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Using files for exchange connection and symbol map

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This commit is contained in:
Frederic Fortier
2017-08-20 17:34:04 -04:00
parent d3b06a083c
commit 7fe2e5c929
6 changed files with 102 additions and 41 deletions
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catalyst/examples/buy_the_dip_live.py
+14 -19
View File
@@ -8,6 +8,8 @@ from catalyst.api import (
get_open_orders,
)
from catalyst.errors import ZiplineError
from catalyst.exchange.exchange_utils import get_exchange_folder, \
download_exchange_symbols, get_exchange_auth
import talib
algo_namespace = 'buy_the_dip_live'
@@ -23,11 +25,12 @@ def initialize(context):
context.PROFIT_TARGET = 0.1
context.SLIPPAGE_ALLOWED = 0.02
context.retry_check_open_orders = 2
context.retry_update_portfolio = 2
context.retry_order = 2
context.retry_check_open_orders = 10
context.retry_update_portfolio = 10
context.retry_order = 5
context.errors = []
pass
def _handle_data(context, data):
@@ -54,6 +57,11 @@ def _handle_data(context, data):
price = data.current(context.asset, 'price')
log.info('got price {price}'.format(price=price))
record(
price=price,
rsi=rsi,
)
orders = get_open_orders(context.asset)
if orders:
log.info('skipping bar until all open orders execute')
@@ -102,13 +110,6 @@ def _handle_data(context, data):
limit_price=price * (1 + context.SLIPPAGE_ALLOWED)
)
record(
price=price,
cash=cash,
starting_cash=context.portfolio.starting_cash,
leverage=context.account.leverage,
)
def handle_data(context, data):
log.info('handling bar {}'.format(data.current_dt))
@@ -132,18 +133,12 @@ def analyze(context, stats):
pass
exchange_conn = dict(
name='bitfinex',
key='',
secret=b'',
base_currency='usd'
)
run_algorithm(
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
capital_base=100000,
exchange_conn=exchange_conn,
exchange_name='bitfinex',
live=True,
algo_namespace=algo_namespace
algo_namespace=algo_namespace,
base_currency='usd'
)
catalyst/exchange/bitfinex.py
+2 -2
View File
@@ -21,6 +21,7 @@ from catalyst.finance.execution import (MarketOrder,
StopOrder,
StopLimitOrder)
from catalyst.exchange.exchange_portfolio import ExchangePortfolio
from catalyst.exchange.exchange_utils import get_exchange_symbols
from catalyst.errors import (
IncompatibleHistoryFrequency,
)
@@ -34,7 +35,6 @@ from catalyst.exchange.exchange_errors import (
requests.adapters.DEFAULT_RETRIES = 20
BITFINEX_URL = 'https://api.bitfinex.com'
ASSETS = '{ "USDT_BTC": {"symbol":"btc_usd", "start_date": "2010-01-01"}, "ltcusd": {"symbol":"ltc_usd", "start_date": "2010-01-01"}, "ltcbtc": {"symbol":"ltc_btc", "start_date": "2010-01-01"}, "ethusd": {"symbol":"eth_usd", "start_date": "2010-01-01"}, "ethbtc": {"symbol":"eth_btc", "start_date": "2010-01-01"}, "etcbtc": {"symbol":"etc_btc", "start_date": "2010-01-01"}, "etcusd": {"symbol":"etc_usd", "start_date": "2010-01-01"}, "rrtusd": {"symbol":"rrt_usd", "start_date": "2010-01-01"}, "rrtbtc": {"symbol":"rrt_btc", "start_date": "2010-01-01"}, "zecusd": {"symbol":"zec_usd", "start_date": "2010-01-01"}, "zecbtc": {"symbol":"zec_btc", "start_date": "2010-01-01"}, "xmrusd": {"symbol":"xmr_usd", "start_date": "2010-01-01"}, "xmrbtc": {"symbol":"xmr_btc", "start_date": "2010-01-01"}, "dshusd": {"symbol":"dsh_usd", "start_date": "2010-01-01"}, "dshbtc": {"symbol":"dsh_btc", "start_date": "2010-01-01"}, "bccbtc": {"symbol":"bcc_btc", "start_date": "2010-01-01"}, "bcubtc": {"symbol":"bcu_btc", "start_date": "2010-01-01"}, "bccusd": {"symbol":"bcc_usd", "start_date": "2010-01-01"}, "bcuusd": {"symbol":"bcu_usd", "start_date": "2010-01-01"}, "xrpusd": {"symbol":"xrp_usd", "start_date": "2010-01-01"}, "xrpbtc": {"symbol":"xrp_btc", "start_date": "2010-01-01"}, "iotusd": {"symbol":"iot_usd", "start_date": "2010-01-01"}, "iotbtc": {"symbol":"iot_btc", "start_date": "2010-01-01"}, "ioteth": {"symbol":"iot_eth", "start_date": "2010-01-01"}, "eosusd": {"symbol":"eos_usd", "start_date": "2010-01-01"}, "eosbtc": {"symbol":"eos_btc", "start_date": "2010-01-01"}, "eoseth": {"symbol":"eos_eth", "start_date": "2010-01-01"} }'
log = Logger('Bitfinex')
warning_logger = Logger('AlgoWarning')
@@ -48,7 +48,7 @@ class Bitfinex(Exchange):
self.id = 'b'
self.name = 'bitfinex'
self.assets = {}
self.load_assets(ASSETS)
self.load_assets(get_exchange_symbols(self.name))
self.base_currency = base_currency
self.store = store
catalyst/exchange/exchange.py
+5 -9
View File
@@ -74,18 +74,14 @@ class Exchange:
asset[key] = pd.to_datetime(asset[key], utc=True)
return asset
def load_assets(self, assets_json):
assets = json.loads(
assets_json,
object_hook=Exchange.asset_parser
)
for exchange_symbol in assets:
def load_assets(self, symbol_map):
for exchange_symbol in symbol_map:
asset_obj = Asset(
sid=abs(hash(assets[exchange_symbol]['symbol'])) % (10 ** 4),
sid=abs(hash(symbol_map[exchange_symbol]['symbol']))
% (10 ** 4),
exchange=self.name,
end_date=pd.Timestamp.utcnow() + timedelta(minutes=300000),
**assets[exchange_symbol]
**symbol_map[exchange_symbol]
)
self.assets[exchange_symbol] = asset_obj
catalyst/exchange/exchange_errors.py
+14
View File
@@ -34,6 +34,20 @@ class ExchangeTransactionError(ZiplineError):
).strip()
class ExchangeAuthNotFound(ZiplineError):
msg = (
'Please create an auth.json file containing the api token and key for '
'exchange {exchange}. Place the file here: {filename}'
).strip()
class ExchangeSymbolsNotFound(ZiplineError):
msg = (
'Unable to download or find a local copy of symbols.json for exchange '
'{exchange}. The file should be here: {filename}'
).strip()
class InvalidHistoryFrequencyError(ZiplineError):
msg = (
'History frequency {frequency} not supported by the exchange.'
catalyst/exchange/exchange_utils.py
+55 -2
View File
@@ -1,9 +1,62 @@
import os
from catalyst.utils.paths import data_root
import urllib
import json
from catalyst.utils.paths import data_root, ensure_directory
from catalyst.exchange.exchange_errors import ExchangeAuthNotFound, \
ExchangeSymbolsNotFound
SYMBOLS_URL = 'https://raw.githubusercontent.com/enigmampc/catalyst/' \
'live-trading/catalyst/exchange/symbols/{exchange}.json'
def get_exchange_folder(environ=None):
def get_exchange_folder(exchange_name, environ=None):
if not environ:
environ = os.environ
root = data_root(environ)
exchange_folder = os.path.join(root, 'exchanges', exchange_name)
ensure_directory(exchange_folder)
return exchange_folder
def download_exchange_symbols(exchange_name, environ=None):
exchange_folder = get_exchange_folder(exchange_name, environ)
filename = os.path.join(exchange_folder, 'symbols.json')
url = SYMBOLS_URL.format(exchange=exchange_name)
response = urllib.urlretrieve(url=url, filename=filename)
return response
def get_exchange_symbols(exchange_name, environ=None):
exchange_folder = get_exchange_folder(exchange_name, environ)
filename = os.path.join(exchange_folder, 'symbols.json')
if not os.path.isfile(filename):
download_exchange_symbols(exchange_name, environ)
if os.path.isfile(filename):
with open(filename) as data_file:
data = json.load(data_file)
return data
else:
raise ExchangeSymbolsNotFound(
exchange=exchange_name,
filename=filename
)
def get_exchange_auth(exchange_name, environ=None):
exchange_folder = get_exchange_folder(exchange_name, environ)
filename = os.path.join(exchange_folder, 'auth.json')
if os.path.isfile(filename):
with open(filename) as data_file:
data = json.load(data_file)
return data
else:
raise ExchangeAuthNotFound(
exchange=exchange_name,
filename=filename
)
catalyst/utils/run_algo.py
+12 -9
View File
@@ -44,6 +44,8 @@ from catalyst.exchange.exchange_errors import (
ExchangeRequestError,
ExchangeRequestErrorTooManyAttempts
)
from catalyst.exchange.exchange_utils import get_exchange_auth, \
get_exchange_folder
from logbook import Logger
log = Logger('run_algo')
@@ -369,7 +371,7 @@ def load_extensions(default, extensions, strict, environ, reload=False):
def run_algorithm(initialize,
capital_base,
capital_base=None,
start=None,
end=None,
handle_data=None,
@@ -384,7 +386,8 @@ def run_algorithm(initialize,
strict_extensions=True,
environ=os.environ,
live=False,
exchange_conn=None,
exchange_name=None,
base_currency=None,
algo_namespace=None):
"""Run a trading algorithm.
@@ -480,19 +483,19 @@ def run_algorithm(initialize,
'cannot specify `bundle_timestamp` without passing `bundle`',
)
else:
if exchange_conn is not None:
if exchange_name is not None:
store = PortfolioMemoryStore(algo_namespace)
if exchange_conn['name'] == 'bitfinex':
exchange_auth = get_exchange_auth(exchange_name)
if exchange_name == 'bitfinex':
exchange = Bitfinex(
key=exchange_conn['key'],
secret=exchange_conn['secret'],
base_currency=exchange_conn['base_currency'],
key=exchange_auth['key'],
secret=exchange_auth['secret'].encode('UTF-8'),
base_currency=base_currency,
store=store
)
else:
raise NotImplementedError(
'exchange not supported: %s' % exchange_conn['name'])
'exchange not supported: %s' % exchange_name)
return _run(
handle_data=handle_data,