workflow module includes some handy methods for
working with external data sources when backtesting.
Working with External Data¶
Sometimes, you’d want to backtest your strategies using market data
you already have from sources other than the
Before you can use market data from external data sources,
you’ll need to convert it into a QTPyLib-compatible data format.
Once the data is converted, it can be read by your strategies as CSV files.
You can also save the converted data in your
Blotter’s MySQL database
so it can be used just like any other data captured by your
# load the workflow module from qtpylib import workflow as wf # Load some data from Quandl import quandl aapl = quandl.get("WIKI/AAPL", authtoken="your token here") # convert the data into a QTPyLib-compatible # data will be saved in ~/Desktop/AAPL.BAR.csv df = wf.prepare_data("AAPL", data=aapl, output_path="~/Desktop/") # store converted bar data in MySQL # optional, requires a running Blotter wf.store_data(df, kind="BAR")
The first argument in
prepare_data() must be a valid string as IB tuple
(just like the those specified in your strategy’s
For a complete list of available methods and parameters for each
method, please refer to the Workflow API
for a full list of available parameters for each method.
Using CSV files when Backtesting¶
Once you have your CSV files in a QTPyLib-compatible format,
you can backtest using this data using the
--data flag when
running your backtests, for example:
$ python strategy.py --backtest --start 2015-01-01 --end 2015-12-31 --data ~/mycsvdata/ --output ~/portfolio.pkl
Please refer to Back-Testing Using QTPyLib for more information about back-testing using QTPyLib.