Initial work on bittrex implementation

catalyst/__main__.py

@@ -201,8 +201,8 @@ def ipython_only(option):
 )
 @click.option(
     '-n',
-    '--algo-name',
-    help='A label assigned to the algorithm for tracking purposes.',
+    '--algo-namespace',
+    help='A label assigned to the algorithm for tracking purposes. '
 )
 @click.option(
     '-c',
@@ -381,14 +381,14 @@ def ingest(bundle, compile_locally, assets_version, show_progress):
     '--before',
     type=Timestamp(),
     help='Clear all data before TIMESTAMP.'
-    ' This may not be passed with -k / --keep-last',
+         ' This may not be passed with -k / --keep-last',
 )
 @click.option(
     '-a',
     '--after',
     type=Timestamp(),
     help='Clear all data after TIMESTAMP'
-    ' This may not be passed with -k / --keep-last',
+         ' This may not be passed with -k / --keep-last',
 )
 @click.option(
     '-k',
@@ -396,7 +396,7 @@ def ingest(bundle, compile_locally, assets_version, show_progress):
     type=int,
     metavar='N',
     help='Clear all but the last N downloads.'
-    ' This may not be passed with -e / --before or -a / --after',
+         ' This may not be passed with -e / --before or -a / --after',
 )
 def clean(bundle, before, after, keep_last):
     """Clean up data downloaded with the ingest command.

catalyst/exchange/bitfinex/bitfinex.py

@@ -41,7 +41,6 @@ class Bitfinex(Exchange):
         self.url = BITFINEX_URL
         self.key = key
         self.secret = secret
-        self.id = 'b'
         self.name = 'bitfinex'
         self.assets = {}
         self.load_assets()
@@ -220,26 +219,6 @@ class Bitfinex(Exchange):
                 portfolio.portfolio_value = \
                     portfolio.positions_value + portfolio.cash
 
-    @property
-    def portfolio(self):
-        """
-        Return the Portfolio
-
-        :return:
-        """
-        # if self._portfolio is None:
-        #     portfolio = ExchangePortfolio(
-        #         start_date=pd.Timestamp.utcnow()
-        #     )
-        #     self.store.portfolio = portfolio
-        #     self.update_portfolio()
-        #
-        #     portfolio.starting_cash = portfolio.cash
-        # else:
-        #     portfolio = self.store.portfolio
-
-        return self._portfolio
-
     @property
     def account(self):
         account = Account()
@@ -273,8 +252,9 @@ class Bitfinex(Exchange):
         # TODO: research the time skew conditions
         return pd.Timedelta('0s')
 
-    def subscribe_to_market_data(self, symbol):
-        pass
+    def get_account(self):
+        # TODO: fetch account data and keep in cache
+        return None
 
     def get_candles(self, data_frequency, assets, bar_count=None):
         """

