Strategy finishing event
on_strategy_finish() is called on after the last instantiation of the class is completed either from the end of the testing time or service.terminate().
Interface: @classmethod
def on_strategy_finish(cls,
md,
service,
account):
pass
| Name | Type | Default | Information |
|---|---|---|---|
| cls | object | required | cls is how to read or assign class variables in a class method (compared to reading/assigning class variable in an instance method self.__class__.CLASS_VARIABLE). |
| md | Market | required | market data object |
| service | Service | required | service object |
| account | Account | required | account object |
- No return value.
- Has access to system objects: md, service and account.
- Does not have access to order. e.g. you can't cancel orders from on_strategy_finish() (use on_finish() in this case).
- Class method - @classmethod.
- Use cls to access/assign class variables (compared to reading/assigning class variable in an instance method self.__class__.CLASS_VARIABLE).
- on_strategy_finish() is a good place to do end of job activities. e.g. writing data to files or printing the account object
- 9/7/16 Test date
- Test time 16:01 - 16:02
import math
from cloudquant.interfaces import Strategy
class OnStrategyFinishExample(Strategy):
rvol = {}
@classmethod
def is_symbol_qualified(cls, symbol, md, service, account):
return md[symbol].stat.avol > 1000000
# pass external params to set rvol_check
def __init__(self, **params):
self.rvol_check = 2
if 'rvol_check' in params:
self.rvol_check = float(params['rvol_check'])
def on_finish(self, md, order, service, account):
# add all symbols that qualified, add to class variable
rvol = md.L1.rvol if not math.isnan(md.L1.rvol) else 0
if rvol > 2:
self.__class__.rvol[self.symbol] = rvol
@classmethod
def on_strategy_finish(cls, md, service, account):
# print qualifying symbols sorted by rvol
print '\n\nqualifying symbols sorted by rvol\n\nSymbol\trvol'
for symbol, rvol in sorted(cls.rvol.items(), key=lambda kv: kv[1], reverse=True):
print '%s\t%s' % (symbol, rvol)
Console
qualifying symbols sorted by rvol Symbol rvol RTRX 12.469493866 SFM 7.87747573853 HDS 7.87296915054 NAVB 7.40810823441 CTLT 6.91785335541 GEVO 5.78485202789 CPE 4.99618244171 MGT 4.7103767395 WATT 4.57672691345 WDC 4.16538858414 APA 4.16156721115 SMFG 3.67303681374 TGNA 3.6264834404 ENB 3.62280511856 SE 3.20305538177 TNXP 3.09393072128 WFM 3.04853224754 CTRP 3.03863024712 MJN 3.02748680115 CMG 2.88571834564 IMNP 2.83028125763 CPHD 2.73294305801 OLN 2.56712913513 NAV 2.48402833939 BOX 2.46957349777 BBT 2.44723916054 PCAR 2.35924911499 ILF 2.32579946518 STX 2.30630588531 SMH 2.24878120422 XON 2.21858406067 TSM 2.21845245361 DVAX 2.21349358559 NGD 2.20602798462 VMW 2.19120383263 JNUG 2.14205360413 HPE 2.13844227791 GIS 2.11158084869 IGT 2.10876774788 CCI 2.07488059998 CMI 2.07360935211 GRMN 2.00680589676