mirror of
https://github.com/wassname/catalyst.git
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Adding the first exchange (Bitfinex) and unit testing
This commit is contained in:
Frederic Fortier
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import pandas as pd
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import pytz
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assets = list(
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dict(
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symbol='eth-usd',
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exchange='bitfinex',
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first_traded=pd.datetime(2010, 1, 1, 0, 0, 0, 0, pytz.utc)
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)
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)
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@@ -0,0 +1,266 @@
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import six
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import base64
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import hashlib
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import hmac
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import json
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import time
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import requests
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import pandas as pd
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# from websocket import create_connection
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from catalyst.exchange.exchange import Exchange, RTVolumeBar, Position
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from logbook import Logger
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from catalyst.finance.order import Order, ORDER_STATUS
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from catalyst.finance.execution import (MarketOrder,
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LimitOrder,
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StopOrder,
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StopLimitOrder)
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BITFINEX_URL = 'https://api.bitfinex.com'
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BITFINEX_KEY = 'hjZ7DZzwbBZsIZPWeSSQtrWCPNwyhxw96r3LnY7jtOH'
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BITFINEX_SECRET = b'LilCoxcqUnHKBcGtrttwCIv4qONTdjuFMSdz8Rxh6OM'
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ASSETS = '{ "btcusd": {"symbol":"btc_usd", "start_date": "2010-01-01"}, "ltcusd": {"symbol":"ltc-usd", "start_date": "2010-01-01"}, "ltcbtc": {"symbol":"ltc_btc", "start_date": "2010-01-01"}, "ethusd": {"symbol":"eth_usd", "start_date": "2010-01-01"}, "ethbtc": {"symbol":"eth_btc", "start_date": "2010-01-01"}, "etcbtc": {"symbol":"etc_btc", "start_date": "2010-01-01"}, "etcusd": {"symbol":"etc_usd", "start_date": "2010-01-01"}, "rrtusd": {"symbol":"rrt_usd", "start_date": "2010-01-01"}, "rrtbtc": {"symbol":"rrt_btc", "start_date": "2010-01-01"}, "zecusd": {"symbol":"zec_usd", "start_date": "2010-01-01"}, "zecbtc": {"symbol":"zec_btc", "start_date": "2010-01-01"}, "xmrusd": {"symbol":"xmr_usd", "start_date": "2010-01-01"}, "xmrbtc": {"symbol":"xmr_btc", "start_date": "2010-01-01"}, "dshusd": {"symbol":"dsh_usd", "start_date": "2010-01-01"}, "dshbtc": {"symbol":"dsh_btc", "start_date": "2010-01-01"}, "bccbtc": {"symbol":"bcc_btc", "start_date": "2010-01-01"}, "bcubtc": {"symbol":"bcu_btc", "start_date": "2010-01-01"}, "bccusd": {"symbol":"bcc_usd", "start_date": "2010-01-01"}, "bcuusd": {"symbol":"bcu_usd", "start_date": "2010-01-01"}, "xrpusd": {"symbol":"xrp_usd", "start_date": "2010-01-01"}, "xrpbtc": {"symbol":"xrp_btc", "start_date": "2010-01-01"}, "iotusd": {"symbol":"iot_usd", "start_date": "2010-01-01"}, "iotbtc": {"symbol":"iot_btc", "start_date": "2010-01-01"}, "ioteth": {"symbol":"iot_eth", "start_date": "2010-01-01"}, "eosusd": {"symbol":"eos_usd", "start_date": "2010-01-01"}, "eosbtc": {"symbol":"eos_btc", "start_date": "2010-01-01"}, "eoseth": {"symbol":"eos_eth", "start_date": "2010-01-01"} }'
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log = Logger('Bitfinex')
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warning_logger = Logger('AlgoWarning')
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class Bitfinex(Exchange):
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def __init__(self):
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self.url = BITFINEX_URL
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self.key = BITFINEX_KEY
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self.secret = BITFINEX_SECRET
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self.id = 'b'
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self.name = 'bitfinex'
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self.orders = {}
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self.assets = {}
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self.load_assets(ASSETS)
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def request(self, operation, data, version='v1'):
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payload_object = {
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'request': '/{}/{}'.format(version, operation),
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'nonce': '{0:f}'.format(time.time() * 100000), # convert to string
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'options': {}
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}
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if data is None:
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payload_dict = payload_object
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else:
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payload_dict = payload_object.copy()
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payload_dict.update(data)
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payload_json = json.dumps(payload_dict)
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if six.PY3:
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payload = base64.b64encode(bytes(payload_json, 'utf-8'))
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else:
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payload = base64.b64encode(payload_json)
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m = hmac.new(self.secret, payload, hashlib.sha384)
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m = m.hexdigest()
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# headers
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headers = {
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'X-BFX-APIKEY': self.key,
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'X-BFX-PAYLOAD': payload,
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'X-BFX-SIGNATURE': m
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}
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if data is None:
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request = requests.get(
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self.url + '/{version}/{operation}'.format(
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version=version,
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operation=operation
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), data={},
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headers=headers)
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else:
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request = requests.post(
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self.url + '/{version}/{operation}'.format(
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version=version,
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operation=operation
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),
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headers=headers)
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return request
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def subscribe_to_market_data(self, symbol):
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pass
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def positions(self):
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pass
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def portfolio(self):
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pass
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def account(self):
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pass
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@property
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def time_skew(self):
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# TODO: research the time skew conditions
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return None
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def get_open_orders(self, asset):
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# TODO: map to asset
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response = self.request('orders', None)
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orders = response.json()
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# TODO: what is the right format?
