Mariner Backtesting - Market Data - md

The Mariner md Object for Market Data

Market (md - Market Data) Overview:

The Market object (referred to as md in the system interfaces) is market data. It's comprised of attributes and sub objects:

Data Attributes:

Sample - Access data attribute

 md.market_open_time

Name	Type	Information
market_close_time	muts	Timestamp marking when the market closed.
market_open_time	muts	Timestamp marking when the market opened.
symbol	string	The symbol for the event

Methods:

None

Objects:

Name	Type	Information
L1	Level1	A snapshot of the current market state (Level 1 Data).
L2	Level2	Stubbed out in backtesting. Available in forward and live trading.
bar	Bar	A snapshot of past market data
book	Book	Stubbed out in backtesting. Available in forward and live trading.
news	News	An interface to News data. News attributes get updated at the start of each day.
stat	Stat	An interface to the fundamentals for the current symbol. Stat following attributes get updated at the start of each day.

Working Example:

 from cloudquant.interfaces import Strategy

class MarketObject(Strategy):

    @classmethod
    def on_strategy_start(cls, md, service, account):
        print service.time_to_string(service.system_time, '%Y-%m-%d')

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

    def on_start( self, md, order, service, account ):
        print 'object - md\n'

        print ' md.market_close_time\t\t%s\t%s' % (md.market_close_time, service.time_to_string(md.market_close_time, '%H:%M:%S.%f') )
        print ' md.market_open_time\t\t%s\t%s' % (md.market_open_time,  service.time_to_string(md.market_open_time, '%H:%M:%S.%f') )
        print ' md.symbol   -   ', md.symbol

        service.terminate()

Console

2016-11-11
object - md

    md.market_close_time        1478898000000000    16:00:00.000000
    md.market_open_time     1478874600000000    09:30:00.000000
    md.symbol   -   SPY