Algo with 1S resolution does not get a bar every second about qtpylib HOT 7 CLOSED

Well, it should in theory, but I took a different approach here in favor of efficiency...

The way this works now is that it resamples data to the strategy resolution on every new tick that is received, so if there's a 5 second gap between ticks, you won't get bar events during that time.

However, when the new tick is received the self.bars / instrument.bars / instrument.get_bars() should get you the full bar history for every second - even if the quote has not changed.

The idea behind this decision was that if nothing's happening in the market, its likely that the strategy shouldn't take any action - but when something is happening (a tick received), you'll have access to the full data for calculating moving averages, etc.

I'm still thinking if there's an elegant way (or a reason) to have the bar event fire every second that doesn't involves without using threads and without putting unnecessary strain on the system.

from qtpylib.

Ok... couldn't help it :)

If you'll add "force_resolution" = True to your strategy initializer, you'll get a bar every resolution - regardless of whether or not new ticks were received.

Version 1.5.27 released.

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Unfortunately it's still skipping beats with force_resolution=True. I'll see if I can fix it.

$ python sec_test.py 
bar 1478895960 2016-11-11 20:26:00
bar 1478895961 2016-11-11 20:26:01
bar 1478895962 2016-11-11 20:26:02
bar 1478895964 2016-11-11 20:26:04
bar 1478895965 2016-11-11 20:26:05
bar 1478895966 2016-11-11 20:26:06
bar 1478895967 2016-11-11 20:26:07
bar 1478895969 2016-11-11 20:26:09
bar 1478895970 2016-11-11 20:26:10
bar 1478895971 2016-11-11 20:26:11
bar 1478895973 2016-11-11 20:26:13
bar 1478895975 2016-11-11 20:26:15
bar 1478895976 2016-11-11 20:26:16

from qtpylib.

So I tracked the issue down to Algo._tick_handler(); it's not a thread/timing issue, it's how _tick_handler decides if it's got a new bar:

    if len(bar.index) > self.tick_bar_count > 0:
        self._bar_handler(bar)

Which I think is saying if this bar has more bars than the last bar, call the bar handler? I don't really understand this section, but len(bar.index) and self.tick_bar_count are often the same, so it doesn't fire a bar.

from qtpylib.

Hopefully fixed in v. 1.5.29

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Thanks, much better. It still skips seconds after running for a while, but I can probably live with it.

from qtpylib.

I see the same issue. It skips seconds after running for a while.

from qtpylib.