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Python3 adjustments

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This commit is contained in:
fredfortier
2017-10-24 15:47:15 -04:00
parent 4daba6cfb4
commit 3a823ea457
13 changed files with 131 additions and 147 deletions
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catalyst/examples/simple_loop.py
+17 -17
View File
@@ -1,13 +1,13 @@
import pandas as pd
import talib
import pandas as pd
from catalyst import run_algorithm
from catalyst.api import symbol
def initialize(context):
print('initializing')
context.asset = symbol('xrp_btc')
context.asset = symbol('btc_usd')
def handle_data(context, data):
@@ -27,25 +27,25 @@ def handle_data(context, data):
pass
# run_algorithm(
# capital_base=250,
# start=pd.to_datetime('2015-08-01', utc=True),
# end=pd.to_datetime('2017-9-30', utc=True),
# data_frequency='daily',
# initialize=initialize,
# handle_data=handle_data,
# analyze=None,
# exchange_name='poloniex',
# algo_namespace='simple_loop',
# base_currency='eth'
# )
run_algorithm(
capital_base=250,
start=pd.to_datetime('2017-08-01', utc=True),
end=pd.to_datetime('2017-9-30', utc=True),
data_frequency='daily',
initialize=initialize,
handle_data=handle_data,
analyze=None,
exchange_name='bitfinex',
live=True,
algo_namespace='simple_loop',
base_currency='eth',
live_graph=False
base_currency='btc'
)
# run_algorithm(
# initialize=initialize,
# handle_data=handle_data,
# analyze=None,
# exchange_name='bitfinex',
# live=True,
# algo_namespace='simple_loop',
# base_currency='eth',
# live_graph=False
# )
catalyst/exchange/bittrex/bittrex.py
+3 -3
View File
@@ -24,7 +24,7 @@ URL2 = 'https://bittrex.com/Api/v2.0'
class Bittrex(Exchange):
def __init__(self, key, secret, base_currency, portfolio=None):
self.api = Bittrex_api(key=key, secret=secret.encode('UTF-8'))
self.api = Bittrex_api(key=key, secret=secret)
self.name = 'bittrex'
self.color = 'blue'
self.base_currency = base_currency
@@ -65,10 +65,10 @@ class Bittrex(Exchange):
return exchange_symbol.lower()
def get_balances(self):
balances = self.api.getbalances()
try:
log.debug('retrieving wallet balances')
self.ask_request()
balances = self.api.getbalances()
except Exception as e:
raise ExchangeRequestError(error=e)
@@ -208,7 +208,7 @@ class Bittrex(Exchange):
)
def get_candles(self, data_frequency, assets, bar_count=None,
start_date=None):
start_dt=None, end_dt=None):
"""
Supported Intervals
-------------------
catalyst/exchange/bittrex/bittrex_api.py
+4 -1
View File
@@ -39,7 +39,10 @@ class Bittrex_api(object):
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()
signature = hmac.new(self.secret.encode('utf-8'),
url.encode('utf-8'),
hashlib.sha512).hexdigest()
headers = {'apisign': signature}
else:
headers = {}
catalyst/exchange/bundle_utils.py
+3 -3
View File
@@ -134,7 +134,7 @@ def get_adj_dates(start, end, assets, data_frequency):
if end is None or start >= end:
raise NoDataAvailableOnExchange(
exchange=asset.exchange.title(),
symbol=[asset.symbol.encode('utf-8')],
symbol=[asset.symbol],
data_frequency=data_frequency,
)
@@ -243,12 +243,12 @@ def find_most_recent_time(bundle_name):
for folder in bundle_folders:
date = from_bundle_ingest_dirname(folder)
if not most_recent_bundle or date > \
most_recent_bundle[most_recent_bundle.keys()[0]]:
most_recent_bundle[list(most_recent_bundle.keys())[0]]:
most_recent_bundle = dict()
most_recent_bundle[folder] = date
if most_recent_bundle:
return most_recent_bundle.keys()[0]
return list(most_recent_bundle.keys())[0]
else:
return None
catalyst/exchange/data_portal_exchange.py
+3 -3
View File
@@ -80,7 +80,7 @@ class DataPortalExchangeBase(DataPortal):
return pd.concat(df_list)
else:
exchange = self.exchanges[exchange_assets.keys()[0]]
exchange = self.exchanges[list(exchange_assets.keys())[0]]
return self.get_exchange_history_window(
exchange,
assets,
@@ -165,8 +165,8 @@ class DataPortalExchangeBase(DataPortal):
exchange_assets[asset.exchange].append(asset)
if len(exchange_assets.keys()) == 1:
exchange = self.exchanges[exchange_assets.keys()[0]]
if len(list(exchange_assets.keys())) == 1:
exchange = self.exchanges[list(exchange_assets.keys())[0]]
return self.get_exchange_spot_value(
exchange, assets, field, dt, data_frequency)
catalyst/exchange/exchange.py
+6 -4
View File
@@ -87,7 +87,7 @@ class Exchange:
self.request_cpt[now] = 0
return True
cpt_date = self.request_cpt.keys()[0]
cpt_date = list(self.request_cpt.keys())[0]
cpt = self.request_cpt[cpt_date]
if now > cpt_date + timedelta(minutes=1):
@@ -167,8 +167,10 @@ class Exchange:
asset = self.assets[key]
if not asset:
supported_symbols = [pair.symbol.encode('utf-8') for pair in
self.assets.values()]
supported_symbols = [
pair.symbol for pair in list(self.assets.values())
]
raise SymbolNotFoundOnExchange(
symbol=symbol,
exchange=self.name.title(),
@@ -552,7 +554,7 @@ class Exchange:
portfolio.starting_cash = portfolio.cash
if portfolio.positions:
assets = portfolio.positions.keys()
assets = list(portfolio.positions.keys())
tickers = self.tickers(assets)
portfolio.positions_value = 0.0
catalyst/exchange/exchange_algorithm.py
+2 -2
View File
@@ -113,7 +113,7 @@ class ExchangeTradingAlgorithmBase(TradingAlgorithm):
else self.sim_params.end_session
if exchange_name is None:
exchange = self.exchanges.values()[0]
exchange = list(self.exchanges.values())[0]
else:
exchange = self.exchanges[exchange_name]
@@ -524,7 +524,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
self.add_pnl_stats(minute_stats)
if self.recorded_vars:
self.add_custom_signals_stats(minute_stats)
recorded_cols = self.recorded_vars.keys()
recorded_cols = list(self.recorded_vars.keys())
else:
recorded_cols = None
catalyst/exchange/exchange_bundle.py
+2 -2
View File
@@ -353,7 +353,7 @@ class ExchangeBundle:
period_start, period_end = get_month_start_end(dt)
asset_start_month, _ = get_month_start_end(asset_start)
if asset_start_month > period_start:
if asset.start_date > period_start:
dt += timedelta(days=1)
continue
@@ -371,7 +371,7 @@ class ExchangeBundle:
period_start, period_end = get_year_start_end(dt)
asset_start_year, _ = get_year_start_end(asset_start)
if asset_start_year > period_start:
if asset.start_date > period_start:
dt += timedelta(days=1)
continue
catalyst/exchange/exchange_errors.py
+9 -7
View File
@@ -6,12 +6,12 @@ from catalyst.errors import ZiplineError
def silent_except_hook(exctype, excvalue, exctraceback):
if exctype in [PricingDataBeforeTradingError, PricingDataNotLoadedError,
SymbolNotFoundOnExchange, NoDataAvailableOnExchange,
ExchangeAuthEmpty ]:
SymbolNotFoundOnExchange, NoDataAvailableOnExchange,
ExchangeAuthEmpty]:
fn = traceback.extract_tb(exctraceback)[-1][0]
ln = traceback.extract_tb(exctraceback)[-1][1]
print "Error traceback: {1} (line {2})\n" \
"{0.__name__}: {3}".format(exctype, fn, ln, excvalue)
print("Error traceback: {1} (line {2})\n"
"{0.__name__}: {3}".format(exctype, fn, ln, excvalue))
else:
sys.__excepthook__(exctype, excvalue, exctraceback)
@@ -214,7 +214,9 @@ class PricingDataNotLoadedError(ZiplineError):
class ApiCandlesError(ZiplineError):
msg = ('Unable to fetch candles from the remote API: {error}.').strip()
class NoDataAvailableOnExchange(ZiplineError):
msg = ('Requested data for trading pair {symbol} is not available on exchange {exchange} '
'in `{data_frequency}` frequency at this time. '
'Check `http://enigma.co/catalyst/status` for market coverage.').strip()
msg = (
'Requested data for trading pair {symbol} is not available on exchange {exchange} '
'in `{data_frequency}` frequency at this time. '
'Check `http://enigma.co/catalyst/status` for market coverage.').strip()
catalyst/exchange/exchange_utils.py
+7 -2
View File
@@ -42,7 +42,9 @@ def get_exchange_symbols(exchange_name, environ=None):
filename = get_exchange_symbols_filename(exchange_name)
if not os.path.isfile(filename) or \
pd.Timedelta(pd.Timestamp('now', tz='UTC') - last_modified_time(filename)).days > 1:
pd.Timedelta(pd.Timestamp('now',
tz='UTC') - last_modified_time(
filename)).days > 1:
download_exchange_symbols(exchange_name, environ)
if os.path.isfile(filename):
@@ -67,9 +69,11 @@ def get_exchange_auth(exchange_name, environ=None):
else:
data = dict(name=exchange_name, key='', secret='')
with open(filename, 'w') as f:
json.dump(data, f, sort_keys=False, indent=2, separators=(',', ':'))
json.dump(data, f, sort_keys=False, indent=2,
separators=(',', ':'))
return data
def get_algo_folder(algo_name, environ=None):
if not environ:
environ = os.environ
