Separated 5 minute and daily examples

catalyst/algorithm.py

@@ -1712,12 +1712,12 @@ class TradingAlgorithm(object):
         return dt
 
     @api_method
-    def set_slippage(self, us_equities=None, us_futures=None):
+    def set_slippage(self, equities=None, us_futures=None):
         """Set the slippage models for the simulation.
 
         Parameters
         ----------
-        us_equities : EquitySlippageModel
+        equities : EquitySlippageModel
             The slippage model to use for trading US equities.
         us_futures : FutureSlippageModel
             The slippage model to use for trading US futures.
@@ -1729,14 +1729,14 @@ class TradingAlgorithm(object):
         if self.initialized:
             raise SetSlippagePostInit()
 
-        if us_equities is not None:
-            if Equity not in us_equities.allowed_asset_types:
+        if equities is not None:
+            if Equity not in equities.allowed_asset_types:
                 raise IncompatibleSlippageModel(
                     asset_type='equities',
-                    given_model=us_equities,
-                    supported_asset_types=us_equities.allowed_asset_types,
+                    given_model=equities,
+                    supported_asset_types=equities.allowed_asset_types,
                 )
-            self.blotter.slippage_models[Equity] = us_equities
+            self.blotter.slippage_models[Equity] = equities
 
         if us_futures is not None:
             if Future not in us_futures.allowed_asset_types:
@@ -1748,12 +1748,12 @@ class TradingAlgorithm(object):
             self.blotter.slippage_models[Future] = us_futures
 
     @api_method
-    def set_commission(self, us_equities=None, us_futures=None):
+    def set_commission(self, equities=None, us_futures=None):
         """Sets the commission models for the simulation.
 
         Parameters
         ----------
-        us_equities : EquityCommissionModel
+        equities : EquityCommissionModel
             The commission model to use for trading US equities.
         us_futures : FutureCommissionModel
             The commission model to use for trading US futures.
@@ -1767,14 +1767,14 @@ class TradingAlgorithm(object):
         if self.initialized:
             raise SetCommissionPostInit()
 
-        if us_equities is not None:
-            if Equity not in us_equities.allowed_asset_types:
+        if equities is not None:
+            if Equity not in equities.allowed_asset_types:
                 raise IncompatibleCommissionModel(
                     asset_type='equities',
-                    given_model=us_equities,
-                    supported_asset_types=us_equities.allowed_asset_types,
+                    given_model=equities,
+                    supported_asset_types=equities.allowed_asset_types,
                 )
-            self.blotter.commission_models[Equity] = us_equities
+            self.blotter.commission_models[Equity] = equities
 
         if us_futures is not None:
             if Future not in us_futures.allowed_asset_types:

