Refactoring to optimize multiple exchanges

catalyst/exchange/bitfinex/bitfinex.py

@@ -17,8 +17,8 @@ from logbook import Logger
 from catalyst.exchange.exchange import Exchange
 from catalyst.exchange.exchange_errors import (
     ExchangeRequestError,
-    InvalidHistoryFrequencyError
-)
+    InvalidHistoryFrequencyError,
+    InvalidOrderType)
 from catalyst.finance.execution import (MarketOrder,
                                         LimitOrder,
                                         StopOrder,
@@ -40,7 +40,7 @@ class Bitfinex(Exchange):
     def __init__(self, key, secret, base_currency, portfolio=None):
         self.url = BITFINEX_URL
         self.key = key
-        self.secret = secret
+        self.secret = secret.encode('UTF-8')
         self.name = 'bitfinex'
         self.assets = {}
         self.load_assets()
@@ -359,89 +359,26 @@ class Bitfinex(Exchange):
         return ohlc_map[assets] \
             if isinstance(assets, TradingPair) else ohlc_map
 
-    def order(self, asset, amount, limit_price, stop_price, style):
-        """Place an order.
-
-        Parameters
-        ----------
-        asset : Asset
-            The asset that this order is for.
-        amount : int
-            The amount of shares to order. If ``amount`` is positive, this is
-            the number of shares to buy or cover. If ``amount`` is negative,
-            this is the number of shares to sell or short.
-        limit_price : float, optional
-            The limit price for the order.
-        stop_price : float, optional
-            The stop price for the order.
-        style : ExecutionStyle, optional
-            The execution style for the order.
-
-        Returns
-        -------
-        order_id : str or None
-            The unique identifier for this order, or None if no order was
-            placed.
-
-        Notes
-        -----
-        The ``limit_price`` and ``stop_price`` arguments provide shorthands for
-        passing common execution styles. Passing ``limit_price=N`` is
-        equivalent to ``style=LimitOrder(N)``. Similarly, passing
-        ``stop_price=M`` is equivalent to ``style=StopOrder(M)``, and passing
-        ``limit_price=N`` and ``stop_price=M`` is equivalent to
-        ``style=StopLimitOrder(N, M)``. It is an error to pass both a ``style``
-        and ``limit_price`` or ``stop_price``.
-
-        Bitfinex Order Types
-        --------------------
-        LIMIT, MARKET, STOP, TRAILING STOP,
-        EXCHANGE MARKET, EXCHANGE LIMIT, EXCHANGE STOP,
-        EXCHANGE TRAILING STOP, FOK, EXCHANGE FOK.
-
-        See Also
-        --------
-        :class:`catalyst.finance.execution.ExecutionStyle`
-        :func:`catalyst.api.order_value`
-        :func:`catalyst.api.order_percent`
+    def create_order(self, asset, amount, is_buy, style):
         """
-        if amount == 0:
-            log.warn('skipping order amount of 0')
-            return None
-
-        base_currency = asset.symbol.split('_')[1]
-        if base_currency.lower() != self.base_currency.lower():
-            raise NotImplementedError(
-                'Currency pairs must share their base with the exchange.'
-            )
-
-        is_buy = (amount > 0)
-
-        if isinstance(style, MarketOrder):
-            order_type = 'market'
-        elif isinstance(style, LimitOrder):
-            order_type = 'limit'
-            price = limit_price
-        elif isinstance(style, StopOrder):
-            order_type = 'stop'
-            price = stop_price
-        elif isinstance(style, StopLimitOrder):
-            log.warn('using limit order instead of stop/limit')
-            # TODO: Not sure how to do this with the api. Investigate.
-            order_type = 'limit'
-            price = limit_price
-        else:
-            raise NotImplementedError('%s orders not available' % style)
-
-        log.debug(
-            'ordering {amount} {symbol} for {price}'.format(
-                amount=amount,
-                symbol=asset.symbol,
-                price=price
-            )
-        )
+        Creating order on the exchange.
 
+        :param asset:
+        :param amount:
+        :param is_buy:
+        :param style:
+        :return:
+        """
         exchange_symbol = self.get_symbol(asset)
+        if isinstance(style, LimitOrder) or isinstance(style, StopLimitOrder):
+            price = style.get_limit_price(is_buy)
+            order_type = 'limit'
+        elif isinstance(style, StopOrder):
+            price = style.get_stop_price(is_buy)
+            order_type = 'stop'
+        else:
+            raise InvalidOrderType()
+
         req = dict(
             symbol=exchange_symbol,
             amount=str(float(abs(amount))),
@@ -479,9 +416,6 @@ class Bitfinex(Exchange):
             limit=style.get_limit_price(is_buy),
             id=order_id
         )
-        # TODO: is this required?
-        order.broker_order_id = order_id
-
         self.portfolio.create_order(order)
 
         return order_id

catalyst/exchange/bittrex/bittrex.py

@@ -76,7 +76,7 @@ class Bittrex(Exchange):
     def update_portfolio(self):
         pass
 
