mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 20:33:46 +08:00
BLD: made some adjustment to generate and use the exchange config more efficiently and without mapping. Currently testing.
This commit is contained in:
Frederic Fortier
@@ -4,11 +4,6 @@ from collections import defaultdict
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import ccxt
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import pandas as pd
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import six
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from ccxt import InvalidOrder, NetworkError, \
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ExchangeError
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from logbook import Logger
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from six import string_types
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from catalyst.algorithm import MarketOrder
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from catalyst.assets._assets import TradingPair
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from catalyst.constants import LOG_LEVEL
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@@ -16,26 +11,18 @@ from catalyst.exchange.exchange import Exchange
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from catalyst.exchange.exchange_bundle import ExchangeBundle
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from catalyst.exchange.exchange_errors import InvalidHistoryFrequencyError, \
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ExchangeSymbolsNotFound, ExchangeRequestError, InvalidOrderStyle, \
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ExchangeNotFoundError, CreateOrderError, InvalidHistoryTimeframeError, \
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UnsupportedHistoryFrequencyError
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ExchangeNotFoundError, CreateOrderError, InvalidHistoryTimeframeError, \
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MarketsNotFoundError, InvalidMarketError
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UnsupportedHistoryFrequencyError, \
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ExchangeNotFoundError, CreateOrderError, InvalidHistoryTimeframeError
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from catalyst.exchange.exchange_execution import ExchangeLimitOrder
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from catalyst.exchange.utils.exchange_utils import mixin_market_params, \
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get_exchange_folder, get_catalyst_symbol, \
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get_exchange_auth
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from catalyst.exchange.utils.ccxt_utils import get_exchange_config
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from catalyst.exchange.utils.datetime_utils import from_ms_timestamp, \
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get_epoch, \
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get_periods_range
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from catalyst.exchange.utils.exchange_utils import from_ms_timestamp, \
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get_epoch, get_catalyst_symbol, \
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get_exchange_auth, get_exchange_config
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from catalyst.finance.order import Order, ORDER_STATUS
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from catalyst.finance.transaction import Transaction
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from ccxt import InvalidOrder, NetworkError, \
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ExchangeError
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from logbook import Logger
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from redo import retry
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from six import string_types
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log = Logger('CCXT', level=LOG_LEVEL)
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@@ -51,7 +38,7 @@ SUPPORTED_EXCHANGES = dict(
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class CCXT(Exchange):
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def __init__(self, exchange_name, key, secret, base_currency):
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def __init__(self, exchange_name, key, secret, base_currency, config=None):
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log.debug(
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'finding {} in CCXT exchanges:\n{}'.format(
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exchange_name, ccxt.exchanges
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@@ -92,7 +79,7 @@ class CCXT(Exchange):
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self.bundle = ExchangeBundle(self.name)
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self._is_init = False
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self._config = None
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self._config = config
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def init(self):
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if self._is_init:
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@@ -118,136 +105,6 @@ class CCXT(Exchange):
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asset = TradingPair(**asset_dict)
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self.assets.append(asset)
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def _fetch_markets(self):
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markets_symbols = self.api.load_markets()
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log.debug(
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'fetching {} markets:\n{}'.format(
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self.name, markets_symbols
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)
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)
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try:
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markets = self.api.fetch_markets()
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except NetworkError as e:
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raise ExchangeRequestError(error=e)
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if not markets:
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raise MarketsNotFoundError(
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exchange=self.name,
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)
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for market in markets:
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if 'id' not in market:
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raise InvalidMarketError(
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exchange=self.name,
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market=market,
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)
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return markets
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def create_exchange_config(self):
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config = dict(
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name=self.name,
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features=[feature for feature in self.has if self.has[feature]]
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)
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markets = retry(
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action=self._fetch_markets,
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attempts=5,
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sleeptime=5,
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retry_exceptions=(ExchangeRequestError,),
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cleanup=lambda: log.warn(
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'fetching markets again for {}'.format(self.name)
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),
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)
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config['assets'] = []
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for market in markets:
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asset = self.create_trading_pair(market=market)
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config['assets'].append(asset)
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return config
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def create_trading_pair(self, market, start_dt=None, end_dt=None,
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leverage=1, end_daily=None, end_minute=None):
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"""
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Creating a TradingPair from market and asset data.
