Mariner Backtesting - Strategy.on_nyse_imbalance()

Market Data - NYSE Openbook Imbalances Event

This method will be called whenever a NYSE or NYSE Mkt (aka AMEX) imbalance event occurs (from the openbook feed).

Interface:

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

Data Attributes for event:

Name	Type	Information
SSR_filling_price	float	This field contains the SSR Filing Price. This price is the price at which Sell Short interest will be filed in the matching in the event a Sell Short Restriction is in effect for the security. The SSR Filing price is based on the National Best Bid at 9:28am . This price remains static after the SSR Filing price has been determined.
clearing_price	float	The indicative matching price, the price closest to Reference Price where imbalance is zero. If a continuous book clearing price is not reached, it is defaulted to 0. The Opening Clearing Price will begin publication at approximately 2 minutes (9.28am) and will continue to be published on with the next Opening Imbalance publication interval
closing_only_clearing_price	float	The Closing Only Clearing Price is defined as the closing only interest where price closest to last sale where imbalance is zero.
condition_indicator	string	"I" - Informational "R" - Regulatory
exchange	string	"N" - NYSEexchange details
imbalance_quantity	integer	The total imbalance quantity at the reference price point. '+' shares indicates buy imbalance '-' shares indicates a sell imbalance.
paired_quantity	integer	This field contains the paired off quantity at the reference price point. Similar to Matched Shares from ARCA and NASDAQ.
reference_price	float	The Imbalance reference price point.
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
type	string	"O" - Open "H" - Halt/IPO "C" - Close

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_nyse_imbalance() is called.

from cloudquant.interfaces import Strategy


class OnNyseImbalanceExample(Strategy):
    do_once = True

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

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


        print ' event.clearing_price    -   ', event.clearing_price
        print ' event.closing_only_clearing_price   -   ', event.closing_only_clearing_price
        print ' event.condition_indicator   -   ', event.condition_indicator
        print ' event.exchange  -   ', event.exchange
        print ' event.imbalance_quantity    -   ', event.imbalance_quantity
        print ' event.kind  -   ', event.kind
        print ' event.paired_quantity   -   ', event.paired_quantity
        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
JNJ

in on_nyse_imbalance()
    09:28:00.040000

event - NyseImbalanceEvent

    event.clearing_price    -   125.190002441
    event.closing_only_clearing_price   -   0.0
    event.condition_indicator   -   0
    event.exchange  -   N
    event.imbalance_quantity    -   -1800
    event.kind  -   3
    event.paired_quantity   -   90100
    event.reference_price   -   125.230003357
    event.symbol    -   JNJ
    event.timestamp -   1470058080040000
    event.type  -   O