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Only 1minute timeframe works (5T not working)

Open lionelyoung opened this issue 5 years ago • 1 comments

Issue

When I pass in '5T' resolution into the strategy, it is firing on_bar every minute instead of every 5 minutes

My strategy code


    ib_tuple = futures.make_tuple('CL')

    strategy = QFSimpleCross(instruments=[ ib_tuple, ],
                             resolution='5T',
                             bar_window='50,
                             preload='1D',
                             ibport=7497,
                             blotter='MainBlotter')

(here is the full strategy code: link)

Trying to debug

When I add a few breakpoints to explore, prepare_history is resampling correctly and I can see the resampled 5-min dataframe

https://github.com/ranaroussi/qtpylib/blob/0dbbc465fafd9cb9b0f4d10e1e07fae4e15032dd/qtpylib/blotter.py#L1022

But soon after that line, the dataframe goes back to a 1-min resolution and when _update_window gets a hold of it https://github.com/ranaroussi/qtpylib/blob/0dbbc465fafd9cb9b0f4d10e1e07fae4e15032dd/qtpylib/algo.py#L814

Haven't been able to chase down why I'm losing the 5-min dataframe for 'newbar' and on_bar:

https://github.com/ranaroussi/qtpylib/blob/0dbbc465fafd9cb9b0f4d10e1e07fae4e15032dd/qtpylib/algo.py#L850

lionelyoung avatar Apr 12 '19 05:04 lionelyoung

Looking at the reported issues, it appears that qtpylib has numerous problems with properly sending out bars at the correct frequency. Has any progress been made to solve this issue? If we can't reliably get an on_bar callback every 5 minutes or every hour or every whatever frequency we want, then this library isn't really usable.

westofpluto avatar Apr 27 '19 19:04 westofpluto