USDT_BTC benchmark

This commit:
 * Adds a crypto_benchmark that can create benchmarks for symbols found on POLO
 * Changes default trading calendars to OPEN
 * Properly computes daily bar data from five minute POLO bars
 * Allows trading of one hundredth of a coin, later we plan to integrate per the
   ratio of a full coin to its base denomination.
This commit is contained in:
Conner Fromknecht
2017-06-23 18:44:45 -07:00
parent 9c03012aa4
commit b4b19a7555
12 changed files with 177 additions and 106 deletions
+2 -2
View File
@@ -289,7 +289,7 @@ class TradingAlgorithm(object):
# If a schedule has been provided, pop it. Otherwise, use NYSE.
self.trading_calendar = kwargs.pop(
'trading_calendar',
get_calendar('NYSE')
get_calendar('OPEN')
)
self.sim_params = kwargs.pop('sim_params', None)
@@ -1115,7 +1115,7 @@ class TradingAlgorithm(object):
if calendar is None:
cal = self.trading_calendar
elif calendar is calendars.CRYPTO_ASSETS:
cal = get_calendar('NYSE')
cal = get_calendar('OPEN')
elif calendar is calendars.US_EQUITIES:
cal = get_calendar('NYSE')
elif calendar is calendars.US_FUTURES: