wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-27 17:29:56 +08:00
Code Issues Packages Projects Releases Wiki Activity

Purge 5-min implementation

Browse Source
This commit is contained in:
Victor Grau Serrat
2017-09-28 11:03:47 -06:00
parent 15fa98420d
commit 3b681d197d
25 changed files with 100 additions and 1776 deletions
Download Patch File Download Diff File Expand all files Collapse all files
catalyst/__main__.py
+3 -3
View File
@@ -126,7 +126,7 @@ def ipython_only(option):
)
@click.option(
'--data-frequency',
type=click.Choice({'daily', '5-minute', 'minute'}),
type=click.Choice({'daily', 'minute'}),
default='daily',
show_default=True,
help='The data frequency of the simulation.',
@@ -196,8 +196,8 @@ def ipython_only(option):
@click.option(
'-x',
'--exchange-name',
type=click.Choice({'bitfinex', 'bittrex'}),
help='The name of the targeted exchange (supported: bitfinex, bittrex).',
type=click.Choice({'bitfinex', 'bittrex', 'poloniex'}),
help='The name of the targeted exchange (supported: bitfinex, bittrex, poloniex).',
)
@click.option(
'-n',
catalyst/algorithm.py
+13 -39
View File
@@ -134,10 +134,7 @@ from catalyst.utils.security_list import SecurityList
import catalyst.protocol
from catalyst.sources.requests_csv import PandasRequestsCSV
from catalyst.gens.sim_engine import (
MinuteSimulationClock,
FiveMinuteSimulationClock,
)
from catalyst.gens.sim_engine import MinuteSimulationClock
from catalyst.sources.benchmark_source import BenchmarkSource
from catalyst.catalyst_warnings import ZiplineDeprecationWarning
@@ -174,7 +171,7 @@ class TradingAlgorithm(object):
algo_filename : str, optional
The filename for the algoscript. This will be used in exception
tracebacks. default: '<string>'.
data_frequency : {'daily', '5-minute', 'minute'}, optional
data_frequency : {'daily', 'minute'}, optional
The duration of the bars.
instant_fill : bool, optional
Whether to fill orders immediately or on next bar. default: False
@@ -227,7 +224,7 @@ class TradingAlgorithm(object):
script : str
Algoscript that contains initialize and
handle_data function definition.
data_frequency : {'daily', '5-minute', 'minute'}
data_frequency : {'daily', 'minute'}
The duration of the bars.
capital_base : float <default: 1.0e5>
How much capital to start with.
@@ -435,8 +432,6 @@ class TradingAlgorithm(object):
if get_loader is not None:
if data_frequency == 'daily':
all_dates = self.trading_calendar.all_sessions
elif data_frequency == '5-minute':
all_dates = self.trading_calendar.all_five_minutes
elif data_frequency == 'minute':
all_dates = self.trading_calendar.all_minutes
else:
@@ -468,7 +463,7 @@ class TradingAlgorithm(object):
self._in_before_trading_start = True
with handle_non_market_minutes(data) if \
self.data_frequency in ('minute', '5-minute') else ExitStack():
self.data_frequency == 'minute' else ExitStack():
self._before_trading_start(self, data)
self._in_before_trading_start = False
@@ -524,11 +519,10 @@ class TradingAlgorithm(object):
market_closes = trading_o_and_c['market_close']
minutely_emission = False
if self.sim_params.data_frequency in set(('minute', '5-minute')):
if self.sim_params.data_frequency == 'minute':
market_opens = trading_o_and_c['market_open']
minutely_emission = self.sim_params.emission_rate in \
set(('minute', '5-minute'))
minutely_emission = self.sim_params.emission_rate == 'minute'
else:
# in daily mode, we want to have one bar per session, timestamped
# as the last minute of the session.
@@ -552,15 +546,6 @@ class TradingAlgorithm(object):
'UTC',
)
if self.sim_params.data_frequency == '5-minute':
return FiveMinuteSimulationClock(
self.sim_params.sessions,
execution_opens,
execution_closes,
before_trading_start_minutes,
minute_emission=minutely_emission,
)
return MinuteSimulationClock(
self.sim_params.sessions,
execution_opens,
@@ -692,8 +677,6 @@ class TradingAlgorithm(object):
time_count = times.nunique()
if time_count == 1:
self.sim_params.data_frequency = 'daily'
elif time_count == 288:
self.sim_params.data_frequency = '5-minute'
else:
self.sim_params.data_frequency = 'minute'
@@ -715,8 +698,6 @@ class TradingAlgorithm(object):
if self.sim_params.data_frequency == 'daily':
equity_reader_arg = 'equity_daily_reader'
elif self.sim_params.data_frequency == '5-minute':
equity_daily_reader = 'equity_5_minute_reader'
elif self.sim_params.data_frequency == 'minute':
equity_reader_arg = 'equity_minute_reader'
equity_reader = PanelBarReader(
@@ -960,9 +941,9 @@ class TradingAlgorithm(object):
The arena from the simulation parameters. This will normally
be ``'backtest'`` but some systems may use this distinguish
live trading from backtesting.
