Mariner Backtesting - Write CSV, service.write_file

service.write_file()

Write Csv Overview:

In this lesson, you will learn how to write files to user_data using service.write_file().

Interface

 service.write_file('reject_data', temp_string, mode='overwrite')

This method call opens the reject_data file and overwrites the previous text with temp_string.

Basic use case:

Log trade information from on_trade, on_fill, or on_reject.

Below is the information logged in this example from on_reject.

 temp_string = "\n%s,%s,%s,%s,%s,%s" % (event.script_class_name, event.symbol, event.state,
event.intent, event.order_algorithm, event.reason.replace(",", " "))
service.write_file('reject_data', temp_string)

Comma separated values(csv) from On_reject event information are written to file for later use.

Working Example:

Writing on_reject information in csv format.

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

class WriteCsvExample(Strategy):

    @classmethod
    def on_strategy_start(cls, md, service, account):
        # create a global variable
        cls.only_once = True

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        # only run script on AAL and AAPL
        return (symbol == "AAL" or symbol == "AAPL")

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

        # only do once per run of the script
        if self.__class__.only_once == True:

            # set variable to False
            self.__class__.only_once = False

            # set up the csv dictionary. List the names of each of the items with a comma seperating them.
            temp_string = "%s,%s,%s,%s,%s,%s" % ('script_name', 'symbol', 'state', 'intent', 'order_algorithm', 'reason')

            # replace the text in reject_data with temp_string
            service.write_file('reject_data', temp_string, mode='overwrite')

        print(self.symbol + "\n" + service.time_to_string(service.system_time) + "\n")

        # send 2 simultaneous orders to with allow_multiple_pending set to False to trigger a reject
        order.algo_buy(self.symbol, algorithm='market', intent='init', order_quantity=100)
        order.algo_buy(self.symbol, algorithm='market', intent='increase', order_quantity=100)

        # sell shares you don't have with intent "exit" to trigger a reject
        order.algo_sell(self.symbol, "market", intent="exit")

    def on_reject(self, event, md, order, service, account):

        print("\n\nin on_reject\n\n")
        print event

        # replace all commas in event.reason to avoid an error with reading as csv
        # create a temporary variable to hold the string that will be written to file
        # all values separated by commas
        temp_string = "%s,%s,%s,%s,%s,%s" % (
            event.script_class_name, event.symbol, event.state, event.intent, event.order_algorithm, event.reason.replace(",", " "))

        service.write_file('reject_data', temp_string)

Console

Note: Not actual console, but the user_data file reject_data

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 example shows you how to write files as csv. In the next lesson you will learn how to read the csv files as dictionaries.