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      Mariner Backtesting - Strategy.on_trade()

      On Trade Event

      This method will be called whenever a trade occurs on the SIP feed for trades that would be included in the minute bar (Sales Conditions).

      Interface: 
       def on_trade(self,
             event,
             md,
             order,
             service,
             account):
    pass
      Data Attributes for event:

      Event attributes returned in backtesting differ from those returned in live environments (see bottom of page)

       

      If you plan to take your code live we recommend using md.L1. variables rather than event. variables in your code (to ensure smooth transfer to live environment).

       

      ie use md.L1.ask rather than event.ask

       

      Name Type Information
      agr_ask_size integer Sum of all ask participants in the SIP data.
      agr_bid_size integer Sum of all bid participants in the SIP data.
      ask float Current best ask price.
      ask_exch string Best ask exchange ID. Exchange with largest size. ask_exch details *LIVE AND FORWARD ONLY*
      ask_size integer Number of lots (from md.stat.lot_size) at current best ask price.
      bid float Current best bid price.
      bid_exch string Best bid exchange ID. Exchange with largest size. bid_exch details *LIVE AND FORWARD ONLY*
      bid_size integer Number of lots (from md.stat.lot_size) at current best bid price.
      exchange string Exchange of the last trade. exchange details
      flags integer  
      is_halted boolean Text description for halt from primary exchange. *LIVE AND FORWARD ONLY*.
      kind integer Event enum (12) representing the kind of event. *LIVE AND FORWARD ONLY*, represents the type of event (trade, quote, news, imbalance etc)
      last float Price of the last trade.
      last_size integer Number of shares of last trade.
      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 Timestamp of the event
      trade_condition string Up to 4 conditions associated with the last trade. Treat this as a Python list (e.g. '6' in [ '6', 'X' ] == True is True. 'sales' information (from the trade data).
      Remarks:
      • 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.
      Working Example:

      Print the attributes of event when on_trade() is called.

       from cloudquant.interfaces import Strategy


class OnTradeExample(Strategy):
    do_once = True

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol in ['SPY', 'AAPL', 'FB', 'GOOGL', 'AMZN']

        # create a variable to track the trade count
    def on_start(self, md, order, service, account):
        self.trade_count = 0


    def on_trade( self, event, md, order, service, account):

        self.trade_count += 1

    def on_finish(self, md, order, service, account):
        print(self.symbol + ' tradecount:\t ' + str(self.trade_count) + '\n')

      Console

      AAPL tradecount:     234393

AMZN tradecount:     67387

FB tradecount:   132999

GOOGL tradecount:    37270

SPY tradecount:  412893

       

      Data Attribute returns for Event on Backtesting vs Live systems :

      Backtesting = (timestamp, symbol, last, last_size, exchange, ask, ask_size, bid, bid_size, trade_condition, agr_bid_size, agr_ask_size, flags)

      CQLive = (timestamp, symbol, last, last_size, exchange, trade_condition, trade_id, trade_direction, trade_position, minute_bar_index, ext_minute_bar_index, daily_bar_index, is_halted, is_excluded_from_minute_volume, is_excluded_from_minute_price, is_excluded_from_daily_volume, is_excluded_from_daily_price, minute_bar_shifted, num_trades)

      Gr8py = (exchange, kind, last, last_size, trade_condition, trade_id, trade_positon, trade_direction, opening_trade, opening_trade_volume, opening_trade_timestamp, opening_trade, closing_trade, closing_trade_volume, closing_trade_timestamp, close, day_high, day_low, acc_volume, core_acc_volume, primary_acc_volume, rvol, vwap, ssr, bid_exch, bid, bid_size, agr_bid_size, ask_exch, ask, ask_size, is_halted, lower_limit_price_band, upper_limit_price_band, symbol, micros_in_queue)