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Parameters
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----------
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market: dict[str, Object]
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start_dt
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end_dt
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leverage
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end_daily
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end_minute
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Returns
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-------
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"""
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params = dict(
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exchange=self.name,
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data_source='catalyst',
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exchange_symbol=market['id'],
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symbol=get_catalyst_symbol(market),
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start_date=start_dt,
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end_date=end_dt,
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leverage=leverage,
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asset_name=market['symbol'],
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end_daily=end_daily,
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end_minute=end_minute,
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)
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self.apply_conditional_market_params(params, market)
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return TradingPair(**params)
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@staticmethod
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def find_exchanges(features=None, is_authenticated=False):
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ccxt_features = []
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if features is not None:
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for feature in features:
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if not feature.endswith('Bundle'):
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ccxt_features.append(feature)
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exchange_names = []
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for exchange_name in ccxt.exchanges:
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if is_authenticated:
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exchange_auth = get_exchange_auth(exchange_name)
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has_auth = (exchange_auth['key'] != ''
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and exchange_auth['secret'] != '')
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if not has_auth:
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continue
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log.debug('loading exchange: {}'.format(exchange_name))
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exchange = getattr(ccxt, exchange_name)()
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if ccxt_features is None:
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has_feature = True
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else:
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try:
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has_feature = all(
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[exchange.has[feature] for feature in ccxt_features]
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)
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except Exception:
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has_feature = False
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if has_feature:
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try:
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log.info('initializing {}'.format(exchange_name))
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exchange_names.append(exchange_name)
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except Exception as e:
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log.warn(
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'unable to initialize exchange {}: {}'.format(
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exchange_name, e
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)
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)
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return exchange_names
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def account(self):
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return None
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@@ -295,13 +152,7 @@ class CCXT(Exchange):
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if source == 'ccxt':
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if isinstance(asset_or_symbol, string_types):
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parts = asset_or_symbol.split('/')
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base_currency = self.substitute_currency_code(
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parts[0], source
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)
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quote_currency = self.substitute_currency_code(
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parts[1], source
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)
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return '{}_{}'.format(base_currency, quote_currency)
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return '{}_{}'.format(parts[0].lower(), parts[1].lower())
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else:
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return asset_or_symbol.symbol
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@@ -312,13 +163,7 @@ class CCXT(Exchange):
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) else asset_or_symbol.symbol
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parts = symbol.split('_')
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base_currency = self.substitute_currency_code(
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parts[0], source
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)
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quote_currency = self.substitute_currency_code(
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parts[1], source
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)
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return '{}/{}'.format(base_currency, quote_currency)
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return '{}/{}'.format(parts[0].upper(), parts[1].upper())
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@staticmethod
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def map_frequency(value, source='ccxt', raise_error=True):
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@@ -525,54 +370,6 @@ class CCXT(Exchange):
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except ExchangeSymbolsNotFound:
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return None
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def apply_conditional_market_params(self, params, market):
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"""
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Applies a CCXT market dict to parameters of TradingPair init.
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Parameters
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----------
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params: dict[Object]
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market: dict[Object]
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Returns
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-------
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"""
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# TODO: make this more externalized / configurable
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# Consider representing in some type of JSON structure
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if 'active' in market:
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params['trading_state'] = 1 if market['active'] else 0
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else:
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params['trading_state'] = 1
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if 'lot' in market:
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params['min_trade_size'] = market['lot']
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params['lot'] = market['lot']
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if self.name == 'bitfinex':
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params['maker'] = 0.001
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params['taker'] = 0.002
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elif 'maker' in market and 'taker' in market \
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and market['maker'] is not None \
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and market['taker'] is not None:
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params['maker'] = market['maker']
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params['taker'] = market['taker']
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else:
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# TODO: default commission, make configurable
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params['maker'] = 0.0015
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params['taker'] = 0.0025
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info = market['info'] if 'info' in market else None
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if info:
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if 'minimum_order_size' in info:
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params['min_trade_size'] = float(info['minimum_order_size'])
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if 'lot' not in params:
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params['lot'] = params['min_trade_size']
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def get_balances(self):
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try:
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log.debug('retrieving wallets balances')
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@@ -0,0 +1,311 @@
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import json
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import os
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import pandas as pd
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from six.moves.urllib import request
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from catalyst.assets._assets import TradingPair
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from ccxt import NetworkError
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from catalyst.constants import LOG_LEVEL, EXCHANGE_CONFIG_URL
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from catalyst.exchange.exchange_errors import MarketsNotFoundError, \
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InvalidMarketError
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from catalyst.exchange.utils.exchange_utils import get_catalyst_symbol, \
