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Frederic Fortier
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<div class="section" id="catalyst-beginner-tutorial">
<h1>Catalyst Beginner Tutorial<a class="headerlink" href="#catalyst-beginner-tutorial" title="Permalink to this headline"></a></h1>
@@ -222,16 +340,16 @@ crypto asset in your universe.</p>
<h2>My first algorithm<a class="headerlink" href="#my-first-algorithm" title="Permalink to this headline"></a></h2>
<p>Lets take a look at a very simple algorithm from the <code class="docutils literal"><span class="pre">examples</span></code> directory:
<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_btc_simple.py">buy_btc_simple.py</a>:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">&#39;btc_usd&#39;</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">&#39;btc_usd&#39;</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="n">order</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">record</span><span class="p">(</span><span class="n">btc</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">))</span>
<span class="n">record</span><span class="p">(</span><span class="n">btc</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">))</span>
</pre></div>
</div>
<p>As you can see, we first have to import some functions we would like to
@@ -256,7 +374,7 @@ pricing data that Catalyst needs to run your simulation through a process called
form from the Enigma servers (which eventually will migrate to the Enigma Data
Marketplace), and stores it locally to make it available at runtime.</p>
<p>In order to ingest data, you need to run a command like the following:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -i btc_usd
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -i btc_usd
</pre></div>
</div>
<p>This instructs Catalyst to download pricing data from the <code class="docutils literal"><span class="pre">Bitfinex</span></code> exchange
@@ -266,10 +384,10 @@ our algorithm using historical pricing data from the Bitfinex exchange. By
default, Catalyst assumes that you want data with <code class="docutils literal"><span class="pre">daily</span></code> frequency (one candle
bar per day). If you want instead <code class="docutils literal"><span class="pre">minute</span></code> frequency (one candle bar for every
minute), you would need to specify it as follows:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -i btc_usd -f minute
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -i btc_usd -f minute
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span></span>Ingesting exchange bundle bitfinex...
<div class="highlight-python"><div class="highlight"><pre>Ingesting exchange bundle bitfinex...
[====================================] Ingesting daily price data on bitfinex: 100%
</pre></div>
</div>
@@ -296,7 +414,7 @@ to the exchange.</li>
<p>The <code class="docutils literal"><span class="pre">ingest-exchange</span></code> command in catalyst offers additional parameters to
further tweak the data ingestion process. You can learn more by running the
following from the command line:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange --help
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange --help
</pre></div>
</div>
</div>
@@ -321,11 +439,11 @@ have assimilated the contents of this tutorial.</p>
<p>After you installed Catalyst, you should be able to execute the following
from your command line (e.g. <code class="docutils literal"><span class="pre">cmd.exe</span></code> or the <code class="docutils literal"><span class="pre">Anaconda</span> <span class="pre">Prompt</span></code> on Windows,
or the Terminal application on MacOS).</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>$ catalyst --help
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>catalyst --help
</pre></div>
</div>
<p>This is the resulting output, simplified for eductional purposes:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span>Usage: catalyst [OPTIONS] COMMAND [ARGS]...
<div class="highlight-python"><div class="highlight"><pre>Usage: catalyst [OPTIONS] COMMAND [ARGS]...
Top level catalyst entry point.
@@ -346,10 +464,10 @@ given exchange, and the third mode <code class="docutils literal"><span class="p
trading live with it.</p>
<p>Let&#8217;s start with backtesting, so run this other command to learn more about
the available options:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>$ catalyst run --help
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>catalyst run --help
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span></span>Usage: catalyst run [OPTIONS]
<div class="highlight-python"><div class="highlight"><pre>Usage: catalyst run [OPTIONS]
Run a backtest for the given algorithm.
@@ -400,10 +518,10 @@ conveniently pass to the <code class="docutils literal"><span class="pre">-c</sp
command line args all the time.</p>
<p>Thus, to execute our algorithm from above and save the results to
<code class="docutils literal"><span class="pre">buy_btc_simple_out.pickle</span></code> we would call <code class="docutils literal"><span class="pre">catalyst</span> <span class="pre">run</span></code> as follows:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst run -f buy_btc_simple.py -x bitfinex --start <span class="m">2016</span>-1-1 --end <span class="m">2017</span>-9-30 -c usd --capital-base <span class="m">100000</span> -o buy_btc_simple_out.pickle
<div class="highlight-bash"><div class="highlight"><pre>catalyst run -f buy_btc_simple.py -x bitfinex --start 2016-1-1 --end 2017-9-30 -c usd --capital-base <span class="m">100000</span> -o buy_btc_simple_out.pickle
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span></span>INFO: run_algo: running algo in backtest mode
<div class="highlight-python"><div class="highlight"><pre>INFO: run_algo: running algo in backtest mode
INFO: exchange_algorithm: initialized trading algorithm in backtest mode
INFO: Performance: Simulated 639 trading days out of 639.
