Wabash Simple Order Question

ptunney

A simple script to start off our Wabash students...

from cloudquant.interfaces import Strategy

class testwabash(Strategy):

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return md.stat.prev_close>10 and md.stat.prev_close<11

    def on_start(self, md, order, service, account): 
        self.position = 0

    def on_trade(self, event, md, order, service, account):
        if md.L1.last>10.90 and event.timestamp<service.time(9, 32, 0, 0) and self.position==0:
            order.send(self.symbol, 'buy', 10, type='MKT') 
            self.position = 1
            print self.symbol,md.L1.last,md.L1.last_size, service.time_to_string(event.timestamp,format="%Y-%m-%d %H:%M:%S.%f") 
        if event.timestamp>service.time(9, 33, 0, 0) and self.position == 1:
            myshares=account[self.symbol].position.shares
            order.send(self.symbol, 'sell', myshares, type='MKT') 
            self.position = 2

ptunney

The students also expressed an interest in VANGUARD ETFs and a little confustion surrounding how "tabbing in" works in Python.

So I modified the code as follows.
I also added a lot of comments and explanation of how commenting and tabbing works...

from cloudquant.interfaces import Strategy

class testwabash2(Strategy):

    # Putting a # in your code means, "anything after this is just a comment.. do not run!"
    # note how each of the callbacks are tabbed in 1 tab (or 4 spaces) under our class.
    # all our code will be tabbed in like this
# comments do not have to be tabbed in...

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
# you can also use # to "comment out" code that you do not want to run but may wish to add back in at a later time.
# putting a hash at the start of a line of code still means "this is a comment, do not run", as we have with the line below from our original script.
#        return md.stat.prev_close>10 and md.stat.prev_close<11 
# you can also place a # at the end of a line of code to place comments there as below. In this case the code will run, the comment will not...
        etf_list_guid = "82e8721e-d9fe-4ac4-b597-5197a4309a60" # search under documentation main page for ETF and you will see this. It is the list of ETF symbols on each backtest date.
        etf = service.symbol_list.in_list(service.symbol_list.get_handle(etf_list_guid),symbol) # this takes that list reference (GUID) and the symbol and returns a True of False if the symbol is or is not in the list.
        if etf and symbol.startswith('VT'): # We want ETFs that start with VT for Vanguard ETFs. A check of the internet revealed a python command "startswith". A nice easy solution.
            print symbol,etf # this prints the name of everything that qualified for the last if statement.. so ETFs starting with VT
            return True # This returns a True for all that meet the previous if statement.
        else:  
            return False # If it is not an etf or it is an ETF that does not start with VT then return false, do not run that symbol.

    def on_start(self, md, order, service, account): 
        # anything tabbed in (4 spaces in python) like this code below, will only run when the function above it is called
        self.position = 0 # first time through we set this status flag for each symbol to zero

    def on_trade(self, event, md, order, service, account):
        # So this tabbed in code will only run when a qualified symbol (ETF starting VT) receives a trade.
        mytime = service.time_to_string(event.timestamp,format="%Y-%m-%d %H:%M:%S.%f") # If you may use a value a lot, just capture it into a variable, makes code easier to read as well 
#        print mytime,self.symbol,md.L1.last,md.stat.prev_close*0.995,md.L1.last>md.stat.prev_close*0.995, event.timestamp<service.time(9, 35, 0, 0), self.position==0

        # An if statement MUST end with a colon. Anything that is True will run the code that is tabbed in underneath it. False it skips to the next code that is not tabbed in.
        # In this case we are just putting in a simple qualfier just to play with the system, most recent trade must above 95% of the previous close price.
        # and it must be before 9:35am and we must not be in a postion. Note how when we set a value for a variable we use one = sign but when we do a comparison, as below, we MUST use two == signs.
        if md.L1.last>md.stat.prev_close*0.995 and event.timestamp<service.time(9, 35, 0, 0) and self.position==0: 
            # if the if statement above was true then we will do this code, place an order, set our position flag to 1 and print some info to the console.
            order.send(self.symbol, 'sell', 100, type='MKT') 
            self.position = 1
            print mytime,"entering",self.symbol,md.L1.last,md.L1.last_size

        # Because of the time check, this if and the previous if cannot both be true. If it is after 15:35 and we are in a position then exit.
        if event.timestamp>service.time(15, 35, 0, 0) and self.position == 1:
#            myshares=account[self.symbol].position.shares #If I was using thin symbols I may not get complete fills so I would want to exit however many I was holding. But Vanguard ETFs should fill 100 with no problems.
            order.send(self.symbol, 'sell', 100, type='MKT') 
            self.position = 2
            print mytime,"exiting ",self.symbol,md.L1.last,md.L1.last_size