mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-27 19:14:36 +08:00
Initial work on bittrex implementation
This commit is contained in:
fredfortier
@@ -201,8 +201,8 @@ def ipython_only(option):
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)
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@click.option(
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'-n',
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'--algo-name',
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help='A label assigned to the algorithm for tracking purposes.',
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'--algo-namespace',
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help='A label assigned to the algorithm for tracking purposes. '
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)
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@click.option(
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'-c',
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@@ -381,14 +381,14 @@ def ingest(bundle, compile_locally, assets_version, show_progress):
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'--before',
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type=Timestamp(),
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help='Clear all data before TIMESTAMP.'
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' This may not be passed with -k / --keep-last',
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' This may not be passed with -k / --keep-last',
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)
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@click.option(
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'-a',
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'--after',
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type=Timestamp(),
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help='Clear all data after TIMESTAMP'
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' This may not be passed with -k / --keep-last',
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' This may not be passed with -k / --keep-last',
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)
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@click.option(
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'-k',
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@@ -396,7 +396,7 @@ def ingest(bundle, compile_locally, assets_version, show_progress):
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type=int,
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metavar='N',
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help='Clear all but the last N downloads.'
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' This may not be passed with -e / --before or -a / --after',
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' This may not be passed with -e / --before or -a / --after',
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)
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def clean(bundle, before, after, keep_last):
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"""Clean up data downloaded with the ingest command.
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@@ -41,7 +41,6 @@ class Bitfinex(Exchange):
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self.url = BITFINEX_URL
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self.key = key
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self.secret = secret
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self.id = 'b'
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self.name = 'bitfinex'
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self.assets = {}
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self.load_assets()
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@@ -220,26 +219,6 @@ class Bitfinex(Exchange):
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portfolio.portfolio_value = \
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portfolio.positions_value + portfolio.cash
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@property
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def portfolio(self):
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"""
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Return the Portfolio
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:return:
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"""
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# if self._portfolio is None:
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# portfolio = ExchangePortfolio(
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# start_date=pd.Timestamp.utcnow()
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# )
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# self.store.portfolio = portfolio
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# self.update_portfolio()
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#
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# portfolio.starting_cash = portfolio.cash
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# else:
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# portfolio = self.store.portfolio
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return self._portfolio
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@property
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def account(self):
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account = Account()
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@@ -273,8 +252,9 @@ class Bitfinex(Exchange):
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# TODO: research the time skew conditions
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return pd.Timedelta('0s')
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def subscribe_to_market_data(self, symbol):
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pass
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def get_account(self):
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# TODO: fetch account data and keep in cache
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return None
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def get_candles(self, data_frequency, assets, bar_count=None):
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"""
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@@ -0,0 +1,107 @@
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from logbook import Logger
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from six.moves import urllib
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import json
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import pandas as pd
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from catalyst.exchange.exchange import Exchange
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from catalyst.exchange.bittrex.bittrex_api import Bittrex_api
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log = Logger('Bittrex')
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class Bittrex(Exchange):
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def __init__(self, key, secret, base_currency, portfolio=None):
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self.api = Bittrex_api(key=key, secret=secret)
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self.name = 'bittrex'
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self.assets = dict()
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self.load_assets()
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@property
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def account(self):
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pass
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@property
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def portfolio(self):
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pass
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@property
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def positions(self):
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pass
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@property
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def time_skew(self):
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pass
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def sanitize_curency_symbol(self, exchange_symbol):
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"""
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Helper method used to build the universal pair.
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Include any symbol mapping here if appropriate.
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:param exchange_symbol:
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:return universal_symbol:
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"""
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return exchange_symbol.lower()
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def fetch_symbol_map(self):
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"""
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Since Bittrex gives us a complete dictionary of symbols,
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we can build the symbol map ad-hoc as opposed to maintaining
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a static file. We must be careful with mapping any unconventional
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symbol name as appropriate.
