BLD: first rough test of CCXT in live trading

catalyst/data/loader.py

@@ -142,8 +142,10 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
     if exchange is None:
         # This is exceptional, since placing the import at the module scope
         #  breaks things and it's only needed here
-        from catalyst.exchange.poloniex.poloniex import Poloniex
-        exchange = Poloniex('', '', '')
+        from catalyst.exchange.factory import get_exchange
+        exchange = get_exchange(
+            exchange_name='poloniex', base_currency='usdt'
+        )
 
     benchmark_asset = exchange.get_asset(bm_symbol)
 

catalyst/examples/simple_loop.py

@@ -9,7 +9,7 @@ from catalyst.exchange.stats_utils import get_pretty_stats, \
 
 def initialize(context):
     print('initializing')
-    context.asset = symbol('neo_usd')
+    context.asset = symbol('neo_eth')
     context.base_price = None
 
 
@@ -19,17 +19,14 @@ def handle_data(context, data):
     price = data.current(context.asset, 'close')
     print('got price {price}'.format(price=price))
 
-    try:
-        prices = data.history(
-            context.asset,
-            fields='price',
-            bar_count=14,
-            frequency='15T'
-        )
-        rsi = talib.RSI(prices.values, timeperiod=14)[-1]
-        print('got rsi: {}'.format(rsi))
-    except Exception as e:
-        print(e)
+    prices = data.history(
+        context.asset,
+        fields='price',
+        bar_count=20,
+        frequency='15T'
+    )
+    rsi = talib.RSI(prices.values, timeperiod=14)[-1]
+    print('got rsi: {}'.format(rsi))
 
     # If base_price is not set, we use the current value. This is the
     # price at the first bar which we reference to calculate price_change.
@@ -110,24 +107,25 @@ def analyze(context, perf):
     pass
 
 
-run_algorithm(
-    capital_base=250,
-    start=pd.to_datetime('2017-11-1 0:00', utc=True),
-    end=pd.to_datetime('2017-11-10 23:59', utc=True),
-    data_frequency='daily',
-    initialize=initialize,
-    handle_data=handle_data,
-    analyze=analyze,
-    exchange_name='bitfinex',
-    algo_namespace='simple_loop',
-    base_currency='usd'
-)
 # run_algorithm(
+#     capital_base=250,
+#     start=pd.to_datetime('2017-11-1 0:00', utc=True),
+#     end=pd.to_datetime('2017-11-10 23:59', utc=True),
+#     data_frequency='daily',
 #     initialize=initialize,
 #     handle_data=handle_data,
-#     analyze=None,
-#     exchange_name='poloniex',
-#     live=True,
+#     analyze=analyze,
+#     exchange_name='bitfinex',
 #     algo_namespace='simple_loop',
-#     base_currency='eth',
-#     live_graph=False
+#     base_currency='usd'
+# )
+run_algorithm(
+    initialize=initialize,
+    handle_data=handle_data,
+    analyze=None,
+    exchange_name='binance',
+    live=True,
+    algo_namespace='simple_loop',
+    base_currency='eth',
+    live_graph=False,
+)

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -16,7 +16,8 @@ from catalyst.constants import LOG_LEVEL
 from catalyst.exchange.exchange import Exchange, ExchangeLimitOrder
 from catalyst.exchange.exchange_bundle import ExchangeBundle
 from catalyst.exchange.exchange_errors import InvalidHistoryFrequencyError, \
-    ExchangeSymbolsNotFound, ExchangeRequestError, InvalidOrderStyle
+    ExchangeSymbolsNotFound, ExchangeRequestError, InvalidOrderStyle, \
+    ExchangeNotFoundError
 from catalyst.exchange.exchange_utils import mixin_market_params, \
     from_ms_timestamp
 
@@ -50,8 +51,9 @@ class CCXT(Exchange):
                 'apiKey': key,
                 'secret': secret,
             })
+
         except Exception:
-            raise ValueError('exchange not in CCXT')
+            raise ExchangeNotFoundError(exchange_name=exchange_name)
 
         markets = self.api.load_markets()
         log.debug('the markets:\n{}'.format(markets))
@@ -122,24 +124,27 @@ class CCXT(Exchange):
         delta = start_dt - pd.to_datetime('1970-1-1', utc=True)
         ms = int(delta.total_seconds()) * 1000
 
-        ohlcvs = self.api.fetch_ohlcv(
-            symbol=symbols[0],
-            timeframe=timeframe,
-            since=ms,
-            limit=bar_count,
-            params={}
-        )
+        candles = dict()
+        for asset in assets:
+            ohlcvs = self.api.fetch_ohlcv(
+                symbol=symbols[0],
+                timeframe=timeframe,
+                since=ms,
+                limit=bar_count,
+                params={}
+            )
+
+            candles[asset] = []
+            for ohlcv in ohlcvs:
+                candles[asset].append(dict(
+                    last_traded=pd.to_datetime(ohlcv[0], unit='ms', utc=True),
+                    open=ohlcv[1],
+                    high=ohlcv[2],
+                    low=ohlcv[3],
+                    close=ohlcv[4],
+                    volume=ohlcv[5]
+                ))
 
