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Merge branch 'develop' - Release 0.3.2

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This commit is contained in:
Victor Grau Serrat
2017-10-24 21:59:53 -06:00
parent 7d2cf97fbf 284c749bb5
commit c2d377b3b4
25 changed files with 580 additions and 287 deletions
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catalyst/__main__.py
+35 -1
View File
@@ -509,6 +509,40 @@ def ingest_exchange(exchange_name, data_frequency, start, end,
)
@main.command(name='clean-exchange')
@click.option(
'-x',
'--exchange-name',
type=click.Choice({'bitfinex', 'bittrex', 'poloniex'}),
help='The name of the exchange bundle to ingest (supported: bitfinex,'
' bittrex, poloniex).',
)
@click.option(
'-f',
'--data-frequency',
type=click.Choice({'daily', 'minute'}),
default=None,
help='The bundle data frequency to remove. If not specified, it will '
'remove both daily and minute bundles.',
)
@click.pass_context
def clean_exchange(ctx, exchange_name, data_frequency):
"""Clean up bundles from 'ingest-exchange'.
"""
if exchange_name is None:
ctx.fail("must specify an exchange name '-x'")
exchange = get_exchange(exchange_name)
exchange_bundle = ExchangeBundle(exchange)
click.echo('Cleaning exchange bundle {}...'.format(exchange_name))
exchange_bundle.clean(
data_frequency=data_frequency,
)
click.echo('Done')
@main.command()
@click.option(
'-b',
@@ -598,7 +632,7 @@ def ingest(ctx, bundle, exchange_name, compile_locally, assets_version,
' This may not be passed with -e / --before or -a / --after',
)
def clean(bundle, before, after, keep_last):
"""Clean up data downloaded with the ingest command.
"""Clean up bundles from 'ingest'.
"""
bundles_module.clean(
bundle,
catalyst/assets/_assets.pyx
+7 -1
View File
@@ -17,6 +17,8 @@
"""
Cythonized Asset object.
"""
import hashlib
cimport cython
from cpython.number cimport PyNumber_Index
from cpython.object cimport (
@@ -501,7 +503,11 @@ cdef class TradingPair(Asset):
if sid == 0 or sid is None:
try:
sid = abs(hash(symbol)) % (10 ** 4)
# sid = abs(hash(symbol)) % (10 ** 4)
# TODO: try to encode the symbol in the main scope
sid = int(
hashlib.sha256(symbol.encode('utf-8')).hexdigest(), 16
) % 10 ** 6
except Exception as e:
raise SidHashError(symbol=symbol)
catalyst/curate/poloniex.py
+26 -26
View File
@@ -212,32 +212,32 @@ class PoloniexCurator(object):
def write_ohlcv_file(self, currencyPair):
csv_trades = CSV_OUT_FOLDER + 'crypto_trades-' + currencyPair + '.csv'
csv_1min = CSV_OUT_FOLDER + 'crypto_1min-' + currencyPair + '.csv'
if( os.path.isfile(csv_1min) ):
log.debug(currencyPair+': 1min data already present. Delete the file if you want to rebuild it.')
else:
df = pd.read_csv(csv_trades, names=['tradeID','date','type','rate','amount','total','globalTradeID'],
dtype = {'tradeID': int, 'date': str, 'type': str, 'rate': float, 'amount': float, 'total': float, 'globalTradeID': int } )
df.drop(['tradeID','type','amount','globalTradeID'], axis=1, inplace=True)
df['date'] = pd.to_datetime(df['date'], infer_datetime_format=True)
ohlcv = self.generate_ohlcv(df)
try:
with open(csv_1min, 'ab') as csvfile:
csvwriter = csv.writer(csvfile)
for item in ohlcv.itertuples():
if item.Index == 0:
continue
csvwriter.writerow([
item.Index.value // 10 ** 9,
item.open,
item.high,
item.low,
item.close,
item.volume,
])
except Exception as e:
log.error('Error opening %s' % csv_fn)
log.exception(e)
log.debug(currencyPair+': Generated 1min OHLCV data.')
#if( os.path.isfile(csv_1min) ):
# log.debug(currencyPair+': 1min data already present. Delete the file if you want to rebuild it.')
#else:
df = pd.read_csv(csv_trades, names=['tradeID','date','type','rate','amount','total','globalTradeID'],
dtype = {'tradeID': int, 'date': str, 'type': str, 'rate': float, 'amount': float, 'total': float, 'globalTradeID': int } )
df.drop(['tradeID','type','amount','globalTradeID'], axis=1, inplace=True)
df['date'] = pd.to_datetime(df['date'], infer_datetime_format=True)
ohlcv = self.generate_ohlcv(df)
try:
with open(csv_1min, 'w') as csvfile:
csvwriter = csv.writer(csvfile)
for item in ohlcv.itertuples():
if item.Index == 0:
continue
csvwriter.writerow([
item.Index.value // 10 ** 9,
item.open,
item.high,
item.low,
item.close,
item.volume,
])
except Exception as e:
log.error('Error opening %s' % csv_fn)
log.exception(e)
log.debug(currencyPair+': Generated 1min OHLCV data.')
'''
catalyst/examples/buy_and_hodl.py
+4 -4
View File
@@ -24,7 +24,7 @@ from catalyst.api import (
)
def initialize(context):
context.ASSET_NAME = 'USDT_BTC'
context.ASSET_NAME = 'BTC_USDT'
context.TARGET_HODL_RATIO = 0.8
context.RESERVE_RATIO = 1.0 - context.TARGET_HODL_RATIO
@@ -49,14 +49,14 @@ def handle_data(context, data):
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[context.asset].price
price = data.current(context.asset, 'price')
# Check if still buying and could (approximately) afford another purchase
if context.is_buying and cash > price:
@@ -70,7 +70,7 @@ def handle_data(context, data):
record(
price=price,
volume=data[context.asset].volume,
volume=data.current(context.asset, 'volume'),
cash=cash,
starting_cash=context.portfolio.starting_cash,
leverage=context.account.leverage,
catalyst/examples/buy_low_sell_high.py
+1 -1
View File
@@ -27,7 +27,7 @@ log = Logger(algo_namespace)
def initialize(context):
log.info('initializing algo')
context.ASSET_NAME = 'XRP_USD'
context.ASSET_NAME = 'XRP_USDT'
context.asset = symbol(context.ASSET_NAME)
context.TARGET_POSITIONS = 5000
catalyst/examples/simple_loop.py
+18 -18
View File
@@ -1,13 +1,13 @@
import pandas as pd
import talib
import pandas as pd
from catalyst import run_algorithm
from catalyst.api import symbol
def initialize(context):
print('initializing')
context.asset = symbol('xrp_btc')
context.asset = symbol('btc_usd')
def handle_data(context, data):
@@ -20,32 +20,32 @@ def handle_data(context, data):
context.asset,
fields='price',
bar_count=15,
frequency='1d'
frequency='1m'
)
rsi = talib.RSI(prices.values, timeperiod=14)[-1]
print('got rsi: {}'.format(rsi))
pass
# run_algorithm(
# capital_base=250,
# start=pd.to_datetime('2015-08-01', utc=True),
# end=pd.to_datetime('2017-9-30', utc=True),
# data_frequency='daily',
# initialize=initialize,
# handle_data=handle_data,
# analyze=None,
# exchange_name='poloniex',
# algo_namespace='simple_loop',
# base_currency='eth'
# )
run_algorithm(
capital_base=250,
start=pd.to_datetime('2017-08-01', utc=True),
end=pd.to_datetime('2017-9-30', utc=True),
data_frequency='minute',
initialize=initialize,
handle_data=handle_data,
analyze=None,
exchange_name='bitfinex',
live=True,
algo_namespace='simple_loop',
base_currency='eth',
live_graph=False
base_currency='btc'
)
# run_algorithm(
# initialize=initialize,
# handle_data=handle_data,
# analyze=None,
# exchange_name='bitfinex',
# live=True,
# algo_namespace='simple_loop',
# base_currency='eth',
# live_graph=False
# )
catalyst/exchange/bittrex/bittrex.py
+3 -3
View File
@@ -24,7 +24,7 @@ URL2 = 'https://bittrex.com/Api/v2.0'
class Bittrex(Exchange):
def __init__(self, key, secret, base_currency, portfolio=None):
self.api = Bittrex_api(key=key, secret=secret.encode('UTF-8'))
self.api = Bittrex_api(key=key, secret=secret)
self.name = 'bittrex'
self.color = 'blue'
self.base_currency = base_currency
@@ -65,10 +65,10 @@ class Bittrex(Exchange):
return exchange_symbol.lower()
def get_balances(self):
balances = self.api.getbalances()
try:
log.debug('retrieving wallet balances')
self.ask_request()
balances = self.api.getbalances()
except Exception as e:
raise ExchangeRequestError(error=e)
@@ -208,7 +208,7 @@ class Bittrex(Exchange):
)
def get_candles(self, data_frequency, assets, bar_count=None,
start_date=None):
start_dt=None, end_dt=None):
"""
Supported Intervals
-------------------
catalyst/exchange/bittrex/bittrex_api.py
+5 -2
View File
@@ -4,10 +4,10 @@ import time
import hmac
import hashlib
from six.moves import urllib
# Workaround for backwards compatibility
# https://stackoverflow.com/questions/3745771/urllib-request-in-python-2-7
from six.moves import urllib
urlopen = urllib.request.urlopen
@@ -39,7 +39,10 @@ class Bittrex_api(object):
if method not in self.public:
url += '&apikey=' + self.key
url += '&nonce=' + str(int(time.time()))
signature = hmac.new(self.secret, url, hashlib.sha512).hexdigest()
signature = hmac.new(self.secret.encode('utf-8'),
url.encode('utf-8'),
hashlib.sha512).hexdigest()
headers = {'apisign': signature}
else:
headers = {}
catalyst/exchange/bundle_utils.py
+2 -38
View File
@@ -103,42 +103,6 @@ def get_start_dt(end_dt, bar_count, data_frequency):
return start_dt
def get_adj_dates(start, end, assets, data_frequency):
"""
Contains a date range to the trading availability of the specified pairs.
:param start:
:param end:
:param assets:
:param data_frequency:
:return:
"""
earliest_trade = None
last_entry = None
for asset in assets:
if earliest_trade is None or earliest_trade > asset.start_date:
earliest_trade = asset.start_date
end_asset = asset.end_minute if data_frequency == 'minute' else \
asset.end_daily
if end_asset is not None and \
(last_entry is None or end_asset > last_entry):
last_entry = end_asset
if start is None or earliest_trade > start:
start = earliest_trade
if end is None or (last_entry is not None and end > last_entry):
end = last_entry
if end is None or start >= end:
raise NoDataAvailableOnExchange(
exchange=asset.exchange.title(),
symbol=[asset.symbol.encode('utf-8')],
data_frequency=data_frequency,
)
return start, end
def get_month_start_end(dt):
@@ -243,12 +207,12 @@ def find_most_recent_time(bundle_name):
for folder in bundle_folders:
date = from_bundle_ingest_dirname(folder)
if not most_recent_bundle or date > \
most_recent_bundle[most_recent_bundle.keys()[0]]:
most_recent_bundle[list(most_recent_bundle.keys())[0]]:
most_recent_bundle = dict()
most_recent_bundle[folder] = date
if most_recent_bundle:
return most_recent_bundle.keys()[0]
return list(most_recent_bundle.keys())[0]
else:
return None
catalyst/exchange/data_portal_exchange.py
+3 -3
View File
@@ -80,7 +80,7 @@ class DataPortalExchangeBase(DataPortal):
return pd.concat(df_list)
else:
exchange = self.exchanges[exchange_assets.keys()[0]]
exchange = self.exchanges[list(exchange_assets.keys())[0]]
return self.get_exchange_history_window(
exchange,
assets,
@@ -165,8 +165,8 @@ class DataPortalExchangeBase(DataPortal):
exchange_assets[asset.exchange].append(asset)
if len(exchange_assets.keys()) == 1:
exchange = self.exchanges[exchange_assets.keys()[0]]
if len(list(exchange_assets.keys())) == 1:
exchange = self.exchanges[list(exchange_assets.keys())[0]]
return self.get_exchange_spot_value(
exchange, assets, field, dt, data_frequency)
catalyst/exchange/exchange.py
+6 -4
View File
@@ -87,7 +87,7 @@ class Exchange:
self.request_cpt[now] = 0
return True
cpt_date = self.request_cpt.keys()[0]
cpt_date = list(self.request_cpt.keys())[0]
cpt = self.request_cpt[cpt_date]