INFO: Performance: first open: 2016-01-01 00:00:00+00:00
@@ -428,13 +546,13 @@ the fantastic <code class="docutils literal"><span class="pre">pandas</span></co
<code class="docutils literal"><span class="pre">catalyst</span></code> makes heavy usage of <a class="reference external" href="http://pandas.pydata.org/">pandas</a>,
especially for data analysis and outputting so it&#8217;s worth spending some time to
learn it.</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
<span class="n">perf</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">read_pickle</span><span class="p">(</span><span class="s1">&#39;buy_btc_simple_out.pickle&#39;</span><span class="p">)</span> <span class="c1"># read in perf DataFrame</span>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
<span class="n">perf</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">read_pickle</span><span class="p">(</span><span class="s">&#39;buy_btc_simple_out.pickle&#39;</span><span class="p">)</span> <span class="c"># read in perf DataFrame</span>
<span class="k">print</span><span class="p">(</span><span class="n">perf</span><span class="o">.</span><span class="n">head</span><span class="p">())</span>
</pre></div>
</div>
<p>Which we execute by running:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>$ python print_results.py
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>python print_results.py
</pre></div>
</div>
<div style="max-height:1000px;max-width:1500px;overflow:auto;">
@@ -607,23 +725,23 @@ which is the pandas dataframe containing the performance data for our algorithm
that we reviewed above. Inside the <code class="docutils literal"><span class="pre">analyze()</span></code> function is where we can
analyze and visualize the results of our strategy. Here&#8217;s the revised simple
algorithm (note the addition of Line 1, and Lines 11-18)</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">&#39;btc_usd&#39;</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">&#39;btc_usd&#39;</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="n">order</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">record</span><span class="p">(</span><span class="n">btc</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">))</span>
<span class="n">record</span><span class="p">(</span><span class="n">btc</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">))</span>
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">perf</span><span class="p">):</span>
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">211</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">portfolio_value</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;portfolio value&#39;</span><span class="p">)</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;portfolio value&#39;</span><span class="p">)</span>
<span class="n">ax2</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">212</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">btc</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;bitcoin price&#39;</span><span class="p">)</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;bitcoin price&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
@@ -632,7 +750,7 @@ algorithm (note the addition of Line 1, and Lines 11-18)</p>
alongside enigma-catalyst (with the exception of the <code class="docutils literal"><span class="pre">Conda</span></code> install, where it
was included by default inside the conda environment we created). If for any
reason you don&#8217;t have it installed, you can add it by running:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span>(catalyst)$ pip install matplotlib
<div class="highlight-python"><div class="highlight"><pre>(catalyst)$ pip install matplotlib
</pre></div>
</div>
<p>If everything works well, you&#8217;ll see the following chart:</p>
@@ -645,11 +763,11 @@ only bought bitcoin every chance it got.</p>
results refer to <a class="reference external" href="install.html#macos-virtualenv-matplotlib">MacOS + Matplotlib</a>.
