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DOC: Added Example Algos and Utilities pages
This commit is contained in:
Victor Grau Serrat
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Example Algorithms
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==================
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This section documents a small number of example algorithms to complement the
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beginner tutorial, and show how other trading algorithms can be implemented
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using Catalyst:
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Buy and Hodl
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~~~~~~~~~~~~
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source: `examples/buy_and_hodl.py <https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py>`_
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First ingest the historical pricing data needed to run this algorithm:
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.. code-block:: bash
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catalyst ingest-exchange -x poloniex -f daily -i btc_usdt
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Then, you can run the code below with the following command:
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.. code-block:: bash
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catalyst run -f buy_and_hodl.py --start 2015-3-1 --end 2017-10-31 --capital-base 100000 -x poloniex -c btc -o bah.pickle
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This command will run the trading algorithm in the specified time range and
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plot the resulting performance using the matplotlib library. You can choose any
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date interval with the ``--start`` and ``--end`` parameters, but bear in mind
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that 2015-3-1 is the earliest date that Catalyst supports (if you choose an
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earlier date, you'll get an error), and the most recent date you can choose is
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one day prior to the current date.
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.. code-block:: python
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#!/usr/bin/env python
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#
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# Copyright 2017 Enigma MPC, Inc.
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# Copyright 2015 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import pandas as pd
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from catalyst.api import (
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order_target_value,
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symbol,
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record,
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cancel_order,
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get_open_orders,
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)
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def initialize(context):
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context.ASSET_NAME = 'btc_usdt'
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context.TARGET_HODL_RATIO = 0.8
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context.RESERVE_RATIO = 1.0 - context.TARGET_HODL_RATIO
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context.is_buying = True
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context.asset = symbol(context.ASSET_NAME)
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context.i = 0
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def handle_data(context, data):
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context.i += 1
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starting_cash = context.portfolio.starting_cash
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target_hodl_value = context.TARGET_HODL_RATIO * starting_cash
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reserve_value = context.RESERVE_RATIO * starting_cash
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# Cancel any outstanding orders
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orders = get_open_orders(context.asset) or []
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for order in orders:
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cancel_order(order)
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# Stop buying after passing the reserve threshold
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cash = context.portfolio.cash
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if cash <= reserve_value:
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context.is_buying = False
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# Retrieve current asset price from pricing data
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price = data.current(context.asset, 'price')
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# Check if still buying and could (approximately) afford another purchase
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if context.is_buying and cash > price:
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# Place order to make position in asset equal to target_hodl_value
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order_target_value(
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context.asset,
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target_hodl_value,
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limit_price=price * 1.1,
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stop_price=price * 0.9,
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)
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record(
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price=price,
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volume=data.current(context.asset, 'volume'),
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cash=cash,
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starting_cash=context.portfolio.starting_cash,
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leverage=context.account.leverage,
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)
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def analyze(context=None, results=None):
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import matplotlib.pyplot as plt
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# Plot the portfolio and asset data.
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ax1 = plt.subplot(611)
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results[['portfolio_value']].plot(ax=ax1)
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ax1.set_ylabel('Portfolio Value (USD)')
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ax2 = plt.subplot(612, sharex=ax1)
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ax2.set_ylabel('{asset} (USD)'.format(asset=context.ASSET_NAME))
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results[['price']].plot(ax=ax2)
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trans = results.ix[[t != [] for t in results.transactions]]
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buys = trans.ix[
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[t[0]['amount'] > 0 for t in trans.transactions]
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]
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ax2.plot(
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buys.index,
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results.price[buys.index],
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'^',
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markersize=10,
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color='g',
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)
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ax3 = plt.subplot(613, sharex=ax1)
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results[['leverage', 'alpha', 'beta']].plot(ax=ax3)
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ax3.set_ylabel('Leverage ')
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ax4 = plt.subplot(614, sharex=ax1)
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results[['starting_cash', 'cash']].plot(ax=ax4)
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ax4.set_ylabel('Cash (USD)')
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results[[
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'treasury',
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'algorithm',
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'benchmark',
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]] = results[[
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'treasury_period_return',
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'algorithm_period_return',
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'benchmark_period_return',
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]]
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ax5 = plt.subplot(615, sharex=ax1)
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results[[
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'treasury',
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'algorithm',
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'benchmark',
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]].plot(ax=ax5)
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ax5.set_ylabel('Percent Change')
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ax6 = plt.subplot(616, sharex=ax1)
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results[['volume']].plot(ax=ax6)
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ax6.set_ylabel('Volume (mCoins/5min)')
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plt.legend(loc=3)
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# Show the plot.
