BLD: more live trading tests and fixed related issues

catalyst/examples/mean_reversion_simple.py

@@ -37,7 +37,7 @@ def initialize(context):
     context.base_price = None
     context.current_day = None
 
-    context.RSI_OVERSOLD = 25
+    context.RSI_OVERSOLD = 55
     context.RSI_OVERBOUGHT = 82
     context.CANDLE_SIZE = '5T'
 
@@ -239,7 +239,7 @@ def analyze(context=None, perf=None):
 
 if __name__ == '__main__':
     # The execution mode: backtest or live
-    MODE = 'backtest'
+    MODE = 'live'
 
     if MODE == 'backtest':
         folder = os.path.join(
@@ -251,7 +251,7 @@ if __name__ == '__main__':
         out = os.path.join(folder, '{}.p'.format(timestr))
         # catalyst run -f catalyst/examples/mean_reversion_simple.py -x bitfinex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion --data-frequency minute --capital-base 10000
         run_algorithm(
-            capital_base=0.5,
+            capital_base=0.1,
             data_frequency='minute',
             initialize=initialize,
             handle_data=handle_data,
@@ -267,7 +267,7 @@ if __name__ == '__main__':
 
     elif MODE == 'live':
         run_algorithm(
-            capital_base=0.5,
+            capital_base=0.1,
             initialize=initialize,
             handle_data=handle_data,
             analyze=analyze,

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -321,6 +321,7 @@ class CCXT(Exchange):
 
         else:
             params['symbol'] = self.get_catalyst_symbol(market)
+            # TODO: add as an optional column
             params['leverage'] = 1.0
 
         return TradingPair(**params)
@@ -340,7 +341,8 @@ class CCXT(Exchange):
                             is_local=asset_def[1]
                         )
                         self.assets.append(asset)
-                    except TypeError as e:
+
+                    except TypeError:
                         pass
 
     def get_balances(self):
@@ -405,7 +407,11 @@ class CCXT(Exchange):
 
         # order_id = str(order_status['info']['clientOrderId'])
         order_id = order_status['id']
-        symbol = order_status['info']['symbol']
+
+        # TODO: this won't work, redo the packages with a different key.
+        symbol = order_status['info']['symbol'] \
+            if 'symbol' in order_status['info'] \
+            else order_status['info']['Exchange']
 
         order = Order(
             dt=date,
@@ -455,10 +461,9 @@ class CCXT(Exchange):
         if 'info' not in result:
             raise ValueError('cannot use order without info attribute')
 
-        # order_id = str(result['info']['clientOrderId'])
         order_id = result['id']
         order = Order(
-            dt=from_ms_timestamp(result['info']['transactTime']),
+            dt=pd.Timestamp.utcnow(),
             asset=asset,
             amount=amount,
             stop=style.get_stop_price(is_buy),
@@ -490,7 +495,7 @@ class CCXT(Exchange):
     def _get_asset_from_order(self, order_id):
         open_orders = self.portfolio.open_orders
         order = next(
-            (order for order in open_orders if order.id == order_id),
+            (open_orders[id] for id in open_orders if id == order_id),
             None
         )  # type: Order
         return order.asset if order is not None else None
@@ -508,12 +513,12 @@ class CCXT(Exchange):
             symbol = self.get_symbol(asset_or_symbol) \
                 if asset_or_symbol is not None else None
             order_status = self.api.fetch_order(id=order_id, symbol=symbol)
-            order, _ = self._create_order(order_status)
+            order, executed_price = self._create_order(order_status)
 
         except Exception as e:
             raise ExchangeRequestError(error=e)
 
-        return order
+        return order, executed_price
 
     def cancel_order(self, order_param, asset_or_symbol=None):
         order_id = order_param.id \
@@ -555,6 +560,10 @@ class CCXT(Exchange):
 
             ticker['last_traded'] = from_ms_timestamp(ticker['timestamp'])
 
+            if 'last_price' not in ticker:
+                # TODO: any more exceptions?
+                ticker['last_price'] = ticker['last']
+
             # Using the volume represented in the base currency
             ticker['volume'] = ticker['baseVolume'] \
                 if 'baseVolume' in ticker else 0

catalyst/exchange/exchange.py

@@ -270,7 +270,6 @@ class Exchange:
                 asset = a
 
         if asset is None:
-
             supported_symbols = sorted([
                 asset.symbol for asset in self.assets
             ])
@@ -704,8 +703,9 @@ class Exchange:
                 # TODO: convert if the position is not in the base currency
                 ticker = tickers[asset]
                 position = portfolio.positions[asset]
+
                 position.last_sale_price = ticker['last_price']
-                position.last_sale_date = ticker['timestamp']
+                position.last_sale_date = ticker['last_traded']
 
                 portfolio.positions_value += \
                     position.amount * position.last_sale_price

catalyst/exchange/exchange_bundle.py

@@ -1,5 +1,4 @@
 import os
-import os
 import shutil
 from datetime import datetime, timedelta
 from functools import partial
@@ -28,10 +27,9 @@ from catalyst.exchange.exchange_bcolz import BcolzExchangeBarReader, \
 from catalyst.exchange.exchange_errors import EmptyValuesInBundleError, \
     TempBundleNotFoundError, \
     NoDataAvailableOnExchange, \
-    PricingDataNotLoadedError, DataCorruptionError, ExchangeSymbolsNotFound, \
-    PricingDataValueError
+    PricingDataNotLoadedError, DataCorruptionError, PricingDataValueError
 from catalyst.exchange.exchange_utils import get_exchange_folder, \
-    get_exchange_symbols, save_exchange_symbols, mixin_market_params
+    save_exchange_symbols, mixin_market_params
 from catalyst.utils.cli import maybe_show_progress
 from catalyst.utils.paths import ensure_directory
 

catalyst/exchange/stats_utils.py

@@ -153,11 +153,11 @@ def get_pretty_stats(stats_df, recorded_cols=None, num_rows=10):
     def format_positions(positions):
         parts = []
         for position in positions:
-            msg = '{amount:.2f}{market} cost basis {cost_basis:.4f}{base}'.format(
+            msg = '{amount:.2f}{base} cost basis {cost_basis:.4f}{quote}'.format(
                 amount=position['amount'],
-                market=position['sid'].market_currency,
+                base=position['sid'].base_currency,
                 cost_basis=position['cost_basis'],
-                base=position['sid'].base_currency
+                quote=position['sid'].quote_currency
             )
             parts.append(msg)
         return ', '.join(parts)