catalyst/exchange/bittrex/bittrex.py

@@ -0,0 +1,107 @@
+from logbook import Logger
+from six.moves import urllib
+import json
+import pandas as pd
+
+from catalyst.exchange.exchange import Exchange
+from catalyst.exchange.bittrex.bittrex_api import Bittrex_api
+
+log = Logger('Bittrex')
+
+
+class Bittrex(Exchange):
+    def __init__(self, key, secret, base_currency, portfolio=None):
+        self.api = Bittrex_api(key=key, secret=secret)
+        self.name = 'bittrex'
+
+        self.assets = dict()
+        self.load_assets()
+
+    @property
+    def account(self):
+        pass
+
+    @property
+    def portfolio(self):
+        pass
+
+    @property
+    def positions(self):
+        pass
+
+    @property
+    def time_skew(self):
+        pass
+
+    def sanitize_curency_symbol(self, exchange_symbol):
+        """
+        Helper method used to build the universal pair.
+        Include any symbol mapping here if appropriate.
+
+        :param exchange_symbol:
+        :return universal_symbol:
+        """
+        return exchange_symbol.lower()
+
+    def fetch_symbol_map(self):
+        """
+        Since Bittrex gives us a complete dictionary of symbols,
+        we can build the symbol map ad-hoc as opposed to maintaining
+        a static file. We must be careful with mapping any unconventional
+        symbol name as appropriate.
+
+        :return symbol_map:
+        """
+        symbol_map = dict()
+
+        markets = self.api.getmarkets()
+        for market in markets:
+            exchange_symbol = market['MarketName']
+            symbol = '{market}_{base}'.format(
+                market=self.sanitize_curency_symbol(market['MarketCurrency']),
+                base=self.sanitize_curency_symbol(market['BaseCurrency'])
+            )
+            symbol_map[exchange_symbol] = dict(
+                symbol=symbol,
+                start_date=pd.to_datetime(market['Created'], utc=True)
+            )
+
+        return symbol_map
+
+    def update_portfolio(self):
+        pass
+
+    def order(self):
+        log.info('creating order')
+        pass
+
+    def get_open_orders(self, asset):
+        pass
+
+    def open_orders(self):
+        log.info('retrieving open orders')
+        pass
+
+    def get_order(self):
+        log.info('retrieving order')
+        pass
+
+    def cancel_order(self):
+        log.info('cancel order')
+        pass
+
+    def get_candles(self):
+        log.info('retrieving candles')
+        url = 'https://bittrex.com/Api/v2.0/pub/market/GetTicks?marketName=BTC-NEO&tickInterval=day&_=1499127220008'
+        with urllib.request.urlopen(url) as url:
+            data = json.loads(url.read().decode())
+            result = data['result']
+        pass
+
+    def tickers(self):
+        log.info('retrieving tickers')
+        pass
+
+    def get_account(self):
+        log.info('retrieving account data')
+        pass