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plt.gcf().set_size_inches(18, 8)
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plt.show()
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@@ -12,6 +12,8 @@ Table of Contents
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jupyter
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live-trading
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naming-convention
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example-algos
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utilities
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videos
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resources
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development-guidelines
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Utilities
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=========
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This section covers a variety of utilites that provide complimentary
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functionality to your trading algorithms. These are code snippets that you can
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add to any algorithm to add the desired functionality.
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If you are looking for example trading algorithms, see the corresponding section.
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Output to CSV file
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~~~~~~~~~~~~~~~~~~
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Add this script to the analyze method to create and save a CSV file with the
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results from the trading algorithm. This file will include the default
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parameters of the results DataFrame plus any recorded variables and will be
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saved in the same location where your trading algorithm is saved. The exact
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script that you need to use depends on the interface that you are using to run
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your trading algorithm, which could be the CLI or a Python Interpreter.
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1. Script to use with CLI:
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.. code-block:: python
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def analyze(context=None, results=None):
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import sys
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import os
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from os.path import basename
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# Save results in CSV file
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filename = os.path.splitext(basename(sys.argv[3]))[0]
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results.to_csv(filename + '.csv')
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2. Script to use with Python Interpreter:
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.. code-block:: python
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def analyze(context=None, results=None):
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import os
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from os.path import basename
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# Save results in CSV file
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filename = os.path.splitext(os.path.basename(__file__))[0]
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results.to_csv(filename + '.csv')
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Extracting market data
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~~~~~~~~~~~~~~~~~~~~~~
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Use this script to save the price and volume data of one cryptoasset in a CSV
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file, which will be saved in the same location and with the same name as your
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Python file. To get custom data, simply modify the asset's symbol and the dates.
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Run this script directly from your development environment: python scriptname.py,
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where the contents of 'scriptname.py' are as follows. Two different version are
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provided as an example for daily- and minute-resolution data respectively:
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Simpler case for daily data
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.. code-block:: python
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import os
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import pytz
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from datetime import datetime
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from catalyst.api import record, symbol, symbols
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from catalyst.utils.run_algo import run_algorithm
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def initialize(context):
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# Portfolio assets list
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context.asset = symbol('btc_usdt') # Bitcoin on Poloniex
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def handle_data(context, data):
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# Variables to record for a given asset: price and volume
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price = data.current(context.asset, 'price')
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volume = data.current(context.asset, 'volume')
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record(price=price, volume=volume)
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def analyze(context=None, results=None):
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# Generate DataFrame with Price and Volume only
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data = results[['price','volume']]
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# Save results in CSV file
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filename = os.path.splitext(os.path.basename(__file__))[0]
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data.to_csv(filename + '.csv')
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''' Bitcoin data is available on Poloniex since 2015-3-1.
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Dates vary for other tokens. In the example below, we choose the
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full month of July of 2017.
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'''
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start = datetime(2017, 1, 1, 0, 0, 0, 0, pytz.utc)
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end = datetime(2017, 7, 31, 0, 0, 0, 0, pytz.utc)
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results = run_algorithm(initialize=initialize,
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handle_data=handle_data,
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analyze=analyze,
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start=start,
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end=end,
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exchange_name='poloniex',
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capital_base=10000,
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base_currency = 'usdt')
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More versatile case for minute data
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.. code-block:: python
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import os
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import csv
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import pytz
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from datetime import datetime
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from catalyst.api import record, symbol, symbols
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from catalyst.utils.run_algo import run_algorithm
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def initialize(context):
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# Portfolio assets list
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context.asset = symbol('btc_usdt') # Bitcoin on Poloniex
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# Creates a .CSV file with the same name as this script to store results
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context.csvfile = open(os.path.splitext(
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os.path.basename(__file__))[0]+'.csv', 'w+')
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context.csvwriter = csv.writer(context.csvfile)
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def handle_data(context, data):
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# Variables to record for a given asset: price and volume
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# Other options include 'open', 'high', 'open', 'close'
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# Please note that 'price' equals 'close'
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date = context.blotter.current_dt # current time in each iteration
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price = data.current(context.asset, 'price')
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volume = data.current(context.asset, 'volume')
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# Writes one line to CSV on each iteration with the chosen variables
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context.csvwriter.writerow([date,price,volume])
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def analyze(context=None, results=None):
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# Close open file properly at the end
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context.csvfile.close()
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# Bitcoin data is available from 2015-3-2. Dates vary for other tokens.