data_frequency : {'daily', '5-minute', 'minute'}
data_frequency : {'daily', 'minute'}
data_frequency tells the algorithm if it is running with
daily, minute, or five-minute mode.
daily or minute mode.
start : datetime
The start date for the simulation.
end : datetime
@@ -1137,18 +1118,11 @@ class TradingAlgorithm(object):
'time_rule= when calling schedule_function without '
'specifying a date_rule', stacklevel=3)
freq = self.sim_params.data_frequency
date_rule = date_rule or date_rules.every_day()
if freq is 'daily':
# ignore time rule in daily mode
time_rule = time_rules.every_minute()
else:
# use provided time rule or default to every minute or 5 minutes
# based on desired data frequency.
time_rule = time_rule or (time_rules.every_5_minutes()
if freq is '5-minute' else
time_rules.every_minute())
time_rule = ((time_rule or time_rules.every_minute())
if self.sim_params.data_frequency == 'minute' else
# If we are in daily mode the time_rule is ignored.
time_rules.every_minute())
# Check the type of the algorithm's schedule before pulling calendar
# Note that the ExchangeTradingSchedule is currently the only
@@ -1819,7 +1793,7 @@ class TradingAlgorithm(object):
@data_frequency.setter
def data_frequency(self, value):
assert value in ('daily', '5-minute', 'minute')
assert value in ('daily', 'minute')
self.sim_params.data_frequency = value
@api_method
catalyst/data/_minute_bar_internal.pyx
-78
View File
@@ -35,17 +35,6 @@ def minute_value(ndarray[long_t, ndim=1] market_opens,
return market_opens[q] + r
@cython.cdivision(True)
def five_minute_value(ndarray[long_t, ndim=1] market_opens,
Py_ssize_t pos,
short five_minutes_per_day):
cdef short q, r
q = cython.cdiv(pos, five_minutes_per_day)
r = cython.cmod(pos, five_minutes_per_day)
return market_opens[q] + r
def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
ndarray[long_t, ndim=1] market_closes,
long_t minute_val,
@@ -99,26 +88,6 @@ def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
return (market_open_loc * minutes_per_day) + delta
def find_position_of_five_minute(ndarray[long_t, ndim=1] market_opens,
ndarray[long_t, ndim=1] market_closes,
long_t five_minute_val,
short five_minutes_per_day,
bool forward_fill):
cdef Py_ssize_t market_open_loc, market_open, delta
market_open_loc = \
searchsorted(market_opens, five_minute_val, side='right') - 1
market_open = market_opens[market_open_loc]
market_close = market_closes[market_open_loc]
if not forward_fill and ((five_minute_val - market_open) >= five_minutes_per_day):
raise ValueError("Given five minutes is not between an open and a close")
delta = int_min(five_minute_val - market_open, market_close - market_open)
return (market_open_loc * five_minutes_per_day) + delta
def find_last_traded_position_internal(
ndarray[long_t, ndim=1] market_opens,
ndarray[long_t, ndim=1] market_closes,
@@ -189,50 +158,3 @@ def find_last_traded_position_internal(
# found a trade event
return -1
def find_last_traded_five_minute_position_internal(
ndarray[long_t, ndim=1] market_opens,
ndarray[long_t, ndim=1] market_closes,
long_t end_five_minute,
long_t start_five_minute,
volumes,
short five_minutes_per_day):
cdef Py_ssize_t minute_pos, current_minute, q
five_minute_pos = int_min(
find_position_of_five_minute(
market_opens,
market_closes,
end_five_minute,
five_minutes_per_day,
True,
),
len(volumes) - 1,
)
while five_minute_pos >= 0:
current_five_minute = five_minute_value(
market_opens, five_minute_pos, five_minutes_per_day
)
q = cython.cdiv(five_minute_pos, five_minutes_per_day)
if current_five_minute > market_closes[q]:
five_minute_pos = find_position_of_five_minute(
market_opens,
market_closes,
market_closes[q],
five_minutes_per_day,
False,
)
continue
if current_five_minute < start_five_minute:
return -1
if volumes[five_minute_pos] != 0:
return five_minute_pos
five_minute_pos -= 1
# we've gone to the beginning of this asset's range, and still haven't
# found a trade event
return -1
catalyst/data/bundles/base.py
+1 -26
View File
@@ -60,10 +60,6 @@ class BaseBundle(object):
def minutes_per_day(self):
raise NotImplementedError()
@lazyval
def five_minutes_per_day(self):
raise NotImplementedError()
@lazyval
def frequencies(self):
raise NotImplementedError()
@@ -115,7 +111,6 @@ class BaseBundle(object):
environ,
asset_db_writer,
minute_bar_writer,
five_minute_bar_writer,
daily_bar_writer,
adjustment_writer,
calendar,
@@ -162,7 +157,7 @@ class BaseBundle(object):
