Minute Bar Market Data
bar. Overview:- minute() is a method of bar. It is used to retrieve the desired minute bar data. It returns a minute bars slice structure that goes back one or more minute(s).
minute(start=-1,
end=None,
include_empty=False,
include_extended=False,
bar_size=1,
today_only=True)
Sample - Calling method
md.bar.minute(start=-10)
| Name | Type | Default | Information |
|---|---|---|---|
| start | integer or muts | -1 | Offset. May be a negative integer as a reference to now (e.g. -10 ... 10 bars ago), or a specific timestamp.
|
| end | integer or muts | None | Offset. May be a negative integer as a reference to now (e.g. -10 ... 10 bars ago), a specific timestamp, or None. A value of None indicates to include the most-recently-formed bar.
|
| include_empty | boolean | False | If True, return bars for empty minutes instead of skipping over them, and check the "valid" property on the resulting bar slice to verify whether a bar is empty or not.
|
| include_extended | boolean | False | Include pre/post minute bars
|
| bar_size | integer | 1 | Minute bar size. Based on 9:30 start time. |
| today_only | boolean | True | Bars for today only.
|
Minute BarView - tuple of mostly arrays
Minute BarView Attributes:
| Name | Type | Information |
|---|---|---|
| askvol | Array[integer] | items in the array - the volume of trades that occurred at the ask during timeframe |
| avgdelta | Array[float] | Average change in price between trades during time period. Live and Forward only, not Backtesting. Seems to return 0.00. |
| bidvol | Array[integer] | the volume of trades that occurred at the bid during timeframe |
| bvwap | Array[float] | the vwap for the bar |
| close | Array[float] | final, or closing price for the bar |
| count | Array[integer] | number of items contributing to the bar |
| high | Array[float] | highest price for the bar |
| length | integer | time length for the bar |
| low | Array[float] | lowest price for the bar |
| open | Array[float] | first qualifying trade of the bar |
| spread | Array[float] | average difference between the ask and the bid for the bar |
| symbol | string | symbol for the bar |
| timestamp | Array[integer] | timestamps for the beginning of each bar |
| valid | Array[bool] | whether or not bar is valid |
| volume | Array[integer] | volume for the bar |
| vwap | Array[float] | the vwap for the day so far at the time this bar ended (not the vwap for this bar - see bvwap for that) |
- There are a lot of bar examples under Knowledge.
- Bars are formed - not forming. Forming data is part of L1.
- Both start and end must be timestamps or negative integers (e.g. service.time(9, 45) - 9:45) .
- When using this method, it may help to think of the minute bars as snapshots of trading data from previous minutes relative to the current simulation time. When using the bar_size argument, however, this analogy breaks down since minute-offsets are computed relative to the market-open time.
- By default, if there is no market data on a given minute between start and end, the returned array will contain fewer items than expected. To retrieve the exact number of minute bars requested, set include_empty=True. When include_empty=True, the valid property (see below) provides a boolean which indicates if the bar was empty (valid == True means "not empty").
- When using include_empty, be aware the max() and min() and the first item in the array is NaN can cause the return value to be NaN even if there are other values besides NaN. See http://stackoverflow.com/questions/4237914/python-max-min-builtin-functions-depend-on-parameter-order
- Set today_only=False to retrieve bars from previous market days.
- set include_extended=True to retrieve bars outside of core market hours.
- The returned slice can be accessed via .property, where property may be one of the following: symbol, length, timestamp, open, high, low, close, volume, vwap, bvwap, spread, bidvol, askvol, count, avgdelta, valid.
- At the moment one any given testing/trading day, 3 days of minute bars is available (starting 1/1/11).
from cloudquant.interfaces import Strategy
class MinuteBarExample(Strategy):
@classmethod
def is_symbol_qualified(cls, symbol, md, service, account):
return symbol == "AAL"
def on_start(self, md, order, service, account):
#symbol and timestamp
print(self.symbol + "\n" + service.time_to_string(service.system_time) + "\tin on_start()\n\n")
# count number of bars. Used to terminate early after 3 bars
self.bar_count = 0
def on_minute_bar(self, event, md, order, service, account, bar):
print("on_minute_bar\t" + service.time_to_string(event.timestamp)[12:21])
one_minute = bar.minute(include_extended = True)
print("The low prices: " + str(one_minute.low))
print("The high prices: " + str(one_minute.high) + "\n\n")
# increment variable
self.bar_count += 1
# terminate after 3 bars
if self.bar_count >= 3:
service.terminate()
Console
AAL 2016-11-01 09:30:00.000000 in on_start() on_minute_bar 9:30:00.0 The low prices: [ 40.65000153] The high prices: [ 40.65000153] on_minute_bar 9:31:00.0 The low prices: [ 40.50999832] The high prices: [ 40.56999969] on_minute_bar 9:32:00.0 The low prices: [ 40.5] The high prices: [ 40.63999939]
Because the Start and End can be MUTS you can put in any time to get bars back between any periods we have available.
So on any trading day you could get the bars for the 6 hours after the previous day close as follows...
def on_start(self, md, order, service, account):
mystart = service.get_market_hours(date_offset=-1)[1] # end of prev trading day
myend = mystart + service.time_interval(6) # plus 6 hours
print "backtest date",service.time_to_string(service.system_time)
print "previous trading day end",service.time_to_string(mystart)
print "previous trading day end plus 6 hours ",service.time_to_string(myend)
mybars = md.bar.minute(start=mystart, end=myend, include_extended=True, today_only=False)