if now > cpt_date + timedelta(minutes=1):
@@ -167,8 +167,10 @@ class Exchange:
asset = self.assets[key]
if not asset:
supported_symbols = [pair.symbol.encode('utf-8') for pair in
self.assets.values()]
supported_symbols = [
pair.symbol for pair in list(self.assets.values())
]
raise SymbolNotFoundOnExchange(
symbol=symbol,
exchange=self.name.title(),
@@ -552,7 +554,7 @@ class Exchange:
portfolio.starting_cash = portfolio.cash
if portfolio.positions:
assets = portfolio.positions.keys()
assets = list(portfolio.positions.keys())
tickers = self.tickers(assets)
portfolio.positions_value = 0.0
catalyst/exchange/exchange_algorithm.py
+3 -2
View File
@@ -113,7 +113,7 @@ class ExchangeTradingAlgorithmBase(TradingAlgorithm):
else self.sim_params.end_session
if exchange_name is None:
exchange = self.exchanges.values()[0]
exchange = list(self.exchanges.values())[0]
else:
exchange = self.exchanges[exchange_name]
@@ -524,7 +524,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
self.add_pnl_stats(minute_stats)
if self.recorded_vars:
self.add_custom_signals_stats(minute_stats)
recorded_cols = self.recorded_vars.keys()
recorded_cols = list(self.recorded_vars.keys())
else:
recorded_cols = None
@@ -556,6 +556,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
except Exception as e:
log.warn('unable to calculate performance: {}'.format(e))
# TODO: pickle does not seem to work in python 3
try:
save_algo_object(
algo_name=self.algo_namespace,
catalyst/exchange/exchange_bundle.py
+163 -47
View File
@@ -10,7 +10,7 @@ from catalyst.constants import LOG_LEVEL
from catalyst.data.minute_bars import BcolzMinuteOverlappingData, \
BcolzMinuteBarMetadata
from catalyst.exchange.bundle_utils import range_in_bundle, \
get_bcolz_chunk, get_delta, get_adj_dates, get_month_start_end, \
get_bcolz_chunk, get_delta, get_month_start_end, \
get_year_start_end, get_periods_range, get_df_from_arrays, get_start_dt
from catalyst.exchange.exchange_bcolz import BcolzExchangeBarReader, \
BcolzExchangeBarWriter
@@ -24,11 +24,13 @@ from catalyst.utils.paths import ensure_directory
log = Logger('exchange_bundle', level=LOG_LEVEL)
BUNDLE_NAME_TEMPLATE = os.path.join('{root}','{frequency}_bundle')
BUNDLE_NAME_TEMPLATE = os.path.join('{root}', '{frequency}_bundle')
def _cachpath(symbol, type_):
return '-'.join([symbol, type_])
class ExchangeBundle:
def __init__(self, exchange):
self.exchange = exchange
@@ -177,10 +179,7 @@ class ExchangeBundle:
# This is workaround, there is an issue with empty
# session_label when using a newly created writer
key = writer._rootdir if data_frequency == 'minute' \
else writer._filename
del self._writers[key]
del self._writers[writer._rootdir]
writer = self.get_writer(writer._start_session,
writer._end_session, data_frequency)
@@ -224,12 +223,18 @@ class ExchangeBundle:
if reader is None:
raise TempBundleNotFoundError(path=path)
arrays = reader.load_raw_arrays(
sids=[asset.sid],
fields=['open', 'high', 'low', 'close', 'volume'],
start_dt=start_dt,
end_dt=end_dt
)
arrays = None
try:
arrays = reader.load_raw_arrays(
sids=[asset.sid],
fields=['open', 'high', 'low', 'close', 'volume'],
start_dt=start_dt,
end_dt=end_dt
)
except Exception as e:
log.warn('skipping ctable for {} from {} to {}: {}'.format(
asset.symbol, start_dt, end_dt, e
))
if not arrays:
return path
@@ -287,6 +292,7 @@ class ExchangeBundle:
if not df.empty:
df.sort_index(inplace=True)
data.append((asset.sid, df))
self._write(data, writer, data_frequency)
if cleanup:
@@ -296,6 +302,45 @@ class ExchangeBundle:
return path
def get_adj_dates(self, start, end, assets, data_frequency):
"""
Contains a date range to the trading availability of the specified pairs.
:param start:
:param end:
:param assets:
:param data_frequency:
:return:
"""
earliest_trade = None
last_entry = None
for asset in assets:
if (earliest_trade is None or earliest_trade > asset.start_date) \
and asset.start_date >= self.calendar.first_session:
earliest_trade = asset.start_date
end_asset = asset.end_minute if data_frequency == 'minute' else \
asset.end_daily
if end_asset is not None and \
(last_entry is None or end_asset > last_entry):
last_entry = end_asset
if start is None or \
(earliest_trade is not None and earliest_trade > start):
start = earliest_trade
if end is None or (last_entry is not None and end > last_entry):
end = last_entry
if end is None or start is None or start >= end:
raise NoDataAvailableOnExchange(
exchange=asset.exchange.title(),
symbol=[asset.symbol],
data_frequency=data_frequency,
)
return start, end
def prepare_chunks(self, assets, data_frequency, start_dt, end_dt):
"""
Split a price data request into chunks corresponding to individual
@@ -312,26 +357,26 @@ class ExchangeBundle:
chunks = []
for asset in assets:
try:
asset_start, asset_end = \
get_adj_dates(start_dt, end_dt, [asset], data_frequency)
# Checking if the the asset has price data in the specified
# date range
adj_start, adj_end = self.get_adj_dates(
start_dt, end_dt, [asset], data_frequency
)
except NoDataAvailableOnExchange:
# If not, we continue to the next asset
continue
start_dt = max(start_dt, self.calendar.first_trading_session)
start_dt = max(start_dt, asset_start)
# This is either the first trading day of the asset or the
# first session available in the calendar
first_trading_dt = asset.start_date \
if asset.start_date > self.calendar.first_session \
else self.calendar.first_session
# Aligning start / end dates with the daily calendar
sessions = get_periods_range(start_dt, end_dt, data_frequency) \
if data_frequency == 'minute' \
else self.calendar.sessions_in_range(start_dt, end_dt)
if asset_start < sessions[0]:
asset_start = sessions[0]
if asset_end > sessions[-1]:
asset_end = sessions[-1]
sessions = self.calendar.sessions_in_range(adj_start, adj_end)
# We loop through each session to create chunks for each period
chunk_labels = []
dt = sessions[0]
while dt <= sessions[-1]:
@@ -345,29 +390,49 @@ class ExchangeBundle:
# of the trading pair
if data_frequency == 'minute':
period_start, period_end = get_month_start_end(dt)
asset_start_month, _ = get_month_start_end(asset_start)
# TODO: redundant gate, we are already filtering dates
if first_trading_dt > period_start:
dt += timedelta(days=1)
continue
asset_start_month, _ = get_month_start_end(
first_trading_dt
)
if asset_start_month == period_start \
and period_start < asset_start:
period_start = asset_start
and period_start < first_trading_dt:
period_start = first_trading_dt
_, asset_end_month = get_month_start_end(asset_end)