catalyst/exchange/bittrex/bittrex_api.py

@@ -0,0 +1,127 @@
+#!/usr/bin/env python
+import json
+import time
+import hmac
+import hashlib
+
+from six.moves import urllib
+
+# Workaround for backwards compatibility
+# https://stackoverflow.com/questions/3745771/urllib-request-in-python-2-7
+urlopen = urllib.request.urlopen
+
+
+class Bittrex_api(object):
+    def __init__(self, key, secret):
+        self.key = key
+        self.secret = secret
+        self.public = ['getmarkets', 'getcurrencies', 'getticker',
+                       'getmarketsummaries', 'getmarketsummary',
+                       'getorderbook', 'getmarkethistory']
+        self.market = ['buylimit', 'buymarket', 'selllimit', 'sellmarket',
+                       'cancel', 'getopenorders']
+        self.account = ['getbalances', 'getbalance', 'getdepositaddress',
+                        'withdraw', 'getorder', 'getorderhistory',
+                        'getwithdrawalhistory', 'getdeposithistory']
+
+    def query(self, method, values={}):
+        if method in self.public:
+            url = 'https://bittrex.com/api/v1.1/public/'
+        elif method in self.market:
+            url = 'https://bittrex.com/api/v1.1/market/'
+        elif method in self.account:
+            url = 'https://bittrex.com/api/v1.1/account/'
+        else:
+            return 'Something went wrong, sorry.'
+
+        url += method + '?' + urllib.parse.urlencode(values)
+
+        if method not in self.public:
+            url += '&apikey=' + self.key
+            url += '&nonce=' + str(int(time.time()))
+            signature = hmac.new(self.secret, url, hashlib.sha512).hexdigest()
+            headers = {'apisign': signature}
+        else:
+            headers = {}
+
+        req = urllib.request.Request(url, headers=headers)
+        response = json.loads(urlopen(req).read())
+
+        if response["result"]:
+            return response["result"]
+        else:
+            return response["message"]
+
+    def getmarkets(self):
+        return self.query('getmarkets')
+
+    def getcurrencies(self):
+        return self.query('getcurrencies')
+
+    def getticker(self, market):
+        return self.query('getticker', {'market': market})
+
+    def getmarketsummaries(self):
+        return self.query('getmarketsummaries')
+
+    def getmarketsummary(self, market):
+        return self.query('getmarketsummary', {'market': market})
+
+    def getorderbook(self, market, type, depth=20):
+        return self.query('getorderbook',
+                          {'market': market, 'type': type, 'depth': depth})
+
+    def getmarkethistory(self, market, count=20):
+        return self.query('getmarkethistory',
+                          {'market': market, 'count': count})
+
+    def buylimit(self, market, quantity, rate):
+        return self.query('buylimit', {'market': market, 'quantity': quantity,
+                                       'rate': rate})
+
+    def buymarket(self, market, quantity):
+        return self.query('buymarket',
+                          {'market': market, 'quantity': quantity})
+
+    def selllimit(self, market, quantity, rate):
+        return self.query('selllimit', {'market': market, 'quantity': quantity,
+                                        'rate': rate})
+
+    def sellmarket(self, market, quantity):
+        return self.query('sellmarket',
+                          {'market': market, 'quantity': quantity})
+
+    def cancel(self, uuid):
+        return self.query('cancel', {'uuid': uuid})
+
+    def getopenorders(self, market):
+        return self.query('getopenorders', {'market': market})
+
+    def getbalances(self):
+        return self.query('getbalances')
+
+    def getbalance(self, currency):
+        return self.query('getbalance', {'currency': currency})
+
+    def getdepositaddress(self, currency):
+        return self.query('getdepositaddress', {'currency': currency})
+
+    def withdraw(self, currency, quantity, address):
+        return self.query('withdraw',
+                          {'currency': currency, 'quantity': quantity,
+                           'address': address})
+
+    def getorder(self, uuid):
+        return self.query('getorder', {'uuid': uuid})
+
+    def getorderhistory(self, market, count):
+        return self.query('getorderhistory',
+                          {'market': market, 'count': count})
+
+    def getwithdrawalhistory(self, currency, count):
+        return self.query('getwithdrawalhistory',
+                          {'currency': currency, 'count': count})
+
+    def getdeposithistory(self, currency, count):
+        return self.query('getdeposithistory',
+                          {'currency': currency, 'count': count})

catalyst/exchange/exchange.py

@@ -17,6 +17,7 @@ from catalyst.errors import (
 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
 
 log = Logger('Exchange')
 
@@ -32,10 +33,6 @@ class Exchange:
         self.minute_writer = None
         self.minute_reader = None
 
-    @abstractmethod
-    def subscribe_to_market_data(self, symbol):
-        pass
-
     @abstractproperty
     def positions(self):
         pass
@@ -44,9 +41,20 @@ class Exchange:
     def update_portfolio(self):
         pass
 
-    @abstractproperty
+    @property
     def portfolio(self):
-        pass
+        """
+        Return the Portfolio
+
+        :return:
+        """
+        if self._portfolio is None:
+            self._portfolio = ExchangePortfolio(
+                start_date=pd.Timestamp.utcnow()
+            )
+            self.update_portfolio()
+
+        return self._portfolio
 
     @abstractproperty
     def account(self):
@@ -106,6 +114,9 @@ class Exchange:
 
         return asset
 
+    def fetch_symbol_map(self):
+        return get_exchange_symbols(self.name)
+
     def load_assets(self):
         """
         Populate the 'assets' attribute with a dictionary of Assets.
@@ -124,7 +135,7 @@ class Exchange:
         via its api.
         """
 
-        symbol_map = get_exchange_symbols(self.name)
+        symbol_map = self.fetch_symbol_map()
         for exchange_symbol in symbol_map:
             asset = symbol_map[exchange_symbol]
             symbol = asset['symbol']
@@ -486,4 +497,12 @@ class Exchange:
         :param assets:
         :return:
         """
-        return
+        pass
+
+    @abc.abstractmethod
+    def get_account(self):
+        """
+        Retrieve the account parameters.
+        :return:
+        """
+        pass