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DOC: updated release notes

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Frederic Fortier
2018-02-08 01:17:12 -05:00
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<h1>Utilities<a class="headerlink" href="#utilities" title="Permalink to this headline"></a></h1>
@@ -177,25 +310,25 @@ script that you need to use depends on the interface that you are using to run
your trading algorithm, which could be the CLI or a Python Interpreter.</p>
<ol class="arabic">
<li><p class="first">Script to use with CLI:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="kn">import</span> <span class="nn">sys</span>
<span class="kn">import</span> <span class="nn">os</span>
<span class="kn">from</span> <span class="nn">os.path</span> <span class="kn">import</span> <span class="n">basename</span>
<span class="c1"># Save results in CSV file</span>
<span class="c"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">basename</span><span class="p">(</span><span class="n">sys</span><span class="o">.</span><span class="n">argv</span><span class="p">[</span><span class="mi">3</span><span class="p">]))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">&#39;.csv&#39;</span><span class="p">)</span>
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s">&#39;.csv&#39;</span><span class="p">)</span>
</pre></div>
</div>
</li>
<li><p class="first">Script to use with Python Interpreter:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="kn">import</span> <span class="nn">os</span>
<span class="kn">from</span> <span class="nn">os.path</span> <span class="kn">import</span> <span class="n">basename</span>
<span class="c1"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">&#39;.csv&#39;</span><span class="p">)</span>
<span class="c"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="n">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s">&#39;.csv&#39;</span><span class="p">)</span>
</pre></div>
</div>
</li>
@@ -210,7 +343,7 @@ Run this script directly from your development environment: python scriptname.py
where the contents of &#8216;scriptname.py&#8217; are as follows. Two different version are
provided as an example for daily- and minute-resolution data respectively:</p>
<p>Simpler case for daily data</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">os</span>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">os</span>
<span class="kn">import</span> <span class="nn">pytz</span>
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
@@ -218,23 +351,23 @@ provided as an example for daily- and minute-resolution data respectively:</p>
<span class="kn">from</span> <span class="nn">catalyst.utils.run_algo</span> <span class="kn">import</span> <span class="n">run_algorithm</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="c1"># Portfolio assets list</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_usdt&#39;</span><span class="p">)</span> <span class="c1"># Bitcoin on Poloniex</span>
<span class="c"># Portfolio assets list</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_usdt&#39;</span><span class="p">)</span> <span class="c"># Bitcoin on Poloniex</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"># Variables to record for a given asset: price and volume</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="n">volume</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;volume&#39;</span><span class="p">)</span>
<span class="c"># Variables to record for a given asset: price and volume</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="n">volume</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;volume&#39;</span><span class="p">)</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">volume</span><span class="o">=</span><span class="n">volume</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="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="c1"># Generate DataFrame with Price and Volume only</span>
<span class="n">data</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span><span class="s1">&#39;price&#39;</span><span class="p">,</span><span class="s1">&#39;volume&#39;</span><span class="p">]]</span>
<span class="c"># Generate DataFrame with Price and Volume only</span>
<span class="n">data</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span><span class="s">&#39;price&#39;</span><span class="p">,</span><span class="s">&#39;volume&#39;</span><span class="p">]]</span>
<span class="c1"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">data</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">&#39;.csv&#39;</span><span class="p">)</span>
<span class="c"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="n">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">data</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s">&#39;.csv&#39;</span><span class="p">)</span>
<span class="sd">&#39;&#39;&#39; Bitcoin data is available on Poloniex since 2015-3-1.</span>
<span class="sd"> Dates vary for other tokens. In the example below, we choose the</span>
@@ -247,13 +380,13 @@ provided as an example for daily- and minute-resolution data respectively:</p>
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">&#39;poloniex&#39;</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s">&#39;poloniex&#39;</span><span class="p">,</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span><span class="p">,</span>
<span class="n">base_currency</span> <span class="o">=</span> <span class="s1">&#39;usdt&#39;</span><span class="p">)</span>
<span class="n">base_currency</span> <span class="o">=</span> <span class="s">&#39;usdt&#39;</span><span class="p">)</span>
</pre></div>
</div>
<p>More versatile case for minute data</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">os</span>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">os</span>
