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DOC: live trading
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Victor Grau Serrat
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<h1>Live Trading</h1>
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This document explains how to get started with live trading.
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<h2>Supported Exchanges</h2>
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Catalyst can trade against these exchanges:
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* Bitfinex, id=`bitfinex`
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* Bittrex, id=`bittrex`
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<h3>Authentication</h3>
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Most exchanges require key/token combination for authentication. By
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convention, Catalyst uses an "auth.json" file to hold this data.
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This example illustrates the convention using the Bitfinex exchange.
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Here is how to generate key and secret values for bitfinex:
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https://docs.bitfinex.com/v1/docs/api-access. Most exchanges follow
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a similar process.
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The auth.json file:
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```json
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{
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"name": "bitfinex",
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"key": "my-key",
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"secret": "my-secret"
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}
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```
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The file goes here:
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```
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~/.catalyst/data/exchanges/bitfinex/auth.json
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```
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Note that the 'bitfinex' directory corresponds to the id of the Bitfinex
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exchange as defined in the "Supported Exchanges" section above.
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Attempting to run an algorithm where the targeted exchange is missing
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its "auth.json" file will create the directory structure but result
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in an error.
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<h3>Currency Symbols</h3>
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Catalyst introduces a universal convention to reference
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trading pairs and individual currencies. This
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is required to ensure that the `symbol()` api predictably
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returns the correct asset regardless of the targeted exchange.
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Exchanges tend to use their own convention to represent currencies
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(e.g. XBT and BTC both represent Bitcoin on different exchanges).
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Trading pairs are also inconsistent. For example, Bitfinex
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puts the market currency before the base currency without a
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separator, Bittrex puts the base currency first and uses a dash
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seperator.
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Here is the Catalyst convention:
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*[Market Currency]_[Base Currency]* all lowercase.
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Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention.
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Here are some examples:
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```python
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# With Bitfinex
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bitcoin_usd_asset = symbol('btc_usd')
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ethereum_bitcoin_asset = symbol('eth_btc')
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# With Bittrex
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ethereum_bitcoin_asset = symbol('eth_btc')
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neo_ethereum_asset = symbol('neo_eth)
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```
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Note that the trading pairs are always referenced in the same manner.
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However, not all trading pairs are available on all exchanges. An
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error will occur if the specified trading pair is not trading
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on the exchange.
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<h2>Trading an Algorithm</h2>
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There is no special convention to follow when writing an
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algorithm for live trading. The same algorithm should work in
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backtest and live execution mode without modification.
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What differs are the arguments provided to the catalyst client or
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`run_algorithm()` interface. Here is example:
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```python
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run_algorithm(
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initialize=initialize,
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handle_data=handle_data,
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analyze=analyze,
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exchange_name='bitfinex',
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live=True,
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algo_namespace='my_algo_trading_xrp',
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base_currency='btc'
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)
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```
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Here is the breakdown of the new arguments:
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* live: Boolean flag which enables live trading.
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* exchange_name: The name of the targeted exchange
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(supported values: *bitfinex*, *bittrex*).
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* algo_namespace: A arbitrary label assigned to your algorithm for
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data storage purposes.
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* base_currency: The base currency used to calculate the
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statistics of your algorithm. Currently, the base currency of all
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trading pairs of your algorithm must match this value.
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Here is a complete algorithm for reference:
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[Buy Low and Sell High](../catalyst/examples/buy_low_sell_high_live.py)
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@@ -9,6 +9,7 @@ Table of Contents
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install
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beginner-tutorial
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live-trading
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naming-convention
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videos
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development-guidelines
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@@ -0,0 +1,118 @@
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Live Trading
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============
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This document explains how to get started with live trading.
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Supported Exchanges
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^^^^^^^^^^^^^^^^^^^
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Catalyst can trade against these exchanges:
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- Bitfinex, id= ``bitfinex``
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- Bittrex, id= ``bittrex``
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- Poloniex, id= ``poloniex``
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Authentication
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^^^^^^^^^^^^^^
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Most exchanges require token key/secret combination for authentication. By
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convention, Catalyst uses an ``auth.json`` file to hold this data.
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This example illustrates the convention using the *Bitfinex* exchange.
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Here is how to generate key and secret values for the Bitfinex exchange:
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https://docs.bitfinex.com/v1/docs/api-access. Most exchanges follow
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a similar process.
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The auth.json file:
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.. code-block:: json
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{
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"name": "bitfinex",
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"key": "my-key",
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"secret": "my-secret"
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}
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The file goes here: ``~/.catalyst/data/exchanges/bitfinex/auth.json``
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Note that the `bitfinex` part in the directory above corresponds to the id of the Bitfinex
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exchange as defined in the "Supported Exchanges" section above.
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Attempting to run an algorithm where the targeted exchange is missing
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its ``auth.json`` file will create the directory structure and create an empty
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auth.json file, but will result in an error.
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Currency Symbols
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^^^^^^^^^^^^^^^^
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Catalyst introduces a universal convention to reference
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trading pairs and individual currencies. This
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is required to ensure that the ``symbol()`` api predictably
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returns the correct asset regardless of the targeted exchange.
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Exchanges tend to use their own convention to represent currencies
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(e.g. XBT and BTC both represent Bitcoin on different exchanges).
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Trading pairs are also inconsistent. For example, Bitfinex
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puts the market currency before the base currency without a
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separator, Bittrex puts the base currency first and uses a dash
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seperator.
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Here is the Catalyst convention:
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*[Market Currency]_[Base Currency]* all lowercase.
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Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention.
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Here are some examples:
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.. code-block:: json
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# With Bitfinex
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bitcoin_usd_asset = symbol('btc_usd')
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ethereum_bitcoin_asset = symbol('eth_btc')
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# With Bittrex
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ethereum_bitcoin_asset = symbol('eth_btc')
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neo_ethereum_asset = symbol('neo_eth)
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Note that the trading pairs are always referenced in the same manner.
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However, not all trading pairs are available on all exchanges. An
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error will occur if the specified trading pair is not trading
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on the exchange. To check which currency pairs are available on each
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of the supported exchanges, see `Catalyst Market Coverage <https://www.enigma.co/catalyst/status`_.
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Trading an Algorithm
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^^^^^^^^^^^^^^^^^^^^
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There is no special convention to follow when writing an
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algorithm for live trading. The same algorithm should work in
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backtest and live execution mode without modification.
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What differs are the arguments provided to the catalyst client or
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`run_algorithm()` interface. Here is the same example in both interfaces:
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.. code-block:: bash
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catalyst live -f my_algo_code -x bitfinex -c btc -n my_algo_name
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.. code-block:: python
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run_algorithm(
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initialize=initialize,
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handle_data=handle_data,
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analyze=analyze,
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exchange_name='bitfinex',
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live=True,
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algo_namespace='my_algo_name',
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base_currency='btc'
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)
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Here is the breakdown of the new arguments:
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- ``live``: Boolean flag which enables live trading.
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- ``exchange_name``: The name of the targeted exchange
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(supported values: *bitfinex*, *bittrex*).
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- ``algo_namespace``: A arbitrary label assigned to your algorithm for
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data storage purposes.
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- ``base_currency``: The base currency used to calculate the
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statistics of your algorithm. Currently, the base currency of all
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trading pairs of your algorithm must match this value.
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Here is a complete algorithm for reference:
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`Buy Low and Sell High <https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_low_sell_high_live.py>`_
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