# TODO: need to filter closed pairs?
_, asset_end_month = get_month_start_end(
asset.end_minute
)
if asset_end_month == period_end \
and period_end > asset_end:
period_end = asset_end
and period_end > asset.end_minute:
period_end = asset.end_minute
elif data_frequency == 'daily':
period_start, period_end = get_year_start_end(dt)
asset_start_year, _ = get_year_start_end(asset_start)
# TODO: redundant gate, we are already filtering dates
if first_trading_dt > period_start:
dt += timedelta(days=1)
continue
asset_start_year, _ = get_year_start_end(
first_trading_dt
)
if asset_start_year == period_start \
and period_start < asset_start:
period_start = asset_start
and period_start < first_trading_dt:
period_start = first_trading_dt
_, asset_end_year = get_year_start_end(asset_end)
_, asset_end_year = get_year_start_end(
asset.end_minute
)
if asset_end_year == period_end \
and period_end > asset_end:
period_end = asset_end
and period_end > asset.end_minute:
period_end = asset.end_minute
else:
raise InvalidHistoryFrequencyError(
frequency=data_frequency
@@ -377,10 +442,13 @@ class ExchangeBundle:
# Checking the last minute of the day instead.
range_start = period_start.replace(hour=23, minute=59) \
if data_frequency == 'minute' else period_start
# Checking if the data already exists in the bundle
# for the date range of the chunk. If not, we create
# a chunk for ingestion.
has_data = range_in_bundle(
asset, range_start, period_end, reader
)
if not has_data:
log.debug('adding period: {}'.format(label))
chunks.append(
@@ -394,6 +462,7 @@ class ExchangeBundle:
dt += timedelta(days=1)
# We sort the chunks by end date to ingest most recent data first
chunks.sort(key=lambda chunk: chunk['period_end'])
return chunks
@@ -408,13 +477,24 @@ class ExchangeBundle:
:param end_dt:
:return:
"""
writer = self.get_writer(start_dt, end_dt, data_frequency)
chunks = self.prepare_chunks(
assets=assets,
data_frequency=data_frequency,
start_dt=start_dt,
end_dt=end_dt
)
# Since chunks are either monthly or yearly, it is possible that
# our ingestion data range is greater than specified. We adjust
# the boundaries to ensure that the writer can write all data.
for chunk in chunks:
if chunk['period_start'] < start_dt:
start_dt = chunk['period_start']
if chunk['period_end'] > end_dt:
end_dt = chunk['period_end']
writer = self.get_writer(start_dt, end_dt, data_frequency)
with maybe_show_progress(
chunks,
show_progress,
@@ -430,7 +510,8 @@ class ExchangeBundle:
start_dt=chunk['period_start'],
end_dt=chunk['period_end'],
writer=writer,
empty_rows_behavior='strip'
empty_rows_behavior='strip',
cleanup=True
)
def ingest(self, data_frequency, include_symbols=None,
@@ -448,7 +529,9 @@ class ExchangeBundle:
:return:
"""
assets = self.get_assets(include_symbols, exclude_symbols)
start_dt, end_dt = get_adj_dates(start, end, assets, data_frequency)
start_dt, end_dt = self.get_adj_dates(
start, end, assets, data_frequency
)
for frequency in data_frequency.split(','):
self.ingest_assets(assets, start_dt, end_dt, frequency,
@@ -517,7 +600,7 @@ class ExchangeBundle:
return values
except Exception:
symbols = [asset.symbol.encode('utf-8') for asset in assets]
symbols = [asset.symbol for asset in assets]
raise PricingDataNotLoadedError(
field=field,
first_trading_day=min([asset.start_date for asset in assets]),
@@ -535,8 +618,9 @@ class ExchangeBundle:
data_frequency,
reset_reader=False):
start_dt = get_start_dt(end_dt, bar_count, data_frequency)
start_dt, end_dt = \
get_adj_dates(start_dt, end_dt, assets, data_frequency)
start_dt, end_dt = self.get_adj_dates(
start_dt, end_dt, assets, data_frequency
)
reader = self.get_reader(data_frequency)
if reset_reader:
@@ -544,7 +628,7 @@ class ExchangeBundle:
reader = self.get_reader(data_frequency)
if reader is None:
symbols = [asset.symbol.encode('utf-8') for asset in assets]
symbols = [asset.symbol for asset in assets]
raise PricingDataNotLoadedError(
field=field,
first_trading_day=min([asset.start_date for asset in assets]),
@@ -555,8 +639,9 @@ class ExchangeBundle:
)
for asset in assets:
asset_start_dt, asset_end_dt = \
get_adj_dates(start_dt, end_dt, assets, data_frequency)
asset_start_dt, asset_end_dt = self.get_adj_dates(
start_dt, end_dt, assets, data_frequency
)
in_bundle = range_in_bundle(
asset, asset_start_dt, asset_end_dt, reader
@@ -602,3 +687,34 @@ class ExchangeBundle:
series[asset] = value_series
return series
def clean(self, data_frequency):
log.debug('cleaning exchange {}, frequency {}'.format(
self.exchange.name, data_frequency
))
root = get_exchange_folder(self.exchange.name)
symbols = os.path.join(root, 'symbols.json')
if os.path.isfile(symbols):
os.remove(symbols)
temp_bundles = os.path.join(root, 'temp_bundles')
if os.path.isdir(temp_bundles):
log.debug('removing folder and content: {}'.format(temp_bundles))
shutil.rmtree(temp_bundles)
log.debug('{} removed'.format(temp_bundles))
frequencies = ['daily', 'minute'] if data_frequency is None \
else [data_frequency]
for frequency in frequencies:
label = '{}_bundle'.format(frequency)
frequency_bundle = os.path.join(root, label)
if os.path.isdir(frequency_bundle):
log.debug(
'removing folder and content: {}'.format(frequency_bundle)
)
shutil.rmtree(frequency_bundle)
log.debug('{} removed'.format(frequency_bundle))
catalyst/exchange/exchange_errors.py
+9 -7
View File
@@ -6,12 +6,12 @@ from catalyst.errors import ZiplineError
def silent_except_hook(exctype, excvalue, exctraceback):
if exctype in [PricingDataBeforeTradingError, PricingDataNotLoadedError,
SymbolNotFoundOnExchange, NoDataAvailableOnExchange,
ExchangeAuthEmpty ]:
SymbolNotFoundOnExchange, NoDataAvailableOnExchange,
ExchangeAuthEmpty]:
fn = traceback.extract_tb(exctraceback)[-1][0]
ln = traceback.extract_tb(exctraceback)[-1][1]
print "Error traceback: {1} (line {2})\n" \
"{0.__name__}: {3}".format(exctype, fn, ln, excvalue)
print("Error traceback: {1} (line {2})\n"
"{0.__name__}: {3}".format(exctype, fn, ln, excvalue))
else:
sys.__excepthook__(exctype, excvalue, exctraceback)
@@ -214,7 +214,9 @@ class PricingDataNotLoadedError(ZiplineError):
class ApiCandlesError(ZiplineError):
msg = ('Unable to fetch candles from the remote API: {error}.').strip()
class NoDataAvailableOnExchange(ZiplineError):
msg = ('Requested data for trading pair {symbol} is not available on exchange {exchange} '
'in `{data_frequency}` frequency at this time. '
'Check `http://enigma.co/catalyst/status` for market coverage.').strip()
msg = (
'Requested data for trading pair {symbol} is not available on exchange {exchange} '
'in `{data_frequency}` frequency at this time. '
'Check `http://enigma.co/catalyst/status` for market coverage.').strip()
catalyst/exchange/exchange_utils.py
+12 -8
View File
@@ -1,13 +1,12 @@
import json
import os
import pickle
import urllib
from six.moves.urllib import request
from datetime import date, datetime
import pandas as pd
from catalyst.exchange.exchange_errors import ExchangeAuthNotFound, \
ExchangeSymbolsNotFound
from catalyst.exchange.exchange_errors import ExchangeSymbolsNotFound
from catalyst.utils.paths import data_root, ensure_directory, \
last_modified_time
@@ -34,7 +33,7 @@ def get_exchange_symbols_filename(exchange_name, environ=None):
def download_exchange_symbols(exchange_name, environ=None):
filename = get_exchange_symbols_filename(exchange_name)
url = SYMBOLS_URL.format(exchange=exchange_name)
response = urllib.urlretrieve(url=url, filename=filename)
response = request.urlretrieve(url=url, filename=filename)
return response
@@ -42,7 +41,9 @@ def get_exchange_symbols(exchange_name, environ=None):
filename = get_exchange_symbols_filename(exchange_name)
if not os.path.isfile(filename) or \
pd.Timedelta(pd.Timestamp('now', tz='UTC') - last_modified_time(filename)).days > 1:
pd.Timedelta(pd.Timestamp('now',
tz='UTC') - last_modified_time(
filename)).days > 1:
download_exchange_symbols(exchange_name, environ)
if os.path.isfile(filename):
@@ -67,9 +68,11 @@ def get_exchange_auth(exchange_name, environ=None):
else:
data = dict(name=exchange_name, key='', secret='')
with open(filename, 'w') as f:
json.dump(data, f, sort_keys=False, indent=2, separators=(',', ':'))
json.dump(data, f, sort_keys=False, indent=2,
separators=(',', ':'))
return data
def get_algo_folder(algo_name, environ=None):
if not environ:
environ = os.environ
@@ -151,8 +154,8 @@ def save_algo_df(algo_name, key, df, environ=None, rel_path=None):
filename = os.path.join(folder, key + '.csv')
with open(filename, 'wb') as handle:
df.to_csv(handle)
with open(filename, 'wt') as handle:
df.to_csv(handle, encoding='UTF_8')
def get_exchange_minute_writer_root(exchange_name, environ=None):
@@ -163,6 +166,7 @@ def get_exchange_minute_writer_root(exchange_name, environ=None):
return minute_data_folder
def get_exchange_bundles_folder(exchange_name, environ=None):
exchange_folder = get_exchange_folder(exchange_name, environ)
catalyst/exchange/poloniex/poloniex.py
+3 -3
View File
@@ -33,7 +33,7 @@ log = Logger('Poloniex', level=LOG_LEVEL)
class Poloniex(Exchange):
def __init__(self, key, secret, base_currency, portfolio=None):
self.api = Poloniex_api(key=key, secret=secret.encode('UTF-8'))
self.api = Poloniex_api(key=key, secret=secret)
self.name = 'poloniex'
self.assets = {}
self.load_assets()
@@ -119,9 +119,9 @@ class Poloniex(Exchange):
return order, executed_price
def get_balances(self):
log.debug('retrieving wallets balances')
balances = self.api.returnbalances()
try:
balances = self.api.returnbalances()
log.debug('retrieving wallets balances')
except Exception as e:
log.debug(e)
raise ExchangeRequestError(error=e)
catalyst/exchange/poloniex/poloniex_api.py
+81 -51
View File
@@ -19,19 +19,25 @@ class Poloniex_api(object):
self.max_requests_per_second = 6
self.request_cpt = dict()
self.public = ['returnTicker', 'return24Volume', 'returnOrderBook',
'returnTradeHistory', 'returnChartData',
'returnCurrencies', 'returnLoanOrders']
self.trading = ['returnBalances','returnCompleteBalances','returnDepositAddresses',
'generateNewAddress','returnDepositsWithdrawals','returnOpenOrders',
'returnTradeHistory','returnOrderTrades',
self.public = ['returnTicker', 'return24Volume', 'returnOrderBook',
'returnTradeHistory', 'returnChartData',
'returnCurrencies', 'returnLoanOrders']
self.trading = ['returnBalances', 'returnCompleteBalances',
'returnDepositAddresses',
'generateNewAddress', 'returnDepositsWithdrawals',
'returnOpenOrders',
'returnTradeHistory', 'returnOrderTrades',
'buy', 'sell', 'cancelOrder', 'moveOrder',
'withdraw', 'returnFeeInfo','returnAvailableAccountBalances',
'withdraw', 'returnFeeInfo',
'returnAvailableAccountBalances',
'returnTradableBalances', 'transferBalance',
'returnMarginAccountSummary','marginBuy','marginSell',
'getMarginPosition', 'closeMarginPosition','createLoanOffer',
'cancelLoanOffer','returnOpenLoanOffers','returnActiveLoans',
'returnLendingHistory','toggleAutoRenew']
'returnMarginAccountSummary', 'marginBuy',
'marginSell',
'getMarginPosition', 'closeMarginPosition',
'createLoanOffer',
'cancelLoanOffer', 'returnOpenLoanOffers',
'returnActiveLoans',
'returnLendingHistory', 'toggleAutoRenew']
def ask_request(self):
"""
@@ -50,7 +56,7 @@ class Poloniex_api(object):
self.request_cpt[now] = 0
return True
cpt_date = self.request_cpt.keys()[0]
cpt_date = list(self.request_cpt.keys())[0]
cpt = self.request_cpt[cpt_date]
if now > cpt_date + 1:
@@ -59,9 +65,8 @@ class Poloniex_api(object):
return True
if cpt >= self.max_requests_per_second:
log.debug('max requests 6 reached, sleeping for 1 seconds')
sleep(1)
time.sleep(1)
now = time.time()
self.request_cpt = dict()
@@ -73,21 +78,34 @@ class Poloniex_api(object):
def query(self, method, req={}):
if method in self.public:
url = 'https://poloniex.com/public?command=' + method + '&' + urllib.parse.urlencode(req)
url = 'https://poloniex.com/public?command=' + method + '&' + \
urllib.parse.urlencode(req)
headers = {}
post_data = None
elif method in self.trading:
url = 'https://poloniex.com/tradingApi'
req['command'] = method
req['nonce'] = int(time.time()*1000)
post_data = urllib.parse.urlencode(req)
signature = hmac.new(self.secret, post_data, hashlib.sha512).hexdigest()
headers = { 'Sign': signature, 'Key': self.key}
req['nonce'] = int(time.time() * 1000)
post_data = urllib.parse.urlencode(req)
signature = hmac.new(self.secret.encode('utf-8'),
post_data.encode('utf-8'),
hashlib.sha512).hexdigest()
headers = {'Sign': signature, 'Key': self.key}
post_data = post_data.encode('utf-8')
else:
raise ValueError('Method "' + method + '" not found in neither the Public API or Trading API endpoints')
raise ValueError(
'Method "' + method + '" not found in neither the Public API '
'or Trading API endpoints'
)
self.ask_request()
req = urllib.request.Request(url, data=post_data, headers=headers)
req = urllib.request.Request(
url,
data=post_data,
headers=headers
)
return json.loads(urlopen(req).read())
def returnticker(self):
@@ -100,15 +118,17 @@ class Poloniex_api(object):
return self.query('returnOrderBook', {'currencyPair': market})
def returntradehistory(self, market, start=None, end=None):
if(start is not None and end is not None):
return self.query('returntradehistory',
{'currencyPair': market, 'start': start, 'end': end })
if (start is not None and end is not None):
return self.query('returntradehistory',
{'currencyPair': market, 'start': start,
'end': end})
else:
return self.query('returntradehistory', {'currencyPair': market })
return self.query('returntradehistory', {'currencyPair': market})
def returnchartdata(self, market, period, start, end=9999999999):
return self.query('returnChartData', {'currencyPair': market, 'period': period,
'start': start, 'end': end})
return self.query('returnChartData',
{'currencyPair': market, 'period': period,
'start': start, 'end': end})
def returncurrencies(self):
return self.query('returnCurrencies', {})
@@ -120,7 +140,7 @@ class Poloniex_api(object):
return self.query('returnBalances')
def returncompletebalances(self, account):
if(account):
if (account):
return self.query('returnCompleteBalances', {'account': account})
else:
return self.query('returnCompleteBalances')
@@ -132,43 +152,54 @@ class Poloniex_api(object):
return self.query('generateNewAddress', {'currency': currency})
def returnDepositsWithdrawals(self, start, end):
return self.query('returnDepositsWithdrawals', {'start': start, 'end': end})
return self.query('returnDepositsWithdrawals',
{'start': start, 'end': end})
def returnopenorders(self, market):
return self.query('returnOpenOrders', {'currencyPair': market})
def returntradehistory(self, market):
#TODO: optional start and/or end and limit
# TODO: optional start and/or end and limit
return self.query('returnTradeHistory', {'currencyPair': market})
def returnordertrades(self, ordernumber):
return self.query('returnOrderTrades', {'orderNumber': ordernumber})
def buy(self, market, amount, rate, fillorkill=0, immediateorcancel=0, postonly=0):
if(fillorkill):
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount,
def buy(self, market, amount, rate, fillorkill=0, immediateorcancel=0,
postonly=0):
if (fillorkill):
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount,
'fillOrKill': fillorkill, })
elif(immediateorcancel):
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount,
elif (immediateorcancel):
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount,
'immediateOrCancel': immediateorcancel, })
elif(postonly):
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount,
elif (postonly):
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount,
'postOnly': postonly, })
else:
return self.query('buy', {'currencyPair': market, 'rate':rate, 'amount': amount, })
return self.query('buy', {'currencyPair': market, 'rate': rate,
'amount': amount, })
def sell(self, market, amount, rate, fillorkill=0, immediateorcancel=0, postonly=0):
if(fillorkill):
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount,
'fillOrKill': fillorkill, })
elif(immediateorcancel):
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount,