catalyst/examples/buy_and_hodl.5min.py

@@ -0,0 +1,143 @@
+#!/usr/bin/env python
+#
+# Copyright 2017 Enigma MPC, Inc.
+# Copyright 2015 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from catalyst.finance.slippage import VolumeShareSlippage
+
+from catalyst.api import (
+    order_target_value,
+    symbol,
+    record,
+    cancel_order,
+    get_open_orders,
+    set_slippage,
+)
+
+
+def initialize(context):
+    context.ASSET_NAME = 'USDT_BTC'
+    context.TARGET_HODL_RATIO = 0.8
+    context.RESERVE_RATIO = 1.0 - context.TARGET_HODL_RATIO
+
+    # For all trading pairs in the poloniex bundle, the default denomination
+    # currently supported by Catalyst is 1/1000th of a full coin. Use this
+    # constant to scale the price of up to that of a full coin if desired.
+    context.TICK_SIZE = 1000.0
+
+    context.is_buying = True
+    context.asset = symbol(context.ASSET_NAME)
+
+    context.i = 0
+    
+    set_slippage(equities=VolumeShareSlippage(volume_limit=0.1))
+
+def handle_data(context, data):
+    context.i += 1
+
+    starting_cash = context.portfolio.starting_cash
+    target_hodl_value = context.TARGET_HODL_RATIO * starting_cash
+    reserve_value = context.RESERVE_RATIO * starting_cash
+
+    # Cancel any outstanding orders
+    orders = get_open_orders(context.asset) or []
+    for order in orders:
+        cancel_order(order)
+    
+    # Stop buying after passing the reserve threshold
+    cash = context.portfolio.cash
+    if cash <= reserve_value:
+        context.is_buying = False
+
+    # Retrieve current asset price from pricing data
+    price = data[context.asset].price
+
+    # Check if still buying and could (approximately) afford another purchase
+    if context.is_buying and cash > price:
+        # Place order to make position in asset equal to target_hodl_value
+        order_target_value(
+            context.asset,
+            target_hodl_value,
+            limit_price=price*1.1,
+            stop_price=price*0.9,
+        )
+
+    record(
+        price=price,
+        volume=data[context.asset].volume,
+        cash=cash,
+        starting_cash=context.portfolio.starting_cash,
+        leverage=context.account.leverage,
+    )
+
+def analyze(context=None, results=None):
+    import matplotlib.pyplot as plt
+
+    # Plot the portfolio and asset data.
+    ax1 = plt.subplot(611)
+    results[['portfolio_value']].plot(ax=ax1)
+    ax1.set_ylabel('Portfolio Value (USD)')
+
+    ax2 = plt.subplot(612, sharex=ax1)
+    ax2.set_ylabel('{asset} (USD)'.format(asset=context.ASSET_NAME))
+    (context.TICK_SIZE * results[['price']]).plot(ax=ax2)
+
+    trans = results.ix[[t != [] for t in results.transactions]]
+    buys = trans.ix[
+        [t[0]['amount'] > 0 for t in trans.transactions]
+    ]
+    ax2.plot(
+        buys.index,
+        context.TICK_SIZE * results.price[buys.index],
+        '^',
+        markersize=10,
+        color='g',
+    )
+
+    ax3 = plt.subplot(613, sharex=ax1)
+    results[['leverage', 'alpha', 'beta']].plot(ax=ax3)
+    ax3.set_ylabel('Leverage ')
+
+    ax4 = plt.subplot(614, sharex=ax1)
+    results[['starting_cash', 'cash']].plot(ax=ax4)
+    ax4.set_ylabel('Cash (USD)')
+
+    results[[
+        'treasury',
+        'algorithm',
+        'benchmark',
+    ]] = results[[
+        'treasury_period_return',
+        'algorithm_period_return',
+        'benchmark_period_return',
+    ]]
+
+    ax5 = plt.subplot(615, sharex=ax1)
+    results[[
+        'treasury',
+        'algorithm',
+        'benchmark',
+    ]].plot(ax=ax5)
+    ax5.set_ylabel('Percent Change')
+
+    ax6 = plt.subplot(616, sharex=ax1)
+    results[['volume']].plot(ax=ax6)
+    ax6.set_ylabel('Volume (mCoins/5min)')
+
+    plt.legend(loc=3)
+
+    # Show the plot.
+    plt.gcf().set_size_inches(18, 8)
+    plt.show()

catalyst/examples/buy_and_hodl.py

@@ -15,6 +15,8 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
+from catalyst.finance.slippage import VolumeShareSlippage
+
 from catalyst.api import (
     order_target_value,
     symbol,
@@ -23,7 +25,6 @@ from catalyst.api import (
     get_open_orders,
 )
 
-
 def initialize(context):
     context.ASSET_NAME = 'USDT_BTC'
     context.TARGET_HODL_RATIO = 0.8
@@ -42,8 +43,6 @@ def initialize(context):
 def handle_data(context, data):
     context.i += 1
 
