Mariner Backtesting - end

End Overview:

In this lesson, you will learn to use the bar parameter "" to limit the amount of data you receive when you call a bar method.

What does end do?

 md.bar.minute(start=-5, end-3)

When passed a timestamp, all bars that start forming after the indicated end time are ignored.
unlike start, end only cares about when the bars begin forming.
When passed a negative index, such as -5, the bar ignores the most recent 5 bars.
End is used too keep information for set times in the past (5 minutes from the present time).

Using Timestamps:

At 9:40 I request the following minute bars. One with an end time of 9:38.

 regular_bar = bar.minute(start=-4)
bar_with_end = bar.minute(start=-4, end=service.time(9,38))

regular_bar will contain the data for the past 4 minutes in single minute bars. However, bar_with_end will only contain minute bars that start forming before 9:38.

Regular Bar:    09:36:00    09:37:00    09:38:00    09:39:00
Bar with End:   09:36:00    09:37:00

However, if the end time is increased by 1 second, the bar from 9:38-9:39 will be included.

 bar_with_end = bar.minute(start=-4, end=service.time(9,38,1))

All bars that start forming before 9:38:01 are included.

Regular Bar:    09:36:00    09:37:00    09:38:00    09:39:00
Bar with End:   09:36:00    09:37:00    09:38:00

Negative Integers:

The more common way of using the "end" parameter is to pass it a negative integer. Negative integers make dealing with bigger bars (multiple minutes long) easier in comparison to passing a timestamp.

At 9:40 I request the following.

 bar_with_end = bar.minute(start=-4, end=-2)
regular_bar = bar.minute(start=-4)

The bar_with_end will ignore the final 2 minute bars that regular_bar will include.

Regular Bar:    09:36:00    09:37:00    09:38:00    09:39:00
Bar with End:   09:36:00    09:37:00

Working Example:

Use the "end" parameter to request data on the open.

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


class openData(Strategy):


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

    # called at the beginning of each instance
    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))

        # create timer at 11:40
        service.add_time_trigger(service.time(11,40))

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

        if event.timestamp > service.time(11,40):
            print ("\n---------- in on_minute_bar " + service.time_to_string(event.timestamp)[11:19])

            # Request 1 minute bars from 9:30 to 9:35
            first_five = bar.minute(start=service.time(9,30,1), end=service.time(9,35))

            # print the highs for the opening 5 minutes
            print("\nThe opening 5 minute highs:  ")
            for time, high in zip(first_five.timestamp, first_five.high):
                print '\t', service.time_to_string(time)[11:19] + ':', high

            # print the volume for the opening 5 minutes
            print("\nThe opening 5 minute volumes:  ")
            for time, volume in zip(first_five.timestamp, first_five.volume):
                print '\t', service.time_to_string(time)[11:19] + ':', volume

            service.terminate()

Console

AMZN
---------- in on_start() 2016-09-07 09:30:00.000000

---------- in on_minute_bar 11:40:01

The opening 5 minute highs:  
    09:30:00: 789.75
    09:31:00: 789.260009766
    09:32:00: 788.020019531
    09:33:00: 789.150024414
    09:34:00: 788.780029297

The opening 5 minute volumes:  
    09:30:00: 49455
    09:31:00: 19058
    09:32:00: 14920
    09:33:00: 18852
    09:34:00: 11473