@@ -163,6 +167,7 @@ def get_exchange_minute_writer_root(exchange_name, environ=None):
return minute_data_folder
def get_exchange_bundles_folder(exchange_name, environ=None):
exchange_folder = get_exchange_folder(exchange_name, environ)
catalyst/exchange/poloniex/poloniex.py
+3 -3
View File
@@ -33,7 +33,7 @@ log = Logger('Poloniex', level=LOG_LEVEL)
class Poloniex(Exchange):
def __init__(self, key, secret, base_currency, portfolio=None):
self.api = Poloniex_api(key=key, secret=secret.encode('UTF-8'))
self.api = Poloniex_api(key=key, secret=secret)
self.name = 'poloniex'
self.assets = {}
self.load_assets()
@@ -119,9 +119,9 @@ class Poloniex(Exchange):
return order, executed_price
def get_balances(self):
log.debug('retrieving wallets balances')
balances = self.api.returnbalances()
try:
balances = self.api.returnbalances()
log.debug('retrieving wallets balances')
except Exception as e:
log.debug(e)
raise ExchangeRequestError(error=e)
catalyst/exchange/poloniex/poloniex_api.py
+72 -50
View File
@@ -19,19 +19,25 @@ class Poloniex_api(object):
self.max_requests_per_second = 6
self.request_cpt = dict()
self.public = ['returnTicker', 'return24Volume', 'returnOrderBook',
'returnTradeHistory', 'returnChartData',
'returnCurrencies', 'returnLoanOrders']
self.trading = ['returnBalances','returnCompleteBalances','returnDepositAddresses',
'generateNewAddress','returnDepositsWithdrawals','returnOpenOrders',
'returnTradeHistory','returnOrderTrades',
self.public = ['returnTicker', 'return24Volume', 'returnOrderBook',
'returnTradeHistory', 'returnChartData',
'returnCurrencies', 'returnLoanOrders']
self.trading = ['returnBalances', 'returnCompleteBalances',
'returnDepositAddresses',
'generateNewAddress', 'returnDepositsWithdrawals',
'returnOpenOrders',
'returnTradeHistory', 'returnOrderTrades',
'buy', 'sell', 'cancelOrder', 'moveOrder',
'withdraw', 'returnFeeInfo','returnAvailableAccountBalances',
'withdraw', 'returnFeeInfo',
'returnAvailableAccountBalances',
'returnTradableBalances', 'transferBalance',
'returnMarginAccountSummary','marginBuy','marginSell',
'getMarginPosition', 'closeMarginPosition','createLoanOffer',
'cancelLoanOffer','returnOpenLoanOffers','returnActiveLoans',
'returnLendingHistory','toggleAutoRenew']
'returnMarginAccountSummary', 'marginBuy',
'marginSell',
'getMarginPosition', 'closeMarginPosition',
'createLoanOffer',
'cancelLoanOffer', 'returnOpenLoanOffers',
'returnActiveLoans',
'returnLendingHistory', 'toggleAutoRenew']
def ask_request(self):
"""
@@ -50,7 +56,7 @@ class Poloniex_api(object):
self.request_cpt[now] = 0
return True
cpt_date = self.request_cpt.keys()[0]
cpt_date = list(self.request_cpt.keys())[0]
cpt = self.request_cpt[cpt_date]
if now > cpt_date + 1:
@@ -59,9 +65,8 @@ class Poloniex_api(object):
return True
if cpt >= self.max_requests_per_second:
log.debug('max requests 6 reached, sleeping for 1 seconds')
sleep(1)
time.sleep(1)
now = time.time()
self.request_cpt = dict()
@@ -73,18 +78,23 @@ class Poloniex_api(object):
def query(self, method, req={}):
if method in self.public:
url = 'https://poloniex.com/public?command=' + method + '&' + urllib.parse.urlencode(req)
url = 'https://poloniex.com/public?command=' + method + '&' + \
urllib.parse.urlencode(req)
headers = {}
post_data = None
elif method in self.trading:
url = 'https://poloniex.com/tradingApi'
req['command'] = method
req['nonce'] = int(time.time()*1000)
post_data = urllib.parse.urlencode(req)
signature = hmac.new(self.secret, post_data, hashlib.sha512).hexdigest()
headers = { 'Sign': signature, 'Key': self.key}
req['nonce'] = int(time.time() * 1000)
post_data = urllib.parse.urlencode(req)
signature = hmac.new(self.secret.encode('utf-8'),
post_data.encode('utf-8'),
hashlib.sha512).hexdigest()
headers = {'Sign': signature, 'Key': self.key}
else:
raise ValueError('Method "' + method + '" not found in neither the Public API or Trading API endpoints')
raise ValueError(
'Method "' + method + '" not found in neither the Public API or Trading API endpoints')
self.ask_request()
req = urllib.request.Request(url, data=post_data, headers=headers)
@@ -100,15 +110,17 @@ class Poloniex_api(object):
return self.query('returnOrderBook', {'currencyPair': market})
def returntradehistory(self, market, start=None, end=None):
