Documentation and cleanup from meeting with Victor

catalyst/data/bundles/poloniex.py

@@ -90,6 +90,8 @@ class PoloniexBundle(BaseCryptoPricingBundle):
                                start_date,
                                end_date,
                                frequency):
+        # TODO: replace this with direct exchange call
+        # The end date and frequency should be used to calculate the number of bars
         raw = pd.read_json(
             self._format_data_url(
                 api_key,
@@ -153,6 +155,7 @@ class PoloniexBundle(BaseCryptoPricingBundle):
         return self._format_polo_query(query_params)
     
     def _format_polo_query(self, query_params):
+        # TODO: got against the exchange object
         return 'https://poloniex.com/public?{query}'.format(
             query=urlencode(query_params),
         )

catalyst/examples/arbitrage_with_interface.py

@@ -30,7 +30,7 @@ def initialize(context):
     # the exchange information. This allow all other operations using
     # the TradingPair to target the correct exchange.
     context.trading_pairs[context.buying_exchange] = \
-        symbol(context.trading_pair_symbol, context.buying_exchange.name)
+        symbol('neo_eth', context.buying_exchange.name)
 
     context.trading_pairs[context.selling_exchange] = \
         symbol(context.trading_pair_symbol, context.selling_exchange.name)

catalyst/examples/buy_low_sell_high.py

@@ -38,6 +38,8 @@ def initialize(context):
     context.retry_update_portfolio = 10
     context.retry_order = 5
 
+    context.swallow_errors = True
+
     context.errors = []
     pass
 
@@ -49,6 +51,7 @@ def _handle_data(context, data):
         bar_count=20,
         frequency='15m'
     )
+
     rsi = talib.RSI(prices.values, timeperiod=14)[-1]
     log.info('got rsi: {}'.format(rsi))
 
@@ -135,11 +138,11 @@ def _handle_data(context, data):
 
 def handle_data(context, data):
     log.info('handling bar {}'.format(data.current_dt))
-    # try:
-    _handle_data(context, data)
-    # except Exception as e:
-    #     log.warn('aborting the bar on error {}'.format(e))
-    #     context.errors.append(e)
+    try:
+        _handle_data(context, data)
+    except Exception as e:
+        log.warn('aborting the bar on error {}'.format(e))
+        context.errors.append(e)
 
     log.info('completed bar {}, total execution errors {}'.format(
         data.current_dt,

catalyst/exchange/algorithm_exchange.py

@@ -544,6 +544,7 @@ class ExchangeTradingAlgorithm(TradingAlgorithm):
         :param amount:
         :return:
         """
+        # TODO: is this good enough? Victor has a better solution.
         return amount
 
     @api_method

catalyst/exchange/bitfinex/bitfinex.py

@@ -224,7 +224,8 @@ class Bitfinex(Exchange):
         # TODO: fetch account data and keep in cache
         return None
 
-    def get_candles(self, data_frequency, assets, bar_count=None):
+    def get_candles(self, data_frequency, assets, bar_count=None,
+                    start_date=None):
         """
         Retrieve OHLVC candles from Bitfinex
 
@@ -239,7 +240,6 @@ class Bitfinex(Exchange):
          '1M'
         """
 
-        # TODO: use BcolzMinuteBarReader to read from cache
         freq_match = re.match(r'([0-9].*)(m|h|d)', data_frequency, re.M | re.I)
         if freq_match:
             number = int(freq_match.group(1))

catalyst/exchange/bitfinex/symbols.json

@@ -1,7 +1,8 @@
 {
   "neobtc": {
     "symbol": "neo_btc",
-    "start_date": "2017-09-07"
+    "start_date": "2017-09-07",
+    "precision":5
   },
   "neousd": {
     "symbol": "neo_usd",

catalyst/exchange/bittrex/bittrex.py

@@ -208,7 +208,7 @@ class Bittrex(Exchange):
                 error=status['message']
             )
 
-    def get_candles(self, data_frequency, assets, bar_count=None):
+    def get_candles(self, data_frequency, assets, bar_count=None, start_date=None):
         """
         Supported Intervals
         -------------------

catalyst/exchange/data_portal_exchange.py

@@ -70,6 +70,7 @@ class DataPortalExchange(DataPortal):
 
                     df_list.append(df)
 
+                # Merging the values values of each exchange
                 return pd.concat(df_list)
 
             else:

catalyst/exchange/exchange.py

@@ -323,6 +323,7 @@ class Exchange:
                 )
 
                 try:
+                    #TODO: use victor's modified branch using int64
                     self.minute_writer.write_sid(
                         sid=asset.sid,
                         df=df
@@ -592,7 +593,8 @@ class Exchange:
         pass
 
     @abstractmethod
-    def get_candles(self, data_frequency, assets, bar_count=None):
+    def get_candles(self, data_frequency, assets, bar_count=None,
+                    start_date=None):
         """
         Retrieve OHLCV candles for the given assets
 
@@ -601,6 +603,7 @@ class Exchange:
         :param end_dt:
         :param bar_count:
         :param limit:
+        :param start_date:
         :return:
         """
         pass

catalyst/exchange/live_graph_clock.py

@@ -27,8 +27,6 @@ from catalyst.exchange.exchange_errors import \
 
 log = Logger('LiveGraphClock')
 
-style.use('dark_background')
-
 fmt = mdates.DateFormatter('%Y-%m-%d %H:%M')
 
 
@@ -60,6 +58,8 @@ class LiveGraphClock(object):
 
     def __init__(self, sessions, context, time_skew=pd.Timedelta('0s')):
 
+        style.use('dark_background')
+
         self.sessions = sessions
         self.time_skew = time_skew
         self._last_emit = None

catalyst/utils/run_algo.py

@@ -152,12 +152,16 @@ def _run(handle_data,
         exchange_name = exchange
 
         start = pd.Timestamp.utcnow()
-        end = start + timedelta(minutes=1439)
+
+        # TODO: fix the end data.
+        end = start + timedelta(hours=8760)
+
         exchange_list = [x.strip().lower() for x in exchange.split(',')]
 
         exchanges = dict()
         for exchange_name in exchange_list:
 
+            # Looking for the portfolio from the cache first
             portfolio = get_algo_object(
                 algo_name=algo_namespace,
                 key='portfolio_{}'.format(exchange_name),
@@ -169,6 +173,7 @@ def _run(handle_data,
                     start_date=pd.Timestamp.utcnow()
                 )
 
+            # This corresponds to the json file containing api token info
             exchange_auth = get_exchange_auth(exchange_name)
             if exchange_name == 'bitfinex':
                 exchanges[exchange_name] = Bitfinex(
@@ -352,7 +357,7 @@ def _run(handle_data,
     TradingAlgorithmClass = (
         partial(ExchangeTradingAlgorithm, exchanges=exchanges,
                 algo_namespace=algo_namespace, live_graph=live_graph)
-        if live and exchanges else TradingAlgorithm)
+        if live and exchanges else TradingAlgorithm) # TODO: backtest trading algo class
 
     perf = TradingAlgorithmClass(
         namespace=namespace,