account. Overview:
filter() is a method on account that returns attributes of the account object filtered by the user_key. user_key is set when the order is submitted.
Interface: filter(user_key)
Sample - Calling method
filtered_acc = account.filter( user_key )
print filtered_acc.open_symbols
| Name | Type | Default | Information |
|---|---|---|---|
| user_key | string | required | user key from order |
| Type | Notes |
|---|---|
| object | An AccountView object that filters all data by the given user_key |
- Filtering on user_key is helpful when a strategy is has multiple moving parts and one symbols orders/executions/position might be related to multiple strategies (e.g. a hedge, basket, pairs trade).
- Use sparingly. It is a function. The more orders/trades in the account may take longer and longer.
Backtest for AAPL on 7/29/16 from 9:31-9:32. Extra Symbols: [SPY, TQQQ, QQQ]
from cloudquant.interfaces import Strategy
class AccountObjectFilter(Strategy):
@classmethod
def is_symbol_qualified(cls, symbol, md, service, account):
return symbol == 'TQQQ'
def on_start(self, md, order, service, account):
# initiate executions
order.algo_buy(self.symbol, "market", intent="init", order_quantity=100)
order.algo_buy(self.symbol, "market", intent="increase", order_quantity=100, allow_multiple_pending=True,
user_key='demo')
# another symbol
order.algo_buy('SPY', "market", intent="init", order_quantity=100)
order.algo_buy('SPY', "market", intent="increase", order_quantity=100, allow_multiple_pending=True)
# test pending with no execution
order.algo_buy('TQQQ', "limit", intent="init", price=0.01, order_quantity=100)
# short trade
order.algo_sell('QQQ', "market", intent="init", order_quantity=100)
order.algo_sell('QQQ', "limit", intent="increase", price=10000, order_quantity=100, allow_multiple_pending=True)
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[self.symbol].executions'
print account[self.symbol].executions
print '\n\naccount.filter("demo")[self.symbol].executions'
print account.filter("demo")[self.symbol].executions
print '\n\naccount.open_capital_long'
print account.open_capital_long
print '\n\naccount.filter("demo").open_capital_long'
print account.filter("demo").open_capital_long
print '\n\nBy Symbol'
for symbol in account:
print symbol
for execution in account[symbol].executions:
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: 70822.00
open_capital_short: -11894.00
pending_capital_long: 83597.00
pending_capital_short: -23788.00
max_capital_used: 82716.00
max_capital_used_timestamp: 1481553005000001
open_symbols: ['SPY', 'QQQ', 'TQQQ']
pending_symbols: ['QQQ', 'TQQQ']
SPY:
Execution count : 2
realized_pl :
entry_pl : 0.00
mtm_pl : 0.00
matched_trades : 0
unrealized_pl :
entry_pl : 32.00
mtm_pl : 32.00
position :
shares : 200
entry_price : 226.36
mtm_price : 226.36
capital_long : 45272.00
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 : 1
realized_pl :
entry_pl : 0.00
mtm_pl : 0.00
matched_trades : 0
unrealized_pl :
entry_pl : -6.00
mtm_pl : -6.00
position :
shares : -100
entry_price : 118.94
mtm_price : 118.94
capital_long : 0.00
capital_short : -11894.00
pending :
count_long : 0
shares_long : 0
capital_long : 0.00
count_short : 1
shares_short : -100
capital_short : -11900.00
TQQQ:
Execution count : 2
realized_pl :
entry_pl : 0.00
mtm_pl : 0.00
matched_trades : 0
unrealized_pl :
entry_pl : 18.00
mtm_pl : 18.00
position :
shares : 200
entry_price : 127.75
mtm_price : 127.75
capital_long : 25550.00
capital_short : 0.00
pending :
count_long : 1
shares_long : 100
capital_long : 12784.00
count_short : 0
shares_short : 0
capital_short : 0.00
account[self.symbol].executions
[Execution(symbol='TQQQ', side=1, shares=100, price=127.75, time=1481553005000001, collect=None, order_id='0000000000000001', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='29ec22cb-893b-50f2-85d4-6567448f9b03'), Execution(symbol='TQQQ', side=1, shares=100, price=127.75, time=1481553005000001, collect=None, order_id='0000000000000002', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='demo')]
account.filter("demo")[self.symbol].executions
[Execution(symbol='TQQQ', side=1, shares=100, price=127.75, time=1481553005000001, collect=None, order_id='0000000000000002', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='demo')]
account.open_capital_long
70822.0001221
account.filter("demo").open_capital_long
12775.0
By Symbol
SPY
Execution(symbol='SPY', side=1, shares=100, price=226.36000061035156, time=1481553005000001, collect=None, order_id='0000000000000003', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='29ec22cb-893b-50f2-85d4-6567448f9b03')
Execution(symbol='SPY', side=1, shares=100, price=226.36000061035156, time=1481553005000001, collect=None, order_id='0000000000000004', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='29ec22cb-893b-50f2-85d4-6567448f9b03')
QQQ
Execution(symbol='QQQ', side=-1, shares=-100, price=118.94000244140625, time=1481553005000001, collect=None, order_id='0000000000000006', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='29ec22cb-893b-50f2-85d4-6567448f9b03')
TQQQ
Execution(symbol='TQQQ', side=1, shares=100, price=127.75, time=1481553005000001, collect=None, order_id='0000000000000001', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='29ec22cb-893b-50f2-85d4-6567448f9b03')
Execution(symbol='TQQQ', side=1, shares=100, price=127.75, time=1481553005000001, collect=None, order_id='0000000000000002', clordid=None, instruction_id='29ec22cb-893b-50f2-85d4-6567448f9b03', script_id=u'ac9e7c5e-3f35-4f87-a914-fe948412b6fb', user_key='demo')