mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-11 11:16:15 +08:00
BLD: making some adjustment to the blotter to improve paper trading
This commit is contained in:
fredfortier
@@ -32,7 +32,7 @@ from catalyst.exchange.exchange_errors import (
|
||||
ExchangeRequestError,
|
||||
ExchangePortfolioDataError,
|
||||
ExchangeTransactionError,
|
||||
OrphanOrderError)
|
||||
OrphanOrderError, OrderTypeNotSupported)
|
||||
from catalyst.exchange.exchange_execution import ExchangeStopLimitOrder, \
|
||||
ExchangeLimitOrder, ExchangeStopOrder
|
||||
from catalyst.exchange.exchange_utils import save_algo_object, get_algo_object, \
|
||||
@@ -63,9 +63,72 @@ class ExchangeAlgorithmExecutor(AlgorithmSimulator):
|
||||
class ExchangeTradingAlgorithmBase(TradingAlgorithm):
|
||||
def __init__(self, *args, **kwargs):
|
||||
self.exchanges = kwargs.pop('exchanges', None)
|
||||
self.simulate_orders = kwargs.pop('simulate_orders', None)
|
||||
|
||||
super(ExchangeTradingAlgorithmBase, self).__init__(*args, **kwargs)
|
||||
|
||||
if self.simulate_orders is None \
|
||||
and self.sim_params.arena == 'backtest':
|
||||
self.simulate_orders = True
|
||||
|
||||
self.blotter = ExchangeBlotter(
|
||||
data_frequency=self.data_frequency,
|
||||
# Default to NeverCancel in catalyst
|
||||
cancel_policy=self.cancel_policy,
|
||||
simulate_orders=self.simulate_orders
|
||||
)
|
||||
|
||||
@staticmethod
|
||||
def __convert_order_params_for_blotter(limit_price, stop_price, style):
|
||||
"""
|
||||
Helper method for converting deprecated limit_price and stop_price
|
||||
arguments into ExecutionStyle instances.
|
||||
|
||||
This function assumes that either style == None or (limit_price,
|
||||
stop_price) == (None, None).
|
||||
"""
|
||||
if stop_price:
|
||||
raise OrderTypeNotSupported(order_type='stop')
|
||||
|
||||
if style:
|
||||
if limit_price is not None:
|
||||
raise ValueError(
|
||||
'An order style and a limit price was included in the '
|
||||
'order. Please pick one to avoid any possible conflict.'
|
||||
)
|
||||
|
||||
# Currently limiting order types or limit and market to
|
||||
# be in-line with CXXT and many exchanges. We'll consider
|
||||
# adding more order types in the future.
|
||||
if not isinstance(style, ExchangeLimitOrder) or \
|
||||
not isinstance(style, MarketOrder):
|
||||
raise OrderTypeNotSupported(
|
||||
order_type=style.__class__.__name__
|
||||
)
|
||||
|
||||
return style
|
||||
|
||||
if limit_price:
|
||||
return ExchangeLimitOrder(limit_price)
|
||||
else:
|
||||
return MarketOrder()
|
||||
|
||||
def _calculate_order(self, asset, amount,
|
||||
limit_price=None, stop_price=None, style=None):
|
||||
# Raises a ZiplineError if invalid parameters are detected.
|
||||
self.validate_order_params(asset,
|
||||
amount,
|
||||
limit_price,
|
||||
stop_price,
|
||||
style)
|
||||
|
||||
# Convert deprecated limit_price and stop_price parameters to use
|
||||
# ExecutionStyle objects.
|
||||
style = self.__convert_order_params_for_blotter(limit_price,
|
||||
stop_price,
|
||||
style)
|
||||
return amount, style
|
||||
|
||||
def round_order(self, amount, asset):
|
||||
"""
|
||||
We need fractions with cryptocurrencies
|
||||
@@ -204,50 +267,8 @@ class ExchangeTradingAlgorithmBacktest(ExchangeTradingAlgorithmBase):
|
||||
super(ExchangeTradingAlgorithmBacktest, self).__init__(*args, **kwargs)
|
||||
|
||||
self.frame_stats = list()
|
||||
self.blotter = ExchangeBlotter(
|
||||
data_frequency=self.data_frequency,
|
||||
# Default to NeverCancel in catalyst
|
||||
cancel_policy=self.cancel_policy,
|
||||
)
|
||||
log.info('initialized trading algorithm in backtest mode')
|
||||
|
||||
def _calculate_order(self, asset, amount,
|
||||
limit_price=None, stop_price=None, style=None):