# Post-process metadata using cached symbol frames, and write to
# disk. This metadata must be written before any attempt to write
# either minute or 5-minute data.
# minute data.
metadata = self._post_process_metadata(
raw_metadata,
cache,
@@ -170,26 +165,6 @@ class BaseBundle(object):
)
asset_db_writer.write(metadata)
# Compile 5-minute symbol data if bundle supports 5-minute mode and
# persist the dataset to disk.
'''
if '5-minute' in self.frequencies:
five_minute_bar_writer.write(
self._fetch_symbol_iter(
api_key,
cache,
symbol_map,
calendar,
start_session,
end_session,
'5-minute',
retries,
),
length=len(symbol_map),
show_progress=show_progress,
)
'''
# Compile minute symbol data if bundle supports minute mode and
# persist the dataset to disk.
if 'minute' in self.frequencies:
catalyst/data/bundles/base_pricing.py
-8
View File
@@ -47,10 +47,6 @@ class BaseCryptoPricingBundle(BasePricingBundle):
def minutes_per_day(self):
return 1440
@lazyval
def five_minutes_per_day(self):
return 288
@property
def splits(self):
return []
@@ -68,10 +64,6 @@ class BaseEquityPricingBundle(BasePricingBundle):
def minutes_per_day(self):
return 390
@lazyval
def five_minutes_per_day(self):
return 78
@property
def splits(self):
return self._splits
catalyst/data/bundles/core.py
+1 -31
View File
@@ -17,10 +17,6 @@ from ..us_equity_pricing import (
SQLiteAdjustmentReader,
SQLiteAdjustmentWriter,
)
from ..five_minute_bars import (
BcolzFiveMinuteBarReader,
BcolzFiveMinuteBarWriter,
)
from ..minute_bars import (
BcolzMinuteBarReader,
BcolzMinuteBarWriter,
@@ -54,11 +50,6 @@ def minute_path(bundle_name, timestr, environ=None):
environ=environ,
)
def five_minute_path(bundle_name, timestr, environ=None):
return pth.data_path(
five_minute_relative(bundle_name, timestr, environ),
environ=environ,
)
def daily_path(bundle_name, timestr, environ=None):
return pth.data_path(
@@ -92,8 +83,6 @@ def cache_relative(bundle_name, timestr, environ=None):
def daily_relative(bundle_name, timestr, environ=None):
return bundle_name, timestr, 'daily_equities.bcolz'
def five_minute_relative(bundle_name, timestr, environ=None):
return bundle_name, timestr, 'five_minute.bcolz'
def minute_relative(bundle_name, timestr, environ=None):
return bundle_name, timestr, 'minute_equities.bcolz'
@@ -206,14 +195,13 @@ RegisteredBundle = namedtuple(
'start_session',
'end_session',
'minutes_per_day',
'five_minutes_per_day',
'ingest',
'create_writers']
)
BundleData = namedtuple(
'BundleData',
'asset_finder minute_bar_reader five_minute_bar_reader daily_bar_reader '
'asset_finder minute_bar_reader daily_bar_reader '
'adjustment_reader',
)
@@ -303,7 +291,6 @@ def _make_bundle_core():
bundle.ingest,
calendar_name=bundle.calendar_name,
minutes_per_day=bundle.minutes_per_day,
five_minutes_per_day=bundle.five_minutes_per_day,
start_session=start_session,
end_session=end_session,
create_writers=create_writers,
@@ -316,7 +303,6 @@ def _make_bundle_core():
start_session=None,
end_session=None,
minutes_per_day=1440,
five_minutes_per_day=288,
create_writers=True):
"""Register a data bundle ingest function.