<span class="kn">import</span> <span class="nn">csv</span>
<span class="kn">import</span> <span class="nn">pytz</span>
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
@@ -263,31 +396,31 @@ provided as an example for daily- and minute-resolution data respectively:</p>
<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="c1"># Portfolio assets list</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_usdt&#39;</span><span class="p">)</span> <span class="c1"># Bitcoin on Poloniex</span>
<span class="c"># Portfolio assets list</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_usdt&#39;</span><span class="p">)</span> <span class="c"># Bitcoin on Poloniex</span>
<span class="c1"># Creates a .CSV file with the same name as this script to store results</span>
<span class="c"># Creates a .CSV file with the same name as this script to store results</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvfile</span> <span class="o">=</span> <span class="nb">open</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span>
<span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span><span class="o">+</span><span class="s1">&#39;.csv&#39;</span><span class="p">,</span> <span class="s1">&#39;w+&#39;</span><span class="p">)</span>
<span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="n">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span><span class="o">+</span><span class="s">&#39;.csv&#39;</span><span class="p">,</span> <span class="s">&#39;w+&#39;</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvwriter</span> <span class="o">=</span> <span class="n">csv</span><span class="o">.</span><span class="n">writer</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">csvfile</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="c1"># Variables to record for a given asset: price and volume</span>
<span class="c1"># Other options include &#39;open&#39;, &#39;high&#39;, &#39;open&#39;, &#39;close&#39;</span>
<span class="c1"># Please note that &#39;price&#39; equals &#39;close&#39;</span>
<span class="n">date</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">blotter</span><span class="o">.</span><span class="n">current_dt</span> <span class="c1"># current time in each iteration</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="n">volume</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;volume&#39;</span><span class="p">)</span>
<span class="c"># Variables to record for a given asset: price and volume</span>
<span class="c"># Other options include &#39;open&#39;, &#39;high&#39;, &#39;open&#39;, &#39;close&#39;</span>
<span class="c"># Please note that &#39;price&#39; equals &#39;close&#39;</span>
<span class="n">date</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">blotter</span><span class="o">.</span><span class="n">current_dt</span> <span class="c"># current time in each iteration</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="n">volume</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;volume&#39;</span><span class="p">)</span>
<span class="c1"># Writes one line to CSV on each iteration with the chosen variables</span>
<span class="c"># Writes one line to CSV on each iteration with the chosen variables</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvwriter</span><span class="o">.</span><span class="n">writerow</span><span class="p">([</span><span class="n">date</span><span class="p">,</span><span class="n">price</span><span class="p">,</span><span class="n">volume</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="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="c1"># Close open file properly at the end</span>
<span class="c"># Close open file properly at the end</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvfile</span><span class="o">.</span><span class="n">close</span><span class="p">()</span>
<span class="c1"># Bitcoin data is available from 2015-3-2. Dates vary for other tokens.</span>
<span class="c"># Bitcoin data is available from 2015-3-2. Dates vary for other tokens.</span>
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">30</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">31</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
<span class="n">results</span> <span class="o">=</span> <span class="n">run_algorithm</span><span class="p">(</span><span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
@@ -295,9 +428,9 @@ provided as an example for daily- and minute-resolution data respectively:</p>
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">&#39;poloniex&#39;</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">base_currency</span> <span class="o">=</span><span class="s1">&#39;usdt&#39;</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s">&#39;poloniex&#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">base_currency</span> <span class="o">=</span><span class="s">&#39;usdt&#39;</span><span class="p">,</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span> <span class="p">)</span>
</pre></div>
</div>
@@ -305,19 +438,15 @@ provided as an example for daily- and minute-resolution data respectively:</p>
</div>
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@@ -327,10 +456,9 @@ provided as an example for daily- and minute-resolution data respectively:</p>
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<p>
&copy; Copyright 2018, Enigma MPC, Inc..
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@@ -351,8 +479,7 @@ provided as an example for daily- and minute-resolution data respectively:</p>
VERSION:'0.4',
COLLAPSE_INDEX:false,
FILE_SUFFIX:'.html',
HAS_SOURCE: true,
SOURCELINK_SUFFIX: ''
HAS_SOURCE: true
};
</script>
<script type="text/javascript" src="_static/jquery.js"></script>