CloudQuant Mariner - Accounting account object

account object

The account object holds a lot of important information. There are a couple of different layers of the account object.

Attributes:

Sample - Access data attribute

 account.entry_pl

Name	Type	Special	Information
account_id	integer	0	This should be a unique id assigned to this account. If this parameter is not given, a unique number will be assigned.
buying_power	float	0.0	This is the maximum capital that can be used to enter or increase a position.
capital_used	float	0.0	The total sum of open_capital_long and open_capital_short for all positions at the moment .
entry_pl	float	0.0	Holds the profit/loss from the entering price of the position. When a position is entered the same day as the simulation, this metric will be identical to the market-to-market (mtm) profit/loss. When a position is carried over from one day to another, this metric may differ from the marked-to-market profit/loss. A positive entry_pl implies a profit. A negative entry_pl implies a loss.
max_capital_used	float	0.0	The maximum capital_used at any point during the simulation.
max_capital_used_timestamp	float	0.0	The timestamp when the largest ammount of open capital was being used.
mtm_pl	float	0.0	Holds the profit/loss from the marked-to-market price of the position. When a position is entered the same day as the simulation, this metric will be identical to the entry profit/loss. When a position is carried over from one day to another, this metric may differ from the entry profit/loss. A positive mtm_pl implies a profit. A negative mtm_pl implies a loss.
open_capital_long	float	0.0	Holds the long capital for all positions, unless a filter is set. If a filter is set with account.filter(key), this metric holds the long open capital with the filter key.
open_capital_short	float	0.0	Holds the short capital for all positions, unless a filter is set. If a filter is set with account.filter(key), this metric holds the short open capital with the filter key.
open_symbols	list	[]	List of symbols with open positions. Not to be confused account.positions.
pending_capital_long	float	0.0	Holds the long capital for all pending orders, unless a filter is set. If a filter is set with account.filter(key), this metric holds the long pending capital with the filter key. Note that the pending capital may change as the simulation progresses because pending capital depends on current market price since pending orders have not been filled yet.
pending_capital_short	float	0.0	Holds the short capital for all pending orders, unless a filter is set. If a filter is set with account.filter(key), this metric holds the short pending capital with the filter key. Note that the pending capital may change as the simulation progresses because pending capital depends on current market price since pending orders have not been filled yet.
pending_symbols	list	[]	List of symbols with pending orders.
realized_entry_pl	float	0.0	Holds the profit/loss from the entering price of the position. When a position is entered the same day as the simulation, this metric will be identical to the market-to-market (mtm) profit/loss. When a position is carried over from one day to another, this metric may differ from the marked-to-market profit/loss. A positive realized_entry_pl implies a profit. A negative realized_entry_pl implies a loss.
realized_mtm_pl	float	0.0	Holds the profit/loss from the entering price of the position. When a position is entered the same day as the simulation, this metric will be identical to the market-to-market (mtm) profit/loss. When a position is carried over from one day to another, this metric may differ from the marked-to-market profit/loss. A positive realized_entry_pl implies a profit. A negative realized_entry_pl implies a loss.
rejected_orders	dictionary	{}	A dictionary of symbols with rejected orders. Per symbol there is a list of rejected orders (). rejected_orders details
unrealized_entry_pl	float	0.0	Holds the profit/loss from the entering price of the current market price of the open position. When a position is entered the same day as the simulation, this metric will be identical to the market-to-market (mtm) profit/loss. When a position is carried over from one day to another, this metric may differ from the marked-to-market profit/loss. A positive unrealized_entry_pl implies that exiting the position at the current price will result in a profit. A negative unrealized_entry_pl implies that reducing the current position will result in a loss.
unrealized_mtm_pl	float	0.0	Holds the profit/loss from the marked-to-market price of the position. When a position is entered the same day as the simulation, this metric will be identical to the unrealized entry profit/loss. When a position is carried over from one day to another, this metric may differ from the unrealized entry profit/loss. A positive unrealized_entry_pl implies that exiting the position at the current price will result in a profit. A negative unrealized_entry_pl implies that reducing the current position will result in a loss.

Methods:

filter() - method to filter account object by user_key

Objects:

None

Filtering:

There are two special filtering features (symbol and user_key)

symbol - access account object attributes by symbol
user_key - create special view of the account object by user_key

Remarks:

account has basic attributes, but also special filtering
two special lists to quickly find pending_orders and open_positions
two special dictionaries for pending_symbols, rejected_orders with details by symbol
print account gives a nice display of the account object

Working Example:

 from cloudquant.interfaces import Strategy

class ExampleWorkingWithTheAccountObject(Strategy):

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

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

        # generate a reject
        order.algo_buy(self.symbol, "market", intent="exit")

        # generate a execution
        order.algo_buy(self.symbol, "market", intent="init", order_quantity=100)

        # generate a pending
        order.algo_buy(self.symbol, "limit", price=0.01, intent="increase", order_quantity=100, allow_multiple_pending=True)

