BLD: paper trading adjustments

catalyst/examples/simple_loop.py

@@ -107,25 +107,25 @@ def analyze(context, perf):
     pass
 
 
-# run_algorithm(
-#     capital_base=250,
-#     start=pd.to_datetime('2017-11-1 0:00', utc=True),
-#     end=pd.to_datetime('2017-11-10 23:59', utc=True),
-#     data_frequency='daily',
-#     initialize=initialize,
-#     handle_data=handle_data,
-#     analyze=analyze,
-#     exchange_name='bitfinex',
-#     algo_namespace='simple_loop',
-#     base_currency='usd'
-# )
 run_algorithm(
+    capital_base=250,
+    start=pd.to_datetime('2017-11-1 0:00', utc=True),
+    end=pd.to_datetime('2017-11-10 23:59', utc=True),
+    data_frequency='daily',
     initialize=initialize,
     handle_data=handle_data,
-    analyze=None,
-    exchange_name='binance',
-    live=True,
+    analyze=analyze,
+    exchange_name='bitfinex',
     algo_namespace='simple_loop',
-    base_currency='eth',
-    live_graph=False,
+    base_currency='usd'
 )
+# run_algorithm(
+#     initialize=initialize,
+#     handle_data=handle_data,
+#     analyze=None,
+#     exchange_name='binance',
+#     live=True,
+#     algo_namespace='simple_loop',
+#     base_currency='eth',
+#     live_graph=False,
+# )

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -28,6 +28,8 @@ SUPPORTED_EXCHANGES = dict(
     bitfinex=ccxt.bitfinex,
     bittrex=ccxt.bittrex,
     poloniex=ccxt.poloniex,
+    bitmex=ccxt.bitmex,
+    gdax=ccxt.gdax,
 )
 
 
@@ -88,12 +90,15 @@ class CCXT(Exchange):
         return '{}/{}'.format(parts[0].upper(), parts[1].upper())
 
     def get_catalyst_symbol(self, market_or_symbol):
-        symbol = market_or_symbol if isinstance(
-            market_or_symbol, string_types
-        ) else market_or_symbol['symbol']
+        if isinstance(market_or_symbol, string_types):
+            parts = market_or_symbol.split('/')
+            return '{}_{}'.format(parts[0].lower(), parts[1].lower())
 
-        parts = symbol.split('/')
-        return '{}_{}'.format(parts[0].lower(), parts[1].lower())
+        else:
+            return '{}_{}'.format(
+                market_or_symbol['base'].lower(),
+                market_or_symbol['quote'].lower(),
+            )
 
     def get_timeframe(self, freq):
         freq_match = re.match(r'([0-9].*)?(m|M|d|D|h|H|T)', freq, re.M | re.I)

catalyst/exchange/exchange_algorithm.py

@@ -289,6 +289,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
     def __init__(self, *args, **kwargs):
         self.algo_namespace = kwargs.pop('algo_namespace', None)
         self.live_graph = kwargs.pop('live_graph', None)
+        self.simulate_orders = kwargs.pop('simulate_orders', None)
 
         self._clock = None
         self.frame_stats = deque(maxlen=60)

catalyst/exchange/exchange_utils.py

@@ -594,12 +594,15 @@ def mixin_market_params(exchange_name, params, market):
         params['maker'] = 0.001
         params['taker'] = 0.002
 
-    else:
-        if 'maker' in market:
-            params['maker'] = market['maker']
+    elif 'maker' in market and 'taker' in market \
+            and market['maker'] is not None and market['taker'] is not None:
+        params['maker'] = market['maker']
+        params['taker'] = market['taker']
 
