Mariner Backtesting - Strategy.backtesting_extra_symbols()

Defining additional symbol data needed for a strategy

(system method) Overview:

backtesting_extra_symbols() is used to define the additional symbol data needed for testing that might not have been selected in in_symbol_universe(). Method can be used to dynamically create the desired symbols (e.g. md.stat.avol > 1000000).

Interface:

@classmethod
def backtesting_extra_symbols(cls,
                              symbol,
                              md,
                              service,
                              account):
    pass

Parameters:

Name	Type	Default	Information
symbol	string	required	The instance of Strategy (used by the system).
md	object	required	market data object
service	object	required	service object
account	object	required	account object

Remarks:

This method is not called, if extra symbols is passed in with the submission.
return True if the symbol should in included in extra symbols.
backtesting_extra_symbols() is called for each symbol in the current trading days known symbols.
Method is called by the simulation engine (once) after is_symbol_qualified() and before instances is created.
backtesting_extra_symbols() is a @staticmethod. It is not called in the context of script (e.g. there is no self).
md - allows access to information in md.bar.daily(), and md.stat. Other md will have different behavior in backtesting vs forward testing.
service - allows acces to md.symbol_list. Other md will have different behavior in backtesting vs forward testing.
symbol is note self.symbol

Working Example:

Load market data for all symbols that start with the letter "A".

from cloudquant.interfaces import Strategy
class MyStrategy(Strategy):
  @classmethod
  def backtesting_extra_symbols(cls, symbol, md, service, account):
    if symbol.startswith('A'):
      return True
    return False

Console

None