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      Mariner Backtesting - TrackRange

      TrackRange object

      Track range makes it easy to track information about the most recent number of formed 1 minute bars (i.e. last 20 formed bars). It doesn't include the forming bar.

      TrackRange()

      Creates the instance.

       TrackRange( md, BarsBack, include_empty=False, include_extended=False, today_only=True)

      Parameters:

      Name Type Default Information
      md object required ktg market data object
      BarsBack integer required number of bars wanted in the range
      include_empty boolean False include empty bars bar range calculation
      include_extended boolean False include extended trading hours in calculation
      today_only boolean True while the wording matches the bar interface, use False if you want to include more than just the current trading days bars in the range

      Attributes:

      Name Type Default Information
      BreakAmount float 0.0 break amount above (+) or below (-) the high/low in range.
      CurrentValue float 0.0 the last trade value (md.Last)
      RangeHigh float 0.0 high over the range
      RangeLow float 0.0 low over the range
      MaxAboveRange float 0.0 if the forming bar traded above the range, this would be the most it traded above the range. Positive number.
      MaxBelowRange float 0.0 if the forming bar traded below the range, this would be the most it traded below the range. Negative number.
      Range float 0.0 range between high and low of the range.

      Methods:

      Calculate()

      Call to update the instance variables. Call method for checking instance variables.

       Calculate( md )
      Parameters:
      Name Type Default Information
      md object required market data object
      Working Example:

      Create an instance of TrackRange() for the past 20 minutes. At the beginning of on_trade(), Calculate() is called to update the instance variable.

      from cloudquant.interfaces import Strategy, Event
from ktgfunc import TrackRange


class TrackRangeExample(Strategy):

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == 'TQQQ'

    def on_start(self, md, order, service, account):
        print 'Test date:\t%s' % service.time_to_string(service.system_time, '%Y-%m-%d')
        self.test = TrackRange(md, 20)
        print '%s\t%s\t%s\t%s\t%s\t%s\t%s\t%s' %  ('time', 'rvol', 'r_high', 'r_low', 'range', 'mx_high', 'mn_low', 'break amount')

    def on_trade(self, event, md, order, service, account):
        self.test.Calculate(md)

        if self.test.MaxAboveRange != 0 or self.test.MaxBelowRange != 0 or self.test.BreakAmount != 0:
            print '%s\t%s\t%s\t%s\t%s\t%s\t%s\t%s' %  ( service.time_to_string(service.system_time), md.L1.rvol, self.test.RangeHigh, self.test.RangeLow, self.test.Range, self.test.MaxAboveRange, self.test.MaxBelowRange, self.test.BreakAmount )

      Console

      Test date:  2016-06-15
time    rvol    r_high  r_low   range   mx_high mn_low  break amount
2016-06-15 10:06:31.126000  1.07127594948   98.8300018311   98.3199996948   0.51000213623   0.00999450683594    0.0 0.00999450683594
2016-06-15 10:06:31.785000  1.07153558731   98.8300018311   98.3199996948   0.51000213623   0.0279006958008 0.0 0.0279006958008
2016-06-15 10:06:33.917000  1.07160043716   98.8300018311   98.3199996948   0.51000213623   0.0279006958008 0.0 0.000198364257812
2016-06-15 10:06:39.544000  1.071860075 98.8300018311   98.3199996948   0.51000213623   0.0279006958008 0.0 0.0
2016-06-15 10:06:52.566000  1.07211971283   98.8300018311   98.3199996948   0.51000213623   0.0279006958008 0.0 0.0
2016-06-15 10:06:52.594000  1.07471585274   98.8300018311   98.3199996948   0.51000213623   0.0279006958008 0.0 0.0
2016-06-15 10:06:59.902000  1.07497549057   98.8300018311   98.3199996948   0.51000213623   0.0279006958008 0.0 0.0