Mariner Backtesting - Accounting Pending Orders

account[symbol].pending

account[symbol].pending Overview:

is a special way of filtering the account object by symbol for attributes about the account's pending orders.

Attributes:

Sample - Access data attribute

 account[self.symbol].pending.capital_long

Name	Type	Information
capital_long	float	Capital floating in the market long. This is calculated by taking the current market price for each order and multiplying by the number of shares. If the order's symbol is opening or closing, the market price will be the last symbol price. Otherwise, the price will be the most recent ask.
capital_short	float	Capital floating in the market long. capital_short are negative numbers. This is calculated by taking the current market price for each order and multiplying by the number of shares. If the order's symbol is opening or closing, the market price will be the last symbol price. Otherwise, the price will be the most recent bid.
count_long	integer	Count of long orders pending.
count_short	integer	Count of short orders pending.
orders	list[PendingOrder]	List of all pending orders, including those that have passed pre-trade risk checks and exchange checks, and orders that have not been checked yet.
shares_long	integer	Sum of long shares pending
shares_short	integer	Sum of short shares pending. shares_short are negative numbers.

PendingOrder object - tuple

 PendingOrder( script_id=u'bd3f152e-6e88-4f70-8ae3-0e44039094f1',  user_key='0ff93b0a-6151-4bf6-8bda-de33259941b1',  filled_shares=0,  timestamp=1469799059915000 )

Name	Type	Information
clordid	string	Client Order Id in FIX. Is generated when the order is sent. Will be the same on executions.
collect	object	json dictionary of information collected at the time of the order. None means nothing collected.
exit_options	dictionary	Dictionary of system parameters for controlling the exit strategy. None means no system parameters.
exit_parameters	object	Dictionary of parameters for the exit script. None means no parameters.
exit_script	object	Guid of the exit script. None means no exit script.
explanation	string	Defaults to None. Can be used to add a note to the order about why it was placed.
filled_shares	integer	Tells how many shares from this order have been filled. This is only applicable if partial filling of orders is allowed (by default, partial filling is allowed). Defaults to 0.
flags	integer	Defaults to 0. flags is used by the simulator engine to determine which and how orders are allowed to be placed. Currently only used by allow_multiple_pending when placing an order.
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	Intended position change. One of "none", "init", "increase", "decrease", "exit", "reverse". "init" - Initiate a long or short position. Must be flat. "increase" - Increase a long or short position. Can be flat or in a position. "decrease" - Decrease a current long or short position by the specified shares. (Note: "order_quantity" > 0). Will not cover/liquidate more than the position. "exit" - Liquidates a long position or covers a short position. Exit - covers/liquidates the entire position. Shares not permitted when intent is exit. "reverse" - Reverse a short position to a long position, or a long postion to short. We recommend using "position_size" instead of "order_quantity" to specify desired position. "none" - Skip intent check. In production, very few scripts uses this setting.
order_algorithm	string	Name of algorithm to process order with.
order_id	object	Unique GUID of order being filled (very similar clordid). Will be None if the initial order wasn't started from same machine (e.g. from trading client)
price	float	Pending order price
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	object	Pending order's shares. Always positive number, whether buy or sell execution
symbol	string	Symbol of pending order.
timestamp	muts	Timestamp of trade
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

Remarks:

Works like a dictionary filtering on the account object.
Rather than summing long and short pending order (should it be absolute or netted), there are two separate attributes for tracking long/short capital and shares. Manipulate as needed.
capital_short and shares_short are negative numbers.

Working Example:

Backtest for SPY on 2/16/16 from 9:31-9:32.

