BLD: cleanup in algos and unit tests

catalyst/examples/buy_low_sell_high_neo_with_interface.py

@@ -1,173 +0,0 @@
-import talib
-from logbook import Logger
-import pandas as pd
-
-from catalyst.api import (
-    order,
-    order_target_percent,
-    symbol,
-    record,
-    get_open_orders,
-)
-from catalyst.exchange.stats_utils import get_pretty_stats
-from catalyst.utils.run_algo import run_algorithm
-
-algo_namespace = 'buy_low_sell_high_neo'
-log = Logger(algo_namespace)
-
-
-def initialize(context):
-    log.info('initializing algo')
-    context.asset = symbol('neo_btc', 'bitfinex')
-
-    context.TARGET_POSITIONS = 50000
-    context.PROFIT_TARGET = 0.1
-    context.SLIPPAGE_ALLOWED = 0.02
-
-    context.retry_check_open_orders = 10
-    context.retry_update_portfolio = 10
-    context.retry_order = 5
-
-    context.errors = []
-    pass
-
-
-def _handle_data(context, data):
-    price = data.current(context.asset, 'close')
-    log.info('got price {price}'.format(price=price))
-
-    if price is None:
-        log.warn('no pricing data')
-        return
-
-    prices = data.history(
-        context.asset,
-        fields='price',
-        bar_count=1,
-        frequency='1m'
-    )
-    rsi = talib.RSI(prices.values, timeperiod=14)[-1]
-    log.info('got rsi: {}'.format(rsi))
-
-    # Buying more when RSI is low, this should lower our cost basis
-    if rsi <= 30:
-        buy_increment = 1
-    elif rsi <= 40:
-        buy_increment = 0.5
-    elif rsi <= 70:
-        buy_increment = 0.1
-    else:
-        buy_increment = None
-
-    cash = context.portfolio.cash
-    log.info('base currency available: {cash}'.format(cash=cash))
-
-    record(price=price)
-
-    orders = get_open_orders(context.asset)
-    if len(orders) > 0:
-        log.info('skipping bar until all open orders execute')
-        return
-
-    is_buy = False
-    cost_basis = None
-    if context.asset in context.portfolio.positions:
-        position = context.portfolio.positions[context.asset]
-
-        cost_basis = position.cost_basis
-        log.info(
-            'found {amount} positions with cost basis {cost_basis}'.format(
-                amount=position.amount,
-                cost_basis=cost_basis
-            )
-        )
-
-        if position.amount >= context.TARGET_POSITIONS:
-            log.info('reached positions target: {}'.format(position.amount))
-            return
-
-        if price < cost_basis:
-            is_buy = True
-        elif position.amount > 0 and \
-                        price > cost_basis * (1 + context.PROFIT_TARGET):
-            profit = (price * position.amount) - (cost_basis * position.amount)
-
-            log.info('closing position, taking profit: {}'.format(profit))
-            order_target_percent(
-                asset=context.asset,
-                target=0,
-                limit_price=price * (1 - context.SLIPPAGE_ALLOWED),
-            )
-        else:
-            log.info('no buy or sell opportunity found')
-    else:
-        is_buy = True
-
-    if is_buy:
-        if buy_increment is None:
-            return
-
-        if price * buy_increment > cash:
-            log.info('not enough base currency to consider buying')
-            return
-
-        log.info(
-            'buying position cheaper than cost basis {} < {}'.format(
-                price,
-                cost_basis
-            )
-        )
-        limit_price = price * (1 + context.SLIPPAGE_ALLOWED)
-        order(
-            asset=context.asset,
-            amount=buy_increment,
-            limit_price=limit_price
-        )
-        pass
-
-
-def handle_data(context, data):
-    log.info('handling bar {}'.format(data.current_dt))
-    # try:
-    _handle_data(context, data)
-    # except Exception as e:
-    #     log.warn('aborting the bar on error {}'.format(e))
-    #     context.errors.append(e)
-
-    log.info('completed bar {}, total execution errors {}'.format(
-        data.current_dt,
-        len(context.errors)
-    ))
-
-    if len(context.errors) > 0:
-        log.info('the errors:\n{}'.format(context.errors))
-
-
-def analyze(context, stats):
-    log.info('the daily stats:\n{}'.format(get_pretty_stats(stats)))
-
-    pass
-
-
-# run_algorithm(
-#     initialize=initialize,
-#     handle_data=handle_data,
-#     analyze=analyze,
-#     exchange_name='bitfinex',
-#     live=True,
-#     algo_namespace=algo_namespace,
-#     base_currency='btc',
-#     live_graph=False
-# )
-
-# Backtest
-run_algorithm(
-    capital_base=250,
-    data_frequency='minute',
-    initialize=initialize,
-    handle_data=handle_data,
-    analyze=analyze,
-    exchange_name='bitfinex',
-    algo_namespace=algo_namespace,
-    base_currency='btc'
-)

catalyst/examples/simple_loop.py

@@ -31,7 +31,7 @@ def handle_data(context, data):
 
 run_algorithm(
     capital_base=250,
-    start=pd.to_datetime('2016-1-1', utc=True),
+    start=pd.to_datetime('2016-6-1', utc=True),
     end=pd.to_datetime('2016-12-31', utc=True),
     data_frequency='daily',
     initialize=initialize,

catalyst/exchange/exchange_bundle.py

@@ -437,7 +437,7 @@ class ExchangeBundle:
 
         if end is None or start is None or start >= end:
             raise NoDataAvailableOnExchange(
-                exchange=[asset.exchange.name for asset in assets],
+                exchange=[asset.exchange for asset in assets],
                 symbol=[asset.symbol for asset in assets],
                 data_frequency=data_frequency,
             )

docs/source/releases.rst

@@ -2,6 +2,15 @@
 Release Notes
 =============
 
+Version 0.3.5
+^^^^^^^^^^^^^
+**Release Date**: 2017-11-2
+
+Bug Fixes
+~~~~~~~~~
+
+- Added workaround for: KeyError: Timestamp error (:issue:`53`)
+
 Version 0.3.4
 ^^^^^^^^^^^^^
 **Release Date**: 2017-11-2

tests/exchange/test_bundle.py

@@ -442,7 +442,7 @@ class TestExchangeBundle:
         data_frequency = 'minute'
 
         exchange = get_exchange(exchange_name)
-        asset = exchange.get_asset('eth_btc')
+        asset = exchange.get_asset('neo_usd')
 
         self._bundle_to_csv(
             asset=asset,
@@ -456,8 +456,8 @@ class TestExchangeBundle:
     def bundle_to_csv(self):
         exchange_name = 'bitfinex'
         data_frequency = 'minute'
-        period = '2017-06'
-        symbol = 'etc_btc'
+        period = '2017-10'
+        symbol = 'neo_btc'
 
         exchange = get_exchange(exchange_name)
         asset = exchange.get_asset(symbol)
@@ -475,6 +475,7 @@ class TestExchangeBundle:
             path=path,
             filename=period
         )
+        pass
 
     def _bundle_to_csv(self, asset, exchange, data_frequency, filename,
                        path=None):