Merge branch 'concurrent-exchanges' into develop

catalyst/data/loader.py

@@ -107,8 +107,8 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
     # if trading_days is None:
     #    trading_days = get_calendar('OPEN').schedule
 
-    if start_dt is None:
-        start_dt = get_calendar('OPEN').first_trading_session
+    # if start_dt is None:
+    start_dt = get_calendar('OPEN').first_trading_session
 
     if end_dt is None:
         end_dt = pd.Timestamp.utcnow()

catalyst/examples/buy_low_sell_high_live.py

@@ -18,10 +18,10 @@ log = Logger('buy low sell high')
 
 def initialize(context):
     log.info('initializing algo')
-    context.ASSET_NAME = 'etc_btc'
+    context.ASSET_NAME = 'btc_usdt'
     context.asset = symbol(context.ASSET_NAME)
 
-    context.TARGET_POSITIONS = 3
+    context.TARGET_POSITIONS = 30
     context.PROFIT_TARGET = 0.1
     context.SLIPPAGE_ALLOWED = 0.02
 
@@ -41,7 +41,7 @@ def _handle_data(context, data):
         context.asset,
         fields='price',
         bar_count=20,
-        frequency='15m'
+        frequency='1d'
     )
     rsi = talib.RSI(prices.values, timeperiod=14)[-1]
     log.info('got rsi: {}'.format(rsi))
@@ -54,7 +54,7 @@ def _handle_data(context, data):
     elif rsi <= 70:
         buy_increment = 0.2
     else:
-        buy_increment = None
+        buy_increment = 0.1
 
     cash = context.portfolio.cash
     log.info('base currency available: {cash}'.format(cash=cash))
@@ -147,14 +147,14 @@ def analyze(context, stats):
 
 
 run_algorithm(
-    capital_base=1,
+    capital_base=100000,
     initialize=initialize,
     handle_data=handle_data,
     analyze=analyze,
-    exchange_name='bitfinex',
+    exchange_name='poloniex',
     start=pd.to_datetime('2017-5-01', utc=True),
-    end=pd.to_datetime('2017-10-01', utc=True),
-    base_currency='btc',
+    end=pd.to_datetime('2017-10-16', utc=True),
+    base_currency='usdt',
     data_frequency='daily'
 )
 # run_algorithm(

catalyst/exchange/bitfinex/bitfinex.py

@@ -58,7 +58,7 @@ class Bitfinex(Exchange):
 
         # Max is 90 but playing it safe
         # https://www.bitfinex.com/posts/188
-        self.max_requests_per_minute = 20
+        self.max_requests_per_minute = 80
         self.request_cpt = dict()
 
         self.bundle = ExchangeBundle(self)
@@ -667,10 +667,11 @@ class Bitfinex(Exchange):
         return time.strftime('%Y-%m-%d',
                              time.gmtime(int(response.json()[-1][0] / 1000)))
 
-    def get_orderbook(self, asset, order_type='all'):
+    def get_orderbook(self, asset, order_type='all', limit=100):
         exchange_symbol = asset.exchange_symbol
         try:
             self.ask_request()
+            # TODO: implement limit
             response = self._request(
                 'book/{}'.format(exchange_symbol), None)
             data = response.json()

catalyst/exchange/bittrex/bittrex.py

@@ -360,7 +360,7 @@ class Bittrex(Exchange):
             json.dump(symbol_map, f, sort_keys=True, indent=2,
                       separators=(',', ':'))
 
-    def get_orderbook(self, asset, order_type='all'):
+    def get_orderbook(self, asset, order_type='all', limit=100):
         if order_type == 'all':
             order_type = 'both'
         elif order_type == 'bid':
@@ -371,7 +371,11 @@ class Bittrex(Exchange):
             raise ValueError('invalid type')
 
         exchange_symbol = asset.exchange_symbol
-        data = self.api.getorderbook(market=exchange_symbol, type=order_type)
+        data = self.api.getorderbook(
+            market=exchange_symbol,
+            type=order_type,
+            depth=100
+        )
 
         result = dict()
         for exchange_type in data:

catalyst/exchange/exchange.py

@@ -474,7 +474,7 @@ class Exchange:
                 # Adding bars too recent to be contained in the consolidated
                 # exchanges bundles. We go directly against the exchange
                 # to retrieve the candles.
-
+                start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
                 trailing_dt = \
                     series[asset].index[-1] + get_delta(1, data_frequency) \
                         if asset in series else start_dt

catalyst/exchange/exchange_bundle.py

@@ -596,7 +596,7 @@ class ExchangeBundle:
         for asset_index, asset in enumerate(assets):
             asset_values = arrays[asset_index]
 
-            value_series = pd.Series(asset_values[0], index=periods)
+            value_series = pd.Series(asset_values.flatten(), index=periods)
             series[asset] = value_series
 
         return series

catalyst/exchange/poloniex/poloniex.py

@@ -51,7 +51,7 @@ class Poloniex(Exchange):
         self.transactions = defaultdict(list)
 
         self.num_candles_limit = 2000
-        self.max_requests_per_minute = 20
+        self.max_requests_per_minute = 60
         self.request_cpt = dict()
 
         self.bundle = ExchangeBundle(self)

catalyst/sources/benchmark_source.py

@@ -72,7 +72,13 @@ class BenchmarkSource(object):
                             "benchmark_returns.")
 
     def get_value(self, dt):
-        return self._precalculated_series.loc[dt]
+        try:
+            series = self._precalculated_series
+            value = series.loc[dt]
+            return value
+        except Exception:
+            # TODO: workaround, find permanent fix
+            return 0
 
     def get_range(self, start_dt, end_dt):
         return self._precalculated_series.loc[start_dt:end_dt]

catalyst/utils/run_algo.py

@@ -270,7 +270,7 @@ def _run(handle_data,
         )
 
         # TODO: use the constructor instead
-        # sim_params._arena = 'live'
+        sim_params._arena = 'live'
 
         algorithm_class = partial(
             ExchangeTradingAlgorithmLive,

tests/exchange/test_bundle.py

@@ -17,6 +17,25 @@ log = Logger('test_exchange_bundle')
 
 
 class ExchangeBundleTestCase:
+    def test_spot_value(self):
+        data_frequency = 'daily'
+        exchange_name = 'poloniex'
+
+        exchange = get_exchange(exchange_name)
+        exchange_bundle = ExchangeBundle(exchange)
+        assets = [
+            exchange.get_asset('btc_usdt')
+        ]
+        dt = pd.to_datetime('2017-10-14', utc=True)
+
+        values = exchange_bundle.get_spot_values(
+            assets=assets,
+            field='close',
+            dt=dt,
+            data_frequency=data_frequency
+        )
+        pass
+
     def test_ingest_minute(self):
         data_frequency = 'minute'
         exchange_name = 'bitfinex'