BLD: populating assets with help from CCXT

catalyst/assets/_assets.pyx

@@ -401,6 +401,10 @@ cdef class TradingPair(Asset):
     cdef readonly object end_daily
     cdef readonly object end_minute
     cdef readonly object exchange_symbol
+    cdef readonly float maker
+    cdef readonly float taker
+    cdef readonly int trading_state
+    cdef readonly object data_source
 
     _kwargnames = frozenset({
         'sid',
@@ -418,7 +422,11 @@ cdef class TradingPair(Asset):
         'end_daily',
         'end_minute',
         'exchange_symbol',
-        'min_trade_size'
+        'min_trade_size',
+        'maker',
+        'taker',
+        'trading_state',
+        'data_source'
     })
     def __init__(self,
                  object symbol,
@@ -434,10 +442,14 @@ cdef class TradingPair(Asset):
                  object first_traded=None,
                  object auto_close_date=None,
                  object exchange_full=None,
-                 object min_trade_size=None):
+                 float min_trade_size=0.000001,
+                 float maker=0.0015,
+                 float taker=0.0025,
+                 int trading_state=0,
+                 object data_source='catalyst'):
         """
         Replicates the Asset constructor with some built-in conventions
-        and a new 'leverage' attribute.
+        and adds properties for leverage and fees.
 
         Symbol
         ------
@@ -469,8 +481,6 @@ cdef class TradingPair(Asset):
         highest volume and market cap generally benefit from high leverage.
         New currencies from ICO generally cannot be leveraged.
 
-        The leverage value is either None or and integer.
-
         Leverage allows you to open a larger position with a smaller amount
         of funds. For example, if you open a $5,000 position in BTC/USD
         with 5:1 leverage, only one-fifth of this amount, or $1000, will be
@@ -480,6 +490,11 @@ cdef class TradingPair(Asset):
         the position. If you open with 1:1 leverage, $5,000 of your balance
         will be tied to the position.
 
+        Fees
+        ----
+        Exchanges generally charge a taker (taking from the order book) or
+        maker (adding to the order book) fee.
+
         :param symbol:
         :param exchange:
         :param start_date:
@@ -494,6 +509,9 @@ cdef class TradingPair(Asset):
         :param auto_close_date:
         :param exchange_full:
         :param min_trade_size:
+        :param maker:
+        :param taker:
+        :param data_source
         """
 
         symbol = symbol.lower()
@@ -527,13 +545,17 @@ cdef class TradingPair(Asset):
             first_traded=first_traded,
             auto_close_date=auto_close_date,
             exchange_full=exchange_full,
-            min_trade_size=min_trade_size
+            min_trade_size=min_trade_size,
         )
 
+        self.maker = maker
+        self.taker = taker
         self.leverage = leverage
         self.end_daily = end_daily
         self.end_minute = end_minute
         self.exchange_symbol = exchange_symbol
+        self.trading_state = trading_state
+        self.data_source = data_source
 
     def __repr__(self):
         return 'Trading Pair {symbol}({sid}) Exchange: {exchange}, ' \
@@ -579,7 +601,7 @@ cdef class TradingPair(Asset):
         boolean: whether the asset's exchange is open at the given minute.
         """
         #TODO: consider implementing to spot holds
-        return True
+        return self.trading_state > 0
 
     cpdef __reduce__(self):
         """

catalyst/examples/mean_reversion_simple.py

@@ -36,8 +36,8 @@ def initialize(context):
     context.base_price = None
     context.current_day = None
 
-    context.RSI_OVERSOLD = 50
-    context.RSI_OVERBOUGHT = 80
+    context.RSI_OVERSOLD = 25
+    context.RSI_OVERBOUGHT = 82
     context.CANDLE_SIZE = '5T'
 
     context.start_time = time.time()
@@ -247,14 +247,14 @@ if __name__ == '__main__':
         out = os.path.join(folder, '{}.p'.format(timestr))
         # catalyst run -f catalyst/examples/mean_reversion_simple.py -x poloniex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion --data-frequency minute --capital-base 10000
         run_algorithm(
-            capital_base=10000,
+            capital_base=0.5,
             data_frequency='minute',
             initialize=initialize,
             handle_data=handle_data,
             analyze=analyze,
             exchange_name='bitfinex',
             algo_namespace=NAMESPACE,
-            base_currency='usd',
+            base_currency='eth',
             start=pd.to_datetime('2017-10-01', utc=True),
             end=pd.to_datetime('2017-11-10', utc=True),
             output=out

