bar Overview
bar is a member of md. The bar object has methods for shaping and accessing the system's bar data.
Attributes:See each of the types of bars, listed below by the methods that return them, for their specific attributes:
Methods:
- daily() - daily bars by time
- daily_by_index() - daily bars by index
- minute() - minute bars by time
- minute_by_index() - minute bars by index
Remarks:
- Since the consumption of bars data isn't one size fits all, we provide a couple of methods format the data as desired.
- Methods return a BarView tuple. The tuple is mostly arrays of equal length data.
- BarView is slightly different for minute and daily bars
Working Example:
import itertools
from cloudquant.interfaces import Strategy
class PrintingBarData(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 == 'TQQQ'
def on_start(self, md, order, service, account):
# get bars
bars = md.bar.daily(start=-21)
print '\nget the last high value'
print 'bars.high[-1]\t-\t', bars.high[-1]
print '\nget the first low value'
print 'bars.low[0]\t-\t', bars.low[0]
# print the bar data
fields = bars._fields
for key, value in enumerate(bars):
print '\n\n', fields[key], '\n', value
service.terminate()
Console
2016-11-11 get the last high value bars.high[-1] - 126.70110321 get the first low value bars.low[0] - 119.669998169 symbol ['TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ' 'TQQQ'] length [23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400 23400] timestamp [1476365400000000 1476451800000000 1476711000000000 1476797400000000 1476883800000000 1476970200000000 1477056600000000 1477315800000000 1477402200000000 1477488600000000 1477575000000000 1477661400000000 1477920600000000 1478007000000000 1478093400000000 1478179800000000 1478266200000000 1478529000000000 1478615400000000 1478701800000000 1478788200000000] open [ 121.91000366 124.70999908 123.30000305 126.75 125.38999939 125.08999634 125.33000183 129.05999756 131.22999573 127.30000305 128.86999512 124.33999634 124.55999756 123.44999695 119.73999786 116.52999878 112.58999634 117.79000092 120. 118.41000366 125.98999786] high [ 124.05999756 126.31999969 123.93810272 127.43000031 126.16999817 126.01999664 126.79000092 131.36999512 131.41999817 129.36180115 129.17999268 126.33999634 124.55999756 123.44999695 120.55000305 117.62999725 115.06999969 120.77999878 124.37999725 125.02999878 126.70110321] low [ 119.66999817 123.22000122 121.98709869 125.5 124.98999786 123.01999664 124.23000336 128.96000671 129.28829956 126.09999847 124.95999908 122. 122.59999847 116.81999969 116.20999908 113.20999908 111.77999878 117.33000183 119.19999695 118.06999969 113.47000122] close [ 123.05000305 123.33000183 122.48000336 125.62000275 125.66999817 125.13999939 126.5 131.11000061 129.80000305 127.30999756 125.52999878 123.36000061 122.66000366 120.13999939 117.01000214 113.63999939 112.34999847 120.40000153 122.76000214 124.48000336 118.55999756] volume [2175582 1704427 1163800 1603522 980294 1457302 1221370 1430167 1244003 1985592 2146713 2978276 1185507 2123423 1703435 1812758 1769276 2103406 2303928 3753104 5165969] vwap [ 121.73429871 124.7767334 122.80847931 126.5140686 125.61797333 124.69200134 125.81477356 130.1771698 130.27629089 127.46583557 126.83183289 123.99119568 123.45432281 119.97286224 118.39886475 115.29000854 113.67202759 119.45043182 122.29109192 121.90427399 119.14435577] spread [ 0.02932563 0.03182294 0.03189036 0.03361049 0.0206065 0.02196015 0.01750633 0.01705382 0.01699058 0.01571736 0.01430142 0.01259803 0.01551066 0.02122752 0.02196823 0.02215978 0.01963826 0.02115857 0.0222968 0.03018158 0.0326326 ] bidvol [ 655004 538141 311218 389639 288655 456211 392628 433242 390844 652545 779226 1144122 382143 641051 518453 580192 531627 531989 608739 1110770 1681857] askvol [ 632728 424135 329988 427326 319627 412458 430390 510382 412937 690834 718390 1220281 441819 526899 538396 450141 576886 714485 600648 908684 1383826] count [11193 9018 5787 7660 4916 7039 6178 7195 6647 10967 11550 19819 7080 12331 12145 10981 11571 11936 12352 21327 30820] valid [ True True True True True True True True True True True True True True True True True True True True True] closing_trade [ 123.05000305 123.33000183 122.48000336 125.62000275 125.66999817 125.13999939 126.5 131.11000061 129.80000305 127.30999756 125.52999878 123.36000061 122.66000366 120.13999939 117.01000214 113.63999939 112.34999847 120.40000153 122.76000214 124.48000336 118.55999756] opening_trade [ 121.83000183 124.84999847 123.30000305 126.83999634 125.26000214 125.08999634 125.33000183 128.96000671 131.33999634 127.23999786 128.86999512 124.33999634 124.55999756 123.44999695 119.73999786 116.44999695 112.77999878 118. 120. 118.51000214 126.15000153]