@@ -397,7 +383,6 @@ def _make_bundle_core():
start_session=start_session,
end_session=end_session,
minutes_per_day=minutes_per_day,
five_minutes_per_day=five_minutes_per_day,
ingest=f,
create_writers=create_writers,
)
@@ -496,16 +481,6 @@ def _make_bundle_core():
# that it can compute the adjustment ratios for the dividends.
daily_bar_writer.write(())
five_minute_bar_writer = BcolzFiveMinuteBarWriter(
wd.ensure_dir(*five_minute_relative(
name, timestr, environ=environ)
),
calendar,
start_session,
end_session,
five_minutes_per_day=bundle.five_minutes_per_day,
)
minute_bar_writer = BcolzMinuteBarWriter(
wd.ensure_dir(*minute_relative(
name, timestr, environ=environ)
@@ -532,7 +507,6 @@ def _make_bundle_core():
)
else:
daily_bar_writer = None
five_minute_bar_writer = None
minute_bar_writer = None
asset_db_writer = None
adjustment_db_writer = None
@@ -544,7 +518,6 @@ def _make_bundle_core():
environ,
asset_db_writer,
minute_bar_writer,
five_minute_bar_writer,
daily_bar_writer,
adjustment_db_writer,
calendar,
@@ -631,9 +604,6 @@ def _make_bundle_core():
minute_bar_reader=BcolzMinuteBarReader(
minute_path(name, timestr, environ=environ),
),
five_minute_bar_reader=BcolzFiveMinuteBarReader(
five_minute_path(name, timestr, environ=environ),
),
daily_bar_reader=BcolzDailyBarReader(
daily_path(name, timestr, environ=environ),
),
catalyst/data/bundles/poloniex.py
-1
View File
@@ -148,7 +148,6 @@ class PoloniexBundle(BaseCryptoPricingBundle):
data_frequency):
period_map = {
'daily': 86400,
# '5-minute': 300,
}
try:
catalyst/data/data_portal.py
-31
View File
@@ -42,7 +42,6 @@ from catalyst.assets.roll_finder import (
)
from catalyst.data.dispatch_bar_reader import (
AssetDispatchMinuteBarReader,
AssetDispatchFiveMinuteBarReader,
AssetDispatchSessionBarReader
)
from catalyst.data.resample import (
@@ -120,10 +119,6 @@ class DataPortal(object):
daily data backtests or daily history calls in a minute backetest.
If a daily bar reader is not provided but a minute bar reader is,
the minutes will be rolled up to serve the daily requests.
five_minute_reader : BcolzFiveMinuteBarReader, optional
The five minute bar reader for equities. This will be used to service
5-minute data backtests or five-minute history calls. This can be used
to serve daily calls if no daily bar reader is provided.
minute_reader : BcolzMinuteBarReader, optional
The minute bar reader for equities. This will be used to service
minute data backtests or minute history calls. This can be used
@@ -150,7 +145,6 @@ class DataPortal(object):
trading_calendar,
first_trading_day,
daily_reader=None,
five_minute_reader=None,
minute_reader=None,
future_daily_reader=None,
future_minute_reader=None,
@@ -202,7 +196,6 @@ class DataPortal(object):
reader.last_available_dt
for reader in [
minute_reader,
five_minute_reader,
future_minute_reader,
]
if reader is not None
@@ -214,8 +207,6 @@ class DataPortal(object):
aligned_minute_reader = self._ensure_reader_aligned(
minute_reader)
aligned_five_minute_reader = self._ensure_reader_aligned(
five_minute_reader)
aligned_session_reader = self._ensure_reader_aligned(
daily_reader)
aligned_future_minute_reader = self._ensure_reader_aligned(
@@ -229,13 +220,10 @@ class DataPortal(object):
}
aligned_minute_readers = {}
aligned_five_minute_readers = {}
aligned_session_readers = {}
if aligned_minute_reader is not None:
aligned_minute_readers[Equity] = aligned_minute_reader
if aligned_five_minute_reader is not None:
aligned_five_minute_readers[Equity] = aligned_five_minute_reader
if aligned_session_reader is not None:
aligned_session_readers[Equity] = aligned_session_reader
@@ -267,13 +255,6 @@ class DataPortal(object):
self._last_available_minute,
)
_dispatch_five_minute_reader = AssetDispatchFiveMinuteBarReader(
self.trading_calendar,
self.asset_finder,
aligned_five_minute_readers,
self._last_available_minute,
)
_dispatch_session_reader = AssetDispatchSessionBarReader(
self.trading_calendar,
self.asset_finder,
@@ -283,7 +264,6 @@ class DataPortal(object):
self._pricing_readers = {
'minute': _dispatch_minute_reader,
'5-minute': _dispatch_five_minute_reader,
'daily': _dispatch_session_reader,
}
@@ -719,17 +699,6 @@ class DataPortal(object):
spot_value=result
)
def _get_five_minute_spot_value(self, asset, column, dt, ffill=False):
return self._get_minutely_spot_value(
asset,
column,
dt,
ffill,
'5-minute',
)
def _get_minute_spot_value(self, asset, column, dt, ffill=False):
return self._get_minutely_spot_value(
asset,
catalyst/data/dispatch_bar_reader.py
-6
View File
@@ -135,12 +135,6 @@ class AssetDispatchMinuteBarReader(AssetDispatchBarReader):
