nasdaq_imb
md. (object) Overview:The nasdaq_imb object represents the last imbalance event received for a given symbol from NASDAQ. There are morning and afternoon imbalances. NASDAQ typically publishes an imbalances for every symbol (not just NASDAQ listed symbols).
Data Attributes:Sample - Access data attribute
md.nasdaq_imb.abs_price_diff_from_far
| Name | Type | Special | Information |
|---|---|---|---|
| abs_price_diff_from_far | float | NaN | calculated:
abs(price_diff_from_far) |
| abs_price_diff_from_far_percent_atr | float | 0 | calculated:
if stat.atr > 0:
return abs_price_diff_from_far / stat.atr * 100
else:
return float('NaN')
|
| abs_price_diff_from_near | float | ||
| abs_price_diff_from_near_percent_atr | float | NaN | calculated:
if stat.atr > 0:
return abs_price_diff_from_near / stat.atr * 100
else:
return float('NaN')
|
| abs_price_diff_from_pc | float | 0 | calculated:
if reference_price > 0 and stat.prev_close > 0:
return abs(reference_price - stat.prev_close)
else:
return float('NaN')
|
| abs_price_diff_from_pc_percent_of_atr | float | 0 | calculated:
if stat.atr > 0:
return abs_price_diff_from_pc / stat.atr * 100
else:
return float('NaN')
|
| exchange | string | None | "Q" exchange details |
| far_price | float | NaN | A hypothetical auction-clearing price for cross orders only. |
| flip_count | integer | 0 | Number of times an imbalance flips from buy to sell or sell to buy. If this number goes from 0 to 1, it is the first time it has flipped. Odd numbers indicate it has flipped away from its initial imbalance side. |
| high_imbalance | float | 0 | The highest value for Imbalance Shares. '+' shares indicates buy imbalance '-' shares indicates a sell imbalance. |
| high_imbalance_time | integer | 0 | Time of Imbalance Shares High. |
| imbalance_quantity | integer | 0 | The number of shares not paired at the Current Reference Price |
| last_flip_time | integer | 0 | Time of the latest imbalance flip. |
| near_price | float | NaN | A hypothetical auction-clearing price for cross orders as well as continuous orders (live orders in the book at the time of the calculation). |
| paired_quantity | integer | 0 | |
| price_diff_from_far | float | NaN | calculated:
if reference_price > 0 and far_price > 0:
return reference_price - far_price
else:
return float('NaN')
|
| price_diff_from_near | float | NaN | calculated:
if reference_price > 0 and near_price > 0:
return reference_price - near_price
else:
return float('NaN')
|
| price_variation_indicator | String | None | The absolute value of the % of deviation of the NEAR Indicative Clearing Price to the nearest Current Reference Price.
|
| reference_price | float | NaN | The price at which the NOII shares are being calculated. |
| symbol | string | ||
| timestamp | muts | 0 | Time of the imbalance event |
| type | string | 0 |
|
Print attributes of md.nasdaq_imb when on_nasdaq_imbalance() is called.
from cloudquant.interfaces import Strategy
class NasdaqImbalanceExample(Strategy):
@classmethod
def on_strategy_start(cls, md, service, account):
print service.time_to_string(service.system_time, '%Y-%m-%d')
@classmethod
def is_symbol_qualified(cls, symbol, md, service, account):
return symbol == 'SPY'
def on_start(self, md, order, service, account):
print self.symbol
def on_nasdaq_imbalance(self, event, md, order, service, account):
print '\nin on_nasdaq_imbalance\n\t%s\n' % service.time_to_string(service.system_time, '%H:%M:%S.%f')
print '\n\nmd.nasdaq_imb\n'
print ' md.nasdaq_imb.abs_price_diff_from_far - ', md.nasdaq_imb.abs_price_diff_from_far
print ' md.nasdaq_imb.abs_price_diff_from_far_percent_atr - ', md.nasdaq_imb.abs_price_diff_from_far_percent_atr
print ' md.nasdaq_imb.abs_price_diff_from_near - ', md.nasdaq_imb.abs_price_diff_from_near
print ' md.nasdaq_imb.abs_price_diff_from_near_percent_atr - ', md.nasdaq_imb.abs_price_diff_from_near_percent_atr
print ' md.nasdaq_imb.abs_price_diff_from_pc - ', md.nasdaq_imb.abs_price_diff_from_pc
print ' md.nasdaq_imb.abs_price_diff_from_pc_percent_of_atr - ', md.nasdaq_imb.abs_price_diff_from_pc_percent_of_atr
print ' md.nasdaq_imb.exchange - ', md.nasdaq_imb.exchange
print ' md.nasdaq_imb.far_price - ', md.nasdaq_imb.far_price
print ' md.nasdaq_imb.flip_count - ', md.nasdaq_imb.flip_count
print ' md.nasdaq_imb.high_imbalance - ', md.nasdaq_imb.high_imbalance
print ' md.nasdaq_imb.high_imbalance_time - ', md.nasdaq_imb.high_imbalance_time
print ' md.nasdaq_imb.imbalance_quantity - ', md.nasdaq_imb.imbalance_quantity
print ' md.nasdaq_imb.last_flip_time - ', md.nasdaq_imb.last_flip_time
print ' md.nasdaq_imb.near_price - ', md.nasdaq_imb.near_price
print ' md.nasdaq_imb.paired_quantity - ', md.nasdaq_imb.paired_quantity
print ' md.nasdaq_imb.price_diff_from_far - ', md.nasdaq_imb.price_diff_from_far
print ' md.nasdaq_imb.price_diff_from_near - ', md.nasdaq_imb.price_diff_from_near
print ' md.nasdaq_imb.price_variation_indicator - ', md.nasdaq_imb.price_variation_indicator
print ' md.nasdaq_imb.reference_price - ', md.nasdaq_imb.reference_price
print ' md.nasdaq_imb.timestamp - ', md.nasdaq_imb.timestamp
print ' md.nasdaq_imb.type - ', md.nasdaq_imb.type
service.terminate()
Console
2016-08-01
AAPL
in on_nasdaq_imbalance
09:28:00.098000
md.nasdaq_imb
md.nasdaq_imb.abs_price_diff_from_far - 0.139999389648
md.nasdaq_imb.abs_price_diff_from_far_percent_atr - 7.01224085041
md.nasdaq_imb.abs_price_diff_from_near - 0.139999389648
md.nasdaq_imb.abs_price_diff_from_near_percent_atr - 7.01224085041
md.nasdaq_imb.abs_price_diff_from_pc - 0.430000305176
md.nasdaq_imb.abs_price_diff_from_pc_percent_of_atr - 21.5377060801
md.nasdaq_imb.exchange - Q
md.nasdaq_imb.far_price - 104.5
md.nasdaq_imb.flip_count - 0
md.nasdaq_imb.high_imbalance - -174503
md.nasdaq_imb.high_imbalance_time - 1470058080098000
md.nasdaq_imb.imbalance_quantity - -174503
md.nasdaq_imb.last_flip_time - 0
md.nasdaq_imb.near_price - 104.5
md.nasdaq_imb.paired_quantity - 377839
md.nasdaq_imb.price_diff_from_far - 0.139999389648
md.nasdaq_imb.price_diff_from_near - 0.139999389648
md.nasdaq_imb.price_variation_indicator - L
md.nasdaq_imb.reference_price - 104.63999939
md.nasdaq_imb.timestamp - 1470058080098000
md.nasdaq_imb.type - O