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:return symbol_map:
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"""
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symbol_map = dict()
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markets = self.api.getmarkets()
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for market in markets:
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exchange_symbol = market['MarketName']
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symbol = '{market}_{base}'.format(
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market=self.sanitize_curency_symbol(market['MarketCurrency']),
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base=self.sanitize_curency_symbol(market['BaseCurrency'])
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)
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symbol_map[exchange_symbol] = dict(
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symbol=symbol,
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start_date=pd.to_datetime(market['Created'], utc=True)
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)
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return symbol_map
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def update_portfolio(self):
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pass
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def order(self):
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log.info('creating order')
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pass
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def get_open_orders(self, asset):
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pass
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def open_orders(self):
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log.info('retrieving open orders')
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pass
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def get_order(self):
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log.info('retrieving order')
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pass
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def cancel_order(self):
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log.info('cancel order')
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pass
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def get_candles(self):
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log.info('retrieving candles')
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url = 'https://bittrex.com/Api/v2.0/pub/market/GetTicks?marketName=BTC-NEO&tickInterval=day&_=1499127220008'
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with urllib.request.urlopen(url) as url:
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data = json.loads(url.read().decode())
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result = data['result']
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pass
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def tickers(self):
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log.info('retrieving tickers')
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pass
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def get_account(self):
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log.info('retrieving account data')
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pass
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@@ -0,0 +1,127 @@
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#!/usr/bin/env python
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import json
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import time
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import hmac
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import hashlib
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from six.moves import urllib
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# Workaround for backwards compatibility
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# https://stackoverflow.com/questions/3745771/urllib-request-in-python-2-7
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urlopen = urllib.request.urlopen
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class Bittrex_api(object):
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def __init__(self, key, secret):
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self.key = key
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self.secret = secret
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self.public = ['getmarkets', 'getcurrencies', 'getticker',
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'getmarketsummaries', 'getmarketsummary',
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'getorderbook', 'getmarkethistory']
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self.market = ['buylimit', 'buymarket', 'selllimit', 'sellmarket',
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'cancel', 'getopenorders']
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self.account = ['getbalances', 'getbalance', 'getdepositaddress',
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'withdraw', 'getorder', 'getorderhistory',
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'getwithdrawalhistory', 'getdeposithistory']
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def query(self, method, values={}):
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if method in self.public:
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url = 'https://bittrex.com/api/v1.1/public/'
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elif method in self.market:
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url = 'https://bittrex.com/api/v1.1/market/'
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elif method in self.account:
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url = 'https://bittrex.com/api/v1.1/account/'
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else:
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return 'Something went wrong, sorry.'
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url += method + '?' + urllib.parse.urlencode(values)
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if method not in self.public:
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url += '&apikey=' + self.key
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url += '&nonce=' + str(int(time.time()))
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signature = hmac.new(self.secret, url, hashlib.sha512).hexdigest()
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headers = {'apisign': signature}
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else:
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headers = {}
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req = urllib.request.Request(url, headers=headers)