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get_exchange_folder, get_exchange_auth
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from catalyst.exchange.utils.serialization_utils import ExchangeJSONDecoder, \
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ExchangeJSONEncoder
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from logbook import Logger
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from redo import retry
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from ccxt.base.exchange import Exchange
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from catalyst.utils.paths import last_modified_time, data_root, \
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ensure_directory
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import ccxt
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log = Logger('ccxt_utils', level=LOG_LEVEL)
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def find_exchange_configs(features=None, history=None, is_authenticated=False,
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path=None):
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"""
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Finding exchanges from their config files
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Parameters
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----------
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features
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is_authenticated
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Returns
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-------
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"""
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exchange_config = []
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for exchange_name in ccxt.exchanges:
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config = get_exchange_config(exchange_name, path)
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if not config or 'error' in config:
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log.info(
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'skipping invalid exchange {}'.format(exchange_name)
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)
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# Check if the exchange has an auth.json file
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if is_authenticated:
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exchange_auth = get_exchange_auth(exchange_name)
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has_auth = (exchange_auth['key'] != ''
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and exchange_auth['secret'] != '')
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if not has_auth:
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continue
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if features is None:
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has_features = True
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else:
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try:
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supported_features = [
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feature for feature in features if
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feature in config['features']
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]
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has_features = len(supported_features) > 0
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except Exception:
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has_features = False
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# TODO: filter by history
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if has_features:
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try:
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exchange_config.append(config)
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except Exception as e:
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log.warn(
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'unable to initialize exchange {}: {}'.format(
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exchange_name, e
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)
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)
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return exchange_config
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def get_exchange_config(exchange_name, path=None, environ=None,
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expiry='2H'):
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"""
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The de-serialized content of the exchange's config.json.
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Parameters
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----------
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exchange_name: str
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The exchange name
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filename: str
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The target file
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environ:
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Returns
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-------
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config: dict[srt, Object]
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The config dictionary.
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"""
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try:
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if path is None:
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root = data_root(environ)
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path = os.path.join(root, 'exchanges')
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folder = os.path.join(path, exchange_name)
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ensure_directory(folder)
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filename = os.path.join(folder, 'config.json')
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url = EXCHANGE_CONFIG_URL.format(exchange=exchange_name)
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if os.path.isfile(filename):
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# If the file exists, only update periodically to avoid
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# unnecessary calls
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now = pd.Timestamp.utcnow()
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limit = pd.Timedelta(expiry)
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if pd.Timedelta(now - last_modified_time(filename)) > limit:
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request.urlretrieve(url=url, filename=filename)
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else:
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request.urlretrieve(url=url, filename=filename)
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with open(filename) as data_file:
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data = json.load(data_file, cls=ExchangeJSONDecoder)
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return data
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except Exception as e:
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log.warn(
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'unable to download {} config: {}'.format(
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exchange_name, e
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)
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)
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return dict(error=e)
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def save_exchange_config(config, filename=None, environ=None):
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"""
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Save assets into an exchange_config file.
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Parameters
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----------
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exchange_name: str
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config
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environ
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Returns
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-------
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"""
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if filename is None:
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name = 'config.json'
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exchange_folder = get_exchange_folder(config['id'], environ)
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filename = os.path.join(exchange_folder, name)
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with open(filename, 'w+') as handle:
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json.dump(config, handle, indent=4, cls=ExchangeJSONEncoder)
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def fetch_markets(ccxt_exchange):
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"""
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Fetches CCXT market objects.
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Parameters
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----------
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ccxt_exchange: Exchange
|
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Returns
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-------
|
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|
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"""
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markets_symbols = ccxt_exchange.load_markets()
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log.debug(
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'fetching {} markets:\n{}'.format(
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ccxt_exchange.name, markets_symbols
|
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)
|
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)
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markets = ccxt_exchange.fetch_markets()
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|
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if not markets:
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raise MarketsNotFoundError(
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exchange=ccxt_exchange.name,
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)
|
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|
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for market in markets:
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if 'id' not in market:
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raise InvalidMarketError(
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exchange=ccxt_exchange.name,
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market=market,
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)
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return markets
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|
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|
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def create_exchange_config(ccxt_exchange):
|
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"""
|
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Creates an exchange config structure.
