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BLD: all exchange operations now implemented an unit tested with CCXT

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This commit is contained in:
fredfortier
2017-11-30 22:45:52 -05:00
parent 7bbb6e0b42
commit b762689225
4 changed files with 92 additions and 59 deletions
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catalyst/exchange/ccxt/ccxt_exchange.py
+76 -23
View File
@@ -77,8 +77,12 @@ class CCXT(Exchange):
def time_skew(self):
return None
def get_symbol(self, asset):
parts = asset.symbol.split('_')
def get_symbol(self, asset_or_symbol):
symbol = asset_or_symbol if isinstance(
asset_or_symbol, string_types
) else asset_or_symbol.symbol
parts = symbol.split('_')
return '{}/{}'.format(parts[0].upper(), parts[1].upper())
def get_catalyst_symbol(self, market_or_symbol):
@@ -230,15 +234,24 @@ class CCXT(Exchange):
def _create_order(self, order_status):
"""
Create a Catalyst order object from a Bitfinex order dictionary
:param order_status:
:return: Order
Create a Catalyst order object from a CCXT order dictionary
Parameters
----------
order_status: dict[str, Object]
The order dict from the CCXT api.
Returns
-------
Order
The Catalyst order object
"""
if order_status['status'] == 'canceled':
status = ORDER_STATUS.CANCELLED
elif order_status['status'] == 'closed' and order_status['filled'] > 0:
log.info('found executed order {}'.format(order_status))
log.debug('found executed order {}'.format(order_status))
status = ORDER_STATUS.FILLED
elif order_status['status'] == 'open':
@@ -247,30 +260,27 @@ class CCXT(Exchange):
else:
raise ValueError('invalid state for order')
amount = float(order_status['amount'])
filled = float(order_status['filled'])
amount = order_status['amount']
filled = order_status['filled']
if order_status['side'] == 'sell':
amount = -amount
filled = -filled
price = float(order_status['price'])
price = order_status['price']
order_type = order_status['type']
stop_price = None
limit_price = None
# TODO: is this comprehensive enough?
if order_type.endswith('limit'):
limit_price = price
elif order_type.endswith('stop'):
stop_price = price
limit_price = price if order_type == 'limit' else None
stop_price = None # TODO: add support
executed_price = order_status['cost'] / order_status['amount']
commission = order_status['fee']
date = from_ms_timestamp(order_status['timestamp'])
# order_id = str(order_status['info']['clientOrderId'])
order_id = order_status['id']
symbol = order_status['info']['symbol']
order = Order(
dt=date,
asset=self.assets[symbol],
@@ -278,7 +288,7 @@ class CCXT(Exchange):
stop=stop_price,
limit=limit_price,
filled=filled,
id=str(order_status['id']),
id=order_id,
commission=commission
)
order.status = status
@@ -319,7 +329,8 @@ class CCXT(Exchange):
if 'info' not in result:
raise ValueError('cannot use order without info attribute')
order_id = str(result['info']['clientOrderId'])
# order_id = str(result['info']['clientOrderId'])
order_id = result['id']
order = Order(
dt=from_ms_timestamp(result['info']['transactTime']),
asset=asset,
@@ -350,11 +361,53 @@ class CCXT(Exchange):
return orders
def get_order(self, order_id):
return None
def _get_asset_from_order(self, order_id):
open_orders = self.portfolio.open_orders
order = next(
(order for order in open_orders if order.id == order_id),
None
) # type: Order
return order.asset if order is not None else None
def cancel_order(self, order_param):
return None
def get_order(self, order_id, asset_or_symbol=None):
if asset_or_symbol is None and self.portfolio is not None:
asset_or_symbol = self._get_asset_from_order(order_id)
if asset_or_symbol is None:
log.debug(
'order not found in memory, the request might fail '
'on some exchanges.'
)
try:
symbol = self.get_symbol(asset_or_symbol) \
if asset_or_symbol is not None else None
order_status = self.api.fetch_order(id=order_id, symbol=symbol)
order, _ = self._create_order(order_status)
except Exception as e:
raise ExchangeRequestError(error=e)
return order
def cancel_order(self, order_param, asset_or_symbol=None):
order_id = order_param.id \
if isinstance(order_param, Order) else order_param
if asset_or_symbol is None and self.portfolio is not None:
asset_or_symbol = self._get_asset_from_order(order_id)
if asset_or_symbol is None:
log.debug(
'order not found in memory, cancelling order might fail '
'on some exchanges.'
)
try:
symbol = self.get_symbol(asset_or_symbol) \
if asset_or_symbol is not None else None
self.api.cancel_order(id=order_id, symbol=symbol)
except Exception as e:
raise ExchangeRequestError(error=e)
def tickers(self, assets):
"""
catalyst/exchange/exchange.py
+11 -5
View File
@@ -289,9 +289,11 @@ class Exchange:
log.debug('found open order: {}'.format(order_id))
order, executed_price = self.get_order(order_id)
log.debug('got updated order {} {}'.format(
order, executed_price))
log.debug(
'got updated order {} {}'.format(
order, executed_price
)
)
if order.status == ORDER_STATUS.FILLED:
transaction = Transaction(
asset=order.asset,
@@ -822,7 +824,7 @@ class Exchange:
pass
@abstractmethod
def get_order(self, order_id):
def get_order(self, order_id, symbol_or_asset=None):
"""Lookup an order based on the order id returned from one of the
order functions.
@@ -830,6 +832,8 @@ class Exchange:
----------
order_id : str
The unique identifier for the order.
symbol_or_asset: str|TradingPair
The catalyst symbol, some exchanges need this
Returns
-------
@@ -841,13 +845,15 @@ class Exchange:
pass
@abstractmethod
def cancel_order(self, order_param):
def cancel_order(self, order_param, symbol_or_asset=None):
"""Cancel an open order.
Parameters
----------
order_param : str or Order
The order_id or order object to cancel.
symbol_or_asset: str|TradingPair
The catalyst symbol, some exchanges need this
"""
pass
catalyst/exchange/exchange_portfolio.py
+2 -28
View File
@@ -3,7 +3,6 @@ from logbook import Logger
from catalyst.constants import LOG_LEVEL
from catalyst.protocol import Portfolio, Positions, Position
from catalyst.utils.deprecate import deprecated
log = Logger('ExchangePortfolio', level=LOG_LEVEL)
@@ -11,7 +10,8 @@ log = Logger('ExchangePortfolio', level=LOG_LEVEL)
class ExchangePortfolio(Portfolio):
"""
Since the goal is to support multiple exchanges, it makes sense to
include additional stats in the portfolio object.
include additional stats in the portfolio object. This fills the role
of Blotter and Portfolio in live mode.
Instead of relying on the performance tracker, each exchange portfolio
tracks its own holding. This offers a separation between tracking an
@@ -89,32 +89,6 @@ class ExchangePortfolio(Portfolio):
log.debug('updated portfolio with executed order')
@deprecated
def execute_transaction(self, transaction):
# TODO: almost duplicate of execute_order. Not sure why Poloniex needs this.
log.debug('executing transaction {}'.format(transaction.order_id))
order_position = self.positions[transaction.asset] \
if transaction.asset in self.positions else None
if order_position is None:
raise ValueError(
'Trying to execute transaction for a position not held: %s' % transaction.order_id
)
self.capital_used += transaction.amount * transaction.price
if transaction.amount > 0:
if order_position.cost_basis > 0:
order_position.cost_basis = np.average(
[order_position.cost_basis, transaction.price],
weights=[order_position.amount, transaction.amount]
)
else:
order_position.cost_basis = transaction.price
log.debug('updated portfolio with executed order')
def remove_order(self, order):
"""
Removing an open order.
tests/exchange/test_ccxt.py
+3 -3
View File
@@ -45,14 +45,14 @@ class TestCCXT(BaseExchangeTestCase):
def test_get_order(self):
log.info('retrieving order')
order = self.exchange.get_order(
u'2c584020-9caf-4af5-bde0-332c0bba17e2')
order = self.exchange.get_order('2631386', 'neo_eth')
# order = self.exchange.get_order('2631386')
assert isinstance(order, Order)
pass
def test_cancel_order(self, ):
log.info('cancel order')
self.exchange.cancel_order(u'dc7bcca2-5219-4145-8848-8a593d2a72f9')
self.exchange.cancel_order('2631386', 'neo_eth')
pass
def test_get_candles(self):