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response = json.loads(urlopen(req).read())
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if response["result"]:
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return response["result"]
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else:
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return response["message"]
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def getmarkets(self):
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return self.query('getmarkets')
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def getcurrencies(self):
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return self.query('getcurrencies')
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def getticker(self, market):
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return self.query('getticker', {'market': market})
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def getmarketsummaries(self):
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return self.query('getmarketsummaries')
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def getmarketsummary(self, market):
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return self.query('getmarketsummary', {'market': market})
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def getorderbook(self, market, type, depth=20):
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return self.query('getorderbook',
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{'market': market, 'type': type, 'depth': depth})
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def getmarkethistory(self, market, count=20):
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return self.query('getmarkethistory',
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{'market': market, 'count': count})
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def buylimit(self, market, quantity, rate):
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return self.query('buylimit', {'market': market, 'quantity': quantity,
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'rate': rate})
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def buymarket(self, market, quantity):
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return self.query('buymarket',
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{'market': market, 'quantity': quantity})
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def selllimit(self, market, quantity, rate):
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return self.query('selllimit', {'market': market, 'quantity': quantity,
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'rate': rate})
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def sellmarket(self, market, quantity):
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return self.query('sellmarket',
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{'market': market, 'quantity': quantity})
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def cancel(self, uuid):
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return self.query('cancel', {'uuid': uuid})
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def getopenorders(self, market):
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return self.query('getopenorders', {'market': market})
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def getbalances(self):
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return self.query('getbalances')
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def getbalance(self, currency):
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return self.query('getbalance', {'currency': currency})
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def getdepositaddress(self, currency):
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return self.query('getdepositaddress', {'currency': currency})
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def withdraw(self, currency, quantity, address):
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return self.query('withdraw',
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{'currency': currency, 'quantity': quantity,
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'address': address})
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def getorder(self, uuid):
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return self.query('getorder', {'uuid': uuid})
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def getorderhistory(self, market, count):
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return self.query('getorderhistory',
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{'market': market, 'count': count})
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def getwithdrawalhistory(self, currency, count):
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return self.query('getwithdrawalhistory',
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{'currency': currency, 'count': count})
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def getdeposithistory(self, currency, count):
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return self.query('getdeposithistory',
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{'currency': currency, 'count': count})
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@@ -17,6 +17,7 @@ from catalyst.errors import (
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from catalyst.finance.order import ORDER_STATUS
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from catalyst.finance.transaction import Transaction
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from catalyst.exchange.exchange_utils import get_exchange_symbols
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from catalyst.exchange.exchange_portfolio import ExchangePortfolio
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log = Logger('Exchange')
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@@ -32,10 +33,6 @@ class Exchange:
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self.minute_writer = None
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self.minute_reader = None
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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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@@ -44,9 +41,20 @@ class Exchange:
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def update_portfolio(self):
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pass
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@abstractproperty
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@property
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def portfolio(self):
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pass
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"""
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Return the Portfolio
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:return:
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"""
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if self._portfolio is None:
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self._portfolio = ExchangePortfolio(
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start_date=pd.Timestamp.utcnow()
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)
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self.update_portfolio()
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return self._portfolio
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@abstractproperty
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def account(self):
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@@ -106,6 +114,9 @@ class Exchange:
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return asset
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def fetch_symbol_map(self):
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return get_exchange_symbols(self.name)
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def load_assets(self):
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"""
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Populate the 'assets' attribute with a dictionary of Assets.
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@@ -124,7 +135,7 @@ class Exchange:
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via its api.
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"""
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symbol_map = get_exchange_symbols(self.name)
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symbol_map = self.fetch_symbol_map()
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for exchange_symbol in symbol_map:
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asset = symbol_map[exchange_symbol]
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symbol = asset['symbol']
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@@ -486,4 +497,12 @@ class Exchange:
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:param assets:
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:return:
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"""
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return
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pass
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@abc.abstractmethod
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def get_account(self):
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"""
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Retrieve the account parameters.
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:return:
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"""
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pass
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@@ -9,7 +9,9 @@ Logbook==0.12.5
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# Scientific Libraries
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pytz==2016.4
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numpy==1.11.1
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# FF: Upgraded numpy because of errors with version 1.11
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numpy==1.13.1
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|
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# for pandas-datareader
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requests-file==1.4.1
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@@ -77,3 +79,4 @@ lru-dict==1.1.4
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empyrical==0.2.1
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tables==3.3.0
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@@ -314,6 +314,7 @@ setup(
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'Topic :: System :: Distributed Computing',
|
||||
],
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install_requires=install_requires(conda_format=conda_build),
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extras_require=extras_requires(conda_format=conda_build),
|
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extras_require=extras_requires(conda_format=conda_build,
|
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install_requires=['six']),
|
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**conditional_arguments
|
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)
|
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|
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@@ -0,0 +1,34 @@
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import unittest
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from abc import ABCMeta, abstractmethod
|
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|
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|
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class BaseExchangeTestCase():
|
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__metaclass__ = ABCMeta
|
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|
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@abstractmethod
|
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def test_order(self):
|
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pass
|
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|
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@abstractmethod
|
||||
def test_open_orders(self):
|
||||
pass
|
||||
|
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@abstractmethod
|
||||
def test_get_order(self):
|
||||
pass
|
||||
|
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@abstractmethod
|
||||
def test_cancel_order(self):
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def test_get_candles(self):
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def test_tickers(self):
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def get_account(self):
|
||||
pass
|
||||
@@ -0,0 +1,126 @@
|
||||
from catalyst.exchange.bitfinex.bitfinex import Bitfinex
|
||||
from .base import BaseExchangeTestCase
|
||||
from logbook import Logger
|
||||
import pandas as pd
|
||||
from catalyst.finance.execution import (MarketOrder,
|
||||
LimitOrder,
|
||||
StopOrder,
|
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StopLimitOrder)
|
||||
from catalyst.exchange.exchange_utils import get_exchange_auth
|
||||
|
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log = Logger('test_bitfinex')
|
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|
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|
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class BitfinexTestCase(BaseExchangeTestCase):
|
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@classmethod
|
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def setup(self):
|
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print ('creating bitfinex object')
|
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auth = get_exchange_auth('bitfinex')
|