-        candles = []
-        for ohlcv in ohlcvs:
-            candles.append(dict(
-                last_traded=pd.to_datetime(ohlcv[0], unit='ms', utc=True),
-                open=ohlcv[1],
-                high=ohlcv[2],
-                low=ohlcv[3],
-                close=ohlcv[4],
-                volume=ohlcv[5]
-            ))
         return candles
 
     def _fetch_symbol_map(self, is_local):

catalyst/exchange/exchange.py

@@ -357,10 +357,10 @@ class Exchange:
 
         tickers = self.tickers(assets)
         if field == 'close' or field == 'price':
-            return [t['last'] for t in tickers]
+            return [tickers[asset]['last'] for asset in tickers]
 
         elif field == 'volume':
-            return [t['volume'] for t in tickers]
+            return [tickers[asset]['volume'] for asset in tickers]
 
         else:
             raise NoValueForField(field=field)

catalyst/exchange/factory.py

@@ -1,38 +1,31 @@
-from catalyst.exchange.bitfinex.bitfinex import Bitfinex
-from catalyst.exchange.bittrex.bittrex import Bittrex
-from catalyst.exchange.exchange_errors import ExchangeNotFoundError
-from catalyst.exchange.exchange_utils import get_exchange_auth
-from catalyst.exchange.poloniex.poloniex import Poloniex
+import os
+
+from catalyst.exchange.ccxt.ccxt_exchange import CCXT
+from catalyst.exchange.exchange_errors import ExchangeAuthEmpty
+from catalyst.exchange.exchange_utils import get_exchange_auth, \
+    get_exchange_folder
 
 
-def get_exchange(exchange_name, base_currency=None):
+def get_exchange(exchange_name, base_currency=None, portfolio=None,
+                 must_authenticate=False):
     exchange_auth = get_exchange_auth(exchange_name)
-    if exchange_name == 'bitfinex':
-        return Bitfinex(
-            key=exchange_auth['key'],
-            secret=exchange_auth['secret'],
-            base_currency=base_currency,
-            portfolio=None
+
+    has_auth = (exchange_auth['key'] != '' and exchange_auth['secret'] != '')
+    if must_authenticate and not has_auth:
+        raise ExchangeAuthEmpty(
+            exchange=exchange_name.title(),
+            filename=os.path.join(
+                get_exchange_folder(exchange_name), 'auth.json'
+            )
         )
 
-    elif exchange_name == 'bittrex':
-        return Bittrex(
-            key=exchange_auth['key'],
-            secret=exchange_auth['secret'],
-            base_currency=base_currency,
-            portfolio=None
-        )
-
-    elif exchange_name == 'poloniex':
-        return Poloniex(
-            key=exchange_auth['key'],
-            secret=exchange_auth['secret'],
-            base_currency=base_currency,
-            portfolio=None
-        )
-
-    else:
-        raise ExchangeNotFoundError(exchange_name=exchange_name)
+    return CCXT(
+        exchange_name=exchange_name,
+        key=exchange_auth['key'],
+        secret=exchange_auth['secret'],
+        base_currency=base_currency,
+        portfolio=portfolio
+    )
 
 
 def get_exchanges(exchange_names):

catalyst/utils/run_algo.py

@@ -13,6 +13,7 @@ from catalyst.data.bundles import load
 from catalyst.data.data_portal import DataPortal
 from catalyst.exchange.bittrex.bittrex import Bittrex
 from catalyst.exchange.bitfinex.bitfinex import Bitfinex
+from catalyst.exchange.factory import get_exchange
 from catalyst.exchange.poloniex.poloniex import Poloniex
 
 try:
@@ -164,42 +165,15 @@ def _run(handle_data,
 
         if portfolio is None:
             portfolio = ExchangePortfolio(
-                start_date=pd.Timestamp.utcnow()
+                start if start is not None else pd.Timestamp.utcnow()
             )
 
-        # This corresponds to the json file containing api token info
-        exchange_auth = get_exchange_auth(exchange_name)
-
-        if live and (exchange_auth['key'] == '' \
-                             or exchange_auth['secret'] == ''):
-            raise ExchangeAuthEmpty(
-                exchange=exchange_name.title(),
-                filename=os.path.join(
-                    get_exchange_folder(exchange_name, environ), 'auth.json'))
-
-        if exchange_name == 'bitfinex':
-            exchanges[exchange_name] = Bitfinex(
-                key=exchange_auth['key'],
-                secret=exchange_auth['secret'],
-                base_currency=base_currency,
-                portfolio=portfolio
-            )
-        elif exchange_name == 'bittrex':
-            exchanges[exchange_name] = Bittrex(
-                key=exchange_auth['key'],
-                secret=exchange_auth['secret'],
-                base_currency=base_currency,
-                portfolio=portfolio
-            )
-        elif exchange_name == 'poloniex':
-            exchanges[exchange_name] = Poloniex(
-                key=exchange_auth['key'],
-                secret=exchange_auth['secret'],
-                base_currency=base_currency,
-                portfolio=portfolio
-            )
-        else:
-            raise ExchangeNotFoundError(exchange_name=exchange_name)
+        exchanges[exchange_name] = get_exchange(
+            exchange_name=exchange_name,
+            base_currency=base_currency,
+            portfolio=portfolio,
+            must_authenticate=live,
+        )
 
     open_calendar = get_calendar('OPEN')