if(start is not None and end is not None):
return self.query('returntradehistory',
{'currencyPair': market, 'start': start, 'end': end })
if (start is not None and end is not None):
return self.query('returntradehistory',
{'currencyPair': market, 'start': start,
'end': end})
else:
return self.query('returntradehistory', {'currencyPair': market })
return self.query('returntradehistory', {'currencyPair': market})
def returnchartdata(self, market, period, start, end=9999999999):
return self.query('returnChartData', {'currencyPair': market, 'period': period,
'start': start, 'end': end})
return self.query('returnChartData',
{'currencyPair': market, 'period': period,
'start': start, 'end': end})
def returncurrencies(self):
return self.query('returnCurrencies', {})
@@ -120,7 +132,7 @@ class Poloniex_api(object):
return self.query('returnBalances')
def returncompletebalances(self, account):
if(account):
if (account):
return self.query('returnCompleteBalances', {'account': account})
else:
return self.query('returnCompleteBalances')
@@ -132,43 +144,54 @@ class Poloniex_api(object):
return self.query('generateNewAddress', {'currency': currency})
def returnDepositsWithdrawals(self, start, end):
return self.query('returnDepositsWithdrawals', {'start': start, 'end': end})
return self.query('returnDepositsWithdrawals',
{'start': start, 'end': end})
def returnopenorders(self, market):
return self.query('returnOpenOrders', {'currencyPair': market})
def returntradehistory(self, market):
#TODO: optional start and/or end and limit
# TODO: optional start and/or end and limit
return self.query('returnTradeHistory', {'currencyPair': market})
def returnordertrades(self, ordernumber):
return self.query('returnOrderTrades', {'orderNumber': ordernumber})
def buy(self, market, amount, rate, fillorkill=0, immediateorcancel=0, postonly=0):
if(fillorkill):
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount,
def buy(self, market, amount, rate, fillorkill=0, immediateorcancel=0,
postonly=0):
if (fillorkill):
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount,
'fillOrKill': fillorkill, })
elif(immediateorcancel):
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount,
elif (immediateorcancel):
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount,
'immediateOrCancel': immediateorcancel, })
elif(postonly):
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount,
elif (postonly):
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount,
'postOnly': postonly, })
else:
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount, })
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount, })
def sell(self, market, amount, rate, fillorkill=0, immediateorcancel=0, postonly=0):
if(fillorkill):
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount,
'fillOrKill': fillorkill, })
elif(immediateorcancel):
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount,
'immediateOrCancel': immediateorcancel, })
elif(postonly):
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount,
'postOnly': postonly, })
def sell(self, market, amount, rate, fillorkill=0, immediateorcancel=0,
postonly=0):
if (fillorkill):
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount,
'fillOrKill': fillorkill, })
elif (immediateorcancel):
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount,
'immediateOrCancel': immediateorcancel, })
elif (postonly):
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount,
'postOnly': postonly, })
else:
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount, })
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount, })
def cancelorder(self, ordernumber):
return self.query('cancelOrder', {'orderNumber': ordernumber})
@@ -180,4 +203,3 @@ class Poloniex_api(object):
def returnfeeinfo(self):
return self.query('returnFeeInfo')
tests/exchange/test_clock.py
-50
View File
@@ -1,50 +0,0 @@
from unittest import TestCase
from logbook import Logger
from mock import patch, sentinel
from catalyst.exchange.simple_clock import SimpleClock
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.simple_clock.pd.to_datetime') as to_dt, \
patch('catalyst.exchange.simple_clock.sleep') as sleep:
clock = SimpleClock(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