'immediateOrCancel': immediateorcancel, })
elif(postonly):
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount,
'postOnly': postonly, })
def sell(self, market, amount, rate, fillorkill=0, immediateorcancel=0,
postonly=0):
if (fillorkill):
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount,
'fillOrKill': fillorkill, })
elif (immediateorcancel):
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount,
'immediateOrCancel': immediateorcancel, })
elif (postonly):
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount,
'postOnly': postonly, })
else:
return self.query('sell', {'currencyPair': market, 'rate':rate, 'amount': amount, })
return self.query('sell', {'currencyPair': market, 'rate': rate,
'amount': amount, })
def cancelorder(self, ordernumber):
return self.query('cancelOrder', {'orderNumber': ordernumber})
@@ -180,4 +211,3 @@ class Poloniex_api(object):
def returnfeeinfo(self):
return self.query('returnFeeInfo')
catalyst/utils/paths.py
+1 -1
View File
@@ -126,7 +126,7 @@ def catalyst_root(environ=None):
root = environ.get('ZIPLINE_ROOT', None)
if root is None:
root = expanduser('~/.catalyst')
root = os.path.join(expanduser('~'),'.catalyst')
return root
tests/exchange/test_bcolz.py
+150
View File
@@ -0,0 +1,150 @@
import shutil
import random
import tempfile
import pandas as pd
from catalyst.exchange.exchange_bundle import ExchangeBundle
from catalyst.exchange.exchange_bcolz import BcolzExchangeBarWriter, \
BcolzExchangeBarReader
from catalyst.exchange.bundle_utils import get_df_from_arrays
from nose.tools import assert_equals
class TestBcolzWriter(object):
@classmethod
def setup_class(cls):
cls.columns = ['open', 'high', 'low', 'close', 'volume']
def setUp(self):
self.root_dir = tempfile.mkdtemp() # Create a temporary directory
def tearDown(self):
shutil.rmtree(self.root_dir) # Remove the directory after the test
def generate_df(self, exchange_name, freq, start, end):
bundle = ExchangeBundle(exchange_name)
index = bundle.get_calendar_periods_range(start, end, freq)
df = pd.DataFrame(index=index, columns=self.columns)
df.fillna(random.random(), inplace=True)
return df
def test_bcolz_write_daily_past(self):
start = pd.to_datetime('2016-01-01')
end = pd.to_datetime('2016-12-31')
freq = 'daily'
df = self.generate_df('bitfinex', freq, start, end)
writer = BcolzExchangeBarWriter(
rootdir=self.root_dir,
start_session=start,
end_session=end,
data_frequency=freq,
write_metadata=True)
data = []
data.append((1, df))
writer.write(data)
pass
def test_bcolz_write_daily_present(self):
start = pd.to_datetime('2017-01-01')
end = pd.to_datetime('today')
freq = 'daily'
df = self.generate_df('bitfinex', freq, start, end)
writer = BcolzExchangeBarWriter(
rootdir=self.root_dir,
start_session=start,
end_session=end,
data_frequency=freq,
write_metadata=True)
data = []
data.append((1, df))
writer.write(data)
pass
def test_bcolz_write_minute_past(self):
start = pd.to_datetime('2015-04-01 00:00')
end = pd.to_datetime('2015-04-30 23:59')
freq = 'minute'
df = self.generate_df('bitfinex', freq, start, end)
writer = BcolzExchangeBarWriter(
rootdir=self.root_dir,
start_session=start,
end_session=end,
data_frequency=freq,
write_metadata=True)
data = []
data.append((1, df))
writer.write(data)
pass
def test_bcolz_write_minute_present(self):
start = pd.to_datetime('2017-10-01 00:00')
end = pd.to_datetime('today')
freq = 'minute'
df = self.generate_df('bitfinex', freq, start, end)
writer = BcolzExchangeBarWriter(
rootdir=self.root_dir,
start_session=start,
end_session=end,
data_frequency=freq,
write_metadata=True)
data = []
data.append((1, df))
writer.write(data)
pass
def bcolz_exchange_daily_write_read(self, exchange_name):
start = pd.to_datetime('2017-10-01 00:00')
end = pd.to_datetime('today')
freq = 'daily'
bundle = ExchangeBundle(exchange_name)
df = self.generate_df(exchange_name, freq, start, end)
print df.index[0],df.index[-1]
writer = BcolzExchangeBarWriter(
rootdir=self.root_dir,
start_session=df.index[0],
end_session=df.index[-1],
data_frequency=freq,
write_metadata=True)
data = []
data.append((1, df))
writer.write(data)
reader = BcolzExchangeBarReader(rootdir=self.root_dir,
data_frequency=freq)
arrays = reader.load_raw_arrays(self.columns, start, end, [1, ])
periods = bundle.get_calendar_periods_range(
start, end, freq
)
dx = get_df_from_arrays(arrays, periods)
assert_equals(df.equals(df), True)
pass
def test_bcolz_bitfinex_daily_write_read(self):
self.bcolz_exchange_daily_write_read('bitfinex')
def test_bcolz_poloniex_daily_write_read(self):
self.bcolz_exchange_daily_write_read('poloniex')
tests/exchange/test_bitfinex.py
+1 -1
View File
@@ -8,7 +8,7 @@ from catalyst.finance.execution import (LimitOrder)
log = Logger('test_bitfinex')
class BitfinexTestCase(BaseExchangeTestCase):
class TestBitfinexTestCase(BaseExchangeTestCase):
@classmethod
def setup(self):
log.info('creating bitfinex object')
tests/exchange/test_bittrex.py
+1 -1
View File
@@ -7,7 +7,7 @@ from catalyst.exchange.exchange_utils import get_exchange_auth
log = Logger('test_bittrex')
class BittrexTestCase(BaseExchangeTestCase):
class TestBittrexTestCase(BaseExchangeTestCase):
@classmethod
def setup(self):
print ('creating bittrex object')
tests/exchange/test_bundle.py
+39 -8
View File
@@ -1,9 +1,10 @@
from logging import Logger
import hashlib