 from cloudquant.interfaces import Strategy


class AccountObjectSymbolPending(Strategy):
    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == 'TQQQ'

    def on_start(self, md, order, service, account):
        # generate rejected orders
        order.algo_buy(self.symbol, "limit", intent="increase", order_quantity=100, price=0.01,
                       allow_multiple_pending=True)
        order.algo_buy(self.symbol, "limit", intent="increase", order_quantity=100, price=0.02,
                       allow_multiple_pending=True)
        order.algo_buy(self.symbol, "limit", intent="increase", order_quantity=100, price=0.03,
                       allow_multiple_pending=True)

        order.algo_sell(self.symbol, "limit", intent="increase", order_quantity=100, price=10000.01,
                        allow_multiple_pending=True)
        order.algo_sell(self.symbol, "limit", intent="increase", order_quantity=100, price=10000.02,
                        allow_multiple_pending=True)
        order.algo_sell(self.symbol, "limit", intent="increase", order_quantity=100, price=10000.03,
                        allow_multiple_pending=True)

    def on_finish(self, md, order, service, account):
        print '\n\n.............................\non_finish\n\t%s\n' % service.time_to_string(service.system_time,
                                                                                              '%H:%M:%S.%f')
        print account

        print '\n\naccount[self.symbol].pending'
        print account[self.symbol].pending

        print '\n\naccount[self.symbol].pending.capital_long  -   %s' % account[self.symbol].pending.capital_long
        print 'account[self.symbol].pending.capital_short  -   %s' % account[self.symbol].pending.capital_short
        print 'account[self.symbol].pending.count_long  -   %s' % account[self.symbol].pending.count_long
        print 'account[self.symbol].pending.count_short  -   %s' % account[self.symbol].pending.count_short
        print 'account[self.symbol].pending.shares_long  -   %s' % account[self.symbol].pending.shares_long
        print 'account[self.symbol].pending.shares_short  -   %s' % account[self.symbol].pending.shares_short

Console

.............................
on_finish
    16:00:00.000000

account_id:                                 0
entry_pl:                                0.00
mtm_pl:                                  0.00
buying_power:                            None
open_capital_long:                       0.00
open_capital_short:                      0.00
pending_capital_long:                    0.00
pending_capital_short:                   0.00
max_capital_used:                        0.00
max_capital_used_timestamp:                 0
open_symbols:                []
pending_symbols:             ['TQQQ']
SPY:
    Execution count     :              0
    realized_pl         :
        entry_pl        :           0.00
        mtm_pl          :           0.00
        matched_trades  :              0
    unrealized_pl       :
        entry_pl        :           0.00
        mtm_pl          :           0.00
    position            :
        shares          :              0
        entry_price     :           0.00
        mtm_price       :           0.00
        capital_long    :           0.00
        capital_short   :           0.00
    pending             :
        count_long      :              0
        shares_long     :              0
        capital_long    :           0.00
        count_short     :              0
        shares_short    :              0
        capital_short   :           0.00
QQQ:
    Execution count     :              0
    realized_pl         :
        entry_pl        :           0.00
        mtm_pl          :           0.00
        matched_trades  :              0
    unrealized_pl       :
        entry_pl        :           0.00
        mtm_pl          :           0.00
    position            :
        shares          :              0
        entry_price     :           0.00
        mtm_price       :           0.00
        capital_long    :           0.00
        capital_short   :           0.00
    pending             :
        count_long      :              0
        shares_long     :              0
        capital_long    :           0.00
        count_short     :              0
        shares_short    :              0
        capital_short   :           0.00
TQQQ:
    Execution count     :              0
    realized_pl         :
        entry_pl        :           0.00
        mtm_pl          :           0.00
        matched_trades  :              0
    unrealized_pl       :
        entry_pl        :           0.00
        mtm_pl          :           0.00
    position            :
        shares          :              0
        entry_price     :           0.00
        mtm_price       :           0.00
        capital_long    :           0.00
        capital_short   :           0.00
    pending             :
        count_long      :              3
        shares_long     :            300
        capital_long    :       38343.00
        count_short     :              3
        shares_short    :           -300
        capital_short   :      -38328.00


account[self.symbol].pending
        count_long      :              3
        shares_long     :            300
        capital_long    :       38343.00
        count_short     :              3
        shares_short    :           -300
        capital_short   :      -38328.00


account[self.symbol].pending.capital_long  -   38342.9992676
account[self.symbol].pending.capital_short  -   -38328.0006409
account[self.symbol].pending.count_long  -   3
account[self.symbol].pending.count_short  -   3
account[self.symbol].pending.shares_long  -   300
account[self.symbol].pending.shares_short  -   -300