mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-11 11:16:15 +08:00
refactoring _run: first iteration
Split the juggernaut function into smaller functions and commented about some possible issues
This commit is contained in:
Caio Oliveira
+228
-194
@@ -70,36 +70,7 @@ class _RunAlgoError(click.ClickException, ValueError):
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return self.pyfunc_msg
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def _run(handle_data,
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initialize,
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before_trading_start,
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analyze,
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algofile,
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algotext,
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defines,
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data_frequency,
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capital_base,
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data,
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bundle,
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bundle_timestamp,
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start,
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end,
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output,
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print_algo,
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local_namespace,
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environ,
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live,
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exchange,
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algo_namespace,
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base_currency,
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live_graph,
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analyze_live,
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simulate_orders,
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stats_output):
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"""Run a backtest for the given algorithm.
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This is shared between the cli and :func:`catalyst.run_algo`.
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"""
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def _build_namespace(algotext, local_namespace, defines):
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if algotext is not None:
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if local_namespace:
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ip = get_ipython() # noqa
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@@ -130,155 +101,221 @@ def _run(handle_data,
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)
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else:
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namespace = {}
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if algofile is not None:
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algotext = algofile.read()
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if print_algo:
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if PYGMENTS:
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highlight(
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algotext,
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PythonLexer(),
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TerminalFormatter(),
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outfile=sys.stdout,
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)
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else:
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click.echo(algotext)
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return namespace
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mode = 'paper-trading' if simulate_orders else 'live-trading' \
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if live else 'backtest'
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log.info('running algo in {mode} mode'.format(mode=mode))
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def _mode(simulate_orders, live):
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if not live:
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return 'backtest'
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elif simulate_orders:
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return 'paper-trading'
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else:
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return 'live-trading'
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def _build_exchanges_dict(exchange, live, simulate_orders, base_currency):
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exchange_name = exchange
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if exchange_name is None:
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raise ValueError('Please specify at least one exchange.')
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exchange_list = [x.strip().lower() for x in exchange.split(',')]
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exchanges = dict()
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for exchange_name in exchange_list:
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exchanges[exchange_name] = get_exchange(
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exchange_name=exchange_name,
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base_currency=base_currency,
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must_authenticate=(live and not simulate_orders),
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skip_init=True,
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exchanges = {exchange_name: get_exchange(
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exchange_name=exchange_name,
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base_currency=base_currency,
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must_authenticate=(live and not simulate_orders),
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skip_init=True)
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for exchange_name in exchange_list}
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return exchanges
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def _pretty_print_code(algotext):
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if PYGMENTS:
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highlight(
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algotext,
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PythonLexer(),
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TerminalFormatter(),
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outfile=sys.stdout,
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)
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else:
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click.echo(algotext)
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def _choose_loader(data_frequency, column):
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bound_cols = TradingPairPricing.columns
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if column in bound_cols:
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return ExchangePricingLoader(data_frequency)
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raise ValueError(
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"No PipelineLoader registered for column %s." % column
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)
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def _get_live_time_range():
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start = pd.Timestamp.utcnow()
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# TODO: fix the end data.
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end = start + timedelta(hours=8760)
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return start, end
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def _data_for_live_trading(sim_params, exchanges, env, open_calendar):
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data = DataPortalExchangeLive(
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exchanges=exchanges,
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asset_finder=env.asset_finder,
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trading_calendar=open_calendar,
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first_trading_day=pd.to_datetime('today', utc=True))
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return data
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# TODO use proper retry here
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def _fetch_capital_base(base_currency, exchange_name, exchange,
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attempt_index=0):
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"""
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Fetch the base currency amount required to bootstrap
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the algorithm against the exchange.
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The algorithm cannot continue without this value.
