General improvements

.gitattributes

@@ -1,2 +1,3 @@
 zipline/_version.py export-subst
 *.ipynb binary
+catalyst/_version.py export-subst

catalyst/__init__.py

@@ -80,3 +80,7 @@ __all__ = [
     'run_algorithm',
     'utils',
 ]
+
+from ._version import get_versions
+__version__ = get_versions()['version']
+del get_versions

catalyst/data/bundles/poloniex.py

@@ -115,12 +115,13 @@ def poloniex_cryptoassets(symbols, start=None, end=None):
                     day_data.volume.sum(),   # sum of all volumes
                 )
 
-            # scale to allow trading 100-ths of a coin
-            daily_bars.loc[:, 'open'] /= 100.0
-            daily_bars.loc[:, 'high'] /= 100.0
-            daily_bars.loc[:, 'low'] /= 100.0
-            daily_bars.loc[:, 'close'] /= 100.0
-            daily_bars.loc[:, 'volume'] *= 100.0
+            # scale to allow trading 10-ths of a coin
+            scale = 10.0
+            daily_bars.loc[:, 'open'] /= scale
+            daily_bars.loc[:, 'high'] /= scale
+            daily_bars.loc[:, 'low'] /= scale
+            daily_bars.loc[:, 'close'] /= scale
+            daily_bars.loc[:, 'volume'] *= scale
             
             return daily_bars
 
@@ -171,8 +172,10 @@ def poloniex_cryptoassets(symbols, start=None, end=None):
                     yield sid, daily_bars
                     sid += 1
 
-
-        daily_bar_writer.write(_pricing_iter())
+        daily_bar_writer.write(
+            _pricing_iter(),
+            assets=metadata.symbol.index,
+        )
 
         symbol_map = pd.Series(metadata.symbol.index, metadata.symbol)
 

catalyst/data/bundles/quandl.py

@@ -5,6 +5,7 @@ from io import BytesIO
 from itertools import count
 import tarfile
 from time import time, sleep
+from datetime import datetime
 
 from click import progressbar
 from logbook import Logger
@@ -36,10 +37,17 @@ def _fetch_raw_metadata(api_key, cache, retries, environ):
                 try:
                     raw = pd.read_csv(
                         format_metadata_url(api_key, page_number),
+                        date_parser=pd.tseries.tools.to_datetime,
                         parse_dates=[
                             'oldest_available_date',
                             'newest_available_date',
                         ],
+                        dtypes={
+                            'dataset_code': 'int',
+                            'name': 'str',
+                            'oldest_available_date': 'str',
+                            'newest_available_date': 'str',
+                        },
                         usecols=[
                             'dataset_code',
                             'name',
@@ -126,6 +134,10 @@ def fetch_symbol_metadata_frame(api_key,
     # we need to escape the paren because it is actually splitting on a regex
     data.asset_name = data.asset_name.str.split(r' \(', 1).str.get(0)
     data['exchange'] = 'QUANDL'
+
+    data['start_date'] = data['start_date'].astype(datetime)
+    data['end_date'] = data['end_date'].astype(datetime)
+
     data['auto_close_date'] = data['end_date'] + pd.Timedelta(days=1)
     return data
 
@@ -313,6 +325,7 @@ def quandl_bundle(environ,
             dividends,
             environ.get('QUANDL_DOWNLOAD_ATTEMPTS', 5),
         ),
+        assets=metadata.index,
         show_progress=show_progress,
     )
     adjustment_writer.write(

catalyst/data/loader.py

@@ -300,12 +300,13 @@ def ensure_crypto_benchmark_data(symbol, first_date, last_date, now,
                 day_data.volume.sum(),   # sum of all volumes
             )
 
-        # scale to allow trading 100-ths of a coin
-        daily_bars.loc[:, 'open'] /= 100.0
-        daily_bars.loc[:, 'high'] /= 100.0
-        daily_bars.loc[:, 'low'] /= 100.0
-        daily_bars.loc[:, 'close'] /= 100.0
-        daily_bars.loc[:, 'volume'] *= 100.0
+        # scale to allow trading 10-ths of a coin
+        scale = 10.0
+        daily_bars.loc[:, 'open'] /= scale
+        daily_bars.loc[:, 'high'] /= scale
+        daily_bars.loc[:, 'low'] /= scale
+        daily_bars.loc[:, 'close'] /= scale
+        daily_bars.loc[:, 'volume'] *= scale
         
         return daily_bars
 

catalyst/examples/buy_and_hold.py

@@ -22,11 +22,11 @@ from catalyst.api import (
     record,
 )
 
