Questions about dependent scripts

[Deleted User]

Hi,

I have a question about the behavior of an account object in a pairs-trading like strategy:

I am wondering if the exit script sees the same account object (and the same positions and execution data) from the entry script, or those info. in the account object gets wiped out once the entry script is terminated and the control is passed to the exit script ?

Thanks!

[Deleted User]

I would answer my own question here:

The dependent strategy would inherit all the account information from its precedent. Here is an example:

from cloudquant.interfaces import Strategy, Event

ALGO_BUY = '{2b4fdc55-ff01-416e-a5ea-e1f1d4524c7d}'  # Buy Market ARCA
ALGO_SELL = '{8fdee8fe-b772-46bd-b411-5544f7a0d917}'  # Sell Market ARCA

class dependent_strategy_entry(Strategy):
    @classmethod
    def on_strategy_start(cls, md, service, account):
        print('denpendent_strategy_entry: on_strategy_start')
        print('Account ID: %s' % account.account_id)
        symbol_dict = {'side': 'long',
                       'base_shares': 0,
                       'entry_shares': 0,
                       'exit_shares': 0,
                       'entry_price': 0,
                       'order_id': None,
                       'retries': 0
                       }
        cls.symbols = {
                       'AAPL': symbol_dict,
                       'FB': symbol_dict,
                       'MSFT': symbol_dict,
                       'WMT': symbol_dict,
                       'SPY': symbol_dict
                       }
        for count, symbol in enumerate(cls.symbols):
            if count % 2 == 0:
                cls.symbols[symbol]["side"] = 'short'

        for symb in cls.symbols:
            print symb, cls.symbols[symb]

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        # create 1 instance
        return symbol == min(cls.symbols)

    @classmethod
    def backtesting_extra_symbols(cls, symbol, md, service, account):
        # load other symbols data
        return symbol in cls.symbols and symbol != min(cls.symbols)

    def entry_orders(self, event, md, order, service, account):
        for symbol in self.__class__.symbols:
            # self.state = 1
            # trade_data = {}
            order_quantity = abs(self.__class__.symbols[symbol]['base_shares'])
            if self.__class__.symbols[symbol]['side'] == 'long':
                # -------------------- none --------------------
                self.__class__.symbols[symbol]['order_id'] = order.algo_buy(symbol, ALGO_BUY, 'init',
                                                                            order_quantity=order_quantity)
                # --------------------------------------------------
            elif self.__class__.symbols[symbol]['side'] == 'short':
                # -------------------- none --------------------
                self.__class__.symbols[symbol]['order_id'] = order.algo_sell(symbol, ALGO_SELL, 'init',
                                                                             order_quantity=order_quantity)
                # --------------------------------------------------

    def on_start(self, md, order, service, account):
        ###################################################################################
        #
        # The pair strategy runs as a single instance that funnels all events for desired symbols
        #
        ###################################################################################
        service.clear_event_triggers()
        # note the list of symbols
        service.add_event_trigger([symbol for symbol in self.__class__.symbols], [Event.TRADE, Event.FILL, Event.REJECT])

        self.state = 0
        dollar_of_capital = 100000
        for symbol in self.__class__.symbols:
            self.__class__.symbols[symbol]['base_shares'] = int(dollar_of_capital / md[symbol].stat.prev_close)

        # Sent entry basket orders at 9:35
        self.basket_entry_time = md.market_open_time + service.time_interval(minutes=5)

        # Exit Script Timer
        service.add_time_trigger(service.time(15,45))

    def on_trade(self, event, md, order, service, account):
        if self.state == 0 and event.timestamp >= self.basket_entry_time:
            self.state = 1
            self.entry_orders(event, md, order, service, account)

    def on_timer(self, event, md, order, service, account):

        # params = {}
        # params['symbols_dict'] = self.__class__.symbols
        print('Account info before dependent exit strategy starts:')
        print('Account ID: %s' % account.account_id)
        print('Positions:')
        print(account)
        service.start_strategy("dependent_strategy_exit")
        print 'starting exit'#, params

    # called when an order is rejected (locally or other parts of the order processes e.g. the market)
    def on_reject(self, event, md, order, service, account):
        print event
        pass

[Deleted User]

from cloudquant.interfaces import Strategy, Event

ALGO_BUY = '{2b4fdc55-ff01-416e-a5ea-e1f1d4524c7d}'  # Buy Market ARCA
ALGO_SELL = '{8fdee8fe-b772-46bd-b411-5544f7a0d917}'  # Sell Market ARCA

class dependent_strategy_exit(Strategy):

    @classmethod
    def on_strategy_start(cls, md, service, account):
        pass

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == min(cls.symb_positions)

    @classmethod
    def backtesting_extra_symbols(cls, symbol, md, service, account):
        # load other symbols data
        return symbol in cls.symb_positions and symbol != min(cls.symb_positions)

    def on_start(self, md, order, service, account):
        print('dependent_strategy_exit on_start:')
        print('Account ID: %s' % account.account_id)
        print('Positions inherited from entry script:')
        print(account.open_symbols)
        print('Positions:')
        print(account)
        ###################################################################################
        #
        # The pair strategy runs as a single instance that funnels all events for desired symbols
        #
        ###################################################################################

        for symbol in account.open_symbols:
            if account[symbol].position.shares > 0:
                self.sell_order_id = order.algo_sell(symbol, ALGO_SELL, 'exit')

            elif account[symbol].position.shares < 0:
                self.buy_order_id = order.algo_buy(symbol, ALGO_BUY, 'exit')

        service.terminate()

[Deleted User]

I output the account info right before and after the precedent: dependent_strategy_entry hand over the control to dependent_strategy_exit, and they are the same:

Account info before dependent exit strategy starts:
Account ID: 0
Positions:
account_id: 0
entry_pl: 0.00
mtm_pl: 0.00
buying_power: None
open_capital_long: 0.00
open_capital_short: -229329.00
pending_capital_long: 0.00
pending_capital_short: -615360.24
max_capital_used: 229329.00
max_capital_used_timestamp: 1420209300038700
open_symbols: ['SPY', 'AAPL', 'FB', 'MSFT', 'WMT']
pending_symbols: []

starting exit
dependent_strategy_exit on_start:
Account ID: 0
Positions inherited from entry script:
['SPY', 'AAPL', 'FB', 'MSFT', 'WMT']
Positions:
account_id: 0
entry_pl: 0.00
mtm_pl: 0.00
buying_power: None
open_capital_long: 0.00
open_capital_short: -229329.00
pending_capital_long: 0.00
pending_capital_short: -615360.24
max_capital_used: 229329.00
max_capital_used_timestamp: 1420209300038700
open_symbols: ['SPY', 'AAPL', 'FB', 'MSFT', 'WMT']
pending_symbols: []