def _dt_window_size(self, start_dt, end_dt):
return len(self.trading_calendar.minutes_in_range(start_dt, end_dt))
class AssetDispatchFiveMinuteBarReader(AssetDispatchBarReader):
def _dt_window_size(self, start_dt, end_dt):
return len(self.trading_calendar.five_minutes_in_range(start_dt, end_dt))
class AssetDispatchSessionBarReader(AssetDispatchBarReader):
def _dt_window_size(self, start_dt, end_dt):
catalyst/data/five_minute_bars.py
-1385
View File
File diff suppressed because it is too large Load Diff
catalyst/exchange/data_portal_exchange.py
+2 -4
View File
@@ -20,9 +20,8 @@ from catalyst.assets._assets import TradingPair
from logbook import Logger
from catalyst.data.bundles.core import from_bundle_ingest_dirname, \
minute_path, five_minute_path, daily_path
minute_path, daily_path
from catalyst.data.data_portal import DataPortal
from catalyst.data.five_minute_bars import BcolzFiveMinuteBarReader
from catalyst.data.minute_bars import BcolzMinuteBarReader
from catalyst.data.us_equity_pricing import BcolzDailyBarReader
from catalyst.exchange.exchange_errors import (
@@ -262,7 +261,6 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
self.daily_bar_readers = dict()
self.minute_bar_readers = dict()
self.five_minute_bar_readers = dict()
self.history_loaders = dict()
self.minute_history_loaders = dict()
@@ -333,7 +331,7 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
Pick from a collection of readers based of exchange name and frequency.
:param data_frequency:
The reader frequency: minute, 5-minute, daily.
The reader frequency: minute, daily.
:param exchange_name:
The exchange name.
catalyst/exchange/exchange.py
+1 -1
View File
@@ -672,7 +672,7 @@ class Exchange:
Retrieve OHLCV candles for the given assets
:param data_frequency:
The candle frequency: minute, 5-minute or daily
The candle frequency: minute or daily
:param assets: list[TradingPair]
The targeted assets.
:param bar_count:
catalyst/exchange/exchange_bundle.py
+1 -6
View File
@@ -5,7 +5,6 @@ import numpy as np
from logbook import Logger, INFO
from catalyst import get_calendar
from catalyst.data.five_minute_bars import BcolzFiveMinuteOverlappingData
from catalyst.data.minute_bars import BcolzMinuteOverlappingData
from catalyst.exchange.bitfinex.bitfinex import Bitfinex
from catalyst.exchange.bittrex.bittrex import Bittrex
@@ -161,8 +160,7 @@ def process_bar_data(exchange, assets, writer, data_frequency,
show_progress=False,
invalid_data_behavior='raise'
)
except (BcolzMinuteOverlappingData,
BcolzFiveMinuteOverlappingData) as e:
except BcolzMinuteOverlappingData as e:
log.warn('chunk already exists {}: {}'.format(chunk, e))
@@ -215,7 +213,6 @@ def exchange_bundle(exchange_name, symbols=None, start=None, end=None,
def ingest(environ,
asset_db_writer,
minute_bar_writer,
five_minute_bar_writer,
daily_bar_writer,
adjustment_writer,
calendar,
@@ -292,8 +289,6 @@ def exchange_bundle(exchange_name, symbols=None, start=None, end=None,
# end=end
# )
# TODO: delete 5-minute writer everywhere
if minute_bar_writer is not None:
process_bar_data(
exchange=exchange,
catalyst/exchange/poloniex/poloniex.py
+31 -18
View File
@@ -29,6 +29,7 @@ from catalyst.exchange.exchange_execution import ExchangeLimitOrder, \
from catalyst.finance.order import Order, ORDER_STATUS
from catalyst.protocol import Account
from catalyst.exchange.exchange_utils import get_exchange_symbols_filename
from catalyst.finance.transaction import Transaction
log = Logger('Poloniex')
@@ -274,14 +275,12 @@ class Poloniex(Exchange):
if(is_buy):
response = self.api.buy(exchange_symbol, amount, price)
else:
reponse = self.api.sell(exchange_symbol, amount, price)
response = self.api.sell(exchange_symbol, -amount, price)
except Exception as e:
raise ExchangeRequestError(error=e)
date = pd.Timestamp.utcnow()
print(response)
if('orderNumber' in response):
order_id = str(response['orderNumber'])
order = Order(
@@ -372,14 +371,19 @@ class Poloniex(Exchange):
except Exception as e:
raise OrphanOrderError(order_id=order_id, exchange=self.name)
return order
# TODO: Need to decide whether we fetch orders locally or from exchnage
# The code below is ignored
try:
response = self.api.returnopenorders(self.get_symbol(order.sid))
except Exception as e:
raise ExchangeRequestError(error=e)
for order in response:
if(int(order['orderNumber'])==int(order_id)):
return True
for o in response:
if(int(o['orderNumber'])==int(order_id)):
return order
return None
@@ -392,23 +396,31 @@ class Poloniex(Exchange):
order_param : str or Order
The order_id or order object to cancel.