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:param exchange: the targeted exchange
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:param attempt_index:
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:return capital_base: the amount of base currency available for
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trading
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"""
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try:
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log.debug('retrieving capital base in {} to bootstrap '
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'exchange {}'.format(base_currency, exchange_name))
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balances = exchange.get_balances()
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except ExchangeRequestError as e:
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if attempt_index < 20:
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log.warn(
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'could not retrieve balances on {}: {}'.format(
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exchange.name, e
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)
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)
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sleep(5)
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return _fetch_capital_base(base_currency, exchange_name, exchange,
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attempt_index + 1)
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else:
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raise ExchangeRequestErrorTooManyAttempts(
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attempts=attempt_index,
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error=e)
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if base_currency in balances:
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base_currency_available = balances[base_currency]['free']
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log.info(
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'base currency available in the account: {} {}'.format(
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base_currency_available, base_currency))
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return base_currency_available
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else:
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raise BaseCurrencyNotFoundError(
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base_currency=base_currency,
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exchange=exchange_name)
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def _algorithm_class_for_live(algo_namespace, live_graph, stats_output,
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analyze_live, base_currency, simulate_orders,
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exchanges, capital_base):
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if not simulate_orders:
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for exchange_name in exchanges:
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exchange = exchanges[exchange_name]
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balance = _fetch_capital_base(base_currency, exchange_name,
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exchange)
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if balance < capital_base:
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raise NotEnoughCapitalError(
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exchange=exchange_name,
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base_currency=base_currency,
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balance=balance,
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capital_base=capital_base)
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algorithm_class = partial(
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ExchangeTradingAlgorithmLive,
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exchanges=exchanges,
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algo_namespace=algo_namespace,
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live_graph=live_graph,
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simulate_orders=simulate_orders,
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stats_output=stats_output,
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analyze_live=analyze_live,
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)
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return algorithm_class
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def _bundle_trading_environment(bundle_data, environ):
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prefix, connstr = re.split(
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r'sqlite:///',
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str(bundle_data.asset_finder.engine.url),
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maxsplit=1,
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)
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if prefix:
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raise ValueError(
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"invalid url %r, must begin with 'sqlite:///'" %
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str(bundle_data.asset_finder.engine.url),
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)
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return TradingEnvironment(asset_db_path=connstr, environ=environ)
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def _build_algo_and_data(handle_data, initialize, before_trading_start,
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analyze, algofile, algotext, defines, data_frequency,
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capital_base, data, bundle, bundle_timestamp, start,
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end, output, print_algo, local_namespace, environ,
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live, exchange, algo_namespace, base_currency,
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live_graph, analyze_live, simulate_orders,
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stats_output):
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namespace = _build_namespace(algotext, local_namespace, defines)
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if algotext is not None:
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algotext = algofile.read()
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if print_algo:
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_pretty_print_code(algotext)
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mode = _mode(simulate_orders, live)
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log.info('running algo in {mode} mode'.format(mode=mode))
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exchanges = _build_exchanges_dict(exchange, live, simulate_orders,
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base_currency)
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open_calendar = get_calendar('OPEN')
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env = TradingEnvironment(
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load=partial(
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load_crypto_market_data,
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environ=environ,
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start_dt=start,
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end_dt=end
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),
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load=partial(load_crypto_market_data, environ=environ, start_dt=start,
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end_dt=end),
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environ=environ,
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exchange_tz='UTC',
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asset_db_path=None # We don't need an asset db, we have exchanges
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)
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env.asset_finder = ExchangeAssetFinder(exchanges=exchanges)
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def choose_loader(column):
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bound_cols = TradingPairPricing.columns
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if column in bound_cols:
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return ExchangePricingLoader(data_frequency)
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raise ValueError(
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"No PipelineLoader registered for column %s." % column
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)
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choose_loader = partial(_choose_loader, data_frequency)
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if live:
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start = pd.Timestamp.utcnow()
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start, end = _get_live_time_range()
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# TODO double check if this is the desired behavior
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data_frequency = 'minute'
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# TODO: fix the end data.
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end = start + timedelta(hours=8760)
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data = DataPortalExchangeLive(
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exchanges=exchanges,
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asset_finder=env.asset_finder,
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trading_calendar=open_calendar,
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first_trading_day=pd.to_datetime('today', utc=True)
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)
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def fetch_capital_base(exchange, attempt_index=0):
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"""
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Fetch the base currency amount required to bootstrap
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the algorithm against the exchange.
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The algorithm cannot continue without this value.
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:param exchange: the targeted exchange
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:param attempt_index:
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:return capital_base: the amount of base currency available for
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trading
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"""
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try:
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log.debug('retrieving capital base in {} to bootstrap '
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'exchange {}'.format(base_currency, exchange_name))
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balances = exchange.get_balances()
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except ExchangeRequestError as e:
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if attempt_index < 20:
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log.warn(
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'could not retrieve balances on {}: {}'.format(
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exchange.name, e
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)
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)
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sleep(5)
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return fetch_capital_base(exchange, attempt_index + 1)
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else:
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raise ExchangeRequestErrorTooManyAttempts(
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attempts=attempt_index,
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error=e
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)
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if base_currency in balances:
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base_currency_available = balances[base_currency]['free']
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log.info(
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'base currency available in the account: {} {}'.format(
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base_currency_available, base_currency
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)
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)
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return base_currency_available
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else:
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raise BaseCurrencyNotFoundError(
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base_currency=base_currency,
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exchange=exchange_name
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)
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if not simulate_orders:
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for exchange_name in exchanges:
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exchange = exchanges[exchange_name]
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balance = fetch_capital_base(exchange)
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if balance < capital_base:
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raise NotEnoughCapitalError(
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exchange=exchange_name,
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base_currency=base_currency,
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balance=balance,
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capital_base=capital_base,
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)
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sim_params = create_simulation_parameters(
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start=start,
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end=end,
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capital_base=capital_base,
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emission_rate='minute',
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data_frequency='minute'
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)
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sim_params = create_simulation_parameters(
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start=start,
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end=end,
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capital_base=capital_base,
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emission_rate=data_frequency,
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data_frequency=data_frequency)
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if live:
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# TODO: use the constructor instead
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sim_params._arena = 'live'
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algorithm_class = partial(
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ExchangeTradingAlgorithmLive,
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exchanges=exchanges,
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algo_namespace=algo_namespace,
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live_graph=live_graph,
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simulate_orders=simulate_orders,
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stats_output=stats_output,
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analyze_live=analyze_live,
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)
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data = _data_for_live_trading(
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exchanges, env, open_calendar, simulate_orders,
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algo_namespace, capital_base)
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algorithm_class = _algorithm_class_for_live(
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algo_namespace, live_graph, stats_output, analyze_live,
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base_currency, simulate_orders, exchanges, capital_base)
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elif exchanges:
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# Removed the existing Poloniex fork to keep things simple
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# We can add back the complexity if required.
