DOC: Integrating with ccxt

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -0,0 +1,121 @@
+import re
+from collections import defaultdict
+
+import ccxt
+import pandas as pd
+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
+
+log = Logger('CCXT', level=LOG_LEVEL)
+
+
+class CCXT(Exchange):
+    def __init__(self, exchange_name, key, secret, base_currency,
+                 portfolio=None):
+        log.debug('available exchanges:\n{}'.format(ccxt.exchanges))
+        self.api = ccxt.poloniex({
+            'apiKey': key,
+            'secret': secret,
+        })
+        markets = self.api.load_markets()
+        log.debug('the markets:\n{}'.format(markets))
+
+        self.name = exchange_name
+        self.assets = {}
+        self.load_assets()
+        self.base_currency = base_currency
+        self._portfolio = portfolio
+        self.transactions = defaultdict(list)
+
+        self.num_candles_limit = 2000
+        self.max_requests_per_minute = 60
+        self.request_cpt = dict()
+
+        self.bundle = ExchangeBundle(self.name)
+
+    def account(self):
+        return None
+
+    def time_skew(self):
+        return None
+
+    def get_symbol(self, asset):
+        parts = asset.symbol.split('_')
+        return '{}/{}'.format(parts[0].upper(), parts[1].upper())
+
+    def get_timeframe(self, freq):
+        freq_match = re.match(r'([0-9].*)?(m|M|d|D|h|H|T)', freq, re.M | re.I)
+        if freq_match:
+            candle_size = int(freq_match.group(1)) \
+                if freq_match.group(1) else 1
+
+            unit = freq_match.group(2)
+
+        else:
+            raise InvalidHistoryFrequencyError(frequency=freq)
+
+        if unit.lower() == 'd':
+            timeframe = '{}d'.format(candle_size)
+
+        elif unit.lower() == 'm' or unit == 'T':
+            timeframe = '{}m'.format(candle_size)
+
+        elif unit.lower() == 'h' or unit == 'T':
+            timeframe = '{}h'.format(candle_size)
+
+        return timeframe
+
+    def get_candles(self, freq, assets, bar_count=None, start_dt=None,
+                    end_dt=None):
+        symbols = self.get_symbols(assets)
+        timeframe = self.get_timeframe(freq)
+        delta = start_dt - pd.to_datetime('1970-1-1', utc=True)
+        ms = int(delta.total_seconds()) * 1000
+
+        ohlcvs = self.api.fetch_ohlcv(
+            symbol=symbols[0],
+            timeframe=timeframe,
+            since=ms,
+            limit=bar_count,
+            params={}
+        )
+
+        candles = []
+        for ohlcv in ohlcvs:
+            candles.append(dict(
+                last_traded=pd.to_datetime(ohlcv[0], unit='ms', utc=True),
+                open=ohlcv[1],
+                high=ohlcv[2],
+                low=ohlcv[3],
+                close=ohlcv[4],
+                volume=ohlcv[5]
+            ))
+        return candles
+
+    def get_balances(self):
+        return None
+
+    def create_order(self, asset, amount, is_buy, style):
+        return None
+
+    def get_open_orders(self, asset):
+        return None
+
+    def get_order(self, order_id):
+        return None
+
+    def cancel_order(self, order_param):
+        return None
+
+    def tickers(self, assets):
+        return None
+
+    def get_account(self):
+        return None
+
+    def get_orderbook(self, asset, order_type, limit):
+        return None

etc/requirements.txt

@@ -80,3 +80,6 @@ empyrical==0.2.1
 
 tables==3.3.0
 
+#Catalyst dependencies
+ccxt==1.10.251
+

tests/exchange/test_ccxt.py

@@ -0,0 +1,101 @@
+import os
+import tempfile
+
+import pandas as pd
+from catalyst.exchange.ccxt.ccxt_exchange import CCXT
+from catalyst.finance.order import Order
+from base import BaseExchangeTestCase
+from logbook import Logger
+from catalyst.exchange.exchange_utils import get_exchange_auth
+from catalyst.utils.paths import ensure_directory
+
+log = Logger('test_ccxt')
+
+
+class TestCCXT(BaseExchangeTestCase):
+    @classmethod
+    def setup(self):
+        exchange_name = 'poloniex'
+        auth = get_exchange_auth(exchange_name)
+        self.exchange = CCXT(
+            exchange_name=exchange_name,
+            key=auth['key'],
+            secret=auth['secret'],
+            base_currency=None,
+            portfolio=None
+        )
+
+    def test_order(self):
+        log.info('creating order')
+        asset = self.exchange.get_asset('neo_btc')
+        order_id = self.exchange.order(
+            asset=asset,
+            limit_price=0.0005,
+            amount=1,
+        )
+        log.info('order created {}'.format(order_id))
+        assert order_id is not None
+        pass
+
+    def test_open_orders(self):
+        log.info('retrieving open orders')
+        asset = self.exchange.get_asset('neo_btc')
+        orders = self.exchange.get_open_orders(asset)
+        pass
+
+    def test_get_order(self):
+        log.info('retrieving order')
+        order = self.exchange.get_order(
+            u'2c584020-9caf-4af5-bde0-332c0bba17e2')
+        assert isinstance(order, Order)
+        pass
+
+    def test_cancel_order(self, ):
+        log.info('cancel order')
+        self.exchange.cancel_order(u'dc7bcca2-5219-4145-8848-8a593d2a72f9')
+        pass
+
+    def test_get_candles(self):
+        log.info('retrieving candles')
+        candles = self.exchange.get_candles(
+            freq='5T',
+            assets=[self.exchange.get_asset('eth_btc')],
+            bar_count=200,
+            start_dt=pd.to_datetime('2017-01-01', utc=True)
+        )
+
+        df = pd.DataFrame(candles)
+        df.set_index('last_traded', drop=True, inplace=True)
+
+        folder = os.path.join(
+            tempfile.gettempdir(), 'catalyst', self.exchange.name, 'eth_btc'
+        )
+        ensure_directory(folder)
+
+        path = os.path.join(folder, 'output.csv')
+        df.to_csv(path)
+        pass
+
+    def test_tickers(self):
+        log.info('retrieving tickers')
+        tickers = self.exchange.tickers([
+            self.exchange.get_asset('eth_btc'),
+            self.exchange.get_asset('etc_btc')
+        ])
+        assert len(tickers) == 2
+        pass
+
+    def test_get_balances(self):
+        log.info('testing wallet balances')
+        balances = self.exchange.get_balances()
+        pass
+
+    def test_get_account(self):
+        log.info('testing account data')
+        pass
+
+    def test_orderbook(self):
+        log.info('testing order book for bittrex')
+        asset = self.exchange.get_asset('eth_btc')
+        orderbook = self.exchange.get_orderbook(asset)
+        pass