mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 19:30:52 +08:00
BLD: replacing symbols.json and fetching markets with a single config
This commit is contained in:
Frederic Fortier
+56
-10
@@ -433,7 +433,7 @@ cdef class TradingPair(Asset):
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'taker',
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'trading_state',
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'data_source',
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'decimals'
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'decimals',
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})
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def __init__(self,
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object symbol,
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@@ -455,7 +455,7 @@ cdef class TradingPair(Asset):
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float taker=0.0025,
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float lot=0,
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int decimals = 8,
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int trading_state=0,
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int trading_state=1,
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object data_source='catalyst'):
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"""
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Replicates the Asset constructor with some built-in conventions
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@@ -600,14 +600,51 @@ cdef class TradingPair(Asset):
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cpdef to_dict(self):
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"""
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Convert to a python dict.
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Repeat constructor params:
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object symbol,
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object exchange,
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object start_date=None,
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object asset_name=None,
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int sid=0,
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float leverage=1.0,
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object end_daily=None,
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object end_minute=None,
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object end_date=None,
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object exchange_symbol=None,
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object first_traded=None,
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object auto_close_date=None,
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object exchange_full=None,
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float min_trade_size=0.0001,
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float max_trade_size=1000000,
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float maker=0.0015,
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float taker=0.0025,
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float lot=0,
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int decimals = 8,
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int trading_state=1,
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object data_source='catalyst',
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"""
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#TODO: missing fields
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super_dict = super(TradingPair, self).to_dict()
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super_dict['end_daily'] = self.end_daily
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super_dict['end_minute'] = self.end_minute
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super_dict['leverage'] = self.leverage
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super_dict['min_trade_size'] = self.min_trade_size
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return super_dict
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trading_pair_dict = dict(
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symbol=self.symbol,
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exchange=self.exchange,
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start_date=self.start_date,
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asset_name=self.asset_name,
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leverage=self.leverage,
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end_daily=self.end_daily,
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end_minute=self.end_minute,
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end_date=self.end_date,
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exchange_symbol=self.exchange_symbol,
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exchange_full=self.exchange_full,
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min_trade_size=self.min_trade_size,
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max_trade_size=self.max_trade_size,
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maker=self.maker,
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taker=self.taker,
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lot=self.lot,
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decimals=self.decimals,
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trading_state=self.trading_state,
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data_source=self.data_source,
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)
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return trading_pair_dict
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def is_exchange_open(self, dt_minute):
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"""
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@@ -623,6 +660,13 @@ cdef class TradingPair(Asset):
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#TODO: make more dymanic to catch holds
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return True
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def set_end_date(self, dt, data_frequency):
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if data_frequency == 'minute':
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self.end_minute = dt
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else:
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self.end_daily = dt
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cpdef __reduce__(self):
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"""
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Function used by pickle to determine how to serialize/deserialize this
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@@ -646,7 +690,9 @@ cdef class TradingPair(Asset):
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self.lot,
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self.decimals,
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self.taker,
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self.maker))
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self.maker,
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self.trading_state,
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self.data_source))
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def make_asset_array(int size, Asset asset):
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cdef np.ndarray out = np.empty([size], dtype=object)
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@@ -11,7 +11,7 @@ LOG_LEVEL = int(os.environ.get('CATALYST_LOG_LEVEL', logbook.INFO))
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SYMBOLS_URL = 'https://s3.amazonaws.com/enigmaco/catalyst-exchanges/' \
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'{exchange}/symbols.json'
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EXCHANGE_CONFIG_URL = 'http://127.0.0.1:8080/exchanges/{exchange}/config.json'
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DATE_TIME_FORMAT = '%Y-%m-%d %H:%M'
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DATE_FORMAT = '%Y-%m-%d'
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@@ -1,5 +1,3 @@
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import json
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import os
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import re
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from collections import defaultdict
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@@ -20,6 +18,8 @@ from catalyst.exchange.exchange_errors import InvalidHistoryFrequencyError, \
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ExchangeSymbolsNotFound, ExchangeRequestError, InvalidOrderStyle, \
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ExchangeNotFoundError, CreateOrderError, InvalidHistoryTimeframeError, \
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UnsupportedHistoryFrequencyError
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ExchangeNotFoundError, CreateOrderError, InvalidHistoryTimeframeError, \
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MarketsNotFoundError, InvalidMarketError
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from catalyst.exchange.exchange_execution import ExchangeLimitOrder
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from catalyst.exchange.utils.exchange_utils import mixin_market_params, \
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get_exchange_folder, get_catalyst_symbol, \
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@@ -27,8 +27,16 @@ from catalyst.exchange.utils.exchange_utils import mixin_market_params, \
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from catalyst.exchange.utils.datetime_utils import from_ms_timestamp, \
