diff --git a/catalyst/examples/mean_reversion_simple.py b/catalyst/examples/mean_reversion_simple.py index e46b8df6..1ba812a2 100644 --- a/catalyst/examples/mean_reversion_simple.py +++ b/catalyst/examples/mean_reversion_simple.py @@ -37,8 +37,8 @@ def initialize(context): context.base_price = None context.current_day = None - context.RSI_OVERSOLD = 35 - context.RSI_OVERBOUGHT = 50 + context.RSI_OVERSOLD = 45 + context.RSI_OVERBOUGHT = 55 context.CANDLE_SIZE = '5T' context.start_time = time.time() diff --git a/catalyst/exchange/exchange.py b/catalyst/exchange/exchange.py index b6b24d20..75f4ec3c 100644 --- a/catalyst/exchange/exchange.py +++ b/catalyst/exchange/exchange.py @@ -5,8 +5,6 @@ from time import sleep import numpy as np import pandas as pd -from logbook import Logger - from catalyst.constants import LOG_LEVEL from catalyst.data.data_portal import BASE_FIELDS from catalyst.exchange.exchange_bundle import ExchangeBundle @@ -19,6 +17,7 @@ from catalyst.exchange.utils.bundle_utils import get_start_dt, \ get_delta, get_periods, get_periods_range from catalyst.exchange.utils.exchange_utils import get_exchange_symbols, \ get_frequency, resample_history_df, has_bundle +from logbook import Logger log = Logger('Exchange', level=LOG_LEVEL) diff --git a/catalyst/exchange/exchange_algorithm.py b/catalyst/exchange/exchange_algorithm.py index efd10553..87bff941 100644 --- a/catalyst/exchange/exchange_algorithm.py +++ b/catalyst/exchange/exchange_algorithm.py @@ -18,11 +18,9 @@ from datetime import timedelta from os import listdir from os.path import isfile, join +import catalyst.protocol as zp import logbook import pandas as pd -from redo import retry - -import catalyst.protocol as zp from catalyst.algorithm import TradingAlgorithm from catalyst.constants import LOG_LEVEL from catalyst.exchange.exchange_blotter import ExchangeBlotter @@ -49,6 +47,7 @@ from catalyst.utils.api_support import api_method from catalyst.utils.input_validation import error_keywords, ensure_upper_case from catalyst.utils.math_utils import round_nearest from catalyst.utils.preprocess import preprocess +from redo import retry log = logbook.Logger('exchange_algorithm', level=LOG_LEVEL) diff --git a/catalyst/exchange/exchange_asset_finder.py b/catalyst/exchange/exchange_asset_finder.py index 0a887986..5b41cc7e 100644 --- a/catalyst/exchange/exchange_asset_finder.py +++ b/catalyst/exchange/exchange_asset_finder.py @@ -1,8 +1,7 @@ import pandas as pd -from logbook import Logger - from catalyst.constants import LOG_LEVEL from catalyst.exchange.utils.factory import find_exchanges +from logbook import Logger log = Logger('ExchangeAssetFinder', level=LOG_LEVEL) diff --git a/catalyst/exchange/exchange_blotter.py b/catalyst/exchange/exchange_blotter.py index 41a673e1..cb48f939 100644 --- a/catalyst/exchange/exchange_blotter.py +++ b/catalyst/exchange/exchange_blotter.py @@ -1,8 +1,5 @@ import pandas as pd from catalyst.assets._assets import TradingPair -from logbook import Logger -from redo import retry - from catalyst.constants import LOG_LEVEL from catalyst.exchange.exchange_errors import ExchangeRequestError from catalyst.finance.blotter import Blotter @@ -11,6 +8,8 @@ from catalyst.finance.order import ORDER_STATUS from catalyst.finance.slippage import SlippageModel from catalyst.finance.transaction import create_transaction, Transaction from catalyst.utils.input_validation import expect_types +from logbook import Logger +from redo import retry log = Logger('exchange_blotter', level=LOG_LEVEL) diff --git a/catalyst/exchange/exchange_bundle.py b/catalyst/exchange/exchange_bundle.py index c3d032d2..5ceb73db 100644 --- a/catalyst/exchange/exchange_bundle.py +++ b/catalyst/exchange/exchange_bundle.py @@ -8,12 +8,8 @@ from operator import is_not import numpy as np import pandas as pd import pytz -from catalyst.assets._assets import TradingPair -from logbook import Logger -from pytz import UTC -from