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Merge remote-tracking branch 'remotes/origin/develop' into new_exchange_config

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# Conflicts:
#	catalyst/exchange/exchange.py
This commit is contained in:
Frederic Fortier
2018-03-01 21:46:30 -05:00
parent c2f71cf852 e5870ea60a
commit 73faa87269
12 changed files with 201 additions and 1143 deletions
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catalyst/exchange/exchange_algorithm.py
+54 -21
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@@ -376,19 +376,30 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
if error:
log.warning(error)
self.pnl_stats = get_algo_df(self.algo_namespace, 'pnl_stats')
# in order to save paper & live files separately
self.mode_name = 'paper' if kwargs['simulate_orders'] else 'live'
self.custom_signals_stats = \
get_algo_df(self.algo_namespace, 'custom_signals_stats')
self.pnl_stats = get_algo_df(
self.algo_namespace,
'pnl_stats_{}'.format(self.mode_name),
)
self.exposure_stats = \
get_algo_df(self.algo_namespace, 'exposure_stats')
self.custom_signals_stats = get_algo_df(
self.algo_namespace,
'custom_signals_stats_{}'.format(self.mode_name)
)
self.exposure_stats = get_algo_df(
self.algo_namespace,
'exposure_stats_{}'.format(self.mode_name)
)
self.is_running = True
self.stats_minutes = 1
self._last_orders = []
self._last_open_orders = []
self.trading_client = None
super(ExchangeTradingAlgorithmLive, self).__init__(*args, **kwargs)
@@ -515,7 +526,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
"""
self.state = get_algo_object(
algo_name=self.algo_namespace,
key='context.state',
key='context.state_{}'.format(self.mode_name),
)
if self.state is None:
self.state = {}
@@ -538,7 +549,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
# Unpacking the perf_tracker and positions if available
cum_perf = get_algo_object(
algo_name=self.algo_namespace,
key='cumulative_performance',
key='cumulative_performance_{}'.format(self.mode_name),
)
if cum_perf is not None:
tracker.cumulative_performance = cum_perf
@@ -549,7 +560,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
todays_perf = get_algo_object(
algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
rel_path='daily_performance',
rel_path='daily_performance_{}'.format(self.mode_name),
)
if todays_perf is not None:
# Ensure single common position tracker
@@ -687,7 +698,11 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
)
self.pnl_stats = pd.concat([self.pnl_stats, df])
save_algo_df(self.algo_namespace, 'pnl_stats', self.pnl_stats)
save_algo_df(
self.algo_namespace,
'pnl_stats_{}'.format(self.mode_name),
self.pnl_stats,
)
def add_custom_signals_stats(self, period_stats):
"""
@@ -708,8 +723,11 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
)
self.custom_signals_stats = pd.concat([self.custom_signals_stats, df])
save_algo_df(self.algo_namespace, 'custom_signals_stats',
self.custom_signals_stats)
save_algo_df(
self.algo_namespace,
'custom_signals_stats_{}'.format(self.mode_name),
self.custom_signals_stats,
)
def add_exposure_stats(self, period_stats):
"""
@@ -736,7 +754,9 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
self.exposure_stats = pd.concat([self.exposure_stats, df])
save_algo_df(
self.algo_namespace, 'exposure_stats', self.exposure_stats
self.algo_namespace,
'exposure_stats_{}'.format(self.mode_name),
self.exposure_stats
)
def nullify_frame_stats(self, now):
@@ -760,6 +780,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
obj=self.frame_stats,
rel_path='frame_stats'
)
error = remove_old_files(
algo_name=self.algo_namespace,
today=now,
@@ -792,12 +813,17 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
self.nullify_frame_stats(now=data.current_dt)
self.performance_needs_update = False
orders = list(self.perf_tracker.todays_performance.orders_by_id.keys())
if orders != self._last_orders:
last_orders_list = list(self.blotter.orders.keys())
open_orders_list = list(self.blotter.open_orders.keys())
if last_orders_list != self._last_orders or \
open_orders_list != self._last_open_orders:
self.performance_needs_update = True
# Saving current orders to detect changes in the next frame
self._last_orders = copy.deepcopy(orders)
# Saving current order positions
# to detect changes in the next frame
self._last_orders = copy.deepcopy(last_orders_list)
self._last_open_orders = copy.deepcopy(open_orders_list)
if self.performance_needs_update:
self.perf_tracker.update_performance()
@@ -839,7 +865,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
log.debug('saving cumulative performance object')
save_algo_object(
algo_name=self.algo_namespace,
key='cumulative_performance',
key='cumulative_performance_{}'.format(self.mode_name),
obj=self.perf_tracker.cumulative_performance,
)
log.debug('saving todays performance object')
@@ -847,12 +873,12 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
obj=self.perf_tracker.todays_performance,
rel_path='daily_performance'
rel_path='daily_performance_{}'.format(self.mode_name)
)
log.debug('saving context.state object')
save_algo_object(
algo_name=self.algo_namespace,
key='context.state',
key='context.state_{}'.format(self.mode_name),
obj=self.state)
def _process_stats(self, data):
@@ -908,6 +934,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
csv_bytes = stats_to_algo_folder(
stats=self.frame_stats,
algo_namespace=self.algo_namespace,
folder_name='stats_{}'.format(self.mode_name),
recorded_cols=recorded_cols,
)
except Exception as e:
@@ -1012,13 +1039,19 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
args=(order_id,))
@api_method
def cancel_order(self, order_param, exchange_name):
def cancel_order(self, order_param, exchange_name,
symbol=None, params={}):
"""Cancel an open order.
Parameters
----------
order_param : str or Order
The order_id or order object to cancel.
exchange_name: name of exchange from
which you want to cancel the order
symbol:
params:
"""
exchange = self.exchanges[exchange_name]
@@ -1032,4 +1065,4 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
sleeptime=self.attempts['retry_sleeptime'],
retry_exceptions=(ExchangeRequestError,),
cleanup=lambda: log.warn('cancelling order again.'),
args=(order_id,))
args=(order_id, symbol, params))