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Added timezone awareness in time variables throughout to fix time conversion issues. #142

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Added timezone awareness in time variables throughout to fix time conversion issues. #142

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b699996
Use timezone aware timestamps
ic-gcp Jan 15, 2021
e53fdb6
Changed _make_sure_dates_are_initialized_properly
ic-gcp Jan 15, 2021
a8f6672
Merge branch 'master' into master
ic-gcp Jan 19, 2021
583cbe3
Merge branch 'master' into master
ic-gcp Feb 10, 2021
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10 changes: 6 additions & 4 deletions alpaca_backtrader_api/alpacadata.py
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Original file line number Diff line number Diff line change
Expand Up @@ -3,6 +3,7 @@

from datetime import datetime, timedelta

import pytz
from backtrader.feed import DataBase
from backtrader import date2num, num2date
from backtrader.utils.py3 import queue, with_metaclass
Expand Down Expand Up @@ -133,6 +134,7 @@ class AlpacaData(with_metaclass(MetaAlpacaData, DataBase)):
('reconnect', True),
('reconnections', -1), # forever
('reconntimeout', 5.0),
('tz', pytz.timezone('US/Eastern')),
)

_store = alpacastore.AlpacaStore
Expand Down Expand Up @@ -217,11 +219,11 @@ def _st_start(self, instart=True, tmout=None):
self.put_notification(self.DELAYED)
dtend = None
if self.todate < float('inf'):
dtend = num2date(self.todate)
dtend = self.p.tz.localize(num2date(self.todate))

dtbegin = None
if self.fromdate > float('-inf'):
dtbegin = num2date(self.fromdate)
dtbegin = self.p.tz.localize(num2date(self.fromdate))

self.qhist = self.o.candles(
self.p.dataname, dtbegin, dtend,
Expand Down Expand Up @@ -333,12 +335,12 @@ def _load(self):
# len == 1 ... forwarded for the 1st time
dtbegin = self.datetime.datetime(-1)
elif self.fromdate > float('-inf'):
dtbegin = num2date(self.fromdate)
dtbegin = self.p.tz.localize(num2date(self.fromdate))
else: # 1st bar and no begin set
# passing None to fetch max possible in 1 request
dtbegin = None

dtend = datetime.utcfromtimestamp(int(msg['time']))
dtend = datetime.fromtimestamp(int(msg['time']), tz=pytz.utc)

self.qhist = self.o.candles(
self.p.dataname, dtbegin, dtend,
Expand Down
17 changes: 14 additions & 3 deletions alpaca_backtrader_api/alpacastore.py
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Original file line number Diff line number Diff line change
Expand Up @@ -183,6 +183,7 @@ async def on_trade(self, conn, stream, msg):

class MetaSingleton(MetaParams):
'''Metaclass to make a metaclassed class a singleton'''

def __init__(cls, name, bases, dct):
super(MetaSingleton, cls).__init__(name, bases, dct)
cls._singleton = None
Expand Down Expand Up @@ -466,7 +467,10 @@ def _make_sure_dates_are_initialized_properly(self, dtbegin, dtend,
if not dtend:
dtend = pd.Timestamp('now', tz=NY)
else:
dtend = pd.Timestamp(pytz.timezone('UTC').localize(dtend))
if dtend.tzinfo:
dtend = pd.Timestamp(dtend.astimezone(pytz.timezone(NY)))
else:
dtend = pd.Timestamp(pytz.timezone(NY).localize(dtend))
if granularity == Granularity.Minute:
calendar = trading_calendars.get_calendar(name='NYSE')
while not calendar.is_open_on_minute(dtend):
Expand All @@ -480,7 +484,11 @@ def _make_sure_dates_are_initialized_properly(self, dtbegin, dtend,
delta = timedelta(days=days)
dtbegin = dtend - delta
else:
dtbegin = pd.Timestamp(pytz.timezone('UTC').localize(dtbegin))
if dtbegin.tzinfo:
dtbegin = pd.Timestamp(dtbegin.astimezone(pytz.timezone(NY)))
else:
dtbegin = pd.Timestamp(pytz.timezone(NY).localize(dtbegin))

while dtbegin > dtend:
# if we start the script during market hours we could get this
# situation. this resolves that.
Expand All @@ -506,6 +514,7 @@ def get_aggs_from_polygon(self,
time window of 2 weeks, and split the calls until we get all required
data
"""

def _clear_out_of_market_hours(df):
"""
only interested in samples between 9:30, 16:00 NY time
Expand Down Expand Up @@ -575,6 +584,7 @@ def get_aggs_from_alpaca(self,
but we need to manipulate it to be able to work with it
smoothly and return data the same way polygon does
"""

def _iterate_api_calls():
"""
you could get max 1000 samples from the server. if we need more
Expand Down Expand Up @@ -847,6 +857,7 @@ def _check_if_transaction_occurred(order_id):
if trans is None:
break
self._process_transaction(order_id, trans)

while True:
try:
if self.q_ordercreate.empty():
Expand Down Expand Up @@ -934,7 +945,7 @@ def _transaction(self, trans):
self._transpend[oid].append(trans)
self._process_transaction(oid, trans)

_X_ORDER_FILLED = ('partially_filled', 'filled', )
_X_ORDER_FILLED = ('partially_filled', 'filled',)

def _process_transaction(self, oid, trans):
try:
Expand Down