"""
order_id = order_param.id \
if isinstance(order_param, Order) else order_param
if(isinstance(order_param, Order)):
order = order_param
else:
order = self._portfolio.open_orders[order_param]
try:
response = self.api.cancelorder(order_id)
response = self.api.cancelorder(order.id)
except Exception as e:
raise ExchangeRequestError(error=e)
if 'error' in response:
raise OrderCancelError(
order_id=order_id,
log.info('Unable to cancel order {order_id} on exchange {exchange} {error}.'.format(
order_id=order.id,
exchange=self.name,
error=response['error']
)
self.portfolio.remove_order(order_param) #TODO: Verify this works
))
#raise OrderCancelError(
# order_id=order.id,
# exchange=self.name,
# error=response['error']
#)
self.portfolio.remove_order(order)
def tickers(self, assets):
@@ -508,7 +520,7 @@ class Poloniex(Exchange):
except Exception as e:
raise ExchangeRequestError(error=e)
if(response['error']):
if('error' in response):
if(not order_open):
raise OrphanOrderReverseError(order_id=order_id, exchange=self.name)
else:
@@ -524,16 +536,17 @@ class Poloniex(Exchange):
"""
if(not filter(lambda item: item['order_id'] == tx['tradeID'], self.transactions[order_id])):
log.debug('Got new transaction for order {}: amount {}, price {}'.format(
order_id, tx.amount, tx.rate))
order_id, tx['amount'], tx['rate']))
tx['amount']=float(tx['amount'])
if(tx['type']=='sell'):
tx['amount'] = -tx['amount']
transaction = Transaction(
asset=order.asset,
amount=tx['amount'],
dt=pd.to_datetime(tx['date'], utc=True),
price=tx['rate'],
price=float(tx['rate']),
order_id=tx['tradeID'], # it's a misnomer, but keeping it for compatibility
commission=tx['fee']
commission=float(tx['fee'])
)
self.transactions[order_id].append(transaction)
self.portfolio.execute_transaction(transaction)
catalyst/exchange/poloniex/poloniex_api.py
+42
View File
@@ -15,6 +15,10 @@ class Poloniex_api(object):
def __init__(self, key, secret):
self.key = key
self.secret = secret
self.max_requests_per_second = 6
self.request_cpt = dict()
self.public = ['returnTicker', 'return24Volume', 'returnOrderBook',
'returnTradeHistory', 'returnChartData',
'returnCurrencies', 'returnLoanOrders']
@@ -29,6 +33,43 @@ class Poloniex_api(object):
'cancelLoanOffer','returnOpenLoanOffers','returnActiveLoans',
'returnLendingHistory','toggleAutoRenew']
def ask_request(self):
"""
Asks permission to issue a request to the exchange.
The primary purpose is to avoid hitting rate limits.
The application will pause if the maximum requests per minute
permitted by the exchange is exceeded.
:return boolean:
"""
now = time.time()
if not self.request_cpt:
self.request_cpt = dict()
self.request_cpt[now] = 0
return True
cpt_date = self.request_cpt.keys()[0]
cpt = self.request_cpt[cpt_date]
if now > cpt_date + 1:
self.request_cpt = dict()
self.request_cpt[now] = 0
return True
if cpt >= self.max_requests_per_second:
log.debug('max requests 6 reached, sleeping for 1 seconds')
sleep(1)
now = time.time()
self.request_cpt = dict()
self.request_cpt[now] = 0
return True
else:
self.request_cpt[cpt_date] += 1
def query(self, method, req={}):
if method in self.public:
@@ -45,6 +86,7 @@ class Poloniex_api(object):
else:
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)
return json.loads(urlopen(req).read())
catalyst/finance/performance/tracker.py
-16
View File
@@ -111,27 +111,11 @@ class PerformanceTracker(object):
self.treasury_curves,
self.trading_calendar
)
elif self.emission_rate == '5-minute':
self.all_benchmark_returns = pd.Series(
index=pd.date_range(
self.sim_params.first_open,
self.sim_params.last_close,
freq='5min'
),
)
self.cumulative_risk_metrics = \
risk.RiskMetricsCumulative(
self.sim_params,
self.treasury_curves,
self.trading_calendar,
create_first_day_stats=True,
)
elif self.emission_rate == 'minute':
self.all_benchmark_returns = pd.Series(index=pd.date_range(
self.sim_params.first_open, self.sim_params.last_close,
freq='Min')
)
self.cumulative_risk_metrics = \
risk.RiskMetricsCumulative(
self.sim_params,
catalyst/gens/sim_engine.pyx
-23
View File
@@ -20,9 +20,7 @@ cimport cython
from cpython cimport bool
cdef np.int64_t _nanos_in_minute = 60000000000
cdef np.int64_t _nanos_in_five_minutes = 5 * _nanos_in_minute
NANOS_IN_MINUTE = _nanos_in_minute
NANOS_IN_FIVE_MINUTES = _nanos_in_five_minutes
cpdef enum:
BAR = 0
@@ -117,24 +115,3 @@ cdef class MinuteSimulationClock:
yield minute, BAR
if minute_emission:
yield minute, MINUTE_END
cdef class FiveMinuteSimulationClock(MinuteSimulationClock):
