BUG: made some live-trading adjustments related to issue #71

catalyst/data/loader.py

@@ -149,13 +149,14 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
 
     # exchange.get_history_window() already ensures that we have the right data
     # for the right dates
-    br = exchange.get_history_window(
+    br = exchange.get_history_window_with_bundle(
         assets=[benchmark_asset],
         end_dt=last_date,
         bar_count=pd.Timedelta(last_date - start_dt).days,
         frequency='1d',
         field='close',
-        data_frequency='daily')
+        data_frequency='daily',
+        force_auto_ingest=True)
     br.columns = ['close']
     br = br.pct_change(1).iloc[1:]
     br.loc[start_dt] = 0

catalyst/examples/mean_reversion_simple.py

@@ -27,7 +27,7 @@ def initialize(context):
     # parameters or values you're going to use.
 
     # In our example, we're looking at Ether in USD Tether.
-    context.neo_usd = symbol('neo_usd')
+    context.neo_usd = symbol('neo_btc')
     context.base_price = None
     context.current_day = None
 
@@ -57,7 +57,7 @@ def handle_data(context, data):
         context.neo_usd,
         fields='close',
         bar_count=50,
-        frequency='15T'
+        frequency='30T'
     )
 
     # Ta-lib calculates various technical indicator based on price and
@@ -215,7 +215,7 @@ def analyze(context=None, perf=None):
 
 if __name__ == '__main__':
     # The execution mode: backtest or live
-    MODE = 'backtest'
+    MODE = 'live'
 
     if MODE == 'backtest':
         # catalyst run -f catalyst/examples/mean_reversion_simple.py -x poloniex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion --data-frequency minute --capital-base 10000
@@ -237,9 +237,9 @@ if __name__ == '__main__':
             initialize=initialize,
             handle_data=handle_data,
             analyze=analyze,
-            exchange_name='bitfinex',
+            exchange_name='bittrex',
             live=True,
             algo_namespace=NAMESPACE,
-            base_currency='usd',
-            live_graph=True
+            base_currency='btc',
+            live_graph=False
         )

catalyst/exchange/exchange.py

@@ -468,15 +468,14 @@ class Exchange:
 
         return series
 
-    @deprecated
-    def get_history_window_direct(self,
-                                  assets,
-                                  end_dt,
-                                  bar_count,
-                                  frequency,
-                                  field,
-                                  data_frequency=None,
-                                  ffill=True):
+    def get_history_window(self,
+                           assets,
+                           end_dt,
+                           bar_count,
+                           frequency,
+                           field,
+                           data_frequency=None,
+                           ffill=True):
 
         """
         Public API method that returns a dataframe containing the requested
@@ -514,35 +513,46 @@ class Exchange:
             A dataframe containing the requested data.
 
         """
-        start_dt = get_start_dt(end_dt, bar_count, data_frequency)
+        freq, candle_size, unit, data_frequency = get_frequency(
+            frequency, data_frequency
+        )
+        adj_bar_count = candle_size * bar_count
+        start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
 
         # The get_history method supports multiple asset
         candles = self.get_candles(
-            data_frequency=frequency,
+            freq=freq,
             assets=assets,
             bar_count=bar_count,
             start_dt=start_dt,
             end_dt=end_dt
         )
-        candle_series = self.get_series_from_candles(
-            candles=candles,
-            start_dt=start_dt,
-            end_dt=end_dt,
-            data_frequency=frequency,
-            field=field,
-        )
 
-        df = pd.DataFrame(candle_series)
+        series = dict()
+        for asset in candles:
+            asset_series = self.get_series_from_candles(
+                candles=candles[asset],
+                start_dt=start_dt,
+                end_dt=end_dt,
+                data_frequency=frequency,
+                field=field,
+            )
+            series[asset] = asset_series
+
+        df = pd.DataFrame(series)
+        df.dropna(inplace=True)
+
         return df
 
-    def get_history_window(self,
-                           assets,
-                           end_dt,
-                           bar_count,
-                           frequency,
-                           field,
-                           data_frequency=None,
-                           ffill=True):
+    def get_history_window_with_bundle(self,
+                                       assets,
+                                       end_dt,
+                                       bar_count,
+                                       frequency,
+                                       field,
+                                       data_frequency=None,
+                                       ffill=True,
+                                       force_auto_ingest=False):
 
         """
         Public API method that returns a dataframe containing the requested
@@ -590,7 +600,8 @@ class Exchange:
                 end_dt=end_dt,
                 bar_count=adj_bar_count,
                 field=field,
-                data_frequency=data_frequency
+                data_frequency=data_frequency,
+                force_auto_ingest=force_auto_ingest
             )
         except (PricingDataNotLoadedError, NoDataAvailableOnExchange):
             series = dict()

catalyst/exchange/exchange_bundle.py

@@ -684,7 +684,8 @@ class ExchangeBundle:
                                            field,
                                            data_frequency,
                                            algo_end_dt=None,
-                                           trailing_bar_count=None
+                                           trailing_bar_count=None,
+                                           force_auto_ingest=False
                                            ):
         """
         Retrieve price data history, ingest missing data.
@@ -703,7 +704,7 @@ class ExchangeBundle:
         Series
 
         """
-        if AUTO_INGEST:
+        if AUTO_INGEST or force_auto_ingest:
             try:
                 series = self.get_history_window_series(
                     assets=assets,
@@ -711,7 +712,7 @@ class ExchangeBundle:
                     bar_count=bar_count,
                     field=field,
                     data_frequency=data_frequency,
-                    trailing_bar_count=trailing_bar_count
+                    trailing_bar_count=trailing_bar_count,
                 )
                 return pd.DataFrame(series)
 
@@ -740,7 +741,7 @@ class ExchangeBundle:
                     field=field,
                     data_frequency=data_frequency,
                     reset_reader=True,
-                    trailing_bar_count=trailing_bar_count
+                    trailing_bar_count=trailing_bar_count,
                 )
                 return series
 
@@ -751,7 +752,7 @@ class ExchangeBundle:
                 bar_count=bar_count,
                 field=field,
                 data_frequency=data_frequency,
-                trailing_bar_count=trailing_bar_count
+                trailing_bar_count=trailing_bar_count,
             )
             return pd.DataFrame(series)
 

catalyst/exchange/exchange_utils.py

@@ -487,7 +487,6 @@ def resample_history_df(df, freq, field):
     DataFrame
 
     """
-    print(df.tail(30))
     if field == 'open':
         agg = 'first'
     elif field == 'high':