-TARGET_INVESTMENT_RATIO = 0.5
+TARGET_INVESTMENT_RATIO = 0.8
 
 def initialize(context):
     context.has_ordered = False
-    context.asset = symbol('USDT_BTC')
+    context.asset = symbol('USDT_ETH')
 
 
 def handle_data(context, data):
@@ -39,7 +39,7 @@ def handle_data(context, data):
             context.has_ordered = True
 
     record(
-        USDT_BTC=data[context.asset].price,
+        USDT_ETH=data[context.asset].price,
         cash=context.portfolio.cash,
         leverage=context.account.leverage,
     )
@@ -52,8 +52,8 @@ def analyze(context=None, results=None):
     ax1.set_ylabel('Portfolio value (USD)')
 
     ax2 = plt.subplot(512, sharex=ax1)
-    ax2.set_ylabel('USDT_BTC (USD)')
-    results[['USDT_BTC']].plot(ax=ax2)
+    ax2.set_ylabel('USDT_ETH (USD)')
+    results[['USDT_ETH']].plot(ax=ax2)
 
     trans = results.ix[[t != [] for t in results.transactions]]
     buys = trans.ix[
@@ -64,13 +64,13 @@ def analyze(context=None, results=None):
     ]
     print 'buys:', buys.head()
     ax2.plot(
-        buys.index, results.USDT_BTC[buys.index],
+        buys.index, results.USDT_ETH[buys.index],
         '^',
         markersize=10,
         color='m',
     )
     ax2.plot(
-        sells.index, results.USDT_BTC[sells.index],
+        sells.index, results.USDT_ETH[sells.index],
         'v',
         markersize=10,
         color='k',

catalyst/examples/dual_moving_average_btc.py

@@ -41,7 +41,7 @@ from catalyst.pipeline.factors.crypto import (
 from catalyst.finance.commission import PerDollar
 from catalyst.finance.slippage import VolumeShareSlippage
 
-TARGET_INVESTMENT_RATIO = 0.1
+TARGET_INVESTMENT_RATIO = 0.8
 SHORT_WINDOW = 30
 LONG_WINDOW = 100
 
@@ -70,7 +70,7 @@ def make_pipeline():
             'price': CryptoPricing.close.latest,
             'short_mavg': VWAP(window_length=SHORT_WINDOW),
             'long_mavg': VWAP(window_length=LONG_WINDOW),
-        },
+        }
     )
 
 
@@ -128,6 +128,7 @@ def rebalance(context, data):
 # this algorithm on quantopian.com
 def analyze(context=None, results=None):
     import matplotlib.pyplot as plt
+
     # Plot the portfolio and asset data.
     ax1 = plt.subplot(511)
     results[['portfolio_value']].plot(ax=ax1)