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return orders
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def get_order(self, order_id):
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pass
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def get_spot_value(self, assets, field, dt, data_frequency):
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raise NotImplementedError()
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def balance(self, currencies):
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response = self.request('balances', None)
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positions = response.json()
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if 'message' in positions:
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raise ValueError(
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'unable to fetch balance %s' % positions['message']
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)
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balance = dict()
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for position in positions:
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if position['currency'] in currencies:
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balance[position['currency']] = float(position['available'])
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return balance
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# TODO: why repeating prices if already in style?
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def order(self, asset, amount, limit_price, stop_price, style):
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"""
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The type of the order: LIMIT, MARKET, STOP, TRAILING STOP,
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EXCHANGE MARKET, EXCHANGE LIMIT, EXCHANGE STOP,
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EXCHANGE TRAILING STOP, FOK, EXCHANGE FOK.
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"""
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is_buy = (amount > 0)
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if isinstance(style, MarketOrder):
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order_type = 'market'
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elif isinstance(style, LimitOrder):
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order_type = 'limit'
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price = limit_price
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elif isinstance(style, StopOrder):
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order_type = 'stop'
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price = stop_price
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elif isinstance(style, StopLimitOrder):
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raise NotImplementedError('Stop/limit orders not available')
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exchange_symbol = self.get_symbol(asset)
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req = dict(
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symbol=exchange_symbol,
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amount=str(float(amount)),
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price=str(float(price)),
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side='buy' if is_buy else 'sell',
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type='exchange ' + order_type, # TODO: support margin trades
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exchange='bitfinex',
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is_hidden=False,
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is_postonly=False,
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use_all_available=0,
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ocoorder=False,
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buy_price_oco=0,
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sell_price_oco=0
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)
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response = self.request('order/new', req)
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exchange_order = response.json()
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if 'message' in exchange_order:
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raise ValueError(
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'unable to create Bitfinex order %s' % exchange_order[
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'message']
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)
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order = Order(
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dt=pd.Timestamp.utcnow(),
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asset=asset,
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amount=amount,
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stop=style.get_stop_price(is_buy),
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limit=style.get_limit_price(is_buy),
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)
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order_id = order.broker_order_id = exchange_order['id']
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self.orders[order_id] = order
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return order_id
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def cancel_order(self, order_id):
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response = self.request('order/cancel', {'order_id': order_id})
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status = response.json()
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return status
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def order_status(self, order_id):
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response = self.request('order/status', {'order_id': int(order_id)})
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order_status = response.json()
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if 'message' in order_status:
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raise ValueError(
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'Unable to retrieve order status: %s' % order_status['message']
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)
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result = dict(exchange='b')
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if order_status['is_cancelled']:
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warning_logger.warn(
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'removing cancelled order from the open orders list %s',
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order_status)
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result['status'] = 'canceled'
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elif not order_status['is_live']:
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log.info('found executed order %s', order_status)
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result['status'] = 'closed'
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result['executed_price'] = float(
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order_status['avg_execution_price'])
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result['executed_amount'] = float(order_status['executed_amount'])
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else:
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result['status'] = 'open'
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return result
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def get_v2_symbols(self, assets):
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"""
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Workaround to support Bitfinex v2
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TODO: Might require a separate asset dictionary
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:param assets:
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:return:
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"""
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v2_symbols = []