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start = datetime(2017, 7, 30, 0, 0, 0, 0, pytz.utc)
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end = datetime(2017, 7, 31, 0, 0, 0, 0, pytz.utc)
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results = run_algorithm(initialize=initialize,
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handle_data=handle_data,
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analyze=analyze,
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start=start,
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end=end,
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exchange_name='poloniex',
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data_frequency='minute',
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base_currency ='usdt',
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capital_base=10000 )
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@@ -119,6 +119,15 @@
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</ul>
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</li>
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<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
|
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<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
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<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
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</ul>
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</li>
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<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
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||||
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
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</ul>
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</li>
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||||
<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-macos">Installation: MacOS</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
|
||||
|
||||
+17
-11
@@ -73,21 +73,23 @@
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|
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<ul class="current">
|
||||
<li class="toctree-l1"><a class="reference internal" href="install.html">Install</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#gnu-linux">GNU/Linux</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#osx">OSX</a><ul>
|
||||
<li class="toctree-l4"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#windows">Windows</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami">Amazon Linux AMI</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-conda">Installing with <code class="docutils literal"><span class="pre">conda</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-conda-install">Troubleshooting <code class="docutils literal"><span class="pre">conda</span></code> Install</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#gnu-linux-requirements">GNU/Linux Requirements</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami-notes">Amazon Linux AMI Notes</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#macos-requirements">MacOS Requirements</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#windows-requirements">Windows Requirements</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
@@ -119,6 +121,10 @@
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-macos">Installation: MacOS</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
|
||||
|
||||
+17
-11
@@ -71,21 +71,23 @@
|
||||
|
||||
<ul>
|
||||
<li class="toctree-l1"><a class="reference internal" href="install.html">Install</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#gnu-linux">GNU/Linux</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#osx">OSX</a><ul>
|
||||
<li class="toctree-l4"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#windows">Windows</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami">Amazon Linux AMI</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-conda">Installing with <code class="docutils literal"><span class="pre">conda</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-conda-install">Troubleshooting <code class="docutils literal"><span class="pre">conda</span></code> Install</a></li>
|
||||
</ul>
|
||||
</li>
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|
||||
<a href="_sources/example-algos.txt" rel="nofollow"> View page source</a>
|
||||
|
||||
|
||||
</li>
|
||||
</ul>
|
||||
<hr/>
|
||||
</div>
|
||||
<div role="main" class="document">
|
||||
|
||||
<div class="line-block">
|
||||
<div class="line"><br /></div>
|
||||
</div>
|
||||
<div class="section" id="example-algorithms">
|
||||
<h1>Example Algorithms<a class="headerlink" href="#example-algorithms" title="Permalink to this headline">¶</a></h1>
|
||||
<p>This section documents a small number of example algorithms to complement the
|
||||
beginner tutorial, and show how other trading algorithms can be implemented
|
||||
using Catalyst:</p>
|
||||
<div class="section" id="buy-and-hodl">
|
||||
<h2>Buy and Hodl<a class="headerlink" href="#buy-and-hodl" title="Permalink to this headline">¶</a></h2>
|
||||
<p>source: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py">examples/buy_and_hodl.py</a></p>
|
||||
<p>First ingest the historical pricing data needed to run this algorithm:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x poloniex -f daily -i btc_usdt
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>Then, you can run the code below with the following command:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre>catalyst run -f buy_and_hodl.py --start 2015-3-1 --end 2017-10-31 --capital-base <span class="m">100000</span> -x poloniex -c btc -o bah.pickle
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>This command will run the trading algorithm in the specified time range and
|
||||
plot the resulting performance using the matplotlib library. You can choose any
|
||||