-    def order(self):
+    def create_order(self, asset, amount, is_buy, style):
         log.info('creating order')
         pass
 

catalyst/exchange/exchange.py

@@ -14,10 +14,15 @@ from catalyst.data.data_portal import BASE_FIELDS
 from catalyst.errors import (
     SymbolNotFound,
 )
+from catalyst.exchange.exchange_errors import InvalidOrderType
 from catalyst.finance.order import ORDER_STATUS
 from catalyst.finance.transaction import Transaction
 from catalyst.exchange.exchange_utils import get_exchange_symbols
 from catalyst.exchange.exchange_portfolio import ExchangePortfolio
+from catalyst.finance.execution import (MarketOrder,
+                                        LimitOrder,
+                                        StopOrder,
+                                        StopLimitOrder)
 
 log = Logger('Exchange')
 
@@ -380,7 +385,10 @@ class Exchange:
         return pd.concat(frames)
 
     @abstractmethod
-    def order(self, asset, amount, limit_price, stop_price, style):
+    def create_order(self, asset, amount, is_buy, style):
+        pass
+
+    def order(self, asset, amount, limit_price, stop_price, style=None):
         """Place an order.
 
         Parameters
@@ -420,7 +428,38 @@ class Exchange:
         :func:`catalyst.api.order_value`
         :func:`catalyst.api.order_percent`
         """
-        pass
+        if amount == 0:
+            log.warn('skipping order amount of 0')
+            return None
+
+        if asset.base_currency != self.base_currency.lower():
+            raise NotImplementedError(
+                'Currency pairs must share their base with the exchange.'
+            )
+
+        is_buy = (amount > 0)
+
+        if limit_price is not None and stop_price is not None:
+            style = StopLimitOrder(limit_price, stop_price,
+                                   exchange=self.name)
+        elif limit_price is not None:
+            style = LimitOrder(limit_price, exchange=self.name)
+        elif stop_price is not None:
+            style = StopOrder(stop_price, exchange=self.name)
+        elif style is None:
+            raise InvalidOrderType()
+
+        display_price = limit_price if limit_price is not None else stop_price
+        log.debug(
+            'issuing {side} order of {amount} {symbol} for {type}: {price}'.format(
+                side='buy' if is_buy else 'sell',
+                amount=amount,
+                symbol=asset.symbol,
+                type=style.__class__.__name__,
+                price='{}{}'.format(display_price, asset.base_currency)
+            )
+        )
+        return self.create_order(asset, amount, is_buy, style)
 
     @abstractmethod
     def get_open_orders(self, asset):

catalyst/exchange/exchange_errors.py

@@ -67,3 +67,9 @@ class InvalidSymbolError(ZiplineError):
         '[Market Currency]_[Base Currency]. For example: eth_usd, btc_usd, '
         'neo_eth, ubq_btc. Error details: {error}'
     ).strip()
+
+
+class InvalidOrderType(ZiplineError):
+    msg = (
+        'Order type not found.'
+    ).strip()

catalyst/utils/run_algo.py

@@ -502,7 +502,7 @@ def run_algorithm(initialize,
             if exchange_name == 'bitfinex':
                 exchange = Bitfinex(
                     key=exchange_auth['key'],
-                    secret=exchange_auth['secret'].encode('UTF-8'),
+                    secret=exchange_auth['secret'],
                     base_currency=base_currency,
                     portfolio=portfolio
                 )

tests/exchange/test_bitfinex.py

@@ -24,6 +24,15 @@ class BitfinexTestCase(BaseExchangeTestCase):
 
     def test_order(self):
         log.info('creating order')
+        asset = self.exchange.get_asset('eth_usd')
+        order_id = self.exchange.order(
+         asset=asset,
+         style=LimitOrder(limit_price=200),
+         limit_price=200,
+         amount=0.5,
+         stop_price=None
+        )
+        log.info('order created {}'.format(order_id))
         pass
 
     def test_open_orders(self):

tests/exchange/test_bittrex.py

@@ -24,6 +24,15 @@ class BittrexTestCase(BaseExchangeTestCase):
 
     def test_order(self):
         log.info('creating order')
+        asset = self.exchange.get_asset('neo_eth')
+        order_id = self.exchange.order(
+            asset=asset,
+            style=LimitOrder(limit_price=200),
+            limit_price=200,
+            amount=0.5,
+            stop_price=None
+        )
+        log.info('order created {}'.format(order_id))
         pass
 
     def test_open_orders(self):