Fix an issue where a proper start timestamp cannot be found. #37

nkaz001 · Sep 3, 2023 · 08216b2 · 08216b2
1 parent 7299d9a
commit 08216b2
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Showing 2 changed files with 21 additions and 17 deletions.
diff --git a/hftbacktest/__init__.py b/hftbacktest/__init__.py
@@ -128,7 +128,7 @@
     'correct'
 )
 
-__version__ = '1.6.4'
+__version__ = '1.6.5'
 
 
 # JIT'ed latency models

diff --git a/hftbacktest/backtest.py b/hftbacktest/backtest.py
@@ -23,31 +23,35 @@ def __init__(self, local, exch):
         #: Whether a backtest has finished.
         self.run = True
         #: Current timestamp
-        self.current_timestamp = self.local.next_data[0, COL_LOCAL_TIMESTAMP]
+        self.current_timestamp = self.start_timestamp
 
     @property
     def start_timestamp(self):
         # fixme: deprecated.
         # it returns the timestamp of the first row of the data that is currently processed.
-        if len(self.local.data) > 0:
-            return self.local.data[0, COL_LOCAL_TIMESTAMP]
-        else:
-            if len(self.local.next_data) > 0:
-                return self.local.next_data[0, COL_LOCAL_TIMESTAMP]
-            else:
-                return 0
+        for i in range(len(self.local.data)):
+            timestamp = self.local.data[i, COL_LOCAL_TIMESTAMP]
+            if timestamp > 0:
+                return timestamp
+        for i in range(len(self.local.next_data)):
+            timestamp = self.local.next_data[i, COL_LOCAL_TIMESTAMP]
+            if timestamp > 0:
+                return timestamp
+        return 0
 
     @property
     def last_timestamp(self):
         # fixme: deprecated.
         # it returns the timestamp of the last row of the data that is currently processed.
-        if len(self.local.data) > 0:
-            return self.local.data[-1, COL_LOCAL_TIMESTAMP]
-        else:
-            if len(self.local.next_data) > 0:
-                return self.local.next_data[-1, COL_LOCAL_TIMESTAMP]
-            else:
-                return 0
+        for i in range(len(self.local.data) - 1, -1, -1):
+            timestamp = self.local.data[i, COL_LOCAL_TIMESTAMP]
+            if timestamp > 0:
+                return timestamp
+        for i in range(len(self.local.next_data) - 1, -1, -1):
+            timestamp = self.local.next_data[i, COL_LOCAL_TIMESTAMP]
+            if timestamp > 0:
+                return timestamp
+        return 0
 
     @property
     def position(self):
@@ -488,5 +492,5 @@ def reset(
             lot_size,
             snapshot
         )
-        self.current_timestamp = self.local.next_data[0, COL_LOCAL_TIMESTAMP]
+        self.current_timestamp = self.start_timestamp
         self.run = True