Mariner Backtesting - account.rejected_orders

Rejected Orders

You can return a dictionary of {symbol: list of all OrderedDict objects made on the symbol}

Attributes:

Sample - Access data attribute

 account.executions

OrderedDict object - tuple

Name	Type	Information
account_number	integer	This should be a unique number assigned to this account. If this parameter is not given, a unique number will be assigned.
clordid	string	Client Order Id in FIX. Is generated when the order is sent. Will be the same on executions.
collect	dictionary	`json` dictionary of information collected at the time of the order. `None` means nothing collected.
exit_options	dictionary	`json` dictionary of system parameters for setting up the exit. `None` means no system parameters.
exit_parameters	dictionary	`json` dictionary of parameters for the exit script. `None` means no parameters.
exit_script	string	Guid of the exit script. `None` means no exit script.
explanation	string	???Defaults to `None`
filled_shares	integer	If any shares were executed. Seems very unlikely. Defaults to 0.
flags	integer	???Defaults to 0.
instruction_id	string	Unique GUID for the instance of the script that generated the initial order. Will be `None` if the initial order wasn't started from same machine (e.g. from trading client)
intent	string	Intended position change. One of "none", "init", "increase", "decrease", "exit", "reverse". "init" - Initiate a long position. Must be flat. "increase" - Increase a long position. Can be flat or long, but not short. "decrease" - Decrease a long position (Note: shares > 0). Must be long, not flat or short. Will not cover more than long position. "exit" - Exit a long position. Must be long. Exit - covers the entire long position. Shares not required. "reverse" - Reverse a short position to a long position. Must be long or flat. Shares are the shares of the new long position. "none" - Skip intent check. In production, very few scripts uses this setting.
kind	integer	Event enum (10) representing the kind of event.
order_algorithm	string	Name of algorithm to process order with.
order_id	`None`	Unique GUID of order being filled (very similar clordid). Will be `None` if the initial order wasn't started from same machine (e.g. from trading client)
price	float	Execution price
reason	string	Reason order was rejected.
script_id	string	GUID of the script. Will be `None` if the initial order wasn't started from same machine (e.g. from trading client)
shares	integer	Shares executed on the trade. Always positive number, whether buy or sell execution
???side	integer	Side of the trade buy = 1 sell = 2 shortsell = 5
state	string	Symbol of trade
symbol	string	Symbol of trade
timestamp	muts	Timestamp of trade
user_key	string	`user_key` set on the order. Can be used to identify trades that go together (pairs/batch/strategy). `account` object can be filtered on `user_key`

Remarks:

The returned dictionary will have a list of ALL symbols that have orders, even if there are no executions for that symbol.

Working Example:

Backtest for AAPL on 4/22/16 from 9:31-9:32. Extra Symbols: [SPY, TQQQ, QQQ]

from cloudquant.interfaces import Strategy


class AccountObjectRejectedOrders(Strategy):
    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == 'TQQQ'

    def on_start(self, md, order, service, account):

        # generate rejected orders
        order.algo_buy(self.symbol, "market", intent="exit")
        order.algo_sell(self.symbol, "market", intent="exit")

        # another symbol
        order.algo_buy('SPY', "market", intent="exit")
        order.algo_sell('SPY', "market", intent="exit")

        # test pending with no execution
        order.algo_buy('QQQ', "limit", intent="init", price=0.01, order_quantity=100)

    def on_minute_bar(self, event, md, order, service, account, bar):
        if event.timestamp > service.time(9, 31):

            print '\n\n.............................\non_minute_bar\n\t%s\n' % service.time_to_string(
                service.system_time,
                '%H:%M:%S.%f')
            print account

            print '\n\naccount.rejected_orders'
            print account.rejected_orders

            print '\n\nBy Symbol'
            for symbol in account.rejected_orders:
                print symbol
                for execution in account.rejected_orders[symbol]:
                    print execution, '\n'

            service.terminate()

Console

.............................
on_minute_bar
    09:31:05.005000

account_id:                                 0
entry_pl:                                0.00
mtm_pl:                                  0.00
buying_power:                            None
open_capital_long:                       0.00
open_capital_short:                      0.00
pending_capital_long:                    0.00
pending_capital_short:                   0.00
max_capital_used:                        0.00
max_capital_used_timestamp:                 0
open_symbols:                []
pending_symbols:             ['QQQ']
SPY:
    Execution count     :              0
    realized_pl         :
        entry_pl        :           0.00
        mtm_pl          :           0.00
        matched_trades  :              0
    unrealized_pl       :
        entry_pl        :           0.00
        mtm_pl          :           0.00
    position            :
        shares          :              0
        entry_price     :           0.00
        mtm_price       :           0.00
        capital_long    :           0.00
        capital_short   :           0.00
    pending             :
        count_long      :              0
        shares_long     :              0
        capital_long    :           0.00
        count_short     :              0
        shares_short    :              0
        capital_short   :           0.00
QQQ:
    Execution count     :              0
    realized_pl         :
        entry_pl        :           0.00
        mtm_pl          :           0.00
        matched_trades  :              0
    unrealized_pl       :
        entry_pl        :           0.00
        mtm_pl          :           0.00
    position            :
        shares          :              0
        entry_price     :           0.00
        mtm_price       :           0.00
        capital_long    :           0.00
        capital_short   :           0.00
    pending             :
        count_long      :              1
        shares_long     :            100
        capital_long    :       11901.00
        count_short     :              0
        shares_short    :              0
        capital_short   :           0.00
TQQQ:
    Execution count     :              0
    realized_pl         :
        entry_pl        :           0.00
        mtm_pl          :           0.00
        matched_trades  :              0
    unrealized_pl       :
        entry_pl        :           0.00
        mtm_pl          :           0.00
    position            :
        shares          :              0
        entry_price     :           0.00
        mtm_price       :           0.00
        capital_long    :           0.00
        capital_short   :           0.00
    pending             :
        count_long      :              0
        shares_long     :              0
        capital_long    :           0.00
        count_short     :              0
        shares_short    :              0
        capital_short   :           0.00


account.rejected_orders
{'SPY': [OrderedDict([('intent', 'exit'), ('symbol', 'SPY'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000003'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 16), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)]), OrderedDict([('intent', 'exit'), ('symbol', 'SPY'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000004'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 17), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)])], 'TQQQ': [OrderedDict([('intent', 'exit'), ('symbol', 'TQQQ'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000001'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 12), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)]), OrderedDict([('intent', 'exit'), ('symbol', 'TQQQ'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000002'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 13), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)])]}


By Symbol
SPY
OrderedDict([('intent', 'exit'), ('symbol', 'SPY'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000003'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 16), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)])

OrderedDict([('intent', 'exit'), ('symbol', 'SPY'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000004'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 17), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)])

TQQQ
OrderedDict([('intent', 'exit'), ('symbol', 'TQQQ'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000001'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 12), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)])

OrderedDict([('intent', 'exit'), ('symbol', 'TQQQ'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000002'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', 'cf14968b-2d73-5847-a4eb-8f355d111246'), ('script_id', u'd2d14d10-7515-4e3c-bc1b-0cc97403b2db'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1481553000000000), ('state', 'L'), ('line_number', 13), ('script_class_name', 'AccountObjectRejectedOrders'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_id', 0), ('expected_direction', None), ('kind', 10)])