Mariner Backtesting - MoveBy

 MoveBy( InitialValue, IsIncrease, MoveByValue, IsPercent )

 Calculate( CurrentValue )

 from cloudquant.interfaces import Strategy
import ktgfunc


class MoveByExample(Strategy):

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

    def on_start(self, md, order, service, account):

        #print symbol and timestamp
        print(self.symbol + "\n"+ service.time_to_string(service.system_time) + "\tin on start\n")

        # create an object of the MoveBy class
        # set Initial Value to the previous close
        # IsIncrease is True when looking for the price to rise
        # MoveByValue is how much you want the price to move by.
        # Setting it to .2 means the target price is 20 cents above the prev_close
        # Set IsPercent to false when MoveByValue is not a percent
        self.entry_condition= ktgfunc.MoveBy(InitialValue=md.stat.prev_close,IsIncrease=True, MoveByValue=.2, IsPercent=False)

        # initialize exit condition
        self.exit_condition = None

        # use self.entry_condition.TargetValue to access the attribute for a print statement
        print(self.symbol + " closed at " + str(md.stat.prev_close) + " yeserday.\nIf the price rises $0.20 to " + str(self.entry_condition.TargetValue) + ", a position will be entered")

        # create variable used to determine if in position.
        self.in_position=False

    def on_minute_bar(self, event, md, order, service, account, bar):

        # on every bar the MoveBy attributes will be updated
        self.entry_condition.Calculate(md.L1.last)

        # update calculation if exit_condition has been created
        if self.exit_condition is not None:
            self.exit_condition.Calculate(md.L1.last)

        # buy if the stock has risen more than 20 cents, surpassing the target price
        # self.entry_condition.Distance() will return a negative value when it passes the target price
        if self.in_position is not True and self.entry_condition.Distance < 0:
            print '\n', service.time_to_string(event.timestamp)[11:19] + '\tin on_minute_bar'
            print 'Target price:', self.entry_condition.TargetValue, '\tLast Price:', md.L1.last
            print'[BUY]\t' + self.symbol +"'s price has increased more than $0.20 from the previous close. A buy order has been sent."

            #buy order
            order.algo_buy(self.symbol, "market", intent="init", order_quantity=100)

            # adjust variable to reflect current position
            self.in_position = True

            # return so that the below code is note executed until the next on_minute_bar
            return

        # if in a position, but exit_condition hasn't been set yet:
        if self.in_position and self.exit_condition is None:

            # create an object of the MoveBy class to exit a position
            # Setting it to .2 means the target price is 20 cents above the prev_close
            self.exit_condition = ktgfunc.MoveBy(InitialValue=account[self.symbol].position.entry_price, IsIncrease=True, MoveByValue=.3, IsPercent=False)
            print '\n\n', service.time_to_string(event.timestamp)[11:19] + '\tin on_minute_bar'
            print("Your position in " + self.symbol + " was entered at the price: " + str(
                account[self.symbol].position.entry_price) + ". \nIf the price rises $0.30 to " + str(
                self.exit_condition.TargetValue) + " or the price drops $0.50, the shares will be sold")

        # check that exit_condition has been created
        # sell if the stock has reached or passed the target price
        # which would mean the distance would be negative
        if self.exit_condition is not None and self.exit_condition.Distance <= 0:

            # sell order
            order.algo_sell(self.symbol, "market", intent="exit")

            print '\n\n', service.time_to_string(event.timestamp)[11:19] + '\tin on_minute_bar'
            print 'Target price:', self.exit_condition.TargetValue, '\tLast Price:', md.L1.last
            print "\n\n[SELL]\t" + self.symbol + " moved up at least 30 cents. A sell order has been sent"

            service.terminate()

        # check that exit_condition has been created
        # sell if the stock drops at least 20 cents from the purchase price.
        # meaning the distance from the target value would be above $0.50 from from +0.20
        elif self.exit_condition is not None and self.exit_condition.Distance > .5:

            # sell order
            order.algo_sell(self.symbol, "market", intent="exit")
            print '\n\n', service.time_to_string(event.timestamp)[11:19] + '\tin on_minute_bar'
            print 'Target price:', self.exit_condition.TargetValue, '\tLast Price:', md.L1.last
            print'[SELL]\t', self.symbol + "'s price decreased $0.50 cents from the target price. A sell order has been sent"

            service.terminate()