BLD: more live trading testing and added s3 stats output

catalyst/examples/mean_reversion_simple.py

@@ -279,5 +279,5 @@ if __name__ == '__main__':
             base_currency='eth',
             live_graph=False,
             simulate_orders=False,
-            stats_output='s3://something'
+            stats_output=None
         )

catalyst/exchange/exchange_algorithm.py

@@ -625,6 +625,21 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
                     )
                 ))
 
+            today = pd.to_datetime('today', utc=True)
+            daily_stats = self.prepare_period_stats(
+                start_dt=today,
+                end_dt=pd.Timestamp.utcnow()
+            )
+            save_algo_object(
+                algo_name=self.algo_namespace,
+                key=today.strftime('%Y-%m-%d'),
+                obj=daily_stats,
+                rel_path='daily_perf'
+            )
+        except Exception as e:
+            log.warn('unable to calculate performance: {}'.format(e))
+
+        try:
             if self.stats_output is not None:
                 if 's3://' in self.stats_output:
                     stats_to_s3(
@@ -638,22 +653,8 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
                     raise ValueError(
                         'Only S3 stats output is supported for now.'
                     )
-
-            today = pd.to_datetime('today', utc=True)
-            daily_stats = self.prepare_period_stats(
-                start_dt=today,
-                end_dt=pd.Timestamp.utcnow()
-            )
-            save_algo_object(
-                algo_name=self.algo_namespace,
-                key=today.strftime('%Y-%m-%d'),
-                obj=daily_stats,
-                rel_path='daily_perf'
-            )
-
         except Exception as e:
-            log.warn('unable to calculate performance: {}'.format(e))
-
+            log.warn('unable save stats: {}'.format(e))
         # TODO: pickle does not seem to work in python 3
         try:
             save_algo_object(

catalyst/exchange/exchange_blotter.py

@@ -147,6 +147,9 @@ class ExchangeBlotter(Blotter):
             TradingPair: TradingPairFeeSchedule()
         }
 
+        self.retry_delay = 5
+        self.retry_check_open_orders = 5
+
     def exchange_order(self, asset, amount, style=None, attempt_index=0):
         try:
             exchange = self.exchanges[asset.exchange]
@@ -205,13 +208,25 @@ class ExchangeBlotter(Blotter):
             for order in self.open_orders[asset]:
                 log.debug('found open order: {}'.format(order.id))
 
-                order, executed_price = exchange.get_order(order.id, asset)
+                new_order, executed_price = exchange.get_order(order.id, asset)
                 log.debug(
                     'got updated order {} {}'.format(
-                        order, executed_price
+                        new_order, executed_price
                     )
                 )
+                order.status = new_order.status
+
                 if order.status == ORDER_STATUS.FILLED:
+                    order.commission = new_order.commission
+                    if order.amount != new_order.amount:
+                        log.warn(
+                            'executed order amount {} differs '
+                            'from original'.format(
+                                new_order.amount, order.amount
+                            )
+                        )
+                        order.amount = new_order.amount
+
                     transaction = Transaction(
                         asset=order.asset,
                         amount=order.amount,

catalyst/exchange/stats_utils.py

@@ -2,8 +2,11 @@ import numbers
 
 import numpy as np
 import pandas as pd
+import boto3
 import time
 
+s3 = boto3.resource('s3')
+
 
 def trend_direction(series):
     if series[-1] is np.nan or series[-1] is np.nan:
@@ -212,12 +215,9 @@ def get_csv_stats(df, recorded_cols=None):
 
 
 def stats_to_s3(uri, df, algo_namespace, recorded_cols=None):
-    import boto3
-    s3 = boto3.resource('s3')
-
     bytes_to_write = get_csv_stats(df, recorded_cols=recorded_cols)
 
-    timestr = time.strftime('%Y%m%d-%H%M%S')
+    timestr = time.strftime('%Y%m%d')
 
     parts = uri.split('//')
     obj = s3.Object(parts[1], 'stats/{}-{}.csv'.format(

etc/requirements.txt

@@ -82,4 +82,4 @@ tables==3.3.0
 
 #Catalyst dependencies
 ccxt==1.10.283
-
+boto3=1.4.8