Mariner Backtesting - service.add_event_trigger()

service.add_event_trigger()

Add a event trigger to the list of triggers. Should clear other event triggers first. It only works in on_start().

IMPORTANT NOTE, YOUR TOP LINE CLOUDQUANT IMPORT MUST ALSO INCLUDE EVENT...

from cloudquant.interfaces import Strategy, Event

Interface:

 add_event_trigger(symbols,
                  types)

Sample - Calling Method

 service.add_event_trigger( [self.symbol], [Event.TRADE, Event.FILL])

Parameters:

Name	Type	Default	Information
symbols	symbols from symbol universe	required	A list of strings representing symbol names. You can subscribe to more than one symbols events (e.g. for trading pairs)
types	list	required	A list of integers (from Event enum) representing the kind of event. Event.ACK Event.ARCA_IMBALANCE Event.CANCEL Event.CANCEL_REJECT Event.FILL Event.NASDAQ_IMBALANCE Event.MINUTE_BAR Event.NBBO_PRICE Event.NEWS Event.NYSE_IMBALANCE Event.AMER_IMBALANCE Event.REJECT Event.TRADE Event.TRADING_HALT Event.TRADING_RESUME

Returns:

None

Remarks:

Only works in on_start()
In backtesting, code loads automatically
In forward/production trading, the system will call all system methods by default
In the case of pairs and baskets, all system events can be instructed to go to the same instance (very advanced topic).

Working Example:

Add Event Trigger. Note: clearing other event triggers first.

from cloudquant.interfaces import Strategy, Event


class AddEventTriggerExample(Strategy):

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == "AAL"

    def on_start(self, md, order, service, account):
        # print start time and symbol
        print(self.symbol + "\n" + service.time_to_string(service.system_time) + "\tin on_start()\n\n")

        self.only_once = True

        #set timer for 3:55 PM EST (5 minutes before close)
        service.add_time_trigger(service.time(15, 55))

        #this will clear the event triggers, but will not interfere with the above time_trigger
        #however this clear_event_trigger does stop you from calling on_trade
        service.clear_event_triggers()

        #adds on_trade to the list of triggers allowing it to be called
        service.add_event_trigger([self.symbol], [Event.TRADE])

    def on_trade(self, event, md, order, service, account):
        #on_trade is only able to be called because of the add_event_trigger

        if self.only_once:
            print(service.time_to_string(md.L1.timestamp) + "\tin on_trade()\n\n")

            #  change instance variable to False
            self.only_once = False

    def on_timer(self, event, md, order, service, account):

        #even though event triggers were cleared, on_timer is still called
        print(service.time_to_string(event.timestamp) + "\tin on_timer()\n\n")

    def on_finish(self, md, order, service, account):
        # even though event triggers were cleared, on_finish is still called
        print(service.time_to_string(md.L1.timestamp) + "\tin on_finish()\n\n")

Console

AAL
2016-08-08 09:29:55.102000    in on_start()

2016-08-08 09:30:00.312000    in on_trade()


2016-08-08 15:55:00.000000    in on_timer()


2016-08-08 16:00:00.000000    in on_finish()