Persisting State Information Using On_Restore

db604859

I'm trying to create a state dictionary that will persist across the daily simulations. There is an example in the API documentation on how to do this (APIs/CloudQuant/Strategy/on_restore):

https://app.cloudquant.com/#/glossary/81

I've made a copy of this code and run a test with the multi-day flag set, but I am not getting the output shown in the example. Specifically, I am not seeing the saving / restoring print messages. I wonder if anyone else has had success with this script?

ptunney

I suspect that feature has been deprecated, I will confirm and replace the documentation with an alternative as soon as I get confirmation from the devs.

In the mean time I would suggest you set up the variables you wish to persist in the class.
I recommend using a default dict which returns a default value when you query for an entry that does not exist...

See example code below..

# "RUN AS A SINGLE MULTIDAY JOB"
# If you are on CQ Elite you can "ENABLE FAST SIMULATION" as script does not use any ELITE functions

from cloudquant.interfaces import Strategy
from collections import defaultdict

class multidayModel(Strategy):

    dataStore=defaultdict(lambda: defaultdict(lambda: 0))  #lets call our DefaultDict "dataStore"

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

    def on_start(self, md, order, service, account):
        print "\n",self.symbol," Shares : ",account[self.symbol].position.shares,"  Days : ",multidayModel.dataStore[self.symbol]['inPos']

        # if we are in a position, add one to the day.
        if account[self.symbol].position.shares!=0:
            multidayModel.dataStore[self.symbol]['inPos']=multidayModel.dataStore[self.symbol]['inPos']+1
            print self.symbol,"Day",multidayModel.dataStore[self.symbol]['inPos']

        # if nothing in datastore, then we are not in a position so we enter a position.            
        if multidayModel.dataStore[self.symbol]['inPos'] == 0:     
            order.algo_buy(self.symbol,"market","init",order_quantity=100)
            multidayModel.dataStore[self.symbol]['inPos'] = 1
            print "\nEntering Long ",self.symbol

        # if there is something in the datastore, is it a 5.. if so, lets exit and set the datastore to 999
        elif multidayModel.dataStore[self.symbol]['inPos'] == 5 :
            order.algo_sell(self.symbol,"market","exit")
            print "\nDay ",multidayModel.dataStore[self.symbol]['inPos']," Exiting Long ",self.symbol
            multidayModel.dataStore[self.symbol]['inPos'] = 999

Paul

db604859

Thanks Paul. I've taken this approach and it is working fine.