date interval with the <code class="docutils literal"><span class="pre">--start</span></code> and <code class="docutils literal"><span class="pre">--end</span></code> parameters, but bear in mind
|
||||
that 2015-3-1 is the earliest date that Catalyst supports (if you choose an
|
||||
earlier date, you’ll get an error), and the most recent date you can choose is
|
||||
one day prior to the current date.</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="c">#!/usr/bin/env python</span>
|
||||
<span class="c">#</span>
|
||||
<span class="c"># Copyright 2017 Enigma MPC, Inc.</span>
|
||||
<span class="c"># Copyright 2015 Quantopian, Inc.</span>
|
||||
<span class="c">#</span>
|
||||
<span class="c"># Licensed under the Apache License, Version 2.0 (the "License");</span>
|
||||
<span class="c"># you may not use this file except in compliance with the License.</span>
|
||||
<span class="c"># You may obtain a copy of the License at</span>
|
||||
<span class="c">#</span>
|
||||
<span class="c"># http://www.apache.org/licenses/LICENSE-2.0</span>
|
||||
<span class="c">#</span>
|
||||
<span class="c"># Unless required by applicable law or agreed to in writing, software</span>
|
||||
<span class="c"># distributed under the License is distributed on an "AS IS" BASIS,</span>
|
||||
<span class="c"># WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.</span>
|
||||
<span class="c"># See the License for the specific language governing permissions and</span>
|
||||
<span class="c"># limitations under the License.</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="n">order_target_value</span><span class="p">,</span>
|
||||
<span class="n">symbol</span><span class="p">,</span>
|
||||
<span class="n">record</span><span class="p">,</span>
|
||||
<span class="n">cancel_order</span><span class="p">,</span>
|
||||
<span class="n">get_open_orders</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span> <span class="o">=</span> <span class="s">'btc_usdt'</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span> <span class="o">=</span> <span class="mf">0.8</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">RESERVE_RATIO</span> <span class="o">=</span> <span class="mf">1.0</span> <span class="o">-</span> <span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span>
|
||||
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="o">=</span> <span class="bp">True</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span><span class="p">)</span>
|
||||
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
|
||||
|
||||
<span class="n">starting_cash</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">starting_cash</span>
|
||||
<span class="n">target_hodl_value</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span> <span class="o">*</span> <span class="n">starting_cash</span>
|
||||
<span class="n">reserve_value</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">RESERVE_RATIO</span> <span class="o">*</span> <span class="n">starting_cash</span>
|
||||
|
||||
<span class="c"># Cancel any outstanding orders</span>
|
||||
<span class="n">orders</span> <span class="o">=</span> <span class="n">get_open_orders</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">)</span> <span class="ow">or</span> <span class="p">[]</span>
|
||||
<span class="k">for</span> <span class="n">order</span> <span class="ow">in</span> <span class="n">orders</span><span class="p">:</span>
|
||||
<span class="n">cancel_order</span><span class="p">(</span><span class="n">order</span><span class="p">)</span>
|
||||
|
||||
<span class="c"># Stop buying after passing the reserve threshold</span>
|
||||
<span class="n">cash</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">cash</span>
|
||||
<span class="k">if</span> <span class="n">cash</span> <span class="o"><=</span> <span class="n">reserve_value</span><span class="p">:</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="o">=</span> <span class="bp">False</span>
|
||||
|
||||
<span class="c"># Retrieve current asset price from pricing data</span>
|
||||
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</span><span class="p">)</span>
|
||||
|
||||
<span class="c"># Check if still buying and could (approximately) afford another purchase</span>
|
||||
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="ow">and</span> <span class="n">cash</span> <span class="o">></span> <span class="n">price</span><span class="p">:</span>
|
||||
<span class="c"># Place order to make position in asset equal to target_hodl_value</span>
|
||||
<span class="n">order_target_value</span><span class="p">(</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span>
|
||||
<span class="n">target_hodl_value</span><span class="p">,</span>
|
||||
<span class="n">limit_price</span><span class="o">=</span><span class="n">price</span> <span class="o">*</span> <span class="mf">1.1</span><span class="p">,</span>
|
||||
<span class="n">stop_price</span><span class="o">=</span><span class="n">price</span> <span class="o">*</span> <span class="mf">0.9</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
|
||||
<span class="n">record</span><span class="p">(</span>
|
||||
<span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span>
|
||||
<span class="n">volume</span><span class="o">=</span><span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'volume'</span><span class="p">),</span>
|
||||
<span class="n">cash</span><span class="o">=</span><span class="n">cash</span><span class="p">,</span>
|
||||
<span class="n">starting_cash</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">starting_cash</span><span class="p">,</span>
|
||||
<span class="n">leverage</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">account</span><span class="o">.</span><span class="n">leverage</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
|
||||
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
|
||||
|
||||
<span class="c"># Plot the portfolio and asset data.</span>
|
||||
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">611</span><span class="p">)</span>
|
||||
