From bb95a16141f6f2e0fd9b5ab00c85f1e0bc232bc3 Mon Sep 17 00:00:00 2001 From: Victor Grau Serrat Date: Tue, 31 Oct 2017 14:05:49 -0600 Subject: [PATCH] DOC: jupyter fix --- _sources/jupyter.txt | 15794 ++++++++++++++++++++++++++++++++++ _sources/live-trading.txt | 118 + _sources/resources.txt | 26 + _sources/videos.txt | 26 + beginner-tutorial.html | 20 +- bundles.html | 16 +- development-guidelines.html | 16 +- install.html | 16 +- jupyter.html | 11 +- live-trading.html | 20 +- naming-convention.html | 16 +- release-process.html | 16 +- resources.html | 16 +- searchindex.js | 2 +- videos.html | 16 +- welcome.html | 16 +- 16 files changed, 16107 insertions(+), 38 deletions(-) create mode 100644 _sources/jupyter.txt create mode 100644 _sources/live-trading.txt create mode 100644 _sources/resources.txt create mode 100644 _sources/videos.txt diff --git a/_sources/jupyter.txt b/_sources/jupyter.txt new file mode 100644 index 00000000..4042da53 --- /dev/null +++ b/_sources/jupyter.txt @@ -0,0 +1,15794 @@ +Catalyst & Jupyter Notebook +=========================== + +(Feel free to check out the actual Notebook file +`here `__) + +The `Jupyter Notebook `__ is a very powerful +browser-based interface to a Python interpreter. As it is already the +de-facto interface for most quantitative researchers, ``catalyst`` +provides an easy way to run your algorithm inside the Notebook without +requiring you to use the CLI. + +Install +^^^^^^^ + +In order to use Jupyter Notebook, you first have to install it inside your +environment. It's available as ``pip`` package, so regardless of how you +installed Catalyst, go inside your catalyst environemnt and run: + +.. code:: bash + + (catalyst)$ pip install jupyter + +Once you have Jupyter Notebook installed, every time you want to use it run: + +.. code:: bash + + (catalyst)$ jupyter notebook + +A local server will launch, and will open a new window on your browser. That's +the interface through which you will interact with Jupyter Notebook. + +Running Algorithms +^^^^^^^^^^^^^^^^^^ + +To use it you have to write your algorithm in a cell and let +``catalyst`` know that it is supposed to run this algorithm. This is +done via the ``%%catalyst`` IPython magic command that is available +after you import ``catalyst`` from within the Notebook. This magic takes +the same arguments as the command line interface. Thus to run the +algorithm just supply the same parameters as the CLI but without the -f +and -o arguments. We just have to execute the following cell after +importing ``catalyst`` to register the magic. + +.. code:: python + + # Register the catalyst magic + %load_ext catalyst + +.. code:: python + + # Setup matplotlib to display graphs inline in this Notebook + %matplotlib inline + +Note below that we do not have to specify an input file (-f) since the +magic will use the contents of the cell and look for your algorithm +functions. + +.. code:: python + + %%catalyst --start 2015-3-2 --end 2017-6-28 --capital-base 100000 -x bitfinex + + from catalyst.finance.slippage import VolumeShareSlippage + + from catalyst.api import ( + order_target_value, + symbol, + record, + cancel_order, + get_open_orders, + ) + + def initialize(context): + context.ASSET_NAME = 'btc_usd' + context.TARGET_HODL_RATIO = 0.8 + context.RESERVE_RATIO = 1.0 - context.TARGET_HODL_RATIO + + # For all trading pairs in the poloniex bundle, the default denomination + # currently supported by Catalyst is 1/1000th of a full coin. Use this + # constant to scale the price of up to that of a full coin if desired. + context.TICK_SIZE = 1000.0 + + context.is_buying = True + context.asset = symbol(context.ASSET_NAME) + + context.i = 0 + + def handle_data(context, data): + context.i += 1 + + starting_cash = context.portfolio.starting_cash + target_hodl_value = context.TARGET_HODL_RATIO * starting_cash + reserve_value = context.RESERVE_RATIO * starting_cash + + # Cancel any outstanding orders + orders = get_open_orders(context.asset) or [] + for order in orders: + cancel_order(order) + + # Stop buying after passing the reserve threshold + cash = context.portfolio.cash + if cash <= reserve_value: + context.is_buying = False + + # Retrieve current asset price from pricing data + price = data.current(context.asset, 