Alternatively, some users have reported the following error when running an algo
in a Linux environment:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span>ImportError: No module named _tkinter, please install the python-tk package
<div class="highlight-python"><div class="highlight"><pre>ImportError: No module named _tkinter, please install the python-tk package
</pre></div>
</div>
<p>Which can easily solved by running (in Ubuntu/Debian-based systems):</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="n">sudo</span> <span class="n">apt</span> <span class="n">install</span> <span class="n">python</span><span class="o">-</span><span class="n">tk</span>
<div class="highlight-python"><div class="highlight"><pre><span class="n">sudo</span> <span class="n">apt</span> <span class="n">install</span> <span class="n">python</span><span class="o">-</span><span class="n">tk</span>
</pre></div>
</div>
</div></blockquote>
@@ -681,7 +799,7 @@ follow. Most of the added some complexity has been added to beautify the output,
which you can skim through for now. A copy of this algorithm is available in
the <code class="docutils literal"><span class="pre">examples</span></code> directory:
<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/dual_moving_average.py">dual_moving_average.py</a>.</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
<span class="kn">from</span> <span class="nn">logbook</span> <span class="kn">import</span> <span class="n">Logger</span>
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
@@ -691,91 +809,91 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
<span class="n">get_open_orders</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">catalyst.exchange.utils.stats_utils</span> <span class="kn">import</span> <span class="n">extract_transactions</span>
<span class="n">NAMESPACE</span> <span class="o">=</span> <span class="s1">&#39;dual_moving_average&#39;</span>
<span class="n">NAMESPACE</span> <span class="o">=</span> <span class="s">&#39;dual_moving_average&#39;</span>
<span class="n">log</span> <span class="o">=</span> <span class="n">Logger</span><span class="p">(</span><span class="n">NAMESPACE</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">&#39;ltc_usd&#39;</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">&#39;ltc_usd&#39;</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">base_price</span> <span class="o">=</span> <span class="bp">None</span>
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="c1"># define the windows for the moving averages</span>
<span class="c"># define the windows for the moving averages</span>
<span class="n">short_window</span> <span class="o">=</span> <span class="mi">50</span>
<span class="n">long_window</span> <span class="o">=</span> <span class="mi">200</span>
<span class="c1"># Skip as many bars as long_window to properly compute the average</span>
<span class="c"># Skip as many bars as long_window to properly compute the average</span>
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">&lt;</span> <span class="n">long_window</span><span class="p">:</span>
<span class="k">return</span>
<span class="c1"># Compute moving averages calling data.history() for each</span>
<span class="c1"># moving average with the appropriate parameters. We choose to use</span>
<span class="c1"># minute bars for this simulation -&gt; freq=&quot;1m&quot;</span>
<span class="c1"># Returns a pandas dataframe.</span>
<span class="n">short_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">,</span>
<span class="n">bar_count</span><span class="o">=</span><span class="n">short_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s2">&quot;1m&quot;</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
<span class="n">long_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">,</span>
<span class="n">bar_count</span><span class="o">=</span><span class="n">long_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s2">&quot;1m&quot;</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
<span class="c"># Compute moving averages calling data.history() for each</span>
<span class="c"># moving average with the appropriate parameters. We choose to use</span>
<span class="c"># minute bars for this simulation -&gt; freq=&quot;1m&quot;</span>
<span class="c"># Returns a pandas dataframe.</span>
<span class="n">short_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">,</span>
<span class="n">bar_count</span><span class="o">=</span><span class="n">short_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s">&quot;1m&quot;</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
<span class="n">long_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">,</span>
<span class="n">bar_count</span><span class="o">=</span><span class="n">long_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s">&quot;1m&quot;</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
<span class="c1"># Let&#39;s keep the price of our asset in a more handy variable</span>
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">)</span>
<span class="c"># Let&#39;s keep the price of our asset in a more handy variable</span>
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">)</span>
<span class="c1"># If base_price is not set, we use the current value. This is the</span>
<span class="c1"># price at the first bar which we reference to calculate price_change.</span>
<span class="c"># If base_price is not set, we use the current value. This is the</span>
<span class="c"># price at the first bar which we reference to calculate price_change.</span>
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">base_price</span> <span class="ow">is</span> <span class="bp">None</span><span class="p">:</span>
<span class="n">context</span><span class="o">.</span><span class="n">base_price</span> <span class="o">=</span> <span class="n">price</span>
<span class="n">price_change</span> <span class="o">=</span> <span class="p">(</span><span class="n">price</span> <span class="o">-</span> <span class="n">context</span><span class="o">.</span><span class="n">base_price</span><span class="p">)</span> <span class="o">/</span> <span class="n">context</span><span class="o">.</span><span class="n">base_price</span>
