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BLD: working on bundle unit tests

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This commit is contained in:
Frederic Fortier
2017-12-20 15:03:42 -05:00
parent 5d8d14640c
commit 55262eeb46
9 changed files with 258 additions and 209 deletions
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catalyst/exchange/ccxt/ccxt_exchange.py
+18 -6
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@@ -112,6 +112,11 @@ class CCXT(Exchange):
@staticmethod
def find_exchanges(features=None, is_authenticated=False):
ccxt_features = []
for feature in features:
if not feature.endswith('Bundle'):
ccxt_features.append(feature)
exchange_names = []
for exchange_name in ccxt.exchanges:
if is_authenticated:
@@ -126,13 +131,13 @@ class CCXT(Exchange):
log.debug('loading exchange: {}'.format(exchange_name))
exchange = getattr(ccxt, exchange_name)()
if features is None:
if ccxt_features is None:
has_feature = True
else:
try:
has_feature = all(
[exchange.has[feature] for feature in features]
[exchange.has[feature] for feature in ccxt_features]
)
except Exception:
@@ -158,13 +163,20 @@ class CCXT(Exchange):
def time_skew(self):
return None
def get_candle_frequencies(self):
def get_candle_frequencies(self, data_frequency=None):
frequencies = []
try:
for timeframe in self.api.timeframes:
frequencies.append(
CCXT.get_frequency(timeframe, raise_error=False)
)
freq = CCXT.get_frequency(timeframe, raise_error=False)
# TODO: support all frequencies
if data_frequency == 'minute' and not freq.endswith('T'):
continue
elif data_frequency == 'daily' and not freq.endswith('D'):
continue
frequencies.append(freq)
except Exception as e:
log.warn(
catalyst/exchange/exchange.py
+4 -1
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@@ -18,7 +18,7 @@ from catalyst.exchange.exchange_errors import MismatchingBaseCurrencies, \
PricingDataNotLoadedError, \
NoDataAvailableOnExchange, NoValueForField, LastCandleTooEarlyError
from catalyst.exchange.exchange_utils import get_exchange_symbols, \
get_frequency, resample_history_df
get_frequency, resample_history_df, has_bundle
log = Logger('Exchange', level=LOG_LEVEL)
@@ -47,6 +47,9 @@ class Exchange:
def time_skew(self):
pass
def has_bundle(self, data_frequency):
return has_bundle(self.name, data_frequency)
def is_open(self, dt):
"""
Is the exchange open
catalyst/exchange/exchange_blotter.py
+1 -2
View File
@@ -9,7 +9,7 @@ from catalyst.exchange.exchange_errors import ExchangeRequestError, \
ExchangePortfolioDataError, ExchangeTransactionError
from catalyst.finance.blotter import Blotter
from catalyst.finance.commission import CommissionModel
from catalyst.finance.order import ORDER_STATUS, Order
from catalyst.finance.order import ORDER_STATUS
from catalyst.finance.slippage import SlippageModel
from catalyst.finance.transaction import create_transaction, Transaction
from catalyst.utils.input_validation import expect_types
@@ -67,7 +67,6 @@ class TradingPairFeeSchedule(CommissionModel):
or (order.amount < 0 and order.limit > transaction.price)) \
and order.limit_reached else taker
# Assuming just the taker fee for now
fee = cost * multiplier
return fee
catalyst/exchange/exchange_utils.py
+10 -1
View File
@@ -140,7 +140,7 @@ def get_exchange_symbols(exchange_name, is_local=False, environ=None):
filename = get_exchange_symbols_filename(exchange_name, is_local)
if not is_local and (not os.path.isfile(filename) or pd.Timedelta(
pd.Timestamp('now', tz='UTC') - last_modified_time(
pd.Timestamp('now', tz='UTC') - last_modified_time(
filename)).days > 1):
download_exchange_symbols(exchange_name, environ)
@@ -435,6 +435,15 @@ def get_exchange_bundles_folder(exchange_name, environ=None):
return temp_bundles
def has_bundle(exchange_name, data_frequency, environ=None):
exchange_folder = get_exchange_folder(exchange_name, environ)
folder_name = '{}_bundle'.format(data_frequency.lower())
folder = os.path.join(exchange_folder, folder_name)
return os.path.isdir(folder)
def symbols_serial(obj):
"""
JSON serializer for objects not serializable by default json code
catalyst/exchange/factory.py
+14 -2
View File
@@ -1,11 +1,10 @@
import os
import ccxt
from logbook import Logger
from catalyst.constants import LOG_LEVEL
from catalyst.exchange.exchange import Exchange
from catalyst.exchange.ccxt.ccxt_exchange import CCXT
from catalyst.exchange.exchange import Exchange
from catalyst.exchange.exchange_errors import ExchangeAuthEmpty
from catalyst.exchange.exchange_utils import get_exchange_auth, \
get_exchange_folder, is_blacklist
@@ -57,6 +56,10 @@ def find_exchanges(features=None, skip_blacklist=True, is_authenticated=False,
features: str
The list of features.
