Mariner Backtesting - bar.start

Start Overview:

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

What does start do?

 bar.minute(start = -5)

When passed a timestamp, all bars that are completely formed after the indicated start time are returned.
When passed a negative index, such as -5, it returns the past 5 bars.
Depending on bar_size, start=-5 could return data from 5 minutes ago (1 minute bars) or over an hour ago(20+ minute bars).
Start controls how much data is returned by the method call.
Start does not affect how much data is in each bar, but how many bars you receive.

Using Timestamps:

The start time (timestamp) in combination with bar_size can make predicting data tricky.

At 9:37 I request all 4 minute bars after 9:30 and print the timestamp attribute of the bar.

bar_4m = bar.minute(start=service.time(9,30,0,20), bar_size=4)
print("\nTimes for bar: ")
for time in bar_4m.timestamp:
    print(service.time_to_string(time)[11:19])

Only a single 4 minute bar bar is completely formed from 9:00-9:37.

Times for bar:
09:30:00

However, the same code executed at 9:38 will return 2 bars (therefore 2 timestamps), because a second 4 minute bar is completely formed(at 9:38).

Times for bar:
09:30:00
09:34:00

Working Example:

Negative Integer Start

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


class timestampStart(Strategy):

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

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

    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))


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

        # if the time is after 2:00
        if event.timestamp > service.time(14):
            print ("\n---------- in on_minute_bar " + service.time_to_string(event.timestamp)[11:19])

            # initialize ea variable to count the number of bars
            bar_count = 1

            # request the 5 most recent 45 minute bars
            self.bar_45m = bar.minute(start=-5, bar_size=45)

            # for each timestamp in self.bar_45, print the starting time using service.time_to_string
            print("\nStarting times for bars in bar data:\n")
            for time in self.bar_45m.timestamp:

                # print the bar # and timestamp
                print("Bar " + str(bar_count) + " - " + service.time_to_string(time)[11:19])

                # increment counting variable
                bar_count +=1

            service.terminate()

Console

AAL
---------- in on_start 2016-09-07 09:30:00.000000

---------- in on_minute_bar 14:00:00

Starting times for bars in bar data:

Bar 1 - 10:00:00
Bar 2 - 10:45:00
Bar 3 - 11:30:00
Bar 4 - 12:15:00
Bar 5 - 13:00:00

Notice that even though start is set after 9:30, a bar starting at 9:30 is printed. This happens because start only cares about when the bar finishes forming.

Working Example 2:

Timestamp Start

 from cloudquant.interfaces import Strategy


class integerStart(Strategy):

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

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

    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 a timer at 9:37 that repeats every minute
        service.add_time_trigger(service.time(9, 37, 0, 20), repeat_interval=service.time_interval(minutes=1))

        # variable used to track bars printed
        self.bar_count = 0

    def on_minute_bar(self, event, md, order, service, account, bar):
        if event.timestamp > service.time(9,37):
            print ("\n---------- in on_minute_bar " + service.time_to_string(event.timestamp)[11:19])

            # request all 4 minute bars that finish forming after 9:30
            bar_4m = bar.minute(start=service.time(9, 30, 0, 20), bar_size=4)

            # print the number of bars
            print '\n', len(bar_4m.timestamp), 'bars'

            # print the times
            print("bar start times:")
            for time in bar_4m.timestamp:
                # printing [11:19] on a timestamp returns only the time
                print(service.time_to_string(time)[11:19])

            # increment variable
            self.bar_count += 1

            # if we have printed information for 2 bars, terminate
            if self.bar_count == 2:
                service.terminate()

Console

AAL
---------- in on_start 2016-09-07 09:30:00.000000

---------- in on_minute_bar 09:37:00

1 bars
bar start times:
09:30:00

---------- in on_minute_bar 09:38:00

2 bars
bar start times:
09:30:00
09:34:00