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for asset in assets:
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pair = asset.symbol.split('_')
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symbol = 't' + pair[0].upper() + pair[1].upper()
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v2_symbols.append(symbol)
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return v2_symbols
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def tickers(self, date, assets):
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symbols = self.get_v2_symbols(assets)
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log.debug('fetching tickers {}'.format(symbols))
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request = requests.get(
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self.url + '/v2/tickers?symbols={}'.format(','.join(symbols))
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)
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tickers = request.json()
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if 'message' in tickers:
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raise ValueError(
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'Unable to retrieve tickers: %s' % tickers['message']
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)
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formatted_tickers = []
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for index, ticker in enumerate(tickers):
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if not len(ticker) == 11:
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raise ValueError('Invalid ticker: %s' % ticker)
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tick = dict(
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asset=assets[index],
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timestamp=date,
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bid=ticker[1],
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ask=ticker[3],
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last_price=ticker[7],
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low=ticker[10],
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high=ticker[9],
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volume=ticker[8],
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)
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formatted_tickers.append(tick)
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log.debug('got tickers {}'.format(formatted_tickers))
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return formatted_tickers
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@@ -0,0 +1,131 @@
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import abc
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from collections import namedtuple
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from abc import ABCMeta, abstractmethod, abstractproperty
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import json
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import pandas as pd
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from catalyst.assets._assets import Asset
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RTVolumeBar = namedtuple('RTVolumeBar', ['last_trade_price',
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'last_trade_size',
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'last_trade_time',
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'total_volume',
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'vwap',
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'single_trade_flag'])
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Position = namedtuple('Position', ['contract', 'position', 'market_price',
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'market_value', 'average_cost',
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'unrealized_pnl', 'realized_pnl',
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'account_name'])
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class Exchange:
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__metaclass__ = ABCMeta
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def __init__(self):
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self.name = None
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self.trading_pairs = None
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self.assets = {}
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def get_trading_pairs(self, pairs):
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return [pair for pair in pairs if pair in self.trading_pairs]
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def get_symbol(self, asset):
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symbol = None
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for key in self.assets:
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if not symbol and self.assets[key].symbol == asset.symbol:
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symbol = key
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if not symbol:
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raise ValueError('Currency %s not supported by exchange %s' %
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(asset['symbol'], self.name))
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return symbol
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def get_symbols(self, assets):
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symbols = []
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for asset in assets:
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symbols.append(self.get_symbol(asset))
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return symbols
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@staticmethod
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def asset_parser(asset):
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for key in asset:
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if key == 'start_date':
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asset[key] = pd.to_datetime(asset[key], utc=True)
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return asset
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def load_assets(self, assets_json):
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assets = json.loads(
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assets_json,
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object_hook=Exchange.asset_parser
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)
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for exchange_symbol in assets:
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asset_obj = Asset(
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sid=0,
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exchange=self.name,
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**assets[exchange_symbol]
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)
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self.assets[exchange_symbol] = asset_obj
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@abstractmethod
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def subscribe_to_market_data(self, symbol):
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pass
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@abstractproperty
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def positions(self):
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pass
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@abstractproperty
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def portfolio(self):
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pass
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@abstractproperty
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def account(self):
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pass
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@abstractproperty
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def time_skew(self):
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pass
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@abstractmethod
