BUG: Infer units for numeric timestamp indices

Author: Hei-MaoM

backtesting/backtesting.py

@@ -1224,10 +1224,15 @@ def __init__(self,
         if (not isinstance(data.index, pd.DatetimeIndex) and
             not isinstance(data.index, pd.RangeIndex) and
             # Numeric index with most large numbers
-            (data.index.is_numeric() and
+            (pd.api.types.is_numeric_dtype(data.index.dtype) and
              (data.index > pd.Timestamp('1975').timestamp()).mean() > .8)):
+            index_magnitude = np.nanmedian(np.abs(data.index))
+            # Infer seconds, milliseconds, microseconds, or nanoseconds by magnitude
+            unit = next((unit for unit, threshold in (
+                ('s', 1e11), ('ms', 1e14), ('us', 1e17)
+            ) if index_magnitude < threshold), 'ns')
             try:
-                data.index = pd.to_datetime(data.index, infer_datetime_format=True)
+                data.index = pd.to_datetime(data.index, unit=unit)
             except ValueError:
                 pass
 

backtesting/test/_test.py

@@ -131,6 +131,24 @@ def test_data_invalid(self):
         with self.assertRaises(ValueError):
             Backtest(GOOG.iloc[:0], SmaCross).run()
 
+    def test_data_numeric_timestamp_index(self):
+        timestamps = {
+            's': [1609459200, 1609545600],
+            'ms': [1609459200000, 1609545600000],
+            'us': [1609459200000000, 1609545600000000],
+            'ns': [1609459200000000000, 1609545600000000000],
+        }
+        expected = pd.DatetimeIndex(['2021-01-01', '2021-01-02'])
+
+        for unit, index in timestamps.items():
+            with self.subTest(unit=unit):
+                data = GOOG.iloc[:2].copy()
+                data.index = index
+
+                bt = Backtest(data, SmaCross)
+
+                self.assertTrue(bt._data.index.equals(expected))
+
     def test_assertions(self):
         class Assertive(Strategy):
             def init(self):