        # generate a closed position
        order.algo_sell(self.symbol, "market", intent="none", order_quantity=50, allow_multiple_pending=True)

    def on_ack(self, event, md, order, service, account):
        print '\n\n.............................\non_ack\n\t%s\n' % service.time_to_string(service.system_time, '%H:%M:%S.%f')
        print event

    def on_reject(self, event, md, order, service, account):
        print '\n\n.............................\non_reject\n\t%s\n' % service.time_to_string(service.system_time, '%H:%M:%S.%f')
        print event

    def on_fill(self, event, md, order, service, account):
        print '\n\n.............................\non_fill\n\t%s\n' % service.time_to_string(service.system_time, '%H:%M:%S.%f')
        print event

    def on_finish(self, md, order, service, account):
        print '\n\n.............................\non_finish\n\t%s\n' % service.time_to_string(service.system_time, '%H:%M:%S.%f')
        print account

        print '\n\naccount.rejected_orders'
        print account.rejected_orders

Console

.............................
on_reject
    09:30:59.888000

RejectEvent(instruction_id='671296a9-ce91-4801-8806-24d03f03d7b8', script_id=u'dda9513c-7e9b-4c10-b29b-ed39994c9c02', user_key=None, order_id='0000000000000001', state='L', reason='when intent is exit, current_position cannot be 0', timestamp=1461331859888000, symbol=u'QQQ', account_number=0, clordid=None, kind=10)


.............................
on_fill
    09:31:00.016000

FillEvent(instruction_id='671296a9-ce91-4801-8806-24d03f03d7b8', script_id=u'dda9513c-7e9b-4c10-b29b-ed39994c9c02', user_key='671296a9-ce91-4801-8806-24d03f03d7b8', order_id='0000000000000002', state='F', price=109.19000244140625, shares=100, timestamp=1461331860016000, symbol=u'QQQ', account_number=0, clordid=None, collect=None, kind=8)


.............................
on_fill
    09:31:00.016000

FillEvent(instruction_id='671296a9-ce91-4801-8806-24d03f03d7b8', script_id=u'dda9513c-7e9b-4c10-b29b-ed39994c9c02', user_key='671296a9-ce91-4801-8806-24d03f03d7b8', order_id='0000000000000004', state='F', price=109.18000030517578, shares=-50, timestamp=1461331860016000, symbol=u'QQQ', account_number=0, clordid=None, collect=None, kind=8)


.............................
on_ack
    09:31:00.018000

AckEvent(instruction_id='671296a9-ce91-4801-8806-24d03f03d7b8', script_id=u'dda9513c-7e9b-4c10-b29b-ed39994c9c02', user_key='671296a9-ce91-4801-8806-24d03f03d7b8', order_id='0000000000000002', state='N', price=0.0, shares=100, timestamp=1461331860018000, symbol=u'QQQ', account_number=0, clordid=None, kind=9)


.............................
on_ack
    09:31:00.018000

AckEvent(instruction_id='671296a9-ce91-4801-8806-24d03f03d7b8', script_id=u'dda9513c-7e9b-4c10-b29b-ed39994c9c02', user_key='671296a9-ce91-4801-8806-24d03f03d7b8', order_id='0000000000000003', state='N', price=0.01, shares=100, timestamp=1461331860018000, symbol=u'QQQ', account_number=0, clordid=None, kind=9)


.............................
on_ack
    09:31:00.018000

AckEvent(instruction_id='671296a9-ce91-4801-8806-24d03f03d7b8', script_id=u'dda9513c-7e9b-4c10-b29b-ed39994c9c02', user_key='671296a9-ce91-4801-8806-24d03f03d7b8', order_id='0000000000000004', state='N', price=0.0, shares=-50, timestamp=1461331860018000, symbol=u'QQQ', account_number=0, clordid=None, kind=9)
WARNING: The latest event MarketCloseEvent(timestamp=1461355200000000) occurred after the requested end of the simulation. This may not have been intended.


.............................
on_finish
    09:31:59.858000

account_number:                      0
entry_pl:                        -0.50
mtm_pl:                          -0.50
buying_power:                     0.00
open_capital_long:             5459.50
open_capital_short:               0.00
pending_capital_long:         10930.00
pending_capital_short:            0.00
QQQ: 
    Execution count   :              2
    realized_pl       :
        entry_pl      :          -0.50
        mtm_pl        :          -0.50
        matched_trades:              1
    position          :
        shares        :             50
        entry_price   :         109.19
        mtm_price     :         109.19
        capital_long  :        5459.50
        short_capital :           0.00
    pending           :
        count_long    :              1
        shares_long   :            100
        capital_long  :       10930.00
        count_short   :              0
        shares_short  :              0
        captial_short :           0.00


account.rejected_orders
{u'QQQ': [OrderedDict([('intent', 'exit'), ('symbol', u'QQQ'), ('price', 0.0), ('shares', 0), ('explanation', None), ('flags', 0), ('exit_script', None), ('exit_parameters', None), ('exit_options', None), ('collect', None), ('order_id', '0000000000000001'), ('order_algorithm', 'market'), ('clordid', None), ('instruction_id', '671296a9-ce91-4801-8806-24d03f03d7b8'), ('script_id', u'dda9513c-7e9b-4c10-b29b-ed39994c9c02'), ('user_key', None), ('filled_shares', 0), ('timestamp', 1461331859888000), ('state', 'L'), ('reason', 'when intent is exit, current_position cannot be 0'), ('account_number', 0), ('kind', 10)])]}