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Object Data |
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Subject: Object Data
Author: WebSpider
In response to: The Basic Objects and Functions
Posted on: 05/02/2019 10:24:53 PM
data.current(assets, fields)
This method returns the current value of the given assets for the given fields at the current algorithm time.
Parameter fields:
'price' -- returns the last known close price, NaN if not founded
'last_traded' -- returns the date of the last trade event
'open' -- return the relevant information for the current trade bar
'high' -- return the relevant information for the current trade bar
'low' -- return the relevant information for the current trade bar
'close' -- return the relevant information for the current trade bar
'volume' -- returns the trade volume, 0 if there is no trade this minute
'contract' -- returns the current active contract
Example:
price = data.current(symbol('AAPL'), 'price');
data.history(assets, fields, bar_count, frequency)
This method returns a window of data for the given assets and fields.
Parameter fields:
'price' -- returns the last known close price, NaN if not founded
'open' -- return the relevant information for the current trade bar
'high' -- return the relevant information for the current trade bar
'low' -- return the relevant information for the current trade bar
'close' -- return the relevant information for the current trade bar
'volume' -- returns the trade volume, 0 if there is no trade this minute
Parameter frequency:
'1m' -- for minutely data
'1d' -- for daily data
Examples (DAILY):
# returns the current price
price_history = data.history(assets, "price", 1, "1d");
# returns yesterday's close price and the current price
price_history = data.history(assets, "price", 2, "1d");
# returns the prices for the previous 5 days and the current price
price_history = data.history(assets, "price", 6, "1d");
# returns the volume since the current day's open, even if it is partial
price_history = data.history(assets, "volume", 1, "1d");
Examples (MINUTELY):
# returns the current price
price_history = data.history(assets, "price", 1, "1m");
# returns the previous minute's close price and the current price
price_history = data.history(assets, "price", 2, "1m");
# returns the prices for the previous 5 minutes and the current price
price_history = data.history(assets, "price", 6, "1m");
# returns the volume for the previous 60 minutes
price = data.history(assets, "volume", 60, "1m");
Example -- Up or down compared to previouse day's close price?
def initialize(context):
# AAPL, MSFT, and SPY
context.securities = [sid(24), sid(5061), sid(8554)]
def handle_data(context, data):
price_history = data.history(context.securities, fields="price", bar_count=2, frequency="1d")
for s in context.securities:
prev_close = price_history[s][-2];
curr_price = price_history[s][-1];
if curr_price > prev_close:
print(s, prev_close, curr_price, ' --> UP');
else:
print(s, prev_close, curr_price, ' --> DOWN');
Example -- VWAP (Volume Weighted Average Price)
def initialize(context):
# AAPL, MSFT, and SPY
context.securities = [sid(24), sid(5061), sid(8554)]
def vwap(prices, volumes):
return (prices * volumes).sum() / volumes.sum()
def handle_data(context, data):
hist = data.history(context.securities, fields=["price", "volume"], bar_count=30, frequency="1d")
vwap_10 = vwap(hist["price"][-10:], hist["volume"][-10:])
vwap_30 = vwap(hist["price"], hist["volume"])
for s in context.securities:
if vwap_10[s] > vwap_30[s] :
order(s, 100)
elif vwap_10[s] < vwap_30[s] :
order(s, -10)
Other data's methods:
data.can_trade(assets) -- For the given asset or iterable of assets, returns true if the security has a known last price
data.is_stale(assets) -- For the given asset or iterable of assets, returns true if the asset has ever traded and there is no trade data for the current simulation time
>
> On 05/02/2019 12:28:10 AM WebSpider wrote:
Object context:
context is a Python dictionary used for maintaining state by attaching any property:
context.some_property = some_value
Object assets:
assets is a Asset or a list of Assets which represents security.
Find security asset by name:
assets = symbol('AAPL')
assets = [symbol('AAPL'), symbol('MSFT')]
assets = symbols('AAPL', 'MSFT')
Find security asset by id:
# AAPL
assets = sid(24)
# AAPL, MSFT, and SPY
assets = [sid(24), sid(5061), sid(8554)]
References:
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