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self.exchange = Bitfinex(
|
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key=auth['key'],
|
||||
secret=auth['secret'],
|
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base_currency='usd'
|
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)
|
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|
||||
def test_order(self):
|
||||
log.info('creating order')
|
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pass
|
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|
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def test_open_orders(self):
|
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log.info('retrieving open orders')
|
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pass
|
||||
|
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def test_get_order(self):
|
||||
log.info('retrieving order')
|
||||
pass
|
||||
|
||||
def test_cancel_order(self):
|
||||
log.info('cancel order')
|
||||
pass
|
||||
|
||||
def test_get_candles(self):
|
||||
log.info('retrieving candles')
|
||||
pass
|
||||
|
||||
def test_tickers(self):
|
||||
log.info('retrieving tickers')
|
||||
pass
|
||||
|
||||
def get_account(self):
|
||||
log.info('retrieving account data')
|
||||
pass
|
||||
|
||||
# def test_order(self):
|
||||
# log.info('ordering from bitfinex')
|
||||
# bitfinex = Bitfinex()
|
||||
# order_id = bitfinex.order(
|
||||
# asset=bitfinex.get_asset('eth_usd'),
|
||||
# style=LimitOrder(limit_price=200),
|
||||
# limit_price=200,
|
||||
# amount=0.5,
|
||||
# stop_price=None
|
||||
# )
|
||||
# log.info('order created {}'.format(order_id))
|
||||
# pass
|
||||
#
|
||||
# def test_portfolio(self):
|
||||
# log.info('fetching portfolio data')
|
||||
# pass
|
||||
#
|
||||
# def test_account(self):
|
||||
# log.info('fetching account data')
|
||||
# pass
|
||||
#
|
||||
# def test_time_skew(self):
|
||||
# log.info('time skew not implemented')
|
||||
# pass
|
||||
#
|
||||
# def test_get_open_orders(self):
|
||||
# log.info('fetching open orders')
|
||||
# bitfinex = Bitfinex()
|
||||
# order_id = bitfinex.get_open_orders()
|
||||
# log.info('open orders: {}'.format(order_id))
|
||||
# pass
|
||||
#
|
||||
# def test_get_order(self):
|
||||
# log.info('querying orders from bitfinex')
|
||||
# bitfinex = Bitfinex()
|
||||
# response = bitfinex.get_order(order_id=3361248395)
|
||||
# log.info('the order: {}'.format(response))
|
||||
# pass
|
||||
#
|
||||
# def test_cancel_order(self):
|
||||
# log.info('canceling order from bitfinex')
|
||||
# bitfinex = Bitfinex()
|
||||
# response = bitfinex.cancel_order(order_id=3330847408)
|
||||
# log.info('canceled order: {}'.format(response))
|
||||
# pass
|
||||
#
|
||||
# def test_get_spot_value(self):
|
||||
# log.info('spot value not implemented')
|
||||
# bitfinex = Bitfinex()
|
||||
# assets = [
|
||||
# bitfinex.get_asset('eth_usd'),
|
||||
# bitfinex.get_asset('etc_usd'),
|
||||
# bitfinex.get_asset('eos_usd'),
|
||||
# ]
|
||||
# # assets = bitfinex.get_asset('eth_usd')
|
||||
# value = bitfinex.get_spot_value(
|
||||
# assets=assets,
|
||||
# field='close',
|
||||
# data_frequency='minute'
|
||||
# )
|
||||
# pass
|
||||
#
|
||||
# def test_tickers(self):
|
||||
# log.info('fetching ticker from bitfinex')
|
||||
# bitfinex = Bitfinex()
|
||||
# current_date = pd.Timestamp.utcnow()
|
||||
# assets = [
|
||||
# bitfinex.get_asset('eth_usd'),
|
||||
# bitfinex.get_asset('etc_usd'),
|
||||
# bitfinex.get_asset('eos_usd'),
|
||||
# ]
|
||||
# tickers = bitfinex.tickers(date=current_date, assets=assets)
|
||||
# log.info('got tickers {}'.format(tickers))
|
||||
# pass
|
||||
@@ -0,0 +1,51 @@
|
||||
from catalyst.exchange.bittrex.bittrex import Bittrex
|
||||
from .base import BaseExchangeTestCase
|
||||
from logbook import Logger
|
||||
import pandas as pd
|
||||
from catalyst.finance.execution import (MarketOrder,
|
||||
LimitOrder,
|
||||
StopOrder,
|
||||
StopLimitOrder)
|
||||
from catalyst.exchange.exchange_utils import get_exchange_auth
|
||||
|
||||
log = Logger('test_bittrex')
|
||||
|
||||
|
||||
class BittrexTestCase(BaseExchangeTestCase):
|
||||
@classmethod
|
||||
def setup(self):
|
||||
print ('creating bittrex object')
|
||||
auth = get_exchange_auth('bittrex')
|
||||
self.exchange = Bittrex(
|
||||
key=auth['key'],
|
||||
secret=auth['secret'],
|
||||
base_currency='usd'
|
||||
)
|
||||
|
||||
def test_order(self):
|
||||
log.info('creating order')
|
||||
pass
|
||||
|
||||
def test_open_orders(self):
|
||||
log.info('retrieving open orders')
|
||||
pass
|
||||
|
||||
def test_get_order(self):
|
||||
log.info('retrieving order')
|
||||
pass
|
||||
|
||||
def test_cancel_order(self):
|
||||
log.info('cancel order')
|
||||
pass
|
||||
|
||||
def test_get_candles(self):
|
||||
log.info('retrieving candles')
|
||||
pass
|
||||
|
||||
def test_tickers(self):
|
||||
log.info('retrieving tickers')
|
||||
pass
|
||||
|
||||
def get_account(self):
|
||||
log.info('retrieving account data')
|
||||
pass
|
||||
@@ -0,0 +1,50 @@
|
||||
from unittest import TestCase
|
||||
from logbook import Logger
|
||||
from mock import patch, sentinel
|
||||
from catalyst.exchange.exchange_clock import ExchangeClock
|
||||
from catalyst.utils.calendars.trading_calendar import days_at_time
|
||||
from datetime import time
|
||||
from collections import defaultdict
|
||||
from catalyst.utils.calendars import get_calendar
|
||||
import pandas as pd
|
||||
|
||||
log = Logger('ExchangeClockTestCase')
|
||||
|
||||
|
||||
class ExchangeClockTestCase(TestCase):
|
||||
@classmethod
|
||||
def setUpClass(cls):
|
||||
cls.open_calendar = get_calendar("OPEN")
|
||||
|
||||
cls.sessions = pd.Timestamp.utcnow()
|
||||
|
||||
def setUp(self):
|
||||
self.internal_clock = None
|
||||
self.events = defaultdict(list)
|
||||
|
||||
def advance_clock(self, x):
|
||||
"""Mock function for sleep. Advances the internal clock by 1 min"""
|
||||
# The internal clock advance time must be 1 minute to match
|
||||
# MinutesSimulationClock's update frequency
|
||||
self.internal_clock += pd.Timedelta('1 min')
|
||||
|
||||
def get_clock(self, arg, *args, **kwargs):
|
||||
"""Mock function for pandas.to_datetime which is used to query the
|
||||
current time in RealtimeClock"""
|
||||
assert arg == "now"
|
||||
return self.internal_clock
|
||||
|
||||
def test_clock(self):
|
||||
with patch('catalyst.exchange.exchange_clock.pd.to_datetime') as to_dt, \
|
||||
patch('catalyst.exchange.exchange_clock.sleep') as sleep:
|
||||
clock = ExchangeClock(sessions=self.sessions)
|
||||
to_dt.side_effect = self.get_clock
|
||||
sleep.side_effect = self.advance_clock
|
||||
start_time = pd.Timestamp.utcnow()
|
||||
self.internal_clock = start_time
|
||||
|
||||
events = list(clock)
|
||||
|
||||
# Event 0 is SESSION_START which always happens at 00:00.
|
||||
ts, event_type = events[1]
|
||||
pass
|
||||
Reference in New Issue
Block a user