Mariner Backtesting - bar.minute include_extended

bar information from outside market hours

In this lesson, we will learn how to obtain bar information from outside market hours by setting the parameter to True.

Pre-market data acquired through bars can be used to estimate the open for a symbol.

 bar.minute(bar_size = 1, include_extended = True)

The effects of include_extended Backtest time: from 9:25-16:00

 # Copyright Cloudquant, LLC. All right reserved.
from cloudquant.interfaces import Strategy


class BarIncludeExtended(Strategy):

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):

        # only run the script on AAL
        return symbol == "SPY"

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

        # symbol and timestamp
        print(self.symbol + "\n---------- in on_start " + service.time_to_string(service.system_time))

        # initialize variable to count the number of bars
        self.bar_count = 0

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

        print ("\n---------- in on_minute_bar " + service.time_to_string(event.timestamp)[11:19])

        # request the bar data for the most recent minute
        # include_extended is False
        barry = bar.minute(bar_size=1, include_extended=False)

        # same bar as above, but include_extended is True
        barry_include_extended = bar.minute(bar_size=1, include_extended=True)

        # # print bar information; include_extended = False
        print("\nregular bar data for the last 1 minutes:")
        print barry
        print("The low prices: " + str(barry.low))
        print("The high prices: " + str(barry.high))

        # # print bar information; include_extended = True
        print("\ninclude_extended bar data for the last 1 minutes:")
        print barry_include_extended
        print("The low prices: " + str(barry_include_extended.low))
        print("The high prices: " + str(barry_include_extended.high))

        # # increment variable
        self.bar_count += 1

        # after printing the bar information 2 times, terminate
        if self.bar_count == 2:
            service.terminate()

Console

SPY
---------- in on_start 2016-09-07 09:25:00.000000

---------- in on_minute_bar 09:25:00

regular bar data for the last 1 minutes:
BarView(symbol='SPY', length=60, timestamp=array([], dtype=float64), open=array([], dtype=float64), high=array([], dtype=float64), low=array([], dtype=float64), close=array([], dtype=float64), volume=array([], dtype=float64), vwap=array([], dtype=float64), spread=array([], dtype=float64), bidvol=array([], dtype=float64), askvol=array([], dtype=float64), count=array([], dtype=float64), valid=array([], dtype=float64), closing_trade=array([], dtype=float64), opening_trade=array([], dtype=float64))
The low prices: []
The high prices: []

include_extended bar data for the last 1 minutes:
BarView(symbol='SPY', length=array([60]), timestamp=array([1473254640000000], dtype=uint64), open=array([ 218.86999512]), high=array([ 218.88000488]), low=array([ 218.86000061]), close=array([ 218.86000061]), volume=array([2050], dtype=int32), vwap=array([ 218.8692627]), spread=array([ 0.00999641]), bidvol=array([700], dtype=int32), askvol=array([1350], dtype=int32), count=array([8], dtype=int32), valid=array([ True], dtype=bool), closing_trade=array([ 0.]), opening_trade=array([ 0.]))
The low prices: [ 218.86000061]
The high prices: [ 218.88000488]

---------- in on_minute_bar 09:26:05

regular bar data for the last 1 minutes:
BarView(symbol='SPY', length=60, timestamp=array([], dtype=float64), open=array([], dtype=float64), high=array([], dtype=float64), low=array([], dtype=float64), close=array([], dtype=float64), volume=array([], dtype=float64), vwap=array([], dtype=float64), spread=array([], dtype=float64), bidvol=array([], dtype=float64), askvol=array([], dtype=float64), count=array([], dtype=float64), valid=array([], dtype=float64), closing_trade=array([], dtype=float64), opening_trade=array([], dtype=float64))
The low prices: []
The high prices: []

include_extended bar data for the last 1 minutes:
BarView(symbol='SPY', length=array([60]), timestamp=array([1473254700000000], dtype=uint64), open=array([ 218.86000061]), high=array([ 218.86000061]), low=array([ 218.83999634]), close=array([ 218.86000061]), volume=array([5900], dtype=int32), vwap=array([ 218.85797119]), spread=array([ 0.01293766]), bidvol=array([1500], dtype=int32), askvol=array([4400], dtype=int32), count=array([17], dtype=int32), valid=array([ True], dtype=bool), closing_trade=array([ 0.]), opening_trade=array([ 0.]))
The low prices: [ 218.83999634]
The high prices: [ 218.86000061]