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get_epoch, \
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get_periods_range
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from catalyst.exchange.utils.exchange_utils import from_ms_timestamp, \
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get_epoch, get_catalyst_symbol, \
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get_exchange_auth, get_exchange_config
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from catalyst.finance.order import Order, ORDER_STATUS
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from catalyst.finance.transaction import Transaction
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from ccxt import InvalidOrder, NetworkError, \
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ExchangeError
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from logbook import Logger
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from redo import retry
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from six import string_types
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log = Logger('CCXT', level=LOG_LEVEL)
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@@ -62,6 +70,8 @@ class CCXT(Exchange):
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'secret': secret,
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})
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self.api.enableRateLimit = True
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self.has = self.api.has
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self.fees = self.api.fees
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except Exception:
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raise ExchangeNotFoundError(exchange_name=exchange_name)
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@@ -69,6 +79,7 @@ class CCXT(Exchange):
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self._symbol_maps = [None, None]
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self.name = exchange_name
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self.assets = []
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self.base_currency = base_currency
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self.transactions = defaultdict(list)
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@@ -80,50 +91,115 @@ class CCXT(Exchange):
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self._common_symbols = dict()
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self.bundle = ExchangeBundle(self.name)
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self.markets = None
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self._is_init = False
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self._config = None
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def init(self):
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if self._is_init:
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return
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exchange_folder = get_exchange_folder(self.name)
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filename = os.path.join(exchange_folder, 'cctx_markets.json')
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if os.path.exists(filename):
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timestamp = os.path.getmtime(filename)
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dt = pd.to_datetime(timestamp, unit='s', utc=True)
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if dt >= pd.Timestamp.utcnow().floor('1D'):
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with open(filename) as f:
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self.markets = json.load(f)
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log.debug('loaded markets for {}'.format(self.name))
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if self.markets is None:
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try:
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markets_symbols = self.api.load_markets()
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log.debug(
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'fetching {} markets:\n{}'.format(
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self.name, markets_symbols
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)
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if self._config is None:
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self._config = get_exchange_config(self.name)
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log.debug(
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'got exchange config {}:\n{}'.format(
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self.name, self._config
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)
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self.markets = self.api.fetch_markets()
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with open(filename, 'w+') as f:
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json.dump(self.markets, f, indent=4)
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except (ExchangeError, NetworkError) as e:
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log.warn(
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'unable to fetch markets {}: {}'.format(
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self.name, e
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)
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)
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raise ExchangeRequestError(error=e)
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)
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self.load_assets()
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self._is_init = True
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def load_assets(self):
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if self._config is None:
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raise ValueError('Exchange config not available.')
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self.assets = []
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for asset_dict in self._config['assets']:
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asset = TradingPair(**asset_dict)
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self.assets.append(asset)
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def _fetch_markets(self):
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markets_symbols = self.api.load_markets()
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log.debug(
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'fetching {} markets:\n{}'.format(
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self.name, markets_symbols
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)
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)
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try:
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markets = self.api.fetch_markets()
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except NetworkError as e:
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raise ExchangeRequestError(error=e)
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if not markets:
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raise MarketsNotFoundError(
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exchange=self.name,
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)
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for market in markets:
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if 'id' not in market:
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raise InvalidMarketError(
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exchange=self.name,
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market=market,
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)
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return markets
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def create_exchange_config(self):
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config = dict(
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name=self.name,
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features=[feature for feature in self.has if self.has[feature]]
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)
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markets = retry(
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action=self._fetch_markets,
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attempts=5,
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sleeptime=5,
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retry_exceptions=(ExchangeRequestError,),
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cleanup=lambda: log.warn(
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'fetching markets again for {}'.format(self.name)
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),
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)
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config['assets'] = []
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for market in markets:
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asset = self.create_trading_pair(market=market)
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config['assets'].append(asset)
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return config
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def create_trading_pair(self, market, start_dt=None, end_dt=None,
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leverage=1, end_daily=None, end_minute=None):
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"""
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Creating a TradingPair from market and asset data.