skip_blacklist: bool
is_authenticated: bool
base_currency: bool
Returns
-------
list[Exchange]
@@ -74,6 +77,15 @@ def find_exchanges(features=None, skip_blacklist=True, is_authenticated=False,
skip_init=True,
base_currency=base_currency,
)
if 'dailyBundle' in features \
and not exchange.has_bundle('daily'):
continue
elif 'minuteBundle' in features \
and not exchange.has_bundle('minute'):
continue
exchanges.append(exchange)
return exchanges
catalyst/exchange/test_utils.py
+83
View File
@@ -0,0 +1,83 @@
import os
import random
import tempfile
from catalyst.assets._assets import TradingPair
from catalyst.exchange.exchange_utils import get_exchange_folder
from catalyst.exchange.factory import find_exchanges
from catalyst.utils.paths import ensure_directory
def handle_exchange_error(exchange, e):
try:
message = '{}: {}'.format(
e.__class__, e.message.decode('ascii', 'ignore')
)
except Exception:
message = 'unexpected error'
folder = get_exchange_folder(exchange.name)
filename = os.path.join(folder, 'blacklist.txt')
with open(filename, 'wt') as handle:
handle.write(message)
def select_random_exchanges(population=3, features=None,
is_authenticated=False, base_currency=None):
all_exchanges = find_exchanges(
features=features,
is_authenticated=is_authenticated,
base_currency=base_currency,
)
if population is not None:
if len(all_exchanges) < population:
population = len(all_exchanges)
exchanges = random.sample(all_exchanges, population)
else:
exchanges = all_exchanges
return exchanges
def select_random_assets(all_assets, population=3):
assets = random.sample(all_assets, population)
return assets
def output_df(df, assets, name=None):
"""
Outputs a price DataFrame to a temp folder.
Parameters
----------
df: pd.DataFrame
assets
name
Returns
-------
"""
if isinstance(assets, TradingPair):
exchange_folder = assets.exchange
asset_folder = assets.symbol
else:
exchange_folder = ','.join([asset.exchange for asset in assets])
asset_folder = ','.join([asset.symbol for asset in assets])
folder = os.path.join(
tempfile.gettempdir(), 'catalyst', exchange_folder, asset_folder
)
ensure_directory(folder)
if name is None:
name = 'output'
path = os.path.join(folder, '{}.csv'.format(name))
df.to_csv(path)
return path
catalyst/exchange/validator.py
-142
View File
@@ -1,142 +0,0 @@
import os
import tempfile
import pandas as pd
import six
from catalyst.assets._assets import TradingPair, get_calendar
from logbook import Logger
from pandas.util.testing import assert_frame_equal
from catalyst.constants import LOG_LEVEL
from catalyst.exchange.asset_finder_exchange import AssetFinderExchange
from catalyst.exchange.exchange_data_portal import DataPortalExchangeBacktest
from catalyst.exchange.factory import get_exchanges
from catalyst.utils.paths import ensure_directory
log = Logger('Validator', level=LOG_LEVEL)
def output_df(df, assets, name=None):
"""
Outputs a price DataFrame to a temp folder.