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def order(self, asset, amount, limit_price, stop_price, style):
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pass
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@abstractmethod
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def get_open_orders(self, asset):
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pass
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@abstractmethod
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def get_order(self, order_id):
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pass
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@abstractmethod
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def cancel_order(self, order_param):
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pass
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@abstractmethod
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def get_spot_value(self, assets, field, dt, data_frequency):
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pass
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@abc.abstractmethod
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def tickers(self, date, pairs):
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return
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# @abc.abstractmethod
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# def new_order(self, symbol, side, order_type, price, amount, leverage):
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# return
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#
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# @abc.abstractmethod
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# def cancel_order(self, order_id):
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# return
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#
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# @abc.abstractmethod
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# def order_status(self, order_id):
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# return
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#
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# @abc.abstractmethod
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# def balance(self, currencies):
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# return
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#
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@@ -0,0 +1 @@
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{ "btcusd": {"symbol":"btc_usd", "start_date": "2010-01-01"}, "ltcusd": {"symbol":"ltc-usd", "start_date": "2010-01-01"}, "ltcbtc": {"symbol":"ltc_btc", "start_date": "2010-01-01"}, "ethusd": {"symbol":"eth_usd", "start_date": "2010-01-01"}, "ethbtc": {"symbol":"eth_btc", "start_date": "2010-01-01"}, "etcbtc": {"symbol":"etc_btc", "start_date": "2010-01-01"}, "etcusd": {"symbol":"etc_usd", "start_date": "2010-01-01"}, "rrtusd": {"symbol":"rrt_usd", "start_date": "2010-01-01"}, "rrtbtc": {"symbol":"rrt_btc", "start_date": "2010-01-01"}, "zecusd": {"symbol":"zec_usd", "start_date": "2010-01-01"}, "zecbtc": {"symbol":"zec_btc", "start_date": "2010-01-01"}, "xmrusd": {"symbol":"xmr_usd", "start_date": "2010-01-01"}, "xmrbtc": {"symbol":"xmr_btc", "start_date": "2010-01-01"}, "dshusd": {"symbol":"dsh_usd", "start_date": "2010-01-01"}, "dshbtc": {"symbol":"dsh_btc", "start_date": "2010-01-01"}, "bccbtc": {"symbol":"bcc_btc", "start_date": "2010-01-01"}, "bcubtc": {"symbol":"bcu_btc", "start_date": "2010-01-01"}, "bccusd": {"symbol":"bcc_usd", "start_date": "2010-01-01"}, "bcuusd": {"symbol":"bcu_usd", "start_date": "2010-01-01"}, "xrpusd": {"symbol":"xrp_usd", "start_date": "2010-01-01"}, "xrpbtc": {"symbol":"xrp_btc", "start_date": "2010-01-01"}, "iotusd": {"symbol":"iot_usd", "start_date": "2010-01-01"}, "iotbtc": {"symbol":"iot_btc", "start_date": "2010-01-01"}, "ioteth": {"symbol":"iot_eth", "start_date": "2010-01-01"}, "eosusd": {"symbol":"eos_usd", "start_date": "2010-01-01"}, "eosbtc": {"symbol":"eos_btc", "start_date": "2010-01-01"}, "eoseth": {"symbol":"eos_eth", "start_date": "2010-01-01"} }
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@@ -0,0 +1,27 @@
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import unittest
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import abc
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from abc import ABCMeta
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class BaseExchangeTestCase():
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__metaclass__ = ABCMeta
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@abc.abstractmethod
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def test_order(self):
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pass
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@abc.abstractmethod
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def test_cancel_order(self):
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pass
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@abc.abstractmethod
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def test_order_status(self):
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pass
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@abc.abstractmethod
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def test_balance(self):
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pass
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@abc.abstractmethod
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def test_ticker(self):
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pass
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@@ -0,0 +1,56 @@
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from catalyst.exchange.bitfinex import Bitfinex
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from .base import BaseExchangeTestCase
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from logbook import Logger
|
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import pandas as pd
|
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from catalyst.finance.execution import (MarketOrder,
|
||||
LimitOrder,
|
||||
StopOrder,
|
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StopLimitOrder)
|
||||
from catalyst.assets._assets import Asset
|
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|
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log = Logger('BitfinexTestCase')
|
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|
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class BitfinexTestCase(BaseExchangeTestCase):
|
||||
def test_ticker(self):
|
||||
log.info('fetching ticker from bitfinex')
|
||||
bitfinex = Bitfinex()
|
||||
current_date = pd.Timestamp.utcnow()
|
||||
assets = [
|
||||
Asset(sid=0, exchange=bitfinex.name, symbol='eth_usd'),
|
||||
Asset(sid=1, exchange=bitfinex.name, symbol='etc_usd'),
|
||||
Asset(sid=2, exchange=bitfinex.name, symbol='eos_usd')
|
||||
]
|
||||
tickers = bitfinex.tickers(date=current_date, assets=assets)
|
||||
log.info('got tickers {}'.format(tickers))
|
||||
|
||||
def test_order(self):
|
||||
log.info('ordering from bitfinex')
|
||||
bitfinex = Bitfinex()
|
||||
asset = Asset(sid=0, exchange=bitfinex.name, symbol='eth_usd')
|
||||
order_id = bitfinex.order(
|
||||
asset=asset,
|
||||
style=LimitOrder(limit_price=200),
|
||||
limit_price=200,
|
||||
amount=1,
|
||||
stop_price=None
|
||||
)
|
||||
log.info('order created {}'.format(order_id))
|
||||
|
||||
def test_cancel_order(self):
|
||||
log.info('canceling order from bitfinex')
|
||||
bitfinex = Bitfinex()
|
||||
response = bitfinex.cancel_order(order_id=2776936269)
|
||||
log.info('canceled order: {}'.format(response))
|
||||
|
||||
def test_order_status(self):
|
||||
log.info('querying orders from bitfinex')
|
||||
bitfinex = Bitfinex()
|
||||
response = bitfinex.order_status(order_id=2776972180)
|
||||
log.info('the orders: {}'.format(response))
|
||||
|
||||
def test_balance(self):
|
||||
log.info('querying positions from bitfinex')
|
||||
bitfinex = Bitfinex()
|
||||
balance = bitfinex.balance(currencies=['usd', 'etc', 'pez'])
|
||||
log.info('the balance: {}'.format(balance))
|
||||
Reference in New Issue
Block a user