catalyst/examples/test.py

@@ -0,0 +1,232 @@
+#!/usr/bin/env python
+#
+# Copyright 2014 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+import numpy as np
+
+from catalyst.api import (
+    order_target_percent,
+    record,
+    symbol,
+    get_open_orders,
+    set_commission,
+    set_slippage,
+    set_max_leverage,
+    schedule_function,
+    date_rules,
+    time_rules,
+    attach_pipeline,
+    pipeline_output,
+)
+
+from catalyst.pipeline import Pipeline
+from catalyst.pipeline.data import CryptoPricing
+from catalyst.pipeline.factors.crypto import (
+    VWAP,
+    SimpleMovingAverage,
+    MACDSignal,
+)
+
+from catalyst.finance.commission import PerDollar
+from catalyst.finance.slippage import VolumeShareSlippage
+
+TARGET_INVESTMENT_RATIO = 0.2
+SHORT_WINDOW = 30
+LONG_WINDOW = 100
+
+def initialize(context):
+    context.asset = symbol('USDT_BTC')
+    context.i = 0
+    context.macd_cur = None
+    context.macd_last = None
+
+    set_commission(PerDollar(cost=0.001))
+    set_slippage(VolumeShareSlippage())
+    set_max_leverage(1.0)
+
+    attach_pipeline(make_pipeline(), 'my_pipeline')
+
+    schedule_function(
+        rebalance,
+        date_rules.every_day(),
+    )
+
+
+def before_trading_start(context, data):
+    context.pipeline_data = pipeline_output('my_pipeline')
+
+def make_pipeline():
+    return Pipeline(
+        columns={
+            'price': CryptoPricing.close.latest,
+            'short_mavg': VWAP(window_length=SHORT_WINDOW),
+            'long_mavg': VWAP(window_length=LONG_WINDOW),
+            'macd': MACDSignal(
+                fast_period=24,
+                slow_period=52,
+                signal_period=18,
+            ),
+        },
+    )
+
+
+def handle_data(context, data):
+    pass
+
+def rebalance(context, data):
+    context.i += 1
+
+    # get pipeline data for asset of interest
+    pipeline_data = context.pipeline_data
+    pipeline_data = pipeline_data[pipeline_data.index == context.asset].iloc[0]
+
+    context.macd_last = context.macd_cur
+    context.macd_cur = pipeline_data.macd
+
+    # skip first LONG_WINDOW bars to fill windows
+    if context.i < 2:
+        return
+
+    # retrieve long and short moving averages from pipeline
+    short_mavg = pipeline_data.short_mavg
+    long_mavg = pipeline_data.long_mavg
+    price = pipeline_data.price
+
+    # check that order has not already been placed
+    open_orders = get_open_orders()
+    if context.asset not in open_orders:
+        # check that the asset of interest can currently be traded
+        if data.can_trade(context.asset):
+            if context.macd_cur < (0.98 * context.macd_last):
+                order_target_percent(
+                    context.asset,
+                    TARGET_INVESTMENT_RATIO,
+                    #limit_price=(2 * price),
+                    #stop_price=(0.5 * price),
+                )
+            elif context.macd_cur > (1.02 * context.macd_last):
+                order_target_percent(
+                    context.asset,
+                    0.0,
+                    #limit_price=(2 * price),
+                    #stop_price=(0.5 * price),
+                )
+                
+            """
+            # adjust portfolio based on moving averages
+            if short_mavg > long_mavg:
+                order_target_percent(
+                    context.asset,
+                    TARGET_INVESTMENT_RATIO,
+                    #limit_price=(2 * price),
+                    #stop_price=(0.5 * price),
+                )
+            elif short_mavg < long_mavg:
+                order_target_percent(
+                    context.asset,
+                    0.0,
+                    #limit_price=(2 * price),
+                    #stop_price=(0.5 * price),
+                )
+            """
+
+    record(
+        USDT_BTC=price,
+        cash=context.portfolio.cash,
+        leverage=context.account.leverage,
+        short_mavg=short_mavg,
+        long_mavg=long_mavg,
+    )
+    
+
+
+# Note: this function can be removed if running
+# this algorithm on quantopian.com
+def analyze(context=None, results=None):
+    import matplotlib.pyplot as plt
+    # Plot the portfolio and asset data.
+    ax1 = plt.subplot(511)
+    results[['portfolio_value']].plot(ax=ax1)
+    ax1.set_ylabel('Portfolio value (USD)')
+
+    ax2 = plt.subplot(512, sharex=ax1)
+    ax2.set_ylabel('USDT_BTC (USD)')
+    results[['USDT_BTC', 'short_mavg', 'long_mavg']].plot(ax=ax2)
+
+    trans = results.ix[[t != [] for t in results.transactions]]
+    amounts = [t[0]['amount'] for t in trans.transactions]
+    print 'amounts:\n', amounts
+    buys = trans.ix[
+        [t[0]['amount'] > 0 for t in trans.transactions]
+    ]
+    sells = trans.ix[
+        [t[0]['amount'] < 0 for t in trans.transactions]
+    ]
+    print 'buys:', buys.head()
+    ax2.plot(
+        buys.index, results.USDT_BTC[buys.index],
+        '^',
+        markersize=10,
+        color='m',
+    )
+    ax2.plot(
+        sells.index, results.USDT_BTC[sells.index],
+        'v',
+        markersize=10,
+        color='k',
+    )
+
+    ax3 = plt.subplot(513, sharex=ax1)
+    results[['leverage', 'alpha', 'beta']].plot(ax=ax3)
+    ax3.set_ylabel('Leverage (USD)')
+
+    ax4 = plt.subplot(514, sharex=ax1)
+    results[['cash']].plot(ax=ax4)
+    ax4.set_ylabel('Cash (USD)')
+
+    results[[
+        'treasury',
+        'algorithm',
+        'benchmark',
+    ]] = results[[
+        'treasury_period_return',
+        'algorithm_period_return',
+        'benchmark_period_return',
+    ]]
+
+    ax5 = plt.subplot(515, sharex=ax1)
+    results[[
+        'treasury',
+        'algorithm',
+        'benchmark',
+    ]].plot(ax=ax5)
+    ax5.set_ylabel('Dollars (USD)')
+
+    plt.legend(loc=3)
+
+    # Show the plot.
+    plt.gcf().set_size_inches(18, 8)
+    plt.show()
+
+
+def _test_args():
+    """Extra arguments to use when catalyst's automated tests run this example.
+    """
+    import pandas as pd
+
+    return {
+        'start': pd.Timestamp('2014-01-01', tz='utc'),
+        'end': pd.Timestamp('2014-11-01', tz='utc'),
+    }