-        if 'taker' in market:
-            params['taker'] = market['taker']
+    else:
+        # TODO: default commission, make configurable
+        params['maker'] = 0.0015
+        params['taker'] = 0.0025
 
     info = market['info'] if 'info' in market else None
     if info:

catalyst/utils/run_algo.py

@@ -11,10 +11,7 @@ import pandas as pd
 
 from catalyst.data.bundles import load
 from catalyst.data.data_portal import DataPortal
-from catalyst.exchange.bittrex.bittrex import Bittrex
-from catalyst.exchange.bitfinex.bitfinex import Bitfinex
 from catalyst.exchange.factory import get_exchange
-from catalyst.exchange.poloniex.poloniex import Poloniex
 
 try:
     from pygments import highlight
@@ -40,11 +37,9 @@ from catalyst.exchange.exchange_data_portal import DataPortalExchangeLive, \
 from catalyst.exchange.asset_finder_exchange import AssetFinderExchange
 from catalyst.exchange.exchange_portfolio import ExchangePortfolio
 from catalyst.exchange.exchange_errors import (
-    ExchangeRequestError, ExchangeAuthEmpty,
-    ExchangeRequestErrorTooManyAttempts,
-    BaseCurrencyNotFoundError, ExchangeNotFoundError)
-from catalyst.exchange.exchange_utils import get_exchange_auth, \
-    get_algo_object, get_exchange_folder
+    ExchangeRequestError, ExchangeRequestErrorTooManyAttempts,
+    BaseCurrencyNotFoundError)
+from catalyst.exchange.exchange_utils import get_algo_object
 from logbook import Logger
 
 from catalyst.constants import LOG_LEVEL
@@ -95,7 +90,8 @@ def _run(handle_data,
          exchange,
          algo_namespace,
          base_currency,
-         live_graph):
+         live_graph,
+         simulate_orders):
     """Run a backtest for the given algorithm.
 
     This is shared between the cli and :func:`catalyst.run_algo`.
@@ -282,7 +278,8 @@ def _run(handle_data,
             ExchangeTradingAlgorithmLive,
             exchanges=exchanges,
             algo_namespace=algo_namespace,
-            live_graph=live_graph
+            live_graph=live_graph,
+            simulate_orders=simulate_orders
         )
     elif exchanges:
         # Removed the existing Poloniex fork to keep things simple
@@ -444,6 +441,7 @@ def run_algorithm(initialize,
                   base_currency=None,
                   algo_namespace=None,
                   live_graph=False,
+                  simulate_orders=True,
                   output=os.devnull):
     """Run a trading algorithm.
 
@@ -565,5 +563,6 @@ def run_algorithm(initialize,
         exchange=exchange_name,
         algo_namespace=algo_namespace,
         base_currency=base_currency,
-        live_graph=live_graph
+        live_graph=live_graph,
+        simulate_orders=simulate_orders
     )

tests/exchange/test_ccxt.py

@@ -15,7 +15,7 @@ log = Logger('test_ccxt')
 class TestCCXT(BaseExchangeTestCase):
     @classmethod
     def setup(self):
-        exchange_name = 'binance'
+        exchange_name = 'gdax'
         auth = get_exchange_auth(exchange_name)
         self.exchange = CCXT(
             exchange_name=exchange_name,
@@ -64,25 +64,17 @@ class TestCCXT(BaseExchangeTestCase):
             start_dt=pd.to_datetime('2017-01-01', utc=True)
         )
 
-        df = pd.DataFrame(candles)
-        df.set_index('last_traded', drop=True, inplace=True)
-
-        folder = os.path.join(
-            tempfile.gettempdir(), 'catalyst', self.exchange.name, 'eth_btc'
-        )
-        ensure_directory(folder)
-
-        path = os.path.join(folder, 'output.csv')
-        df.to_csv(path)
+        for asset in candles:
+            df = pd.DataFrame(candles[asset])
+            df.set_index('last_traded', drop=True, inplace=True)
         pass
 
     def test_tickers(self):
         log.info('retrieving tickers')
         tickers = self.exchange.tickers([
             self.exchange.get_asset('eth_btc'),
-            self.exchange.get_asset('etc_btc')
         ])
-        assert len(tickers) == 2
+        assert len(tickers) == 1
         pass
 
     def test_get_balances(self):