Day based bars is not supported yet

[ricpruss]

Lots of things get a bit weird if you try preload day based bars:

e.g.

    strategy = DayStrategy(
        instruments = [
#         ("ES", "FUT", "GLOBEX", "USD", ACTIVE_MONTH, 0.0, ""),
#          ("SPX", "IND", "CBOE", "USD", "", 0.0, ""),
          ("AAPL", "STK", "SMART", "USD", "", 0.0, "")
         ],
        resolution  = "1D",
        bar_window  = 100,
        preload = "4D"
    )

ES hangs with no history error message on Gateway.
INDes seem to just hang and not return anything.
For stock I got things going with two changes to the blotter.py

     # expand the resolutions
       if resolution[-1] in ("K", "V", "S"):
            self.backfill_resolution = "1 sec"
       elif resolution[-1]== "M":
            self.backfill_resolution = "1 min"
       elif resolution[-1]== "H":
            self.backfill_resolution = "1 hour"
       elif resolution[-1]== "D":
            self.backfill_resolution = "1 day"

```and

  # round to days if asking for days
    if resolution[-1]== "D":
        start_date = datetime(start_date.year, start_date.month, start_date.day)
        end_date   = datetime(end_date.year, end_date.month, end_date.day)
        first_date = datetime(first_date.year, first_date.month, first_date.day)
        last_date  = datetime(last_date.year, last_date.month, last_date.day)

I got the query for the stock back but....something is not parsing the dates well... it works for minute data but not for the day based bars...  (no idea where to debug from here)

1 1970-08-22 10:52:01 1 141.59 142.8 139.35 139.35 352675
2 1970-08-22 10:52:02 1 139.25 141.6 138.67 141.5 238385
3 1970-08-22 10:52:03 1 141.28 141.59 140.61 141 186233
4 1970-08-22 10:52:04 1 141.07 141.74 140.05 140.43 203203
5 2017-03-24 08:36:00 1 141.07 141.14 141.07 141.14 4
6 2017-03-24 08:37:00 1 141.14 141.14 141.14 141.14 0

[ranaroussi]

I plan on adding a daily bar db real soon. In the meantime you should resample your daily bars to minute bars before preloading

min_df = daily_df.resample("1T").last().ffill()

[ricpruss]

I think I am going to try get a real data provider.  Using IB like for data seems flaky. Thanks for the note.  I would love to chat sometime on your experience if you.

…

-Ric Pruss On 18 April 2017 at 8:39:55 pm, Ran Aroussi (notifications@github.com) wrote: I plan on adding a daily bar db real soon. In the meantime you should resample your daily bars to minute bars before preloading min_df = daily_df.resample("1T").last().ffill() — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub, or mute the thread.

[webberd1wei]

Any suggestion to how to manage daily and intraday bars? Is aggregating the intraday bars to get the daily bar a good way to go?