<span class="c1"># Save values for later inspection</span>
<span class="c"># Save values for later inspection</span>
<span class="n">record</span><span class="p">(</span><span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span>
<span class="n">cash</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">cash</span><span class="p">,</span>
<span class="n">price_change</span><span class="o">=</span><span class="n">price_change</span><span class="p">,</span>
<span class="n">short_mavg</span><span class="o">=</span><span class="n">short_mavg</span><span class="p">,</span>
<span class="n">long_mavg</span><span class="o">=</span><span class="n">long_mavg</span><span class="p">)</span>
<span class="c1"># Since we are using limit orders, some orders may not execute immediately</span>
<span class="c1"># we wait until all orders are executed before considering more trades.</span>
<span class="c"># Since we are using limit orders, some orders may not execute immediately</span>
<span class="c"># we wait until all orders are executed before considering more trades.</span>
<span class="n">orders</span> <span class="o">=</span> <span class="n">get_open_orders</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">)</span>
<span class="k">if</span> <span class="nb">len</span><span class="p">(</span><span class="n">orders</span><span class="p">)</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">:</span>
<span class="k">return</span>
<span class="c1"># Exit if we cannot trade</span>
<span class="c"># Exit if we cannot trade</span>
<span class="k">if</span> <span class="ow">not</span> <span class="n">data</span><span class="o">.</span><span class="n">can_trade</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">):</span>
<span class="k">return</span>
<span class="c1"># We check what&#39;s our position on our portfolio and trade accordingly</span>
<span class="c"># We check what&#39;s our position on our portfolio and trade accordingly</span>
<span class="n">pos_amount</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">positions</span><span class="p">[</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">]</span><span class="o">.</span><span class="n">amount</span>
<span class="c1"># Trading logic</span>
<span class="c"># Trading logic</span>
<span class="k">if</span> <span class="n">short_mavg</span> <span class="o">&gt;</span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
<span class="c1"># we buy 100% of our portfolio for this asset</span>
<span class="c"># we buy 100% of our portfolio for this asset</span>
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="k">elif</span> <span class="n">short_mavg</span> <span class="o">&lt;</span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">:</span>
<span class="c1"># we sell all our positions for this asset</span>
<span class="c"># we sell all our positions for this asset</span>
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">0</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">perf</span><span class="p">):</span>
<span class="c1"># Get the base_currency that was passed as a parameter to the simulation</span>
<span class="c"># Get the base_currency that was passed as a parameter to the simulation</span>
<span class="n">exchange</span> <span class="o">=</span> <span class="nb">list</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">())[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">base_currency</span> <span class="o">=</span> <span class="n">exchange</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">upper</span><span class="p">()</span>
<span class="c1"># First chart: Plot portfolio value using base_currency</span>
<span class="c"># First chart: Plot portfolio value using base_currency</span>
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">411</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">&#39;portfolio_value&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;portfolio_value&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;Portfolio Value</span><span class="se">\n</span><span class="s1">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Portfolio Value</span><span class="se">\n</span><span class="s">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax1</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="c1"># Second chart: Plot asset price, moving averages and buys/sells</span>
<span class="c"># Second chart: Plot asset price, moving averages and buys/sells</span>
<span class="n">ax2</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">412</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">&#39;price&#39;</span><span class="p">,</span><span class="s1">&#39;short_mavg&#39;</span><span class="p">,</span><span class="s1">&#39;long_mavg&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;Price&#39;</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;price&#39;</span><span class="p">,</span><span class="s">&#39;short_mavg&#39;</span><span class="p">,</span><span class="s">&#39;long_mavg&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s">&#39;Price&#39;</span><span class="p">)</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;{asset}</span><span class="se">\n</span><span class="s1">({base})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;{asset}</span><span class="se">\n</span><span class="s">({base})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
<span class="n">asset</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="o">.</span><span class="n">symbol</span><span class="p">,</span>
<span class="n">base</span> <span class="o">=</span> <span class="n">base_currency</span>
<span class="p">))</span>
@@ -784,71 +902,71 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
<span class="n">transaction_df</span> <span class="o">=</span> <span class="n">extract_transactions</span><span class="p">(</span><span class="n">perf</span><span class="p">)</span>