|
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|
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Parameters
|
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----------
|
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ccxt_exchange: Exchange
|
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|
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Returns
|
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-------
|
||||
|
||||
"""
|
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exchange_name = ccxt_exchange.__class__.__name__
|
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config = dict(
|
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id=exchange_name,
|
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name=ccxt_exchange.name,
|
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features=[
|
||||
feature for feature in ccxt_exchange.has if
|
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ccxt_exchange.has[feature]
|
||||
]
|
||||
)
|
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markets = retry(
|
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action=fetch_markets,
|
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attempts=5,
|
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sleeptime=5,
|
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retry_exceptions=(NetworkError,),
|
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cleanup=lambda: log.warn(
|
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'fetching markets again for {}'.format(exchange_name)
|
||||
),
|
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args=(ccxt_exchange,)
|
||||
)
|
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|
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config['assets'] = []
|
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for market in markets:
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asset = create_trading_pair(exchange_name, market)
|
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config['assets'].append(asset)
|
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|
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return config
|
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|
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|
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def create_trading_pair(exchange_name, market, start_dt=None, end_dt=None,
|
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leverage=1, end_daily=None, end_minute=None):
|
||||
"""
|
||||
Creating a TradingPair from market and asset data.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
market: dict[str, Object]
|
||||
start_dt
|
||||
end_dt
|
||||
leverage
|
||||
end_daily
|
||||
end_minute
|
||||
|
||||
Returns
|
||||
-------
|
||||
|
||||
"""
|
||||
params = dict(
|
||||
exchange=exchange_name,
|
||||
data_source='catalyst',
|
||||
exchange_symbol=market['id'],
|
||||
symbol=get_catalyst_symbol(market),
|
||||
start_date=start_dt,
|
||||
end_date=end_dt,
|
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leverage=leverage,
|
||||
asset_name=market['symbol'],
|
||||
end_daily=end_daily,
|
||||
end_minute=end_minute,
|
||||
)
|
||||
apply_conditional_market_params(exchange_name, params, market)
|
||||
|
||||
return TradingPair(**params)
|
||||
|
||||
|
||||
def apply_conditional_market_params(exchange_name, params, market):
|
||||
"""
|
||||
Applies a CCXT market dict to parameters of TradingPair init.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
params: dict[Object]
|
||||
market: dict[Object]
|
||||
|
||||
Returns
|
||||
-------
|
||||
|
||||
"""
|
||||
# TODO: make this more externalized / configurable
|
||||
# Consider representing in some type of JSON structure
|
||||
if 'active' in market:
|
||||
params['trading_state'] = 1 if market['active'] else 0
|
||||
|
||||
else:
|
||||
params['trading_state'] = 1
|
||||
|
||||
if 'lot' in market:
|
||||
params['min_trade_size'] = market['lot']
|
||||
params['lot'] = market['lot']
|
||||
|
||||
if exchange_name == 'bitfinex':
|
||||
params['maker'] = 0.001
|
||||
params['taker'] = 0.002
|
||||
|
||||
elif 'maker' in market and 'taker' in market \
|
||||
and market['maker'] is not None \
|
||||
and market['taker'] is not None:
|
||||
params['maker'] = market['maker']
|
||||
params['taker'] = market['taker']
|
||||
|
||||
else:
|
||||
# TODO: default commission, make configurable
|
||||
params['maker'] = 0.0015
|
||||
params['taker'] = 0.0025
|
||||
|
||||
info = market['info'] if 'info' in market else None
|
||||
if info:
|
||||
if 'minimum_order_size' in info:
|
||||
params['min_trade_size'] = float(info['minimum_order_size'])
|
||||
|
||||
if 'lot' not in params:
|
||||
params['lot'] = params['min_trade_size']
|
||||
@@ -4,8 +4,9 @@ from catalyst.constants import LOG_LEVEL
|
||||
from catalyst.exchange.ccxt.ccxt_exchange import CCXT
|
||||
from catalyst.exchange.exchange import Exchange
|
||||
from catalyst.exchange.exchange_errors import ExchangeAuthEmpty
|
||||
from catalyst.exchange.utils.ccxt_utils import find_exchange_configs
|
||||
from catalyst.exchange.utils.exchange_utils import get_exchange_auth, \
|
||||
get_exchange_folder, is_blacklist
|
||||
get_exchange_folder
|
||||
from logbook import Logger
|
||||
|
||||
log = Logger('factory', level=LOG_LEVEL)
|
||||
@@ -13,7 +14,7 @@ exchange_cache = dict()
|
||||
|
||||
|
||||
def get_exchange(exchange_name, base_currency=None, must_authenticate=False,
|
||||
skip_init=False, auth_alias=None):
|
||||
skip_init=False, auth_alias=None, config=None):
|
||||
key = (exchange_name, base_currency)
|
||||
if key in exchange_cache:
|
||||
return exchange_cache[key]
|
||||
@@ -34,6 +35,7 @@ def get_exchange(exchange_name, base_currency=None, must_authenticate=False,
|
||||
key=exchange_auth['key'],
|
||||
secret=exchange_auth['secret'],
|
||||
base_currency=base_currency,
|
||||
config=config,
|
||||
)
|
||||
exchange_cache[key] = exchange
|
||||
|
||||
@@ -51,8 +53,8 @@ def get_exchanges(exchange_names):
|
||||
return exchanges
|
||||
|
||||
|
||||
def find_exchanges(features=None, skip_blacklist=True, is_authenticated=False,
|
||||
base_currency=None):
|
||||
def find_exchanges(features=None, history=None, skip_blacklist=True, path=None,
|
||||
is_authenticated=False, base_currency=None):
|
||||
"""
|
||||
Find exchanges filtered by a list of feature.