Parameters
----------
df: pd.DataFrame
assets
name
Returns
-------
"""
if isinstance(assets, TradingPair):
exchange_folder = assets.exchange
asset_folder = assets.symbol
else:
exchange_folder = ','.join([asset.exchange for asset in assets])
asset_folder = ','.join([asset.symbol for asset in assets])
folder = os.path.join(
tempfile.gettempdir(), 'catalyst', exchange_folder, asset_folder
)
ensure_directory(folder)
if name is None:
name = 'output'
path = os.path.join(folder, '{}.csv'.format(name))
df.to_csv(path)
return path
class Validator(object):
def __init__(self, data_portal):
self.data_portal = data_portal
def compare_bundle_with_exchange(self, exchange, assets, end_dt, bar_count,
sample_minutes):
"""
Creates DataFrames from the bundle and exchange for the specified
data set.
Parameters
----------
exchange: Exchange
assets
end_dt
bar_count
sample_minutes
Returns
-------
"""
freq = '{}T'.format(sample_minutes)
log.info('creating data sample from bundle')
df1 = self.data_portal.get_history_window(
assets=assets,
end_dt=end_dt,
bar_count=bar_count,
frequency=freq,
field='close',
data_frequency='minute'
)
path = output_df(df1, assets, '{}_resampled'.format(freq))
log.info('saved resampled bundle candles: {}\n{}'.format(
path, df1.tail(10))
)
log.info('creating data sample from exchange api')
candles = exchange.get_candles(
end_dt=end_dt,
freq='{}T'.format(sample_minutes),
assets=assets,
bar_count=bar_count
)
series = dict()
for asset in assets:
series[asset] = pd.Series(
data=[candle['close'] for candle in candles[asset]],
index=[candle['last_traded'] for candle in candles[asset]]
)
df2 = pd.DataFrame(series)
path = output_df(df2, assets, '{}_api'.format(freq))
log.info('saved exchange api candles: {}\n{}'.format(
path, df2.tail(10))
)
try:
assert_frame_equal(df1, df2)
return True
except:
log.warn('differences found in dataframes')
return False
if __name__ == '__main__':
exchanges = get_exchanges(['poloniex'])
exchange = six.next(six.itervalues(exchanges))
assets = exchange.get_assets(symbols=['eth_btc'])
open_calendar = get_calendar('OPEN')
asset_finder = AssetFinderExchange()
data_portal = DataPortalExchangeBacktest(
exchanges=exchanges,
asset_finder=asset_finder,
trading_calendar=open_calendar,
first_trading_day=None # will set dynamically based on assets
)
validator = Validator(data_portal=data_portal)
validator.compare_bundle_with_exchange(
exchange=exchange,
assets=assets,
end_dt=pd.to_datetime('2017-11-10 1:00', utc=True),
bar_count=200,
sample_minutes=30
)
tests/exchange/test_suite_bundle.py
+126
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@@ -0,0 +1,126 @@
import random
from logbook import Logger
from pandas.util.testing import assert_frame_equal
import pandas as pd
from catalyst import get_calendar
from catalyst.exchange.asset_finder_exchange import AssetFinderExchange
from catalyst.exchange.exchange_data_portal import DataPortalExchangeBacktest
from catalyst.exchange.test_utils import select_random_exchanges, output_df, \
select_random_assets
log = Logger('TestSuiteExchange')
class TestSuiteBundle:
@staticmethod
def get_data_portal(exchange_names):
open_calendar = get_calendar('OPEN')
asset_finder = AssetFinderExchange()
data_portal = DataPortalExchangeBacktest(
exchange_names=exchange_names,
asset_finder=asset_finder,
trading_calendar=open_calendar,
first_trading_day=None # will set dynamically based on assets
)
return data_portal
def compare_bundle_with_exchange(self, exchange, assets, end_dt, bar_count,
freq, data_portal):
"""
Creates DataFrames from the bundle and exchange for the specified
data set.
