", "high", "low", "close", "volume", "signal"]]
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return SignalPandasData(dataname=df)
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