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@@ -293,41 +330,19 @@ def _run(handle_data,
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asset_finder=None,
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trading_calendar=open_calendar,
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first_trading_day=start,
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last_available_session=end
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)
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sim_params = create_simulation_parameters(
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start=start,
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end=end,
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capital_base=capital_base,
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data_frequency=data_frequency,
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emission_rate=data_frequency,
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)
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last_available_session=end)
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algorithm_class = partial(
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ExchangeTradingAlgorithmBacktest,
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exchanges=exchanges
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)
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exchanges=exchanges)
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elif bundle is not None:
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bundle_data = load(
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bundle,
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environ,
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bundle_timestamp,
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)
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# TODO This branch should probably be removed or fixed: it doesn't even
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# build `algorithm_class`, so it will break when trying to instantiate
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# it.
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bundle_data = load(bundle, environ, bundle_timestamp)
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prefix, connstr = re.split(
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r'sqlite:///',
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str(bundle_data.asset_finder.engine.url),
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maxsplit=1,
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)
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if prefix:
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raise ValueError(
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"invalid url %r, must begin with 'sqlite:///'" %
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str(bundle_data.asset_finder.engine.url),
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)
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env = _bundle_trading_environment(bundle_data, environ)
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env = TradingEnvironment(asset_db_path=connstr, environ=environ)
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first_trading_day = \
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bundle_data.equity_minute_bar_reader.first_trading_day
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@@ -336,24 +351,43 @@ def _run(handle_data,
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first_trading_day=first_trading_day,
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equity_minute_reader=bundle_data.equity_minute_bar_reader,
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equity_daily_reader=bundle_data.equity_daily_bar_reader,
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adjustment_reader=bundle_data.adjustment_reader,
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)
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adjustment_reader=bundle_data.adjustment_reader,)
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perf = algorithm_class(
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if algotext is None:
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algorithm_class_kwargs = {'initialize': initialize,
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'handle_data': handle_data,
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'before_trading_start': before_trading_start,
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'analyze': analyze}
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else:
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algorithm_class_kwargs = {'algo_filename': getattr(algofile, 'name',
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'<algorithm>'),
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'script': algotext}
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return data, algorithm_class(
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namespace=namespace,
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env=env,
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get_pipeline_loader=choose_loader,
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sim_params=sim_params,
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**{
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'initialize': initialize,
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'handle_data': handle_data,
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'before_trading_start': before_trading_start,
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'analyze': analyze,
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} if algotext is None else {
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'algo_filename': getattr(algofile, 'name', '<algorithm>'),
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'script': algotext,
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}
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).run(
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**algorithm_class_kwargs)
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def _run(handle_data, initialize, before_trading_start, analyze, algofile,
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algotext, defines, data_frequency, capital_base, data, bundle,
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bundle_timestamp, start, end, output, print_algo, local_namespace,
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environ, live, exchange, algo_namespace, base_currency, live_graph,
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analyze_live, simulate_orders, stats_output):
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"""Run an algorithm in backtest,
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paper-trading or live-trading mode.
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This is shared between the cli and :func:`catalyst.run_algo`.
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"""
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data, algorithm = _build_algo_and_data(
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handle_data, initialize, before_trading_start, analyze, algofile,
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algotext, defines, data_frequency, capital_base, data, bundle,
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bundle_timestamp, start, end, output, print_algo, local_namespace,
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environ, live, exchange, algo_namespace, base_currency, live_graph,
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analyze_live, simulate_orders, stats_output)
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perf = algorithm.run(
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data,
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overwrite_sim_params=False,
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)
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