Mariner Backtesting - Strategy.on_news()

News Event (news wire or story)

This method will be called whenever a news event occurs in a given symbol (as either the main symbol or secondary symbol of the news event).

Interface:

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

Data Attributes for event:

Name	Type	Information
headline	string	News headline.
hyperlink	string	Web URL to the news story.
kind	integer	Event enum (5) representing the kind of event. LIVE AND FORWARD ONLY, represents the type of event (trade, quote, news, imbalance etc)
provider_name	string	Name of the news story provider.
source_instructions	string	Source instructions of news story.
story_codes	string	Tags relating to story's subject matter
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.
symbols	list	List of symbols related to the news story.
synopsis	string	Summary of the news story.
timestamp	muts	Timestamp of the event.
wire_description	string	Human-readable version of the provider_name field.

Remarks:

Date ranges?
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_news() is called.

from cloudquant.interfaces import Strategy


class OnNewsExample(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

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

        print ' event.headline  -   ', event.headline
        print ' event.hyperlink -   ', event.hyperlink
        print ' event.kind  -   ', event.kind
        print ' event.provider_name -   ', event.provider_name
        print ' event.source_instructions   -   ', event.source_instructions
        print ' event.story_codes   -   ', event.story_codes
        print ' event.symbol    -   ', event.symbol
        print ' event.symbols   -   ', event.symbols
        print ' event.synopsis  -   ', event.synopsis
        print ' event.timestamp -   ', event.timestamp
        print ' event.wire_description  -   ', event.wire_description

        service.terminate()

Console

2015-03-31
XLF

in on_news()
    10:36:46.403000

event - NewsEvent

    event.headline  -   *Financial Select Sector overall volatility at 15, 26-week average is 17
    event.hyperlink -   
    event.kind  -   5
    event.provider_name -   FLYWALL_
    event.source_instructions   -   
    event.story_codes   -   IS/fin.markets;IS/fin.options;IS/fin;NT/Derivs.Equity;NT/Derivs;NT/Ideas.Options;NT/Ideas;XC/NYSEArca;XC/any.US;XC/any.company;XC/any.public;PS/p.FLYWALL_;PS/s.USEQUITY;PC/t.150331063646144;PS/Live_News_Feed;PS/src.4001.2;PS/.Live_News_Feed;SU/Options;PS/Options_News
    event.symbol    -   XLF
    event.symbols   -   []
    event.synopsis  -   
    event.timestamp -   1427812606403000
    event.wire_description  -   TheFlyOnTheWall