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Parameters
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----------
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market: dict[str, Object]
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start_dt
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end_dt
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leverage
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end_daily
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end_minute
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Returns
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-------
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"""
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params = dict(
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exchange=self.name,
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data_source='catalyst',
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exchange_symbol=market['id'],
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symbol=get_catalyst_symbol(market),
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start_date=start_dt,
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end_date=end_dt,
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leverage=leverage,
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asset_name=market['symbol'],
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end_daily=end_daily,
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end_minute=end_minute,
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)
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self.apply_conditional_market_params(params, market)
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return TradingPair(**params)
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@staticmethod
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def find_exchanges(features=None, is_authenticated=False):
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ccxt_features = []
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@@ -202,42 +278,6 @@ class CCXT(Exchange):
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return frequencies
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def get_market(self, symbol):
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"""
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The CCXT market.
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Parameters
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----------
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symbol:
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The CCXT symbol.
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Returns
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-------
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dict[str, Object]
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"""
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s = self.get_symbol(symbol)
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market = next(
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(market for market in self.markets if market['symbol'] == s),
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None,
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)
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return market
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def substitute_currency_code(self, currency, source='catalyst'):
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if source == 'catalyst':
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currency = currency.upper()
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key = self.api.common_currency_code(currency)
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self._common_symbols[key] = currency.lower()
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return key
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else:
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if currency in self._common_symbols:
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return self._common_symbols[currency]
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else:
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return currency.lower()
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def get_symbol(self, asset_or_symbol, source='catalyst'):
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"""
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The CCXT symbol.
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@@ -485,144 +525,53 @@ class CCXT(Exchange):
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except ExchangeSymbolsNotFound:
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return None
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def get_asset_defs(self, market):
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def apply_conditional_market_params(self, params, market):
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"""
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The local and Catalyst definitions of the specified market.
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Applies a CCXT market dict to parameters of TradingPair init.
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Parameters
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----------
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market: dict[str, Object]
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The CCXT market dicts.
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params: dict[Object]
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market: dict[Object]
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Returns
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-------
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dict[str, Object]
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The asset definition.
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"""
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asset_defs = []
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for is_local in (False, True):
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asset_def = self.get_asset_def(market, is_local)
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asset_defs.append((asset_def, is_local))
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return asset_defs
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def get_asset_def(self, market, is_local=False):
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"""
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The asset definition (in symbols.json files) corresponding
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to the the specified market.
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Parameters
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----------
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market: dict[str, Object]
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The CCXT market dict.
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is_local
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Whether to search in local or Catalyst asset definitions.
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Returns
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-------
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dict[str, Object]
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The asset definition.
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"""
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exchange_symbol = market['id']
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symbol_map = self._fetch_symbol_map(is_local)
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if symbol_map is not None:
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assets_lower = {k.lower(): v for k, v in symbol_map.items()}
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key = exchange_symbol.lower()
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asset = assets_lower[key] if key in assets_lower else None
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if asset is not None:
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return asset
|
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|
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else:
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return None
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# TODO: make this more externalized / configurable
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# Consider representing in some type of JSON structure
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if 'active' in market:
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params['trading_state'] = 1 if market['active'] else 0
|
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|
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else:
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return None
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params['trading_state'] = 1
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|
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def create_trading_pair(self, market, asset_def=None, is_local=False):
|
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"""
|
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Creating a TradingPair from market and asset data.
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if 'lot' in market:
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params['min_trade_size'] = market['lot']
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params['lot'] = market['lot']
|
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|
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Parameters
|
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----------
|
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market: dict[str, Object]
|
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asset_def: dict[str, Object]
|
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is_local: bool
|
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if self.name == 'bitfinex':
|
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params['maker'] = 0.001
|
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params['taker'] = 0.002
|
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|
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Returns
|
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-------
|
||||
|
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"""
|
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data_source = 'local' if is_local else 'catalyst'
|
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params = dict(
|
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exchange=self.name,
|
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data_source=data_source,
|
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exchange_symbol=market['id'],
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||||
)
|
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mixin_market_params(self.name, params, market)
|
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|
||||
if asset_def is not None:
|
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params['symbol'] = asset_def['symbol']
|
||||
|
||||
params['start_date'] = asset_def['start_date'] \
|
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if 'start_date' in asset_def else None
|
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|
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params['end_date'] = asset_def['end_date'] \
|
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if 'end_date' in asset_def else None
|
||||
|
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params['leverage'] = asset_def['leverage'] \
|
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if 'leverage' in asset_def else 1.0
|
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|
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params['asset_name'] = asset_def['asset_name'] \
|
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if 'asset_name' in asset_def else None
|
||||
|
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params['end_daily'] = asset_def['end_daily'] \
|
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if 'end_daily' in asset_def \
|
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and asset_def['end_daily'] != 'N/A' else None
|
||||
|
||||
params['end_minute'] = asset_def['end_minute'] \
|
||||
if 'end_minute' in asset_def \
|
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and asset_def['end_minute'] != 'N/A' else None
|
||||
elif 'maker' in market and 'taker' in market \
|
||||
and market['maker'] is not None \
|
||||
and market['taker'] is not None:
|
||||
params['maker'] = market['maker']
|
||||
params['taker'] = market['taker']
|
||||
|
||||
else:
|
||||
params['symbol'] = get_catalyst_symbol(market)
|
||||
# TODO: add as an optional column
|
||||
params['leverage'] = 1.0
|
||||
# TODO: default commission, make configurable
|
||||
params['maker'] = 0.0015
|
||||
params['taker'] = 0.0025
|
||||
|
||||
return TradingPair(**params)
|
||||
info = market['info'] if 'info' in market else None
|
||||
if info:
|
||||
if 'minimum_order_size' in info:
|
||||
params['min_trade_size'] = float(info['minimum_order_size'])
|
||||
|
||||
def load_assets(self):
|
||||
log.debug('loading assets for {}'.format(self.name))
|
||||
self.assets = []
|
||||
|
||||
for market in self.markets:
|
||||
if 'id' not in market:
|
||||
log.warn('invalid market: {}'.format(market))
|
||||
continue
|
||||
|
||||
asset_defs = self.get_asset_defs(market)
|
||||
|
||||
asset = None
|
||||
for asset_def in asset_defs:
|
||||
if asset_def[0] is not None or not asset_defs[1]:
|
||||
try:
|
||||
asset = self.create_trading_pair(
|
||||
market=market,
|
||||
asset_def=asset_def[0],
|
||||
is_local=asset_def[1]
|
||||
)
|
||||
self.assets.append(asset)
|
||||
|
||||
except TypeError as e:
|
||||
log.warn('unable to add asset: {}'.format(e))
|
||||
|
||||
if asset is None:
|
||||
asset = self.create_trading_pair(market=market)
|
||||
self.assets.append(asset)
|
||||
if 'lot' not in params:
|
||||
params['lot'] = params['min_trade_size']
|
||||
|
||||
def get_balances(self):
|
||||
try:
|
||||
@@ -760,18 +709,14 @@ class CCXT(Exchange):
|
||||
|
||||
side = 'buy' if amount > 0 else 'sell'
|
||||
if hasattr(self.api, 'amount_to_lots'):
|
||||
# TODO: is this right?
|
||||
if self.api.markets is None:
|
||||
self.api.load_markets()
|
||||
|
||||
# https://github.com/ccxt/ccxt/issues/1483
|
||||
adj_amount = abs(amount)
|
||||
market = self.api.markets[symbol]
|
||||
if 'lots' in market and market['lots'] > amount:
|
||||
raise CreateOrderError(
|
||||
exchange=self.name,
|
||||
e='order amount lower than the smallest lot: {}'.format(
|
||||
amount
|
||||
adj_amount = self.api.amount_to_lots(
|
||||
symbol=symbol,
|
||||
amount=abs(amount),
|
||||
)
|
||||
if adj_amount != abs(amount):
|
||||
log.info(
|
||||
'adjusted order amount {} to {} based on lot size'.format(
|
||||
abs(amount), adj_amount,
|
||||
)
|
||||
)
|
||||
|
||||
|
||||
@@ -5,6 +5,7 @@ from functools import partial
|
||||
from itertools import chain
|
||||
from operator import is_not
|
||||
|
||||
import copy
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import pytz
|
||||
@@ -25,7 +26,7 @@ from catalyst.exchange.utils.bundle_utils import range_in_bundle, \
|
||||
from catalyst.exchange.utils.datetime_utils import get_delta, get_start_dt, \
|
||||
get_period_label, get_month_start_end, get_year_start_end
|
||||
from catalyst.exchange.utils.exchange_utils import get_exchange_folder, \
|
||||
save_exchange_symbols, mixin_market_params, get_catalyst_symbol
|
||||
get_catalyst_symbol
|
||||
from catalyst.utils.cli import maybe_show_progress
|
||||
from catalyst.utils.paths import ensure_directory
|
||||
from logbook import Logger
|
||||
@@ -700,42 +701,36 @@ class ExchangeBundle:
|
||||
for symbol in symbols:
|
||||
start_dt = df.index.get_level_values(1).min()
|
||||
end_dt = df.index.get_level_values(1).max()
|
||||
end_dt_key = 'end_{}'.format(data_frequency)
|
||||
|
||||
market = self.exchange.get_market(symbol)
|
||||
if market is None:
|
||||
raise ValueError('symbol not available in the exchange.')
