Polishing live trading components

catalyst/exchange/bitfinex.py

@@ -308,7 +308,7 @@ class Bitfinex(Exchange):
             last_traded=pd.Timestamp.utcfromtimestamp(candles[0] / 1000.0),
         )
 
-        if not field in ohlc:
+        if field not in ohlc:
             raise KeyError('Invalid column: ' + str(field))
 
         return ohlc[field]

catalyst/exchange/data_portal_exchange.py

@@ -45,7 +45,7 @@ class DataPortalExchange(DataPortal):
         # The returned dataframe contains today's value as a NaN because
         # end_dt points to the current wall clock. We drop today's
         # value to be in sync with the simulation's behavior.
-        today = pd.to_datetime('now').date()
+        today = pd.Timestamp.utcnow()
         return history_window[history_window.index.date != today]
 
     def get_spot_value(self, assets, field, dt, data_frequency):

catalyst/exchange/exchange.py

@@ -1,7 +1,7 @@
 import abc
-from collections import namedtuple
-from abc import ABCMeta, abstractmethod, abstractproperty
 import json
+from abc import ABCMeta, abstractmethod, abstractproperty
+
 import pandas as pd
 from catalyst.assets._assets import Asset
 

catalyst/exchange/exchange_clock.py

@@ -40,11 +40,11 @@ class ExchangeClock(object):
     """
 
     def __init__(self,
-                 sessions,
-                 execution_opens,
-                 execution_closes,
-                 before_trading_start_minutes,
-                 minute_emission,
+                 sessions=None,
+                 execution_opens=None,
+                 execution_closes=None,
+                 before_trading_start_minutes=None,
+                 minute_emission=False,
                  time_skew=pd.Timedelta("0s")):
         self.sessions = sessions
         self.execution_opens = execution_opens
@@ -55,21 +55,14 @@ class ExchangeClock(object):
         self._last_emit = None
         self._before_trading_start_bar_yielded = False
 
-        # It is expected to have this clock created once a day (ideally prior
-        # to BEFORE_TRADING_START_BAR event). Multiple days (sessions) are
-        # not supported.
-        assert len(self.sessions) == 1
-
     def __iter__(self):
-        yield self.sessions[0], SESSION_START
+        yield pd.Timestamp.utcnow(), SESSION_START
 
         while True:
             current_time = pd.Timestamp.utcnow()
-            server_time = (current_time + self.time_skew).floor('1 min')
+            server_time = current_time.floor('1 min')
 
-            if (self._last_emit is None or
-                            server_time - self._last_emit >=
-                        pd.Timedelta('1 minute')):
+            if self._last_emit is None or server_time > self._last_emit:
 
                 self._last_emit = server_time
                 yield server_time, BAR

tests/exchange/test_bitfinex.py

@@ -44,7 +44,7 @@ class BitfinexTestCase(BaseExchangeTestCase):
             asset=bitfinex.get_asset('eth_usd'),
             style=LimitOrder(limit_price=200),
             limit_price=200,
-            amount=1,
+            amount=0.5,
             stop_price=None
         )
         log.info('order created {}'.format(order_id))
@@ -53,7 +53,7 @@ class BitfinexTestCase(BaseExchangeTestCase):
     def test_get_order(self):
         log.info('querying orders from bitfinex')
         bitfinex = Bitfinex()
-        response = bitfinex.get_order(order_id=3330866978)
+        response = bitfinex.get_order(order_id=3361248395)
         log.info('the order: {}'.format(response))
         pass
 

tests/exchange/test_clock.py

@@ -0,0 +1,45 @@
+from unittest import TestCase
+from logbook import Logger
+from mock import patch, sentinel
+from catalyst.exchange.exchange_clock import ExchangeClock
+from catalyst.utils.calendars.trading_calendar import days_at_time
+from datetime import time
+from collections import defaultdict
+from catalyst.utils.calendars import get_calendar
+import pandas as pd
+
+log = Logger('BitfinexTestCase')
+
+
+class BitfinexTestCase(TestCase):
+    def setUp(self):
+        self.internal_clock = None
+        self.events = defaultdict(list)
+
+    def advance_clock(self, x):
+        """Mock function for sleep. Advances the internal clock by 1 min"""
+        # The internal clock advance time must be 1 minute to match
+        # MinutesSimulationClock's update frequency
+        self.internal_clock += pd.Timedelta('1 min')
+
+    def get_clock(self, arg, *args, **kwargs):
+        """Mock function for pandas.to_datetime which is used to query the
+        current time in RealtimeClock"""
+        assert arg == "now"
+        return self.internal_clock
+
+    def test_clock(self):
+        with patch('catalyst.exchange.exchange_clock.pd.to_datetime') as to_dt, \
+                patch('catalyst.exchange.exchange_clock.sleep') as sleep:
+            clock = ExchangeClock()
+            to_dt.side_effect = self.get_clock
+            sleep.side_effect = self.advance_clock
+            start_time = pd.Timestamp.utcnow()
+            self.internal_clock = start_time
+
+            log.info('listing events')
+            events = list(clock)
+
+            # Event 0 is SESSION_START which always happens at 00:00.
+            ts, event_type = events[1]
+        pass