Mariner Backtesting - Read CSV service.read_file()

Reading a file from your private user data

In this lesson, you will learn how to read csv files as dictionaries, using service.read_file(), to read a user_data file.

 data = service.read_file('reject_data', 'csv')

The above method call opens the reject_data file and creates a dictionary for each line in the file(besides the first). The top line of reject_data will be the names for all the dictionaries, and all subsequent lines will be values.

When reading csv files, make sure your data contains no commas. Values containing commas cause your script to fail.

This is the reject_data file:

script_name,symbol,state,intent,order_algorithm,reason
write_csv,AAL,L,increase,market,multiple pending orders not allowed while allow_multiple_pending is false
write_csv,AAL,L,exit,market,when intent is exit  current_position cannot be 0
write_csv,AAPL,L,increase,market,multiple pending orders not allowed while allow_multiple_pending is false
write_csv,AAPL,L,exit,market,when intent is exit  current_position cannot be 0

This is what the CSV object holds after calling the method: service.read_file('reject_data', 'csv').

{'order_algorithm': 'market', 'symbol': 'AAL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'multiple pending orders not allowed while allow_multiple_pending is false', 'intent': 'increase'}
{'order_algorithm': 'market', 'symbol': 'AAL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'when intent is exit  current_position cannot be 0', 'intent': 'exit'}
{'order_algorithm': 'market', 'symbol': 'AAPL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'multiple pending orders not allowed while allow_multiple_pending is false', 'intent': 'increase'}
{'order_algorithm': 'market', 'symbol': 'AAPL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'when intent is exit  current_position cannot be 0', 'intent': 'exit'}

Reading reject_data as dictionaries.

Note: the reject_data file used in the example is the above file.

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

class ReadCsvExample(Strategy):


    @classmethod
    def on_strategy_start(cls, md, service, account):

        # read the reject_data file as a dictionary by setting the format to csv
        data = service.read_file('reject_data', 'csv')

        # print the data
        print("Rejection data:\n\n")


        # create a variable to track number of rejections
        reject_count = 1

        # for each reject dictionary in data
        for reject in data:
            # print reject count and increment variable
            print("Reject " + str(reject_count) + ":\n")
            reject_count +=1

            print("There was a rejection in the " + reject["script_name"] + " script. The " + reject["symbol"] + " " +
            reject["order_algorithm"] + " order intending to " + reject["intent"] + " failed because " + reject["reason"] + ".\n\n" )

        # print all the data
        print("\nRejection Dictionaries:\n\n")
        for row in data:
            print row

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        # Prevent any symbols from backtesting to save time
        return False

Console

Rejection data:

Reject 1:

There was a rejection in the write_csv script. The AAL market order intending to increase failed because multiple pending orders not allowed while allow_multiple_pending is false.


Reject 2:

There was a rejection in the write_csv script. The AAL market order intending to exit failed because when intent is exit  current_position cannot be 0.


Reject 3:

There was a rejection in the write_csv script. The AAPL market order intending to increase failed because multiple pending orders not allowed while allow_multiple_pending is false.


Reject 4:

There was a rejection in the write_csv script. The AAPL market order intending to exit failed because when intent is exit  current_position cannot be 0.



Rejection Dictionaries:


{'order_algorithm': 'market', 'symbol': 'AAL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'multiple pending orders not allowed while allow_multiple_pending is false', 'intent': 'increase'}
{'order_algorithm': 'market', 'symbol': 'AAL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'when intent is exit  current_position cannot be 0', 'intent': 'exit'}
{'order_algorithm': 'market', 'symbol': 'AAPL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'multiple pending orders not allowed while allow_multiple_pending is false', 'intent': 'increase'}
{'order_algorithm': 'market', 'symbol': 'AAPL', 'state': 'L', 'script_name': 'write_csv', 'reason': 'when intent is exit  current_position cannot be 0', 'intent': 'exit'}

This is a basic example of how reading CSV files can be used. For a more advanced example, see Advanced Read