<span class="k">if</span> <span class="ow">not</span> <span class="n">transaction_df</span><span class="o">.</span><span class="n">empty</span><span class="p">:</span>
<span class="n">buy_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s1">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">sell_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s1">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&lt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">buy_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">sell_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&lt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span>
<span class="n">buy_df</span><span class="o">.</span><span class="n">index</span><span class="o">.</span><span class="n">to_pydatetime</span><span class="p">(),</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span><span class="n">buy_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s1">&#39;^&#39;</span><span class="p">,</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span><span class="n">buy_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s">&#39;^&#39;</span><span class="p">,</span>
<span class="n">s</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span>
<span class="n">c</span><span class="o">=</span><span class="s1">&#39;green&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s1">&#39;&#39;</span>
<span class="n">c</span><span class="o">=</span><span class="s">&#39;green&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s">&#39;&#39;</span>
<span class="p">)</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span>
<span class="n">sell_df</span><span class="o">.</span><span class="n">index</span><span class="o">.</span><span class="n">to_pydatetime</span><span class="p">(),</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span><span class="n">sell_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s1">&#39;v&#39;</span><span class="p">,</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span><span class="n">sell_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s">&#39;v&#39;</span><span class="p">,</span>
<span class="n">s</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span>
<span class="n">c</span><span class="o">=</span><span class="s1">&#39;red&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s1">&#39;&#39;</span>
<span class="n">c</span><span class="o">=</span><span class="s">&#39;red&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s">&#39;&#39;</span>
<span class="p">)</span>
<span class="c1"># Third chart: Compare percentage change between our portfolio</span>
<span class="c1"># and the price of the asset</span>
<span class="c"># Third chart: Compare percentage change between our portfolio</span>
<span class="c"># and the price of the asset</span>
<span class="n">ax3</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">413</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">&#39;algorithm_period_return&#39;</span><span class="p">,</span> <span class="s1">&#39;price_change&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax3</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;algorithm_period_return&#39;</span><span class="p">,</span> <span class="s">&#39;price_change&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax3</span><span class="p">)</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;Percent Change&#39;</span><span class="p">)</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Percent Change&#39;</span><span class="p">)</span>
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax3</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="c1"># Fourth chart: Plot our cash</span>
<span class="c"># Fourth chart: Plot our cash</span>
<span class="n">ax4</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">414</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">cash</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax4</span><span class="p">)</span>
<span class="n">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;Cash</span><span class="se">\n</span><span class="s1">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="n">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Cash</span><span class="se">\n</span><span class="s">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax4</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax4</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="k">if</span> <span class="vm">__name__</span> <span class="o">==</span> <span class="s1">&#39;__main__&#39;</span><span class="p">:</span>
<span class="k">if</span> <span class="n">__name__</span> <span class="o">==</span> <span class="s">&#39;__main__&#39;</span><span class="p">:</span>
<span class="n">run_algorithm</span><span class="p">(</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">&#39;minute&#39;</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s">&#39;minute&#39;</span><span class="p">,</span>
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">&#39;bitfinex&#39;</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s">&#39;bitfinex&#39;</span><span class="p">,</span>
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
<span class="n">base_currency</span><span class="o">=</span><span class="s1">&#39;usd&#39;</span><span class="p">,</span>
<span class="n">start</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">&#39;2017-9-22&#39;</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">&#39;2017-9-23&#39;</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
<span class="n">base_currency</span><span class="o">=</span><span class="s">&#39;usd&#39;</span><span class="p">,</span>
<span class="n">start</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s">&#39;2017-9-22&#39;</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s">&#39;2017-9-23&#39;</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
<span class="p">)</span>
</pre></div>
</div>
<p>In order to run the code above, you have to ingest the needed data first:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -f minute -i ltc_usd
