Live Trading

This document explains how to get started with live trading.

Supported Exchanges

Since version 0.4, Catalyst integrated with CCXT, a cryptocurrency trading library with support for more than 90 exchanges. The range of CCXT and Catalyst support for each of those exchanges varies greatly. The most supported exchanges are as follows:

The exchanges available for backtesting are fully supported in live mode:

  • Bitfinex, id = bitfinex
  • Bittrex, id = bittrex
  • Poloniex, id = poloniex

Additionally, we have successfully tested the following exchanges:

  • Binance, id = binance
  • Bitmex, id = bitmex
  • GDAX, id = gdax

As Catalyst is currently in Alpha and in under active development, you are encouraged to throughly test any exchange in paper trading mode before trading live with it.

Paper Trading vs Live Trading modes

Catalyst currently supports three different modes in which you can execute your trading algorithm. The first is backtesting, which is covered extensively in the tutorial, and uses historical data to run your algorithm. There is no interaction with the exchange in backtesting mode, and this is the first mode that you should test any new algorithm.

Once you are confident with the simulations that you have obtained with your algorithm in backtesting, you may switch to live trading, where you have two different modes:

  • Paper Trading: The simulated algorithm runs in real time, and fetches pricing data in real time from the exchange, but the orders never reach the exchange, and are instead kept within Catalyst and simulated. No real currency is bought or sold. Think of it as a backtesting happening in real time.
  • Live Trading: This is the proper live trading mode in which an algorithm runs in real time, fetching pricing data from live exchanges and placing orders against the exchange. Real currency is transacted on the exchange driven by the algorithm.

These three modes are controlled by the following variables:

Mode Parameters
live simulate_orders
backtesting False True (default)
paper trading True True
live trading True False

Authentication

Most exchanges require token key/secret combination for authentication. By convention, Catalyst uses an auth.json file to hold this data.

This example illustrates the convention using the Bitfinex exchange. Here is how to generate key and secret values for the Bitfinex exchange: https://docs.bitfinex.com/v1/docs/api-access. Most exchanges follow a similar process.

The auth.json file:

{
  "name": "bitfinex",
  "key": "my-key",
  "secret": "my-secret"
}

The file goes here: ~/.catalyst/data/exchanges/bitfinex/auth.json

Note that the bitfinex part in the directory above corresponds to the id of the Bitfinex exchange as defined in the “Supported Exchanges” section above. Attempting to run an algorithm where the targeted exchange is missing its auth.json file will create the directory structure and create an empty auth.json file, but will result in an error.

Currency Symbols

Catalyst introduces a universal convention to reference trading pairs and individual currencies. This is required to ensure that the symbol() api predictably returns the correct asset regardless of the targeted exchange.

Exchanges tend to use their own convention to represent currencies (e.g. XBT and BTC both represent Bitcoin on different exchanges). Trading pairs are also inconsistent. For example, Bitfinex puts the market currency before the base currency without a separator, Bittrex puts the base currency first and uses a dash seperator.

Here is the Catalyst convention:

[Market Currency]_[Base Currency] all lowercase.

Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention.

Here are some examples:

# With Bitfinex
bitcoin_usd_asset = symbol('btc_usd')
ethereum_bitcoin_asset = symbol('eth_btc')

# With Bittrex
ethereum_bitcoin_asset = symbol('eth_btc')
neo_ethereum_asset = symbol('neo_eth)

Note that the trading pairs are always referenced in the same manner. However, not all trading pairs are available on all exchanges. An error will occur if the specified trading pair is not trading on the exchange. To check which currency pairs are available on each of the supported exchanges, see Catalyst Market Coverage.

Trading an Algorithm

There is no special convention to follow when writing an algorithm for live trading. The same algorithm should work in backtest and live execution mode without modification.

What differs are the arguments provided to the catalyst client or run_algorithm() interface. Here is the same example in both interfaces:

catalyst live -f my_algo_code -x bitfinex -c btc -n my_algo_name

run_algorithm(
    initialize=initialize,
    handle_data=handle_data,
    analyze=analyze,
    exchange_name='bitfinex',
    live=True,
    algo_namespace='my_algo_name',
    base_currency='btc'
)

Here is the breakdown of the new arguments:

  • live: Boolean flag which enables live trading. It defaults to False.
  • capital_base: The amount of base_currency assigned to the strategy. It has to be lower or equal to the amount of base currency available for trading on the exchange. For illustration, order_target_percent(asset, 1) will order the capital_base amount specified here of the specified asset.
  • exchange_name: The name of the targeted exchange. See the CCXT Supported Exchanges for the full list.
  • algo_namespace: A arbitrary label assigned to your algorithm for data storage purposes.
  • base_currency: The base currency used to calculate the statistics of your algorithm. Currently, the base currency of all trading pairs of your algorithm must match this value.
  • simulate_orders: Enables the paper trading mode, in which orders are simulated in Catalyst instead of processed on the exchange. It defaults to True.
  • end_date: When setting the end_date to a time in the future, it will schedule the live algo to finish gracefully at the specified date.
  • start_date: (Will be implemented in the future) The live algo starts by default in the present, as mentioned above. by setting the start_date to a time in the future, the algorithm would essentially sleep and when the predefined time comes, it would start executing.

The catalyst live command offers additional parameters. You can learn more by running the following from the command line:

catalyst live --help

Here is a complete algorithm for reference: Buy Low and Sell High