|
||||
try:
|
||||
asset = self.exchange.get_asset(symbol, is_local=True)
|
||||
except:
|
||||
asset = copy.deepcopy(self.exchange.get_asset(symbol))
|
||||
|
||||
params = dict(
|
||||
exchange=self.exchange.name,
|
||||
data_source='local',
|
||||
exchange_symbol=market['id'],
|
||||
)
|
||||
mixin_market_params(self.exchange_name, params, market)
|
||||
if asset.data_source == 'local':
|
||||
asset.start_date = asset.start_date \
|
||||
if asset.start_date < start_dt else start_dt
|
||||
|
||||
asset_def = self.exchange.get_asset_def(market, True)
|
||||
if asset_def is not None:
|
||||
params['symbol'] = asset_def['symbol']
|
||||
if data_frequency == 'daily':
|
||||
asset.end_date = asset.end_daily = asset.end_daily \
|
||||
if asset.end_daily > end_dt else end_dt
|
||||
|
||||
params['start_date'] = asset_def['start_date'] \
|
||||
if asset_def['start_date'] < start_dt else start_dt
|
||||
|
||||
params['end_date'] = asset_def[end_dt_key] \
|
||||
if asset_def[end_dt_key] > end_dt else end_dt
|
||||
|
||||
params['end_daily'] = end_dt \
|
||||
if data_frequency == 'daily' else asset_def['end_daily']
|
||||
|
||||
params['end_minute'] = end_dt \
|
||||
if data_frequency == 'minute' else asset_def['end_minute']
|
||||
else:
|
||||
asset.end_date = asset.end_minute = asset.end_minute \
|
||||
if asset.end_minute > end_dt else end_dt
|
||||
|
||||
else:
|
||||
params['symbol'] = get_catalyst_symbol(market)
|
||||
asset.data_source = 'local'
|
||||
asset.start_date = start_dt
|
||||
asset.end_dt = end_dt
|
||||
|
||||
params['end_daily'] = end_dt \
|
||||
if data_frequency == 'daily' else 'N/A'
|
||||
params['end_minute'] = end_dt \
|
||||
if data_frequency == 'minute' else 'N/A'
|
||||
if data_frequency == 'daily':
|
||||
asset.end_daily = end_dt
|
||||
asset.end_minute = None
|
||||
|
||||
else:
|
||||
asset.end_daily = None
|
||||
asset.end_minute = end_dt
|
||||
|
||||
if min_start_dt is None or start_dt < min_start_dt:
|
||||
min_start_dt = start_dt
|
||||
@@ -743,11 +738,9 @@ class ExchangeBundle:
|
||||
if max_end_dt is None or end_dt > max_end_dt:
|
||||
max_end_dt = end_dt
|
||||
|
||||
asset = TradingPair(**params)
|
||||
assets[market['id']] = asset
|
||||
|
||||
save_exchange_symbols(self.exchange_name, assets, True)
|
||||
assets[symbol] = asset
|
||||
|
||||
# TODO: update config.json
|
||||
writer = self.get_writer(
|
||||
start_dt=min_start_dt.replace(hour=00, minute=00),
|
||||
end_dt=max_end_dt.replace(hour=23, minute=59),
|
||||
|
||||
@@ -322,3 +322,17 @@ class BalanceTooLowError(ZiplineError):
|
||||
'add positions to hold a free amount greater than {amount}, or clean '
|
||||
'the state of this algo and restart.'
|
||||
).strip()
|
||||
|
||||
|
||||
class MarketsNotFoundError(ZiplineError):
|
||||
msg = (
|
||||
'Exchange {exchange} contains no valid market so it is unusable in '
|
||||
'Catalyst.'
|
||||
).strip()
|
||||
|
||||
|
||||
class InvalidMarketError(ZiplineError):
|
||||
msg = (
|
||||
'Exchange {exchange} contains at least one incorrectly structured '
|
||||
'market: {market}, so it is unusable in Catalyst.'
|
||||
).strip()
|
||||
|
||||
@@ -0,0 +1,8 @@
|
||||
from catalyst.exchange.utils.factory import get_exchange
|
||||
|
||||
|
||||
class TestConfig:
|
||||
def test_create_config(self):
|
||||
exchange = get_exchange('binance', skip_init=True)
|
||||
config = exchange.create_exchange_config()
|
||||
pass
|
||||
Reference in New Issue
Block a user