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -f minute -i ltc_usd
</pre></div>
</div>
<p>And then run the code above with the following command:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst run -f dual_moving_average.py -x bitfinex -s <span class="m">2017</span>-9-22 -e <span class="m">2017</span>-9-23 --capital-base <span class="m">1000</span> --base-currency usd --data-frequency minute -o out.pickle
<div class="highlight-bash"><div class="highlight"><pre>catalyst run -f dual_moving_average.py -x bitfinex -s 2017-9-22 -e 2017-9-23 --capital-base <span class="m">1000</span> --base-currency usd --data-frequency minute -o out.pickle
</pre></div>
</div>
<p>Alternatively, we can make use of the <code class="docutils literal"><span class="pre">run_algorithm()</span></code> function included at
the end of the file, where we can specify all the simulation parameters, and
execute this file as a Python script:</p>
<div class="highlight-bash"><div class="highlight"><pre><span></span>python dual_moving_average.py
<div class="highlight-bash"><div class="highlight"><pre>python dual_moving_average.py
</pre></div>
</div>
<p>Either way, we obtain the following charts:</p>
@@ -909,11 +1027,11 @@ running algorithms through the command line.</p>
<p>In order to use Jupyter Notebook, you first have to install it inside your
environment. It&#8217;s available as <code class="docutils literal"><span class="pre">pip</span></code> package, so regardless of how you
installed Catalyst, go inside your catalyst environemnt and run:</p>
<div class="code bash highlight-python"><div class="highlight"><pre><span></span>(catalyst)$ pip install jupyter
<div class="code bash highlight-python"><div class="highlight"><pre>(catalyst)$ pip install jupyter
</pre></div>
</div>
<p>Once you have Jupyter Notebook installed, every time you want to use it run:</p>
<div class="code bash highlight-python"><div class="highlight"><pre><span></span>(catalyst)$ jupyter notebook
<div class="code bash highlight-python"><div class="highlight"><pre>(catalyst)$ jupyter notebook
</pre></div>
</div>
<p>A local server will launch, and will open a new window on your browser. That&#8217;s
@@ -924,7 +1042,7 @@ the interface through which you will interact with Jupyter Notebook.</p>
<p>Before running your algorithms inside the Jupyter Notebook, remember to ingest
the data from the command line interface (CLI). In the example below, you would
need to run first:</p>
<div class="code bash highlight-python"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -i btc_usd
<div class="code bash highlight-python"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -i btc_usd
</pre></div>
</div>
<p>To use Catalyst inside a Jupyter Noebook, you have to write your algorithm in a
@@ -935,18 +1053,18 @@ takes the same arguments as the command line interface. Thus to run the
algorithm just supply the same parameters as the CLI but without the -f
and -o arguments. We just have to execute the following cell after
importing <code class="docutils literal"><span class="pre">catalyst</span></code> to register the magic.</p>
<div class="code python highlight-python"><div class="highlight"><pre><span></span># Register the catalyst magic
<div class="code python highlight-python"><div class="highlight"><pre># Register the catalyst magic
%load_ext catalyst
</pre></div>
</div>
<div class="code python highlight-python"><div class="highlight"><pre><span></span># Setup matplotlib to display graphs inline in this Notebook
<div class="code python highlight-python"><div class="highlight"><pre># Setup matplotlib to display graphs inline in this Notebook
%matplotlib inline
</pre></div>
</div>
<p>Note below that we do not have to specify an input file (-f) since the
magic will use the contents of the cell and look for your algorithm
functions.</p>
<div class="code python highlight-python"><div class="highlight"><pre><span></span>%%catalyst --start 2015-3-2 --end 2017-6-28 --capital-base 100000 -x bitfinex -c usd
<div class="code python highlight-python"><div class="highlight"><pre>%%catalyst --start 2015-3-2 --end 2017-6-28 --capital-base 100000 -x bitfinex -c usd
from catalyst.finance.slippage import VolumeShareSlippage
@@ -1071,7 +1189,7 @@ def analyze(context=None, results=None):
plt.show()
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span></span>[2017-08-11 07:19:46.411748] INFO: Loader: Loading benchmark data for &#39;USDT_BTC&#39; from 1989-12-31 00:00:00+00:00 to 2017-08-09 00:00:00+00:00
<div class="highlight-python"><div class="highlight"><pre>[2017-08-11 07:19:46.411748] INFO: Loader: Loading benchmark data for &#39;USDT_BTC&#39; from 1989-12-31 00:00:00+00:00 to 2017-08-09 00:00:00+00:00
[2017-08-11 07:19:46.418983] INFO: Loader: Loading data for /Users/&lt;snipped&gt;/.catalyst/data/USDT_BTC_benchmark.csv failed with error [Unknown string format].
[2017-08-11 07:19:46.419740] INFO: Loader: Cache at /Users/&lt;snipped&gt;/.catalyst/data/USDT_BTC_benchmark.csv does not have data from 1990-01-01 00:00:00+00:00 to 2017-08-09 00:00:00+00:00.
@@ -2453,7 +2571,7 @@ def analyze(context=None, results=None):
</p></div><p>Also, instead of defining an output file we are accessing it via the “_&#8221;
variable that will be created in the name space and contain the
performance DataFrame.</p>
<div class="code python highlight-python"><div class="highlight"><pre><span></span><span class="n">_</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
<div class="code python highlight-python"><div class="highlight"><pre><span class="n">_</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
</pre></div>
</div>
<div><table border="1" class="dataframe"><thead><tr style="text-align: right;"><th></th><th><p>algo_volatility</p>
@@ -2602,19 +2720,15 @@ problems on our <a class="reference external" href="https://github.com/enigmampc
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@@ -2624,10 +2738,9 @@ problems on our <a class="reference external" href="https://github.com/enigmampc
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