@cython.boundscheck(False)
@cython.wraparound(False)
cdef dict calc_minutes_by_session(self):
cdef dict five_minutes_by_session
cdef int session_idx
cdef np.int64_t session_nano
cdef np.ndarray[np.int64_t, ndim=1] five_minutes_nanos
five_minutes_by_session = {}
for session_idx, session_nano in enumerate(self.sessions_nanos):
five_minutes_nanos = np.arange(
self.market_opens_nanos[session_idx],
self.market_closes_nanos[session_idx],
_nanos_in_five_minutes
)
five_minutes_by_session[session_nano] = pd.to_datetime(
five_minutes_nanos, utc=True, box=True
)
return five_minutes_by_session
catalyst/gens/tradesimulation.py
+1 -2
View File
@@ -34,7 +34,6 @@ class AlgorithmSimulator(object):
EMISSION_TO_PERF_KEY_MAP = {
'minute': 'minute_perf',
'5-minute': '5_minute_perf',
'daily': 'daily_perf'
}
@@ -202,7 +201,7 @@ class AlgorithmSimulator(object):
stack.enter_context(self.processor)
stack.enter_context(ZiplineAPI(self.algo))
if algo.data_frequency in set(('minute', '5-minute')):
if algo.data_frequency == 'minute':
def execute_order_cancellation_policy():
algo.blotter.execute_cancel_policy(SESSION_END)
catalyst/pipeline/loaders/crypto_pricing_loader.py
-4
View File
@@ -41,10 +41,6 @@ class CryptoPricingLoader(PipelineLoader):
reader = bundle.daily_bar_reader
all_sessions = cal.all_sessions
elif data_frequency == '5-minute':
reader = bundle.five_minute_bar_reader
all_sessions = cal.all_five_minutes
elif data_frequency == 'minute':
reader = bundle.minute_bar_reader
all_sessions = cal.all_minutes
catalyst/pipeline/loaders/equity_pricing_loader.py
-5
View File
@@ -40,8 +40,6 @@ class USEquityPricingLoader(PipelineLoader):
if data_frequency == 'daily':
reader = bundle.daily_bar_reader
elif data_frequency == '5-minute':
reader = bundle.five_minute_bar_reader
elif daily_bar_reader == 'minute':
reader = bundle.minute_bar_reader
else:
@@ -53,9 +51,6 @@ class USEquityPricingLoader(PipelineLoader):
if data_frequency == 'daily':
all_sessions = cal.all_sessions
elif data_frequency == '5-minute':
reader = bundle.five_minute_bar_reader
all_sessions = cal.all_five_minutes
elif daily_bar_reader == 'minute':
reader = bundle.minute_bar_reader
all_sessions = cal.all_minutes
catalyst/sources/benchmark_source.py
-28
View File
@@ -65,19 +65,6 @@ class BenchmarkSource(object):
)
self._precalculated_series = minute_series
elif self.emission_rate == '5-minute':
five_minutes = \
trading_calendar.five_minutes_for_sessions_in_range(
sessions[0],
sessions[-1],
)
five_minute_series = daily_series.reindex(
index=five_minutes,
method='ffill',
)
self._precalculated_series = five_minute_series
else:
self._precalculated_series = daily_series
else:
@@ -168,21 +155,6 @@ class BenchmarkSource(object):
ffill=True
)[asset]
return benchmark_series.pct_change()[1:]
elif self.emission_rate == '5-minute':
five_minutes = trading_calendar.five_minutes_for_sessions_in_range(
self.sessions[0], self.sessions[-1]
)
benchmark_series = data_portal.get_history_window(
[asset],
five_minutes[-1],
bar_count=len(five_minutes) + 1,
frequency='5m',
field='price',
data_frequency=self.emission_rate,
ffill=True,
)[asset]
return benchmark_series.pct_change()[1:]
else:
start_date = asset.start_date
catalyst/utils/calendars/trading_calendar.py
-55
View File
@@ -117,9 +117,6 @@ class TradingCalendar(with_metaclass(ABCMeta)):
self._trading_minutes_nanos = self.all_minutes.values.\
astype(np.int64)
self._trading_five_minutes_nanos = self.all_five_minutes.values.\
astype(np.int64)
self.first_trading_session = _all_days[0]
self.last_trading_session = _all_days[-1]
@@ -182,18 +179,6 @@ class TradingCalendar(with_metaclass(ABCMeta)):
"""
return int(self._minutes_per_session[start_session:end_session].sum())
@lazyval
def _five_minutes_per_session(self):
diff = self.schedule.market_close - self.schedule.market_open
diff = diff.astype('timedelta64[m]')
return (diff + 1) // 5
def five_minutes_count_for_sessions_in_range(self,
start_session,
end_session):
five_mins = self._five_minutes_per_session[start_session:end_session]
return int(five_mins.sum())
@property
def regular_holidays(self):
"""
@@ -386,10 +371,6 @@ class TradingCalendar(with_metaclass(ABCMeta)):
idx = next_divider_idx(self._trading_minutes_nanos, dt.value)
return self.all_minutes[idx]
def next_five_minute(self, dt):
idx = next_divider_idx(self._trading_five_minutes_nanos, dt.values)
return self.all_five_mintutes[idx]
def previous_minute(self, dt):
"""
Given a dt, return the previous exchange minute.
