Mariner Backtesting - TrailBy

 TrailBy( IsBelow, InitialStopPrice, TrailingBy, Increment, Shares, ReferencePrice, ActiveBeginTime, ActiveEndTime )

 UpdateStopPrice( ReferencePrice, MarketTime)

 SetTrailBy( NewTrailBy, ReferencePrice, MarketTime )

 SetStopPrice( NewTrailBy, ReferencePrice, MarketTime )

from cloudquant.interfaces import Strategy
import ktgfunc


class TrailByExample(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")

        # create variables for the market open and close timestamps
        self.market_open_time = md.market_open_time
        self.market_close_time = md.market_close_time

        # Initialize a TrailBy object for a trailing stop
        # The shares, active begin price reference price, and initial stop price will be set once a position is entered
        self.trail = ktgfunc.TrailBy(IsBelow=True, InitialStopPrice=0, TrailingBy=0.1, Increment=0.01, Shares=0,
                                     ReferencePrice=0, ActiveBeginTime=self.market_open_time,
                                     ActiveEndTime=self.market_close_time)

        # buy order
        order.algo_buy(self.symbol, "market", intent="init", order_quantity=100)
        print service.time_to_string(service.system_time)[11:19], self.symbol , 'Long 100'


        self.begin_trail = False

        # create a variable to run code once
        self.once =True

        # create a variable to track current position
        self.in_position = False

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

        if account[self.symbol].position.inventory != []:
            self.begin_trail = True

        if self.begin_trail and self.once:

            # set boolean to false to avoid re-running code
            self.once = False

            # To adjust attributes after they have been created, you can manually call them
            # Is Below is True for Long orders and False for Shorts
            # set TrailingBy and Increment to choose how the stop is adjusted
            # use event.price - 0.1 to set the stop 10 cents below entry price
            # use account[self.symbol].position.inventory[0].execution[2] for the time the stock was bought

            self.trail.StopPrice = account[self.symbol].position.entry_price - 0.1
            self.trail.Shares = account[self.symbol].position.capital_long
            self.trail.ReferencePrice = md.L1.last
            self.trail.ActiveBeginTime = account[self.symbol].position.inventory[0].execution[2]
            self.in_position = True

            # print information about the stop
            print("\nA stop has been created with a starting price of " + str(self.trail.StopPrice))
            print"The stop will trail by " + str(self.trail.TrailingBy) + " with an increment of " + str(
                self.trail.Increment), '\n'


        if self.begin_trail:
            # updates the stop price
            current_bar = bar.minute()
            self.trail.UpdateStopPrice(current_bar.high, current_bar.timestamp)
            print 'Updating StopPrice:', self.trail.StopPrice[0]

        # check if in position; sell if the last trade is equal or greater than the stop price
        if self.in_position and self.trail.StopPrice >= current_bar.high:
            # sell order
            order.algo_sell(self.symbol, "market", intent="exit")

            print("\n\nYour stop price of " + str(
                self.trail.StopPrice[0]) + " has been reached. An order to sell has been sent.")

            # set the variable to false to avoid multiple sell orders
            self.in_position = False

            service.terminate()