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -3,12 +3,15 @@ from collections import defaultdict
 
 import ccxt
 import pandas as pd
+from catalyst.assets._assets import TradingPair
 from logbook import Logger
 
 from catalyst.constants import LOG_LEVEL
 from catalyst.exchange.exchange import Exchange
 from catalyst.exchange.exchange_bundle import ExchangeBundle
-from catalyst.exchange.exchange_errors import InvalidHistoryFrequencyError
+from catalyst.exchange.exchange_errors import InvalidHistoryFrequencyError, \
+    ExchangeSymbolsNotFound
+from catalyst.exchange.exchange_utils import mixin_market_params
 
 log = Logger('CCXT', level=LOG_LEVEL)
 
@@ -96,6 +99,57 @@ class CCXT(Exchange):
             ))
         return candles
 
+    def load_assets(self, is_local=False):
+        markets = self.api.fetch_markets()
+        try:
+            symbol_map = self.fetch_symbol_map(is_local)
+        except ExchangeSymbolsNotFound:
+            return None
+
+        data_source = 'local' if is_local else 'catalyst'
+        for market in markets:
+            asset = symbol_map[market['id']] \
+                if market['id'] in markets else None
+
+            params = dict(exchange=self.name, data_source=data_source)
+            mixin_market_params(params, market)
+
+            if asset:
+                params['symbol'] = asset['symbol']
+
+                params['start_date'] = pd.to_datetime(
+                    asset['start_date'], utc=True
+                ) if 'start_date' in asset else None
+
+                params['end_date'] = pd.to_datetime(
+                    asset['end_date'], utc=True
+                ) if 'end_date' in asset else None
+
+                params['leverage'] = asset['leverage'] \
+                    if 'leverage' in asset else 1.0
+
+                params['asset_name'] = asset['asset_name'] \
+                    if 'asset_name' in asset else None
+
+                params['end_daily'] = pd.to_datetime(
+                    asset['end_daily'], utc=True
+                ) if 'end_daily' in asset and asset['end_daily'] != 'N/A' \
+                    else None
+
+                params['end_minute'] = pd.to_datetime(
+                    asset['end_minute'], utc=True
+                ) if 'end_minute' in asset and asset['end_minute'] != 'N/A' \
+                    else None
+
+            else:
+                params['symbol'] = market['id']
+
+            trading_pair = TradingPair(**params)
+            if is_local:
+                self.local_assets[market['id']] = trading_pair
+            else:
+                self.assets[market['id']] = trading_pair
+
     def get_balances(self):
         return None
 

catalyst/exchange/exchange_utils.py

@@ -571,3 +571,22 @@ def resample_history_df(df, freq, field):
 
     resampled_df = df.resample(freq).agg(agg)
     return resampled_df
+
+
+def mixin_market_params(params, market):
+    """
+    Applies a CCXT market dict to parameters of TradingPair init.
+
+    Parameters
+    ----------
+    params: dict[Object]
+    market: dict[Object]
+
+    Returns
+    -------
+
+    """
+    params['min_trade_size'] = market['lot']
+    params['maker'] = market['maker']
+    params['taker'] = market['taker']
+    params['trading_state'] = 1 if int(market['info']['isFrozen']) == 0 else 0

tests/exchange/test_ccxt.py

@@ -99,3 +99,6 @@ class TestCCXT(BaseExchangeTestCase):
         asset = self.exchange.get_asset('eth_btc')
         orderbook = self.exchange.get_orderbook(asset)
         pass
+
+    def test_get_fees(self):
+        pass