from logging import getLogger
import pandas as pd
from catalyst import get_calendar
from catalyst.exchange.bundle_utils import get_bcolz_chunk, get_periods, \
from catalyst.exchange.bundle_utils import get_bcolz_chunk, \
get_periods_range
from catalyst.exchange.exchange_bcolz import BcolzExchangeBarReader, \
BcolzExchangeBarWriter
@@ -13,10 +14,10 @@ from catalyst.exchange.exchange_utils import get_exchange_folder
from catalyst.exchange.init_utils import get_exchange
from catalyst.utils.paths import ensure_directory
log = Logger('test_exchange_bundle')
log = getLogger('test_exchange_bundle')
class ExchangeBundleTestCase:
class TestExchangeBundle:
def test_spot_value(self):
data_frequency = 'daily'
exchange_name = 'poloniex'
@@ -93,16 +94,39 @@ class ExchangeBundleTestCase:
)
pass
def test_ingest_exchange(self):
# exchange_name = 'bitfinex'
# data_frequency = 'daily'
# include_symbols = 'neo_btc,bch_btc,eth_btc'
exchange_name = 'bitfinex'
data_frequency = 'minute'
exchange = get_exchange(exchange_name)
exchange_bundle = ExchangeBundle(exchange)
log.info('ingesting exchange bundle {}'.format(exchange_name))
exchange_bundle.ingest(
data_frequency=data_frequency,
include_symbols=None,
exclude_symbols=None,
start=None,
end=None,
show_progress=True
)
pass
def test_ingest_daily(self):
# exchange_name = 'bitfinex'
# data_frequency = 'daily'
# include_symbols = 'neo_btc,bch_btc,eth_btc'
exchange_name = 'poloniex'
exchange_name = 'bittrex'
data_frequency = 'daily'
include_symbols = 'btc_usdt'
include_symbols = 'wings_eth'
start = pd.to_datetime('2016-1-1', utc=True)
start = pd.to_datetime('2017-1-1', utc=True)
end = pd.to_datetime('2017-10-16', utc=True)
periods = get_periods_range(start, end, data_frequency)
@@ -274,7 +298,7 @@ class ExchangeBundleTestCase:
data_frequency = 'minute'
exchange = get_exchange(exchange_name)
asset = exchange.get_asset('neo_btc')
asset = exchange.get_asset('neos_btc')
path = get_bcolz_chunk(
exchange_name=exchange_name,
@@ -284,3 +308,10 @@ class ExchangeBundleTestCase:
)
pass
def test_hash_symbol(self):
symbol = 'etc_btc'
sid = int(
hashlib.sha256(symbol.encode('utf-8')).hexdigest(), 16
) % 10 ** 6
pass
tests/exchange/test_clock.py
-50
View File
@@ -1,50 +0,0 @@
from unittest import TestCase
from logbook import Logger
from mock import patch, sentinel
from catalyst.exchange.simple_clock import SimpleClock
from catalyst.utils.calendars.trading_calendar import days_at_time
from datetime import time
from collections import defaultdict
from catalyst.utils.calendars import get_calendar
import pandas as pd
log = Logger('ExchangeClockTestCase')
class ExchangeClockTestCase(TestCase):
@classmethod
def setUpClass(cls):
cls.open_calendar = get_calendar("OPEN")
cls.sessions = pd.Timestamp.utcnow()
def setUp(self):
self.internal_clock = None
self.events = defaultdict(list)
def advance_clock(self, x):
"""Mock function for sleep. Advances the internal clock by 1 min"""
# The internal clock advance time must be 1 minute to match
# MinutesSimulationClock's update frequency
self.internal_clock += pd.Timedelta('1 min')
def get_clock(self, arg, *args, **kwargs):
"""Mock function for pandas.to_datetime which is used to query the
current time in RealtimeClock"""
assert arg == "now"
return self.internal_clock
def test_clock(self):
with patch('catalyst.exchange.simple_clock.pd.to_datetime') as to_dt, \
patch('catalyst.exchange.simple_clock.sleep') as sleep:
clock = SimpleClock(sessions=self.sessions)
to_dt.side_effect = self.get_clock
sleep.side_effect = self.advance_clock
start_time = pd.Timestamp.utcnow()
self.internal_clock = start_time
events = list(clock)
# Event 0 is SESSION_START which always happens at 00:00.
ts, event_type = events[1]
pass
tests/exchange/test_data_portal.py
+1 -1
View File
@@ -12,7 +12,7 @@ from catalyst.exchange.exchange_utils import get_exchange_auth
log = Logger('test_bitfinex')
class ExchangeDataPortalTestCase:
class TestExchangeDataPortalTestCase:
@classmethod
def setup(self):
log.info('creating bitfinex exchange')
tests/exchange/test_poloniex.py
+6 -6
View File
@@ -8,7 +8,7 @@ from catalyst.exchange.exchange_utils import get_exchange_auth
log = Logger('test_poloniex')
class PoloniexTestCase(BaseExchangeTestCase):
class TestPoloniexTestCase(BaseExchangeTestCase):
@classmethod
def setup(self):
print ('creating poloniex object')
@@ -21,7 +21,7 @@ class PoloniexTestCase(BaseExchangeTestCase):
def test_order(self):
log.info('creating order')
asset = self.exchange.get_asset('neo_btc')
asset = self.exchange.get_asset('neos_btc')
order_id = self.exchange.order(
asset=asset,
limit_price=0.0005,
@@ -33,7 +33,7 @@ class PoloniexTestCase(BaseExchangeTestCase):
def test_open_orders(self):
log.info('retrieving open orders')
asset = self.exchange.get_asset('neo_btc')
asset = self.exchange.get_asset('neos_btc')
orders = self.exchange.get_open_orders(asset)
pass
@@ -53,13 +53,13 @@ class PoloniexTestCase(BaseExchangeTestCase):
log.info('retrieving candles')
ohlcv_neo = self.exchange.get_candles(
data_frequency='5m',
assets=self.exchange.get_asset('neo_btc')
assets=self.exchange.get_asset('neos_btc')
)
ohlcv_neo_ubq = self.exchange.get_candles(
data_frequency='5m',
assets=[
self.exchange.get_asset('neo_btc'),
self.exchange.get_asset('ubq_btc')
self.exchange.get_asset('neos_btc'),
self.exchange.get_asset('via_btc')
],
bar_count=14
)