NASDAQ imbalance events
(system method) Overview:This method will be called whenever a NASDAQ imbalance event occurs (from the totalview feed).
Interface: def on_nasdaq_imbalance(self,
event,
md,
order,
service,
account):
pass
| Name | Type | Information |
|---|---|---|
| exchange | string | "Q" exchange details |
| far_price | float | A hypothetical auction-clearing price for cross orders only. |
| imbalance_quantity | integer | The number of shares not paired at the Current Reference Price |
| kind | integer | Event enum (2) representing the kind of event. *LIVE AND FORWARD ONLY*, represents the type of event (trade, quote, news, imbalance etc) |
| near_price | float | A hypothetical auction-clearing price for cross orders as well as continuous orders (live orders in the book at the time of the calculation). |
| paired_quantity | integer | The total number of shares that are eligible to be matched at the Current Reference Price |
| price_variation_indicator | string | The absolute value of the % of deviation of the NEAR Indicative Clearing Price to the nearest Current Reference Price.
|
| reference_price | float | The price at which the NOII shares are being calculated. |
| symbol | string | Event Symbol. In most cases symbol is obvious (self.symbol, md.symbol). If the script has subscribed to multiple symbols events, then event.symbol should be used to identify the symbol. |
| timestamp | muts | Time of the imbalance event |
| type | string |
|
- Event Symbol. In most cases symbol is obvious (self.symbol, md.symbol). If the script has subscribed to multiple symbols events, then event.symbol should be used to identify the symbol.
Print the attributes of event when on_nasdaq_imbalance() is called.
from cloudquant.interfaces import Strategy
class OnNasdaqImbalanceExample(Strategy):
do_once = True
@classmethod
def is_symbol_qualified(cls, symbol, md, service, account):
return symbol == 'AAPL'
def on_start(self, md, order, service, account):
if self.__class__.do_once:
print service.time_to_string(service.system_time, '%Y-%m-%d')
self.__class__.do_once = False
print self.symbol
def on_nasdaq_imbalance( self, event, md, order, service, account ):
print '\nin on_nasdaq_imbalance()\n\t%s\n' % service.time_to_string(service.system_time, '%H:%M:%S.%f')
print 'event - NasdaqImbalanceEvent\n'
print ' event.exchange - ', event.exchange
print ' event.far_price - ', event.far_price
print ' event.imbalance_quantity - ', event.imbalance_quantity
print ' event.kind - ', event.kind
print ' event.near_price - ', event.near_price
print ' event.paired_quantity - ', event.paired_quantity
print ' event.price_variation_indicator - ', event.price_variation_indicator
print ' event.reference_price - ', event.reference_price
print ' event.symbol - ', event.symbol
print ' event.timestamp - ', event.timestamp
print ' event.type - ', event.type
service.terminate()
Console
2016-08-01
AAPL
in on_nasdaq_imbalance()
09:28:00.098000
event - NasdaqImbalanceEvent
event.exchange - Q
event.far_price - 104.5
event.imbalance_quantity - -174503
event.kind - 2
event.near_price - 104.5
event.paired_quantity - 377839
event.price_variation_indicator - L
event.reference_price - 104.63999939
event.symbol - AAPL
event.timestamp - 1470058080098000
event.type - O