<span class="n">results</span><span class="p">[[</span><span class="s">'portfolio_value'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'Portfolio Value (USD)'</span><span class="p">)</span>
|
||||
|
||||
<span class="n">ax2</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">612</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'{asset} (USD)'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">asset</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span><span class="p">))</span>
|
||||
<span class="n">results</span><span class="p">[[</span><span class="s">'price'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
|
||||
|
||||
<span class="n">trans</span> <span class="o">=</span> <span class="n">results</span><span class="o">.</span><span class="n">ix</span><span class="p">[[</span><span class="n">t</span> <span class="o">!=</span> <span class="p">[]</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">results</span><span class="o">.</span><span class="n">transactions</span><span class="p">]]</span>
|
||||
<span class="n">buys</span> <span class="o">=</span> <span class="n">trans</span><span class="o">.</span><span class="n">ix</span><span class="p">[</span>
|
||||
<span class="p">[</span><span class="n">t</span><span class="p">[</span><span class="mi">0</span><span class="p">][</span><span class="s">'amount'</span><span class="p">]</span> <span class="o">></span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">trans</span><span class="o">.</span><span class="n">transactions</span><span class="p">]</span>
|
||||
<span class="p">]</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span>
|
||||
<span class="n">buys</span><span class="o">.</span><span class="n">index</span><span class="p">,</span>
|
||||
<span class="n">results</span><span class="o">.</span><span class="n">price</span><span class="p">[</span><span class="n">buys</span><span class="o">.</span><span class="n">index</span><span class="p">],</span>
|
||||
<span class="s">'^'</span><span class="p">,</span>
|
||||
<span class="n">markersize</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span>
|
||||
<span class="n">color</span><span class="o">=</span><span class="s">'g'</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
|
||||
<span class="n">ax3</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">613</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">results</span><span class="p">[[</span><span class="s">'leverage'</span><span class="p">,</span> <span class="s">'alpha'</span><span class="p">,</span> <span class="s">'beta'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax3</span><span class="p">)</span>
|
||||
<span class="n">ax3</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'Leverage '</span><span class="p">)</span>
|
||||
|
||||
<span class="n">ax4</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">614</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">results</span><span class="p">[[</span><span class="s">'starting_cash'</span><span class="p">,</span> <span class="s">'cash'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax4</span><span class="p">)</span>
|
||||
<span class="n">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'Cash (USD)'</span><span class="p">)</span>
|
||||
|
||||
<span class="n">results</span><span class="p">[[</span>
|
||||
<span class="s">'treasury'</span><span class="p">,</span>
|
||||
<span class="s">'algorithm'</span><span class="p">,</span>
|
||||
<span class="s">'benchmark'</span><span class="p">,</span>
|
||||
<span class="p">]]</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span>
|
||||
<span class="s">'treasury_period_return'</span><span class="p">,</span>
|
||||
<span class="s">'algorithm_period_return'</span><span class="p">,</span>
|
||||
<span class="s">'benchmark_period_return'</span><span class="p">,</span>
|
||||
<span class="p">]]</span>
|
||||
|
||||
<span class="n">ax5</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">615</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">results</span><span class="p">[[</span>
|
||||
<span class="s">'treasury'</span><span class="p">,</span>
|
||||
<span class="s">'algorithm'</span><span class="p">,</span>
|
||||
<span class="s">'benchmark'</span><span class="p">,</span>
|
||||
<span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax5</span><span class="p">)</span>
|
||||
<span class="n">ax5</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'Percent Change'</span><span class="p">)</span>
|
||||
|
||||
<span class="n">ax6</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">616</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">results</span><span class="p">[[</span><span class="s">'volume'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax6</span><span class="p">)</span>
|
||||
<span class="n">ax6</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'Volume (mCoins/5min)'</span><span class="p">)</span>
|
||||
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">legend</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="mi">3</span><span class="p">)</span>
|
||||
|
||||
<span class="c"># Show the plot.</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">8</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
|
||||
</div>
|
||||
<footer>
|
||||
|
||||
<div class="rst-footer-buttons" role="navigation" aria-label="footer navigation">
|
||||
|
||||
<a href="utilities.html" class="btn btn-neutral float-right" title="Utilities" accesskey="n">Next <span class="fa fa-arrow-circle-right"></span></a>
|
||||
|
||||
|
||||
<a href="naming-convention.html" class="btn btn-neutral" title="Naming Convention" accesskey="p"><span class="fa fa-arrow-circle-left"></span> Previous</a>
|
||||
|
||||
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|
||||
|
||||
|
||||
<hr/>
|
||||
|
||||
<div role="contentinfo">
|
||||
<p>
|
||||
© Copyright 2017, Enigma MPC, Inc..
|
||||
</p>
|
||||
</div>
|
||||
Built with <a href="http://sphinx-doc.org/">Sphinx</a> using a <a href="https://github.com/snide/sphinx_rtd_theme">theme</a> provided by <a href="https://readthedocs.org">Read the Docs</a>.
