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dwker
2024-08-31 13:03:02 +00:00
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@ -26,7 +26,7 @@ ACCOUNT1_LIVE_API_KEY=_YOUR_ALPACA_API_KEY
ACCOUNT1_LIVE_SECRET_KEY=YOUR_ALPACA_SECRET_KEY
```
It tries to load trade data from local files, if they are not present they are fetched from Alpaca by `fetch_trades_parallel` by reusing components from my `v2realbot` platform which is imported as requirement. Then the trades are aggregated by `aggregate_trades` - it accepts time based OHLCV or Volume Bars, Dollar Bars or Renko Bars.
It tries to load trade data from local files, if they are not present they are fetched from Alpaca by `fetch_trades_parallel` by reusing components from my `v2realbot` platform which is imported as requirement. Then the trades are aggregated by `aggregate_trades` - it supports time based OHLCV or Volume Bars, Dollar Bars or Renko Bars.
I usually prepare few months of 1s data (as highest resolution) and store it as `.parquet` file for each symbol. Then during the research I just load these parquets and then resample it to lower frequencies for signals, but usually backtest on 1s frequency in order to get highest precision of entry/exit.