six import itervalues - from catalyst import get_calendar +from catalyst.assets._assets import TradingPair from catalyst.constants import DATE_TIME_FORMAT, AUTO_INGEST from catalyst.constants import LOG_LEVEL from catalyst.data.minute_bars import BcolzMinuteOverlappingData, \ @@ -32,6 +28,9 @@ from catalyst.exchange.utils.exchange_utils import get_exchange_folder, \ save_exchange_symbols, mixin_market_params, get_catalyst_symbol from catalyst.utils.cli import maybe_show_progress from catalyst.utils.paths import ensure_directory +from logbook import Logger +from pytz import UTC +from six import itervalues log = Logger('exchange_bundle', level=LOG_LEVEL) diff --git a/catalyst/exchange/exchange_data_portal.py b/catalyst/exchange/exchange_data_portal.py index a37d1025..6f57b7e7 100644 --- a/catalyst/exchange/exchange_data_portal.py +++ b/catalyst/exchange/exchange_data_portal.py @@ -3,9 +3,6 @@ import abc import numpy as np import pandas as pd from catalyst.assets._assets import TradingPair -from logbook import Logger -from redo import retry - from catalyst.constants import LOG_LEVEL, AUTO_INGEST from catalyst.data.data_portal import DataPortal from catalyst.exchange.exchange_bundle import ExchangeBundle @@ -14,6 +11,8 @@ from catalyst.exchange.exchange_errors import ( PricingDataNotLoadedError) from catalyst.exchange.utils.exchange_utils import get_frequency, \ resample_history_df, group_assets_by_exchange +from logbook import Logger +from redo import retry log = Logger('DataPortalExchange', level=LOG_LEVEL) diff --git a/catalyst/exchange/exchange_portfolio.py b/catalyst/exchange/exchange_portfolio.py index 71ed9a35..894fea0f 100644 --- a/catalyst/exchange/exchange_portfolio.py +++ b/catalyst/exchange/exchange_portfolio.py @@ -1,8 +1,7 @@ import numpy as np -from logbook import Logger - from catalyst.constants import LOG_LEVEL from catalyst.protocol import Portfolio, Positions, Position +from logbook import Logger log = Logger('ExchangePortfolio', level=LOG_LEVEL) diff --git a/catalyst/exchange/exchange_pricing_loader.py b/catalyst/exchange/exchange_pricing_loader.py index 38663962..3c59f467 100644 --- a/catalyst/exchange/exchange_pricing_loader.py +++ b/catalyst/exchange/exchange_pricing_loader.py @@ -11,12 +11,6 @@ # 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 logbook import Logger -from numpy import ( - iinfo, - uint32, -) - from catalyst.constants import LOG_LEVEL from catalyst.data.us_equity_pricing import BcolzDailyBarReader from catalyst.errors import NoFurtherDataError @@ -26,6 +20,11 @@ from catalyst.pipeline.data import DataSet, Column from catalyst.pipeline.loaders.base import PipelineLoader from catalyst.utils.calendars import get_calendar from catalyst.utils.numpy_utils import float64_dtype +from logbook import Logger +from numpy import ( + iinfo, + uint32, +) UINT32_MAX = iinfo(uint32).max diff --git a/catalyst/exchange/live_graph_clock.py b/catalyst/exchange/live_graph_clock.py index 40ad9c24..8a04bef0 100644 --- a/catalyst/exchange/live_graph_clock.py +++ b/catalyst/exchange/live_graph_clock.py @@ -1,13 +1,12 @@ import pandas as pd +from catalyst.constants import LOG_LEVEL +from catalyst.exchange.utils.stats_utils import prepare_stats from catalyst.gens.sim_engine import ( BAR, SESSION_START ) from logbook import Logger -from catalyst.constants import LOG_LEVEL -from catalyst.exchange.utils.stats_utils import prepare_stats - log = Logger('LiveGraphClock', level=LOG_LEVEL) diff --git a/catalyst/exchange/simple_clock.py b/catalyst/exchange/simple_clock.py index cede9429..14f52bc9 100644 --- a/catalyst/exchange/simple_clock.py +++ b/catalyst/exchange/simple_clock.py @@ -14,14 +14,13 @@ from time import sleep import pandas as pd +from catalyst.constants import LOG_LEVEL from catalyst.gens.sim_engine import ( BAR, SESSION_START ) from logbook import Logger -from catalyst.constants import LOG_LEVEL - log = Logger('ExchangeClock', level=LOG_LEVEL) diff --git a/catalyst/exchange/utils/bundle_utils.py b/catalyst/exchange/utils/bundle_utils.py index 6107bf79..e9207511 100644 --- a/catalyst/exchange/utils/bundle_utils.py +++ b/catalyst/exchange/utils/bundle_utils.py @@ -6,7 +6,6 @@ from datetime import timedelta, datetime, date import numpy as np import pandas as pd import pytz - from catalyst.data.bundles.core import download_without_progress from catalyst.exchange.utils.exchange_utils import get_exchange_bundles_folder diff --git a/catalyst/exchange/utils/exchange_utils.py b/catalyst/exchange/utils/exchange_utils.py index ebc678d2..f6669c4b 100644 --- a/catalyst/exchange/utils/exchange_utils.py +++ b/catalyst/exchange/utils/exchange_utils.py @@ -8,9 +8,6 @@ from datetime import date, datetime import pandas as pd from catalyst.assets._assets import TradingPair -from six import string_types -from six.moves.urllib import request - from catalyst.constants import DATE_FORMAT, SYMBOLS_URL from catalyst.exchange.exchange_errors import ExchangeSymbolsNotFound, \ InvalidHistoryFrequencyError, InvalidHistoryFrequencyAlias @@ -18,6 +15,8 @@ from catalyst.exchange.utils.serialization_utils import ExchangeJSONEncoder, \ ExchangeJSONDecoder from catalyst.utils.paths import data_root, ensure_directory, \ last_modified_time +from six import string_types +from six.moves.urllib import request def get_sid(symbol): @@ -733,17 +732,3 @@ def get_candles_df(candles, field, freq, bar_count, end_dt, df.dropna(inplace=True) return df - - -def fetch_capital_base(exchange): - """ - Fetch the base currency amount required to bootstrap - the algorithm against the exchange. - - The algorithm cannot continue without this value. - - :param exchange: the targeted exchange - :param attempt_index: - :return capital_base: the amount of base currency available for - trading - """ diff --git a/catalyst/exchange/utils/factory.py b/catalyst/exchange/utils/factory.py index 17499442..5650c42b 100644 --- a/catalyst/exchange/utils/factory.py +++ b/catalyst/exchange/utils/factory.py @@ -1,13 +1,12 @@ import os -from logbook import Logger - from catalyst.constants import LOG_LEVEL from catalyst.exchange.ccxt.ccxt_exchange import CCXT from catalyst.exchange.exchange import Exchange from catalyst.exchange.exchange_errors import ExchangeAuthEmpty from catalyst.exchange.utils.exchange_utils import get_exchange_auth, \ get_exchange_folder, is_blacklist +from logbook import Logger log = Logger('factory', level=LOG_LEVEL) exchange_cache = dict() diff --git a/catalyst/exchange/utils/serialization_utils.py b/catalyst/exchange/utils/serialization_utils.py index 4b098a02..62ab74d5 100644 --- a/catalyst/exchange/utils/serialization_utils.py +++ b/catalyst/exchange/utils/serialization_utils.py @@ -3,9 +3,8 @@ import re from json import JSONEncoder import pandas as pd -from six import string_types - from catalyst.constants import DATE_TIME_FORMAT +from six import string_types class ExchangeJSONEncoder(json.JSONEncoder): diff --git a/catalyst/exchange/utils/stats_utils.py b/catalyst/exchange/utils/stats_utils.py index dd2d4899..0957e4a6 100644 --- a/catalyst/exchange/utils/stats_utils.py +++ b/catalyst/exchange/utils/stats_utils.py @@ -8,7 +8,6 @@ import time import numpy as np import pandas as pd from catalyst.assets._assets import TradingPair - from catalyst.exchange.utils.exchange_utils import get_algo_folder from catalyst.utils.paths import data_root, ensure_directory diff --git a/catalyst/exchange/utils/test_utils.py b/catalyst/exchange/utils/test_utils.py index caae1e23..ac5021be 100644 --- a/catalyst/exchange/utils/test_utils.py +++ b/catalyst/exchange/utils/test_utils.py @@ -3,7 +3,6 @@ import random import tempfile from catalyst.assets._assets import TradingPair - from catalyst.exchange.utils.exchange_utils import get_exchange_folder from catalyst.exchange.utils.factory import find_exchanges from catalyst.utils.paths import ensure_directory