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||||
|
||||
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|
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|
||||
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|
||||
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|
||||
|
||||
</section>
|
||||
|
||||
</div>
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
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||||
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||||
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||||
</ul>
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||||
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|
||||
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
|
||||
</ul>
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||||
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||||
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
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||||
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<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
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<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
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||||
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
|
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
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<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
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||||
@@ -281,6 +290,8 @@ performance across trading algorithms.</li>
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<li class="toctree-l1"><a class="reference internal" href="jupyter.html">Catalyst & Jupyter Notebook</a></li>
|
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<li class="toctree-l1"><a class="reference internal" href="live-trading.html">Live Trading</a></li>
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<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
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<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a></li>
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<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
|
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<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
|
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<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-macos">Installation: MacOS</a></li>
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<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
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<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
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<li class="toctree-l3"><a class="reference internal" href="install.html#gnu-linux">GNU/Linux</a></li>
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<li class="toctree-l3"><a class="reference internal" href="install.html#osx">OSX</a><ul>
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<li class="toctree-l4"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
|
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<li class="toctree-l3"><a class="reference internal" href="install.html#windows">Windows</a></li>
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<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami">Amazon Linux AMI</a></li>
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<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-conda">Installing with <code class="docutils literal"><span class="pre">conda</span></code></a><ul>
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|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
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||||
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|
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|
||||
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
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||||
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<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-macos">Installation: MacOS</a></li>
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<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
|
||||
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<ul class="current">
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||||
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<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
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<li class="toctree-l4"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
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</ul>
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</li>
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<li class="toctree-l3"><a class="reference internal" href="install.html#windows">Windows</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami">Amazon Linux AMI</a></li>
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<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
|
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</ul>
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</li>
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||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-conda">Installing with <code class="docutils literal"><span class="pre">conda</span></code></a><ul>
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<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-conda-install">Troubleshooting <code class="docutils literal"><span class="pre">conda</span></code> Install</a></li>
|
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</ul>
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</li>
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<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
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<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
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|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami-notes">Amazon Linux AMI Notes</a></li>
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||||
<li class="toctree-l3"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
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||||
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|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
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||||
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@@ -119,6 +121,10 @@
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||||
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||||
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
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|
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<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
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<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
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@@ -285,7 +291,7 @@ or any other cryptocurrency. Given its 1:1 mapping to the USD, is a viable alter
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<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-6">Version 0.3.6</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id2">Bug Fixes</a></li>
|
||||
</ul>
|
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|
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<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-5">Version 0.3.5</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id3">Bug Fixes</a></li>
|
||||
</ul>
|
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|
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<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-4">Version 0.3.4</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id4">Bug Fixes</a></li>
|
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<li class="toctree-l3"><a class="reference internal" href="releases.html#id5">Build</a></li>
|
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<li class="toctree-l3"><a class="reference internal" href="releases.html#documentation">Documentation</a></li>
|
||||
</ul>
|
||||
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|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-3">Version 0.3.3</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id7">Bug Fixes</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id8">Build</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-2">Version 0.3.2</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id9">Bug Fixes</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id10">Build</a></li>
|
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</ul>
|
||||