@@ -484,12 +465,6 @@ class TradingCalendar(with_metaclass(ABCMeta)):
end_minute=self.schedule.at[session_label, 'market_close'],
)
def five_minutes_for_session(self, session_label):
return self.five_minutes_in_range(
start_five_minute=self.schedule.at[session_label, 'market_open'],
end_five_minute=self.schedule.at[session_label, 'market_close'],
)
def minutes_window(self, start_dt, count):
start_dt_nanos = start_dt.value
all_minutes_nanos = self._trading_minutes_nanos
@@ -591,20 +566,6 @@ class TradingCalendar(with_metaclass(ABCMeta)):
return abs(end_idx - start_idx)
def five_minutes_in_range(self, start_five_minute, end_five_minute):
start_idx = searchsorted(self._trading_five_minutes_nanos,
start_five_minute.value)
end_idx = searchsorted(self._trading_five_minutes_nanos,
end_five_minute.value)
if end_five_minute.value == self._trading_five_minutes_nanos[end_idx]:
# if the end minute is a market minute, increase by 1
end_idx += 1
return self.all_five_minutes[start_idx:end_idx]
def minutes_in_range(self, start_minute, end_minute):
"""
Given start and end minutes, return all the calendar minutes
@@ -662,15 +623,6 @@ class TradingCalendar(with_metaclass(ABCMeta)):
return self.minutes_in_range(first_minute, last_minute)
def five_minutes_for_sessions_in_range(self,
start_session_label,
end_session_label):
first_minute, _ = self.open_and_close_for_session(start_session_label)
_, last_minute = self.open_and_close_for_session(end_session_label)
return self.five_minutes_in_range(first_minute, last_minute)
def open_and_close_for_session(self, session_label):
"""
Returns a tuple of timestamps of the open and close of the session
@@ -777,13 +729,6 @@ class TradingCalendar(with_metaclass(ABCMeta)):
return DatetimeIndex(all_minutes).tz_localize("UTC")
@lazyval
def all_five_minutes(self):
"""
Returns a DatetimeIndex representing all the five minutes in this calendar.
"""
return self._all_minutes_with_interval(5)
@lazyval
def all_minutes(self):
"""
catalyst/utils/events.py
-1
View File
@@ -602,7 +602,6 @@ class date_rules(object):
class time_rules(object):
market_open = AfterOpen
market_close = BeforeClose
every_5_minutes = Always
every_minute = Always
tests/exchange/test_bundle.py
-1
View File
@@ -53,7 +53,6 @@ class ExchangeBundleTestCase:
ingest(environ=os.environ,
asset_db_writer=None,
minute_bar_writer=minute_bar_writer,
five_minute_bar_writer=None,
daily_bar_writer=None,
adjustment_writer=None,
calendar=open_calendar,
tests/exchange/test_clock.py
+4 -4
View File
@@ -1,7 +1,7 @@
from unittest import TestCase
from logbook import Logger
from mock import patch, sentinel
from catalyst.exchange.exchange_clock import ExchangeClock
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
@@ -35,9 +35,9 @@ class ExchangeClockTestCase(TestCase):
return self.internal_clock
def test_clock(self):
with patch('catalyst.exchange.exchange_clock.pd.to_datetime') as to_dt, \
patch('catalyst.exchange.exchange_clock.sleep') as sleep:
clock = ExchangeClock(sessions=self.sessions)
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()