bar. Overview:
- Return a daily-bars slice structure by requesting indexes into an array of market bars.
daily_by_index(start=-1,
end=None)
Sample - Calling method
md.bar.daily_by_index(start=-10)
| Name | Type | Default | Information |
|---|---|---|---|
| start | integer | -1 | Offset. May be a negative integer as a reference to now (e.g. -10 ... 10 days ago) |
| end | integer | None | Offset. May be a negative integer as a reference to now (e.g. -10 ... 10 days ago) |
Daily BarView - tuple of mostly arrays
Daily BarView Attributes:
| Name | Type | Information |
|---|---|---|
| askvol | Array[integer] | items in the array - the volume of trades that occurred at the ask during timeframe |
| 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 |
| closing_trade | Array[float] | closing price for the symbol's primary exchange |
| 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 |
| opening_trade | Array[float] | opening price for the symbol's primary exchange |
| 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] | volume weighted average price(vwap) of the bar |
- There are a lot of bar examples under Knowledge.
- Bars are formed - not forming. Forming data is part of L1.
- Index doesn't use time to filter data.
- The returned bar slice may contain fewer elements than expected due to non-trading days and empty bars (days where the symbol had no trades).
- Daily bar data is static information (it doesn't change during the trading day). You should only need to request a symbol's daily bar data once in a script (example - in on_start() or in a function )
- When using this method, it may help to think of the daily bars as a large array that can be indexed into via the start and end arguments. Positive integers are indexed from the "beginning of the array", and negative integers are from the "end of the array".
- 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, 1 year of daily bars is available (starting 1/1/11).
How is this different from md.bar.daily(): - md.bar.daily_by_index(-10) vs md.bar.daily(-10) - md.bar.daily_by_index(-10) will have up to 10 items no matter how many days it needs to go back - md.bar.daily(-10) returns all available data for the previous 10 trading days. - You will see more difference with lower volume stocks
Working Example:To see the difference between md.bar.daily_by_index(-10) and md.bar.daily(-10) Backtest for GALTW on 8/26/16 from 4:00-4:01.
import itertools
from cloudquant.interfaces import Strategy
class DailyByIndexExample(Strategy):
@classmethod
def is_symbol_qualified(cls, symbol, md, service, account):
return symbol =='AAL'
def on_start(self, md, order, service, account):
# get bars
print self.symbol
print '\n\n..........................\n\nmd.bar.daily_by_index(start=-20)'
bars = md.bar.daily_by_index(start=-20)
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
for timestamp in bars.timestamp:
print service.time_to_string(timestamp, '%Y-%m-%d')
print '\n\n..........................\n\nmd.bar.daily(-20)'
bars = md.bar.daily(start=-20)
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
for timestamp in bars.timestamp:
print service.time_to_string(timestamp, '%Y-%m-%d')
service.terminate()
Console
AAL .......................... md.bar.daily_by_index(start=-20) get the last high value bars.high[-1] - 35.75 get the first low value bars.low[0] - 28.1900005341 2016-07-05 2016-07-06 2016-07-07 2016-07-08 2016-07-11 2016-07-12 2016-07-13 2016-07-14 2016-07-15 2016-07-18 2016-07-19 2016-07-20 2016-07-21 2016-07-22 2016-07-25 2016-07-26 2016-07-27 2016-07-28 2016-07-29 2016-08-01 .......................... md.bar.daily(-20) get the last high value bars.high[-1] - 35.75 get the first low value bars.low[0] - 28.1900005341 2016-07-05 2016-07-06 2016-07-07 2016-07-08 2016-07-11 2016-07-12 2016-07-13 2016-07-14 2016-07-15 2016-07-18 2016-07-19 2016-07-20 2016-07-21 2016-07-22 2016-07-25 2016-07-26 2016-07-27 2016-07-28 2016-07-29 2016-08-01