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|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-1">Version 0.3.1</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="releases.html#id11">Bug Fixes</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3">Version 0.3</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev5">Version 0.2.dev5</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev4">Version 0.2.dev4</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev3">Version 0.2.dev3</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev2">Version 0.2.dev2</a></li>
|
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<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev1">Version 0.2.dev1</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-1-dev9">Version 0.1.dev9</a></li>
|
||||
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|
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|
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<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-1-dev6">Version 0.1.dev6</a></li>
|
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|
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<li><a href="index.html">Docs</a> »</li>
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<li>Utilities</li>
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<div role="main" class="document">
|
||||
|
||||
<div class="section" id="utilities">
|
||||
<h1>Utilities<a class="headerlink" href="#utilities" title="Permalink to this headline">¶</a></h1>
|
||||
<p>This section covers a variety of utilites that provide complimentary
|
||||
functionality to your trading algorithms. These are code snippets that you can
|
||||
add to any algorithm to add the desired functionality.</p>
|
||||
<p>If you are looking for example trading algorithms, see the corresponding section.</p>
|
||||
<div class="section" id="output-to-csv-file">
|
||||
<h2>Output to CSV file<a class="headerlink" href="#output-to-csv-file" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Add this script to the analyze method to create and save a CSV file with the
|
||||
results from the trading algorithm. This file will include the default
|
||||
parameters of the results DataFrame plus any recorded variables and will be
|
||||
saved in the same location where your trading algorithm is saved. The exact
|
||||
script that you need to use depends on the interface that you are using to run
|
||||
your trading algorithm, which could be the CLI or a Python Interpreter.</p>
|
||||
<ol class="arabic">
|
||||
<li><p class="first">Script to use with CLI:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
|
||||
<span class="kn">import</span> <span class="nn">sys</span>
|
||||
<span class="kn">import</span> <span class="nn">os</span>
|
||||
<span class="kn">from</span> <span class="nn">os.path</span> <span class="kn">import</span> <span class="n">basename</span>
|
||||
|
||||
<span class="c"># Save results in CSV file</span>
|
||||
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">basename</span><span class="p">(</span><span class="n">sys</span><span class="o">.</span><span class="n">argv</span><span class="p">[</span><span class="mi">3</span><span class="p">]))[</span><span class="mi">0</span><span class="p">]</span>
|
||||
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s">'.csv'</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</li>
|
||||
<li><p class="first">Script to use with Python Interpreter:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
|
||||
<span class="kn">import</span> <span class="nn">os</span>
|
||||
<span class="kn">from</span> <span class="nn">os.path</span> <span class="kn">import</span> <span class="n">basename</span>
|
||||
|
||||
<span class="c"># Save results in CSV file</span>
|
||||
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="n">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
|
||||
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s">'.csv'</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</li>
|
||||
</ol>
|
||||
</div>
|
||||
<div class="section" id="extracting-market-data">
|
||||
<h2>Extracting market data<a class="headerlink" href="#extracting-market-data" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Use this script to save the price and volume data of one cryptoasset in a CSV
|
||||
file, which will be saved in the same location and with the same name as your
|
||||
Python file. To get custom data, simply modify the asset’s symbol and the dates.
|
||||
Run this script directly from your development environment: python scriptname.py,
|
||||
where the contents of ‘scriptname.py’ are as follows. Two different version are
|
||||
provided as an example for daily- and minute-resolution data respectively:</p>
|
||||
<p>Simpler case for daily data</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">os</span>
|
||||
<span class="kn">import</span> <span class="nn">pytz</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">symbols</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.utils.run_algo</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
||||
<span class="c"># Portfolio assets list</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">'btc_usdt'</span><span class="p">)</span> <span class="c"># Bitcoin on Poloniex</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
||||
<span class="c"># Variables to record for a given asset: price and volume</span>
|
||||
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</span><span class="p">)</span>
|
||||
<span class="n">volume</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'volume'</span><span class="p">)</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span> <span class="n">volume</span><span class="o">=</span><span class="n">volume</span><span class="p">)</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
|
||||
|
||||
<span class="c"># Generate DataFrame with Price and Volume only</span>
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span><span class="s">'price'</span><span class="p">,</span><span class="s">'volume'</span><span class="p">]]</span>
|
||||
|
||||
<span class="c"># Save results in CSV file</span>
|
||||
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="n">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
|
||||
<span class="n">data</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s">'.csv'</span><span class="p">)</span>
|
||||
|
||||
<span class="sd">''' Bitcoin data is available on Poloniex since 2015-3-1.</span>
|
||||
<span class="sd"> Dates vary for other tokens. In the example below, we choose the</span>
|
||||
<span class="sd"> full month of July of 2017.</span>
|
||||
<span class="sd">'''</span>
|
||||
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">31</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">results</span> <span class="o">=</span> <span class="n">run_algorithm</span><span class="p">(</span><span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s">'poloniex'</span><span class="p">,</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span> <span class="o">=</span> <span class="s">'usdt'</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>More versatile case for minute data</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">os</span>
|
||||
<span class="kn">import</span> <span class="nn">csv</span>
|
||||
<span class="kn">import</span> <span class="nn">pytz</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">symbols</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.utils.run_algo</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
||||
<span class="c"># Portfolio assets list</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">'btc_usdt'</span><span class="p">)</span> <span class="c"># Bitcoin on Poloniex</span>
|
||||
|
||||
<span class="c"># Creates a .CSV file with the same name as this script to store results</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">csvfile</span> <span class="o">=</span> <span class="nb">open</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span>
|
||||
<span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="n">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span><span class="o">+</span><span class="s">'.csv'</span><span class="p">,</span> <span class="s">'w+'</span><span class="p">)</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">csvwriter</span> <span class="o">=</span> <span class="n">csv</span><span class="o">.</span><span class="n">writer</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">csvfile</span><span class="p">)</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
||||
<span class="c"># Variables to record for a given asset: price and volume</span>
|
||||
<span class="c"># Other options include 'open', 'high', 'open', 'close'</span>
|
||||
<span class="c"># Please note that 'price' equals 'close'</span>
|
||||
