Extended Asset to create TradingPair allowing us to store leverage value

catalyst/assets/_assets.pyx

@@ -37,6 +37,7 @@ import warnings
 cimport numpy as np
 
 from catalyst.utils.calendars import get_calendar
+from catalyst.exchange.exchange_errors import InvalidSymbolError
 
 # IMPORTANT NOTE: You must change this template if you change
 # Asset.__reduce__, or else we'll attempt to unpickle an old version of this
@@ -385,6 +386,8 @@ cdef class Future(Asset):
 
 cdef class TradingPair(Asset):
     cdef readonly float leverage
+    cdef readonly object market_currency
+    cdef readonly object base_currency
 
     _kwargnames = frozenset({
         'sid',
@@ -397,6 +400,8 @@ cdef class TradingPair(Asset):
         'exchange',
         'exchange_full',
         'leverage',
+        'market_currency',
+        'base_currency'
     })
     def __init__(self,
                  object symbol,
@@ -466,17 +471,23 @@ cdef class TradingPair(Asset):
         :param exchange_full:
         """
 
-        asset_name = ' / '.join(symbol.split('_')).upper() \
-            if asset_name is None else asset_name
+        symbol = symbol.lower()
+        try:
+            self.market_currency, self.base_currency = symbol.split('_')
+        except Exception as e:
+            raise InvalidSymbolError(symbol=symbol, error=e)
 
-        start_date = pd.Timestamp.utcnow() \
-            if start_date is None else start_date
+        if sid == 0:
+            sid = abs(hash(symbol)) % (10 ** 4)
 
-        end_date = start_date + timedelta(days=1) \
-            if end_date is None else end_date
+        if asset_name is None:
+            asset_name = ' / '.join(symbol.split('_')).upper()
 
-        sid = abs(hash(symbol)) % (10 ** 4) \
-            if sid == 0 else sid
+        if start_date is None:
+            start_date = pd.Timestamp.utcnow()
+
+        if end_date is None:
+            end_date = start_date + timedelta(days=365)
 
         super().__init__(
             sid,
@@ -489,8 +500,24 @@ cdef class TradingPair(Asset):
             auto_close_date=auto_close_date,
             exchange_full=exchange_full,
         )
+
         self.leverage = leverage
 
+    def __repr__(self):
+        return 'Trading Pair {symbol}({sid}) Exchange: {exchange}, ' \
+               'Introduced On: {start_date}, ' \
+               'Market Currency: {market_currency}, ' \
+               'Base Currency: {base_currency}, ' \
+               'Exchange Leverage: {leverage}'.format(
+            symbol=self.symbol,
+            sid=self.sid,
+            exchange=self.exchange,
+            start_date=self.start_date,
+            market_currency=self.market_currency,
+            base_currency=self.base_currency,
+            leverage=self.leverage
+        )
+
 def make_asset_array(int size, Asset asset):
     cdef np.ndarray out = np.empty([size], dtype=object)
     out.fill(asset)

catalyst/exchange/exchange.py

@@ -138,10 +138,13 @@ class Exchange:
         symbol_map = self.fetch_symbol_map()
         for exchange_symbol in symbol_map:
             asset = symbol_map[exchange_symbol]
+            start_date = pd.to_datetime(asset['start_date']) \
+                if 'start_date' in asset else None
+
             trading_pair = TradingPair(
                 symbol=asset['symbol'],
                 exchange=self.name,
-                start_date=pd.to_datetime(asset['start_date']),
+                start_date=start_date,
             )
 
             self.assets[exchange_symbol] = trading_pair

catalyst/exchange/exchange_errors.py

@@ -58,3 +58,12 @@ class InvalidHistoryFrequencyError(ZiplineError):
     msg = (
         'History frequency {frequency} not supported by the exchange.'
     ).strip()
+
+
+class InvalidSymbolError(ZiplineError):
+    msg = (
+        'Invalid trading pair symbol: {symbol}. '
+        'Catalyst symbols must follow this convention: '
+        '[Market Currency]_[Base Currency]. For example: eth_usd, btc_usd, '
+        'neo_eth, ubq_btc. Error details: {error}'
+    ).strip()