Mariner Backtesting - Strategy.on_cancel()

Order Cancel Event

Called whenever a previously placed order is canceled.

Interface:

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

Data Attributes for event:

Name	Type	Information
account_id	integer	The account id of the order event. Will be the same as account id of the script.
clordid	string	Client Order Id in FIX. Is generated when the order is sent. Will be the same on executions.
expected_direction	enum	Either increase, reduce, or reverse. This will be set when the order is first placed, and is a prediction of whether your order will increase, reduce, or reverse your current posistion. Note a short on a symbol that you do not currently hold would be considered an increase of that position. This can obviously change as it's possible you have orders in flight, that haven't filled yet. Can be usefull in debugging order behavior
instruction_id	string	Unique GUID for the instance of the script that generated the initial order. Will be None if the initial order wasn't started from same machine (e.g. from trading client)
intent	string	The intent attribute you set in the order that generated this event.
kind	integer	Event enum (6) representing the kind of event. LIVE AND FORWARD ONLY, represents the type of event (trade, quote, news, imbalance etc)
line_number	string	line_number is the line in your strategy script where the order was placed that generated this event. Can be used to help debug order behavior
order_algorithm	string	The order_algorithm GUID you set in the order that generated this event. This can be useful in debugging order behavior.
order_id	string	Unique GUID of order being cancel (very similar clordid). Will be None if the initial order wasn't started from same machine (e.g. from trading client)
price	float	Price of the order/cancel.
reason	string	Text passed back on the cancel.
script_class_name	string	script_class_name represents the name of your Strategy class that placed the order that generated this event. Can be used to help debug order behavior
script_id	string	GUID of the script. Will be None if the initial order wasn't started from same machine (e.g. from trading client)
shares	integer	Shares being canceled. May differ from order shares if partially filled
state	string	Order Message's States
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.
user_key	string	user_key set on the order. Can be used to identify trades that go together (pairs/batch/strategy). account object can be filtered on user_key

Working Example:

from cloudquant.interfaces import Strategy


class OnCancelExample(Strategy):

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == "AAL"

    def on_start(self, md, order, service, account):
        #print symbol and timestamp
        print(self.symbol + "\n" + service.time_to_string(service.system_time) + "\tin on_start()\n\n")

        #instance variable
        self.do_once =True

    def on_trade(self, event, md, order, service, account):
        print( service.time_to_string(service.system_time) + "\tin on_trade()\n\n")

        if self.do_once :
            #send order
            order.algo_buy(self.symbol, "limit", intent="init", order_quantity=100, price=0.01)

            #cancel order
            order.cancel(self.symbol)

            # change instance variable to False
            self.do_once = False


    def on_cancel(self, event, md, order, service, account):
        # print a timestamp
        print( service.time_to_string(service.system_time) + "\tin on_ack()\n\n")

        print("\nAn order has been cancelled \n")

        service.terminate()

Console

AAL
2016-08-15 09:25:00.000000

2016-08-15 09:30:00.147000

An order has been cancelled