catalyst/utils/calendars/trading_calendar.py

@@ -664,13 +664,13 @@ class TradingCalendar(with_metaclass(ABCMeta)):
         return self.schedule.loc[
             start_session_label:end_session_label,
             'market_open',
-        ].dt.tz_localize('UTC')
+        ].dt.tz_convert('UTC')
 
     def session_closes_in_range(self, start_session_label, end_session_label):
         return self.schedule.loc[
             start_session_label:end_session_label,
             'market_close',
-        ].dt.tz_localize('UTC')
+        ].dt.tz_convert('UTC')
 
     @property
     def all_sessions(self):

conda/empyrical/meta.yaml

@@ -1,6 +1,6 @@
 package:
   name: empyrical
-  version: "0.2.2"
+  version: "0.2.1"
 
 source:
   fn: empyrical-0.2.2.tar.gz

etc/requirements.txt

@@ -17,7 +17,7 @@ requests-file==1.4.1
 # scipy and pandas are required for statsmodels,
 # statsmodels in turn is required for some pandas packages
 scipy==0.17.1
-pandas==0.18.1
+pandas==0.19.2
 pandas-datareader==0.2.1
 # Needed for parts of pandas.stats
 patsy==0.4.0
@@ -74,6 +74,6 @@ intervaltree==2.1.0
 lru-dict==1.1.4
 
 # For financial risk calculations
-empyrical==0.2.2
+empyrical==0.2.1
 
 tables==3.3.0

setup.py

@@ -162,7 +162,8 @@ def _filter_requirements(lines_iter, filter_names=None,
 
 REQ_UPPER_BOUNDS = {
     'bcolz': '<1',
-    'pandas': '<0.19',
+    'pandas': '<0.20',
+    'empyrical': '<0.2.2',
 }
 
 
@@ -278,7 +279,7 @@ conditional_arguments = {
 }
 
 setup(
-    name='catalyst',
+    name='catalyst-hf',
     url='https://enigma.co',
     version=versioneer.get_version(),
     cmdclass=LazyBuildExtCommandClass(versioneer.get_cmdclass()),

tests/calendars/test_cfe_calendar.py

@@ -35,9 +35,8 @@ class CFECalendarTestCase(ExchangeCalendarTestBase, TestCase):
         self.assertTrue(dt in self.calendar.early_closes)
 
         market_close = self.calendar.schedule.loc[dt].market_close
-        market_close = market_close.tz_localize("UTC").tz_convert(
-            self.calendar.tz
-        )
+        market_close = market_close.tz_convert(self.calendar.tz)
+
         self.assertEqual(12, market_close.hour)
         self.assertEqual(15, market_close.minute)
 

tests/calendars/test_cme_calendar.py

@@ -35,7 +35,5 @@ class CMECalendarTestCase(ExchangeCalendarTestBase, TestCase):
             market_close = self.calendar.schedule.loc[dt].market_close
             self.assertEqual(
                 12,
-                market_close.tz_localize('UTC').tz_convert(
-                    self.calendar.tz
-                ).hour
+                market_close.tz_convert(self.calendar.tz).hour,
             )

tests/calendars/test_ice_calendar.py

@@ -48,7 +48,5 @@ class ICECalendarTestCase(ExchangeCalendarTestBase, TestCase):
             market_close = self.calendar.schedule.loc[dt].market_close
             self.assertEqual(
                 13,     # all ICE early closes are 1 pm local
-                market_close.tz_localize("UTC").tz_convert(
-                    self.calendar.tz
-                ).hour
+                market_close.tz_convert(self.calendar.tz).hour,
             )

tests/calendars/test_trading_calendar.py

@@ -713,7 +713,7 @@ class ExchangeCalendarTestBase(object):
 
             the_open = self.calendar.schedule.loc[next_day].market_open
 
-            localized_open = the_open.tz_localize("UTC").tz_convert(
+            localized_open = the_open.tz_convert(
                 self.calendar.tz
             )