-    print 'i:', context.i
-
     starting_cash = context.portfolio.starting_cash
     target_hodl_value = context.TARGET_HODL_RATIO * starting_cash
     reserve_value = context.RESERVE_RATIO * starting_cash
@@ -73,6 +72,7 @@ def handle_data(context, data):
 
     record(
         price=price,
+        volume=data[context.asset].volume,
         cash=cash,
         starting_cash=context.portfolio.starting_cash,
         leverage=context.account.leverage,
@@ -80,12 +80,13 @@ def handle_data(context, data):
 
 def analyze(context=None, results=None):
     import matplotlib.pyplot as plt
+
     # Plot the portfolio and asset data.
-    ax1 = plt.subplot(511)
+    ax1 = plt.subplot(611)
     results[['portfolio_value']].plot(ax=ax1)
     ax1.set_ylabel('Portfolio Value (USD)')
 
-    ax2 = plt.subplot(512, sharex=ax1)
+    ax2 = plt.subplot(612, sharex=ax1)
     ax2.set_ylabel('{asset} (USD)'.format(asset=context.ASSET_NAME))
     (context.TICK_SIZE * results[['price']]).plot(ax=ax2)
 
@@ -101,11 +102,11 @@ def analyze(context=None, results=None):
         color='g',
     )
 
-    ax3 = plt.subplot(513, sharex=ax1)
+    ax3 = plt.subplot(613, sharex=ax1)
     results[['leverage', 'alpha', 'beta']].plot(ax=ax3)
     ax3.set_ylabel('Leverage ')
 
-    ax4 = plt.subplot(514, sharex=ax1)
+    ax4 = plt.subplot(614, sharex=ax1)
     results[['starting_cash', 'cash']].plot(ax=ax4)
     ax4.set_ylabel('Cash (USD)')
 
@@ -119,7 +120,7 @@ def analyze(context=None, results=None):
         'benchmark_period_return',
     ]]
 
-    ax5 = plt.subplot(515, sharex=ax1)
+    ax5 = plt.subplot(615, sharex=ax1)
     results[[
         'treasury',
         'algorithm',
@@ -127,6 +128,10 @@ def analyze(context=None, results=None):
     ]].plot(ax=ax5)
     ax5.set_ylabel('Percent Change')
 
+    ax6 = plt.subplot(616, sharex=ax1)
+    results[['volume']].plot(ax=ax6)
+    ax6.set_ylabel('Volume (mCoins/5min)')
+
     plt.legend(loc=3)
 