Parameters
----------
exchange: Exchange
assets
end_dt
bar_count
sample_minutes
Returns
-------
"""
log.info('creating data sample from bundle')
df1 = data_portal.get_history_window(
assets=assets,
end_dt=end_dt,
bar_count=bar_count,
frequency=freq,
field='close',
data_frequency='minute'
)
path = output_df(df1, assets, '{}_resampled'.format(freq))
log.info('saved resampled bundle candles: {}\n{}'.format(
path, df1.tail(10))
)
log.info('creating data sample from exchange api')
candles = exchange.get_candles(
end_dt=end_dt,
freq=freq,
assets=assets,
bar_count=bar_count
)
series = dict()
for asset in assets:
series[asset] = pd.Series(
data=[candle['close'] for candle in candles[asset]],
index=[candle['last_traded'] for candle in candles[asset]]
)
df2 = pd.DataFrame(series)
path = output_df(df2, assets, '{}_api'.format(freq))
log.info('saved exchange api candles: {}\n{}'.format(
path, df2.tail(10))
)
try:
assert_frame_equal(df1, df2)
return True
except:
log.warn('differences found in dataframes')
return False
def test_validate_bundles(self):
exchange_population = 3
asset_population = 3
data_frequency = random.choice(['minute', 'daily'])
bundle = 'dailyBundle' if data_frequency == 'daily' else 'minuteBundle'
exchanges = select_random_exchanges(
population=exchange_population,
features=[bundle],
) # Type: list[Exchange]
data_portal = TestSuiteBundle.get_data_portal(
[exchange.name for exchange in exchanges]
)
for exchange in exchanges:
exchange.init()
frequencies = exchange.get_candle_frequencies(data_frequency)
freq = random.sample(frequencies, 1)[0]
bar_count = random.randint(1, 10)
end_dt = pd.Timestamp.utcnow().floor('1T')
dt_range = pd.date_range(
end=end_dt, periods=bar_count, freq=freq
)
assets = select_random_assets(
exchange.assets, asset_population
)
self.compare_bundle_with_exchange(
exchange=exchange,
assets=assets,
end_dt=dt_range[-1],
bar_count=bar_count,
freq=freq,
data_portal=data_portal,
)
tests/exchange/test_suite_exchange.py
+2 -55
View File
@@ -5,69 +5,16 @@ from logging import Logger
from time import sleep
import pandas as pd
from ccxt import AuthenticationError
from catalyst.exchange.exchange_errors import ExchangeRequestError
from catalyst.exchange.exchange_execution import ExchangeLimitOrder
from catalyst.exchange.exchange_utils import get_exchange_folder
from catalyst.exchange.factory import find_exchanges
from catalyst.exchange.test_utils import select_random_exchanges, \
handle_exchange_error, select_random_assets
log = Logger('TestSuiteExchange')
def handle_exchange_error(exchange, e):
is_blacklist = False
if isinstance(e, AuthenticationError):
is_blacklist = True
elif isinstance(e, ValueError) or isinstance(e, ExchangeRequestError):
is_blacklist = True
else:
log.warn('unexpected error: {}'.format(e))
is_blacklist = True
if is_blacklist:
try:
message = '{}: {}'.format(
e.__class__, e.message.decode('ascii', 'ignore')
)
except Exception:
message = 'unexpected error'
folder = get_exchange_folder(exchange.name)
filename = os.path.join(folder, 'blacklist.txt')
with open(filename, 'wt') as handle:
handle.write(message)
def select_random_exchanges(population=3, features=None,
is_authenticated=False, base_currency=None):
all_exchanges = find_exchanges(
features=features,
is_authenticated=is_authenticated,
base_currency=base_currency,
)
if population is not None:
if len(all_exchanges) < population:
population = len(all_exchanges)
exchanges = random.sample(all_exchanges, population)
else:
exchanges = all_exchanges
return exchanges
def select_random_assets(all_assets, population=3):
assets = random.sample(all_assets, population)
return assets
# TODO: convert to Nosetest
class TestSuiteExchange:
def _test_markets_exchange(self, exchange, attempts=0):
assets = None