<span class="n">date</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">blotter</span><span class="o">.</span><span class="n">current_dt</span> <span class="c"># current time in each iteration</span>
|
||||
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</span><span class="p">)</span>
|
||||
<span class="n">volume</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'volume'</span><span class="p">)</span>
|
||||
|
||||
<span class="c"># Writes one line to CSV on each iteration with the chosen variables</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">csvwriter</span><span class="o">.</span><span class="n">writerow</span><span class="p">([</span><span class="n">date</span><span class="p">,</span><span class="n">price</span><span class="p">,</span><span class="n">volume</span><span class="p">])</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
|
||||
<span class="c"># Close open file properly at the end</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">csvfile</span><span class="o">.</span><span class="n">close</span><span class="p">()</span>
|
||||
|
||||
|
||||
<span class="c"># Bitcoin data is available from 2015-3-2. Dates vary for other tokens.</span>
|
||||
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">30</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">31</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">results</span> <span class="o">=</span> <span class="n">run_algorithm</span><span class="p">(</span><span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s">'poloniex'</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s">'minute'</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span> <span class="o">=</span><span class="s">'usdt'</span><span class="p">,</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span> <span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
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|
||||
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|
||||
|
||||
|
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|
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|
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|
||||
|
||||
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|
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|
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|
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|
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|
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+19
-13
@@ -32,7 +32,7 @@
|
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|
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<link rel="top" title="Catalyst 0.3 documentation" href="index.html"/>
|
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<link rel="next" title="Resources" href="resources.html"/>
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<link rel="prev" title="Naming Convention" href="naming-convention.html"/>
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<link rel="prev" title="Example Algorithms" href="example-algos.html"/>
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<script src="_static/js/modernizr.min.js"></script>
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@@ -73,21 +73,23 @@
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<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami">Amazon Linux AMI</a></li>
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<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
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|
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|
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<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-conda">Installing with <code class="docutils literal"><span class="pre">conda</span></code></a><ul>
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<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-conda-install">Troubleshooting <code class="docutils literal"><span class="pre">conda</span></code> Install</a></li>
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|
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|
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<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
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<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
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</ul>
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</li>
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<li class="toctree-l2"><a class="reference internal" href="install.html#gnu-linux-requirements">GNU/Linux Requirements</a><ul>
|
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<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami-notes">Amazon Linux AMI Notes</a></li>
|
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</ul>
|
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</li>
|
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<li class="toctree-l2"><a class="reference internal" href="install.html#macos-requirements">MacOS Requirements</a><ul>
|
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<li class="toctree-l3"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
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<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
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</ul>
|
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</li>
|
||||
@@ -119,6 +121,10 @@
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
|
||||
</ul>
|
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</li>
|
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<li class="toctree-l1 current"><a class="current reference internal" href="">Videos</a><ul>
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<li class="toctree-l2"><a class="reference internal" href="#installation-macos">Installation: MacOS</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="#installation-windows">Installation: Windows</a></li>
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@@ -253,7 +259,7 @@
|
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<a href="resources.html" class="btn btn-neutral float-right" title="Resources" accesskey="n">Next <span class="fa fa-arrow-circle-right"></span></a>
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<a href="naming-convention.html" class="btn btn-neutral" title="Naming Convention" accesskey="p"><span class="fa fa-arrow-circle-left"></span> Previous</a>
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|
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|
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|
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+17
-11
@@ -71,21 +71,23 @@
|
||||
|
||||
<ul>
|
||||
<li class="toctree-l1"><a class="reference internal" href="install.html">Install</a><ul>
|
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<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
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<li class="toctree-l3"><a class="reference internal" href="install.html#gnu-linux">GNU/Linux</a></li>
|
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<li class="toctree-l3"><a class="reference internal" href="install.html#osx">OSX</a><ul>
|
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<li class="toctree-l4"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
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<li class="toctree-l3"><a class="reference internal" href="install.html#windows">Windows</a></li>
|
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<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami">Amazon Linux AMI</a></li>
|
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<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
|
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|
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</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-conda">Installing with <code class="docutils literal"><span class="pre">conda</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-conda-install">Troubleshooting <code class="docutils literal"><span class="pre">conda</span></code> Install</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#gnu-linux-requirements">GNU/Linux Requirements</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami-notes">Amazon Linux AMI Notes</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#macos-requirements">MacOS Requirements</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#windows-requirements">Windows Requirements</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
@@ -117,6 +119,10 @@
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
|
||||
</ul>
|
||||
</li>
|
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<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-macos">Installation: MacOS</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
|
||||
|
||||
Reference in New Issue
Block a user