|
||||
|
||||
@@ -70,28 +72,20 @@ def find_exchanges(features=None, skip_blacklist=True, is_authenticated=False,
|
||||
list[Exchange]
|
||||
|
||||
"""
|
||||
exchange_names = CCXT.find_exchanges(features, is_authenticated)
|
||||
|
||||
exchange_configs = find_exchange_configs(
|
||||
features, history, is_authenticated, path
|
||||
)
|
||||
exchanges = []
|
||||
for exchange_name in exchange_names:
|
||||
if skip_blacklist and is_blacklist(exchange_name):
|
||||
for config in exchange_configs:
|
||||
if skip_blacklist and (config is None or 'error' in config):
|
||||
continue
|
||||
|
||||
exchange = get_exchange(
|
||||
exchange_name=exchange_name,
|
||||
exchange_name=config['id'],
|
||||
skip_init=True,
|
||||
base_currency=base_currency,
|
||||
config=config,
|
||||
)
|
||||
|
||||
if features is not None:
|
||||
if 'dailyBundle' in features \
|
||||
and not exchange.has_bundle('daily'):
|
||||
continue
|
||||
|
||||
elif 'minuteBundle' in features \
|
||||
and not exchange.has_bundle('minute'):
|
||||
continue
|
||||
|
||||
exchanges.append(exchange)
|
||||
|
||||
return exchanges
|
||||
|
||||
@@ -3,6 +3,7 @@ import re
|
||||
from json import JSONEncoder
|
||||
|
||||
import pandas as pd
|
||||
from catalyst.assets._assets import TradingPair
|
||||
from catalyst.constants import DATE_TIME_FORMAT
|
||||
from six import string_types
|
||||
|
||||
@@ -12,6 +13,9 @@ class ExchangeJSONEncoder(json.JSONEncoder):
|
||||
if isinstance(obj, pd.Timestamp):
|
||||
return obj.strftime(DATE_TIME_FORMAT)
|
||||
|
||||
elif isinstance(obj, TradingPair):
|
||||
return obj.to_dict()
|
||||
|
||||
# Let the base class default method raise the TypeError
|
||||
return JSONEncoder.default(self, obj)
|
||||
|
||||
|
||||
@@ -21,47 +21,13 @@ log = Logger('TestSuiteExchange')
|
||||
|
||||
|
||||
class TestSuiteExchange(WithLogger, ZiplineTestCase):
|
||||
def _test_markets_exchange(self, exchange, attempts=0):
|
||||
assets = None
|
||||
try:
|
||||
exchange.init()
|
||||
|
||||
# Verify that the assets and markets are populated
|
||||
if not exchange.markets:
|
||||
raise ValueError(
|
||||
'no markets found'
|
||||
)
|
||||
if not exchange.assets:
|
||||
raise ValueError(
|
||||
'no assets derived from markets'
|
||||
)
|
||||
assets = exchange.assets
|
||||
|
||||
except ExchangeRequestError as e:
|
||||
sleep(5)
|
||||
|
||||
if attempts > 5:
|
||||
handle_exchange_error(exchange, e)
|
||||
|
||||
else:
|
||||
print(
|
||||
're-trying an exchange request {} {}'.format(
|
||||
exchange.name, attempts
|
||||
)
|
||||
)
|
||||
self._test_markets_exchange(exchange, attempts + 1)
|
||||
|
||||
except Exception as e:
|
||||
handle_exchange_error(exchange, e)
|
||||
|
||||
return assets
|
||||
|
||||
def test_markets(self):
|
||||
population = 3
|
||||
results = dict()
|
||||
|
||||
exchanges = select_random_exchanges(population) # Type: list[Exchange]
|
||||
for exchange in exchanges:
|
||||
exchange.init()
|
||||
assets = self._test_markets_exchange(exchange)
|
||||
|
||||
if assets is not None:
|
||||
|
||||
Reference in New Issue
Block a user