Mariner Backtesting - Strategy.on_timer()

Timer Event

This method will be called when service.add_time_trigger() is scheduled.

Interface:

 def on_timer(self,
             event,
             md,
             order,
             service,
             account):
    pass

Data Attributes for event:

Name	Type	Information
kind	integer	Event enum (11) representing the kind of event. LIVE AND FORWARD ONLY, represents the type of event (trade, quote, news, imbalance etc)
muts	muts	Time of the Timer ? Or the System Time of Method being Calle
timer_id	object	Is a flexible object which can be passed in when using service.add_time_trigger(). Most offen used an integer or string
timestamp	muts

Working Example:

Print the timer_id when on_timer() is called.

 # Copyright Cloudquant, LLC. All right reserved.
from cloudquant.interfaces import Strategy


class OnTimerExample(Strategy):
    do_once = True

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

    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
        service.add_time_trigger(service.time(9,29), timer_id = 'a timer_id')


    def on_timer( self, event, md, order, service, account ):
        print '\nin on_timer()\n\t%s\n' % service.time_to_string(service.system_time, '%H:%M:%S.%f')
        print 'event - TimerEvent\n'

        print ' event.kind  -   ', event.kind
        #print '    event.symbol    -   ', event.symbol
        print ' event.timer_id  -   ', event.timer_id
        print ' event.timestamp -   ', event.timestamp
        print ' event.timestamp -   ', self.pt( event.timestamp, service ), '## time_to_string'

        print '\n\ndifferent timestamps\n\n## Times Converted - time_to_string ##\n\n'
        print ' service.system_time -   ', self.pt( service.system_time, service )
        print ' md.arca_imb .timestamp  -   ', self.pt( md.arca_imb .timestamp, service )
        print ' md.L1.daily_high_timestamp  -   ', self.pt( md.L1.daily_high_timestamp, service )
        print ' md.L1.daily_low_timestamp   -   ', self.pt( md.L1.daily_low_timestamp, service )
        print ' md.L1.minute_start_timestamp    -   ', self.pt( md.L1.minute_start_timestamp, service )
        print ' md.L1.timestamp -   ', self.pt( md.L1.timestamp, service )
        print ' md.nasdaq_imb.timestamp -   ', self.pt( md.nasdaq_imb.timestamp, service )
        print ' md.news.timestamp   -   ', self.pt( md.news.timestamp, service )
        print ' md.nyse_imb.timestamp   -   ', self.pt( md.nyse_imb.timestamp, service )


        service.terminate()

    def pt( self, muts, service ): #print time
        return service.time_to_string(muts, '%H:%M:%S.%f')

Console

2016-01-04
SPY

in on_timer()
    09:29:00.000000

event - TimerEvent

    event.kind  -   11
    event.timer_id  -   a timer_id
    event.timestamp -   1451917740000000
    event.timestamp -   09:29:00.000000 ## time_to_string


different timestamps

## Times Converted - time_to_string ##


    service.system_time -   09:29:00.000000
    md.arca_imb .timestamp  -   09:28:59.633000
    md.L1.daily_high_timestamp  -   19:00:00.000000
    md.L1.daily_low_timestamp   -   19:00:00.000000
    md.L1.minute_start_timestamp    -   09:29:00.000000
    md.L1.timestamp -   09:28:59.635000
    md.nasdaq_imb.timestamp -   09:28:55.110000
    md.news.timestamp   -   19:00:00.000000
    md.nyse_imb.timestamp   -   19:00:00.000000