'price') + + # Check if still buying and could (approximately) afford another purchase + if context.is_buying and cash > price: + # Place order to make position in asset equal to target_hodl_value + order_target_value( + context.asset, + target_hodl_value, + limit_price=price*1.1, + stop_price=price*0.9, + ) + + record( + price=price, + volume=data.current(context.asset, 'volume'), + cash=cash, + starting_cash=context.portfolio.starting_cash, + leverage=context.account.leverage, + ) + + def analyze(context=None, results=None): + import matplotlib.pyplot as plt + + # Plot the portfolio and asset data. + ax1 = plt.subplot(611) + results[['portfolio_value']].plot(ax=ax1) + ax1.set_ylabel('Portfolio Value (USD)') + + ax2 = plt.subplot(612, sharex=ax1) + ax2.set_ylabel('{asset} (USD)'.format(asset=context.ASSET_NAME)) + (context.TICK_SIZE * results[['price']]).plot(ax=ax2) + + trans = results.ix[[t != [] for t in results.transactions]] + buys = trans.ix[ + [t[0]['amount'] > 0 for t in trans.transactions] + ] + ax2.plot( + buys.index, + context.TICK_SIZE * results.price[buys.index], + '^', + markersize=10, + color='g', + ) + + ax3 = plt.subplot(613, sharex=ax1) + results[['leverage', 'alpha', 'beta']].plot(ax=ax3) + ax3.set_ylabel('Leverage ') + + ax4 = plt.subplot(614, sharex=ax1) + results[['starting_cash', 'cash']].plot(ax=ax4) + ax4.set_ylabel('Cash (USD)') + + results[[ + 'treasury', + 'algorithm', + 'benchmark', + ]] = results[[ + 'treasury_period_return', + 'algorithm_period_return', + 'benchmark_period_return', + ]] + + ax5 = plt.subplot(615, sharex=ax1) + results[[ + 'treasury', + 'algorithm', + 'benchmark', + ]].plot(ax=ax5) + ax5.set_ylabel('Percent Change') + + ax6 = plt.subplot(616, sharex=ax1) + results[['volume']].plot(ax=ax6) + ax6.set_ylabel('Volume (mCoins/5min)') + + plt.legend(loc=3) + + # Show the plot. + plt.gcf().set_size_inches(18, 8) + plt.show() + +:: + + [2017-08-11 07:19:46.411748] INFO: Loader: Loading benchmark data for 'USDT_BTC' from 1989-12-31 00:00:00+00:00 to 2017-08-09 00:00:00+00:00 + [2017-08-11 07:19:46.418983] INFO: Loader: Loading data for /Users//.catalyst/data/USDT_BTC_benchmark.csv failed with error [Unknown string format]. + [2017-08-11 07:19:46.419740] INFO: Loader: Cache at /Users//.catalyst/data/USDT_BTC_benchmark.csv does not have data from 1990-01-01 00:00:00+00:00 to 2017-08-09 00:00:00+00:00. + + [2017-08-11 07:19:46.420770] INFO: Loader: Downloading benchmark data for 'USDT_BTC' from 1989-12-31 00:00:00+00:00 to 2017-08-09 00:00:00+00:00 + [2017-08-11 07:19:50.060244] WARNING: Loader: Still don't have expected data after redownload! + [2017-08-11 07:19:50.097334] WARNING: Loader: Refusing to download new treasury data because a download succeeded at 2017-08-11 06:56:49+00:00. + [2017-08-11 07:19:54.618399] INFO: Performance: Simulated 851 trading days out of 851. + [2017-08-11 07:19:54.619301] INFO: Performance: first open: 2015-03-01 00:00:00+00:00 + [2017-08-11 07:19:54.620430] INFO: Performance: last close: 2017-06-28 23:59:00+00:00 + +.. figure:: https://i.imgur.com/DS5w47q.png + :alt: png + + png + +.. raw:: html + +
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+ +5 rows × 45 columns + +.. raw:: html + +

+ +.. raw:: html + +
diff --git a/_sources/live-trading.txt b/_sources/live-trading.txt new file mode 100644 index 00000000..7a471d68 --- /dev/null +++ b/_sources/live-trading.txt @@ -0,0 +1,118 @@ +Live Trading +============ +This document explains how to get started with live trading. + +Supported Exchanges +^^^^^^^^^^^^^^^^^^^ +Catalyst can trade against these exchanges: + +- Bitfinex, id= ``bitfinex`` +- Bittrex, id= ``bittrex`` +- Poloniex, id= ``poloniex`` + +Authentication +^^^^^^^^^^^^^^ +Most exchanges require token key/secret combination for authentication. By +convention, Catalyst uses an ``auth.json`` file to hold this data. + +This example illustrates the convention using the *Bitfinex* exchange. +Here is how to generate key and secret values for the Bitfinex exchange: +https://docs.bitfinex.com/v1/docs/api-access. Most exchanges follow +a similar process. + +The auth.json file: + +.. code-block:: json + + { + "name": "bitfinex", + "key": "my-key", + "secret": "my-secret" + } + + +The file goes here: ``~/.catalyst/data/exchanges/bitfinex/auth.json`` + +Note that the `bitfinex` part in the directory above corresponds to the id of the Bitfinex +exchange as defined in the "Supported Exchanges" section above. +Attempting to run an algorithm where the targeted exchange is missing +its ``auth.json`` file will create the directory structure and create an empty +auth.json file, but will result in an error. + +Currency Symbols +^^^^^^^^^^^^^^^^ +Catalyst introduces a universal convention to reference +trading pairs and individual currencies. This +is required to ensure that the ``symbol()`` api predictably +returns the correct asset regardless of the targeted exchange. + +Exchanges tend to use their own convention to represent currencies +(e.g. XBT and BTC both represent Bitcoin on different exchanges). +Trading pairs are also inconsistent. For example, Bitfinex +puts the market currency before the base currency without a +separator, Bittrex puts the base currency first and uses a dash +seperator. + +Here is the Catalyst convention: + +*[Market Currency]_[Base Currency]* all lowercase. + +Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention. + +Here are some examples: + +.. code-block:: json + + # With Bitfinex + bitcoin_usd_asset = symbol('btc_usd') + ethereum_bitcoin_asset = symbol('eth_btc') + + # With Bittrex + ethereum_bitcoin_asset = symbol('eth_btc') + neo_ethereum_asset = symbol('neo_eth) + +Note that the trading pairs are always referenced in the same manner. +However, not all trading pairs are available on all exchanges. An +error will occur if the specified trading pair is not trading +on the exchange. To check which currency pairs are available on each +of the supported exchanges, see `Catalyst Market Coverage `_ diff --git a/_sources/resources.txt b/_sources/resources.txt new file mode 100644 index 00000000..eb1580a5 --- /dev/null +++ b/_sources/resources.txt @@ -0,0 +1,26 @@ +Resources +========= + +- `Catalyst Whitepaper `_ + + +Related 3rd Party APIs +^^^^^^^^^^^^^^^^^^^^^^ + +- `Zipline `_ is a Pythonic Algorithmic + Trading Library, and the project Catalyst forked off in the spring of 2017. +- `Quantopian `_ provides a platform for + freelance quantitative analysts develop, test, and use trading algorithms to + buy and sell securities. They aim to create a crowd-sourced hedge fund by + fostering their community of freelance traders. Quantopian's backtesting and + live-trading engine is powered by *Zipline*. +- `Pandas `_ is a Python + library providing high-performance, easy-to-use data structures and data + analysis tools. Catalyst relies heavily on pandas, and many API functions + return data as Pandas dataframes. +- `Numpy `_ is the fundamental + package for scientific computing with Python. Some of the data computation + that your algorithms will need, will be optimized leveraging Numpy. +- `Matplotlib `_ is a Python 2D + plotting library that many of examples rely on to plot the performance of + trading algorithms diff --git a/_sources/videos.txt b/_sources/videos.txt new file mode 100644 index 00000000..8fdfae2a --- /dev/null +++ b/_sources/videos.txt @@ -0,0 +1,26 @@ +Videos +====== + + +Installation: MacOS +------------------- + +.. raw:: html + + + +| +| +Installation: Windows +--------------------- + +Where things go smoothly: + +.. raw:: html + + + +| +Where things don't: + + Coming up next! \ No newline at end of file diff --git a/beginner-tutorial.html b/beginner-tutorial.html index 3748ea79..1d81008a 100644 --- a/beginner-tutorial.html +++ b/beginner-tutorial.html @@ -31,7 +31,7 @@ - + @@ -106,6 +106,11 @@
  • Conclusions
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  • Catalyst & Jupyter Notebook +
  • Live Trading
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\ No newline at end of file diff --git a/videos.html b/videos.html index 8e470341..2ec42afe 100644 --- a/videos.html +++ b/videos.html @@ -106,6 +106,11 @@
                                                          • Conclusions
                                                        • +
                                                        • Catalyst & Jupyter Notebook +
                                                        • Live Trading
                                                        • Release Notes