     # Show the plot.

catalyst/examples/dual_vwap.5min.py

@@ -0,0 +1,189 @@
+#!/usr/bin/env python
+#
+# Copyright 2017 Enigma MPC, Inc.
+# Copyright 2014 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from catalyst.api import (
+    order_target_percent,
+    record,
+    symbol,
+    get_open_orders,
+    set_max_leverage,
+    schedule_function,
+    date_rules,
+    time_rules,
+    attach_pipeline,
+    pipeline_output,
+)
+
+from catalyst.pipeline import Pipeline
+from catalyst.pipeline.data import CryptoPricing
+from catalyst.pipeline.factors.crypto import VWAP
+
+
+def initialize(context):
+    context.ASSET_NAME = 'USDT_BTC'
+    context.TARGET_INVESTMENT_RATIO = 0.8
+    context.SHORT_WINDOW = 30 * 288
+    context.LONG_WINDOW = 100 * 288
+
+    # For all trading pairs in the poloniex bundle, the default denomination
+    # currently supported by Catalyst is 1/1000th of a full coin. Use this
+    # constant to scale the price of up to that of a full coin if desired.
+    context.TICK_SIZE = 1000.0
+
+    context.i = 0
+    context.asset = symbol(context.ASSET_NAME)
+
+    set_max_leverage(1.0)
+
+    attach_pipeline(make_pipeline(context), 'vwap_pipeline')
+
+    schedule_function(
+        rebalance,
+        time_rule=time_rules.every_minute(),
+    )
+
+
+def before_trading_start(context, data):
+    context.pipeline_data = pipeline_output('vwap_pipeline')
+
+def make_pipeline(context):
+    return Pipeline(
+        columns={
+            'price': CryptoPricing.open.latest,
+            'volume': CryptoPricing.volume.latest,
+            'short_mavg': VWAP(window_length=context.SHORT_WINDOW),
+            'long_mavg': VWAP(window_length=context.LONG_WINDOW),
+        }
+    )
+
+def rebalance(context, data):
+    context.i += 1
+
+    # skip first LONG_WINDOW bars to fill windows
+    if context.i < context.LONG_WINDOW:
+        return
+
+    # get pipeline data for asset of interest
+    pipeline_data = context.pipeline_data
+    pipeline_data = pipeline_data[pipeline_data.index == context.asset].iloc[0]
+
+    # retrieve long and short moving averages from pipeline
+    short_mavg = pipeline_data.short_mavg
+    long_mavg = pipeline_data.long_mavg
+    price = pipeline_data.price
+    volume = pipeline_data.volume
+
+    # check that order has not already been placed
+    open_orders = get_open_orders()
+    if context.asset not in open_orders:
+        # check that the asset of interest can currently be traded
+        if data.can_trade(context.asset):
+            # adjust portfolio based on comparison of long and short vwap
+            if short_mavg > long_mavg:
+                order_target_percent(
+                    context.asset,
+                    context.TARGET_INVESTMENT_RATIO,
+                )
+            elif short_mavg < long_mavg:
+                order_target_percent(
+                    context.asset,
+                    0.0,
+                )
+
+    record(
+        price=price,
+        cash=context.portfolio.cash,
+        leverage=context.account.leverage,
+        short_mavg=short_mavg,
+        long_mavg=long_mavg,
+        volume=volume,
+    )
+    
+
+
+def analyze(context=None, results=None):
+    import matplotlib.pyplot as plt
+
+    # Plot the portfolio and asset data.
+    ax1 = plt.subplot(611)
+    results[['portfolio_value']].plot(ax=ax1)
+    ax1.set_ylabel('Portfolio value (USD)')
+
+    ax2 = plt.subplot(612, sharex=ax1)
+    ax2.set_ylabel('{asset} (USD)'.format(asset=context.ASSET_NAME))
+    (context.TICK_SIZE*results[['price', 'short_mavg', 'long_mavg']]).plot(ax=ax2)
+
+    trans = results.ix[[t != [] for t in results.transactions]]
+    amounts = [t[0]['amount'] for t in trans.transactions]
+
+    buys = trans.ix[
+        [t[0]['amount'] > 0 for t in trans.transactions]
+    ]
+    sells = trans.ix[
+        [t[0]['amount'] < 0 for t in trans.transactions]
+    ]
+
+    ax2.plot(
+        buys.index,
+        context.TICK_SIZE * results.price[buys.index],
+        '^',
+        markersize=10,
+        color='g',
+    )
+    ax2.plot(
+        sells.index,
+        context.TICK_SIZE * results.price[sells.index],
+        'v',
+        markersize=10,
+        color='r',
+    )
+
+    ax3 = plt.subplot(613, sharex=ax1)
+    results[['leverage', 'alpha', 'beta']].plot(ax=ax3)
+    ax3.set_ylabel('Leverage (USD)')
+
+    ax4 = plt.subplot(614, sharex=ax1)
+    results[['cash']].plot(ax=ax4)
+    ax4.set_ylabel('Cash (USD)')
+
+    results[[
+        'treasury',
+        'algorithm',
+        'benchmark',
+    ]] = results[[
+        'treasury_period_return',
+        'algorithm_period_return',
+        'benchmark_period_return',
+    ]]
+
+    ax5 = plt.subplot(615, sharex=ax1)
+    results[[
+        'treasury',
+        'algorithm',
+        'benchmark',
+    ]].plot(ax=ax5)
+    ax5.set_ylabel('Percent Change')
+
+    ax6 = plt.subplot(616, sharex=ax1)
+    results[['volume']].plot(ax=ax6)
+    ax6.set_ylabel('Volume (mBTC/day)')
+
+    plt.legend(loc=3)
+
+    # Show the plot.
+    plt.gcf().set_size_inches(18, 8)
+    plt.show()

catalyst/examples/dual_vwap.py

@@ -52,7 +52,7 @@ def initialize(context):
 
     schedule_function(
         rebalance,
-        time_rules=times_rules.every_minute(),
+        date_rule=date_rules.every_day(),
     )