Mariner Backtesting - Strategy

 from cloudquant.interfaces import Strategy

 from cloudquant.interfaces import Strategy

class MyClass(Strategy):

    ########################################################################################
    #
    # high level strategy - start/finish
    #
    ########################################################################################

    # called when the strategy starts (aka before anything else)
    @classmethod
    def on_strategy_start(cls, md, service, account):
        pass

    # called when the strategy finish (aka after everything else has stopped)
    @classmethod
    def on_strategy_finish(cls, md, service, account):
        pass

    ########################################################################################
    #
    # symbol universe 
    #
    ########################################################################################

    # note that this doesn't start with "self" because it's a @staticmethod
    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return True

    # used to load other symbols data not in is_symbol_qualified(). Only used in backtesting
    @classmethod
    def backtesting_extra_symbols(cls, symbol, md, service, account):
        return False

    ########################################################################################
    #
    # start/finish instance related methods
    #
    ########################################################################################

    # used to pass external parameters for each instance (same for values for every instance)
    def __init__(self): #, **params - if passing in parameters is desired
        pass

    # called at the beginning of each instance
    def on_start(self, md, order, service, account):
        pass

    # if running with an instance per symbol, call when an instance is terminated
    def on_finish(self, md, order, service, account):
        pass

    ########################################################################################
    #
    # timer method
    #
    ########################################################################################

    # called in timer event is received
    def on_timer(self, event, md, order, service, account):
        pass

    ########################################################################################
    #
    # market data related methods
    #
    ########################################################################################

    # called every minute before the first on_trade of every new minute, or 5 seconds after a new minute starts
    def on_minute_bar(self, event, md, order, service, account, bar):
        pass
    # called when time and sales message is received
    def on_trade(self, event, md, order, service, account):
        pass

    # called when national best bid offer (nbbo) prices change (not size)
    def on_nbbo_price( self, event, md, order, service, account ):
        pass

    # called when arca imbalance message is received
    def on_arca_imbalance(self, event, md, order, service, account):
        pass

    # called when nasdaq imbalance message is received
    def on_nasdaq_imbalance(self, event, md, order, service, account):
        pass

    # called when nyse/amex/nsye mkt/openbook message is received
    def on_nyse_imbalance(self, event, md, order, service, account):
        pass

    ########################################################################################
    #
    # order related methods
    #
    ########################################################################################

    # called when order considered pending by the system
    def on_ack(self, event, md, order, service, account):
        pass

    # called when an order is rejected (locally or other parts of the order processes e.g. the market)
    def on_reject(self, event, md, order, service, account):
        pass

    # called when the position changes in this account and symbol (whether manually or automated)
    def on_fill(self, event, md, order, service, account):
        pass

    # called when the market has confirmed an order has been canceled
    def on_cancel(self, event, md, order, service, account):
        pass