|
||||
# Raises a ZiplineError if invalid parameters are detected.
|
||||
self.validate_order_params(asset,
|
||||
amount,
|
||||
limit_price,
|
||||
stop_price,
|
||||
style)
|
||||
|
||||
# Convert deprecated limit_price and stop_price parameters to use
|
||||
# ExecutionStyle objects.
|
||||
style = self.__convert_order_params_for_blotter(limit_price,
|
||||
stop_price,
|
||||
style)
|
||||
return amount, style
|
||||
|
||||
@staticmethod
|
||||
def __convert_order_params_for_blotter(limit_price, stop_price, style):
|
||||
"""
|
||||
Helper method for converting deprecated limit_price and stop_price
|
||||
arguments into ExecutionStyle instances.
|
||||
|
||||
This function assumes that either style == None or (limit_price,
|
||||
stop_price) == (None, None).
|
||||
"""
|
||||
if style:
|
||||
assert (limit_price, stop_price) == (None, None)
|
||||
return style
|
||||
if limit_price and stop_price:
|
||||
return ExchangeStopLimitOrder(limit_price, stop_price)
|
||||
if limit_price:
|
||||
return ExchangeLimitOrder(limit_price)
|
||||
if stop_price:
|
||||
return ExchangeStopOrder(stop_price)
|
||||
else:
|
||||
return MarketOrder()
|
||||
|
||||
def is_last_frame_of_day(self, data):
|
||||
# TODO: adjust here to support more intervals
|
||||
next_frame_dt = data.current_dt + timedelta(minutes=1)
|
||||
@@ -289,7 +310,6 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
|
||||
def __init__(self, *args, **kwargs):
|
||||
self.algo_namespace = kwargs.pop('algo_namespace', None)
|
||||
self.live_graph = kwargs.pop('live_graph', None)
|
||||
self.simulate_orders = kwargs.pop('simulate_orders', None)
|
||||
|
||||
self._clock = None
|
||||
self.frame_stats = deque(maxlen=60)
|
||||
@@ -416,16 +436,6 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
|
||||
return self.trading_client.transform()
|
||||
|
||||
def updated_portfolio(self):
|
||||
"""
|
||||
We skip the entire performance tracker business and update the
|
||||
portfolio directly.
|
||||
|
||||
Returns
|
||||
-------
|
||||
ExchangePortfolio
|
||||
|
||||
"""
|
||||
# TODO: build cumulative portfolio
|
||||
return self.perf_tracker.get_portfolio(False)
|
||||
|
||||
def updated_account(self):
|
||||
@@ -450,6 +460,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
|
||||
last_sale_date=position.last_sale_date,
|
||||
last_sale_price=position.last_sale_price
|
||||
)
|
||||
|
||||
except ExchangeRequestError as e:
|
||||
log.warn(
|
||||
'update portfolio attempt {}: {}'.format(attempt_index, e)
|
||||
@@ -464,30 +475,6 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
|
||||
error=e
|
||||
)
|
||||
|
||||
def _check_open_orders(self, attempt_index=0):
|
||||
try:
|
||||
orders = list()
|
||||
for exchange_name in self.exchanges:
|
||||
exchange = self.exchanges[exchange_name]
|
||||
exchange_orders = exchange.check_open_orders()
|
||||
|
||||
orders += exchange_orders
|
||||
|
||||
return orders
|
||||
except ExchangeRequestError as e:
|
||||
log.warn(
|
||||
'check open orders attempt {}: {}'.format(attempt_index, e)
|
||||
)
|
||||
if attempt_index < self.retry_check_open_orders:
|
||||
sleep(self.retry_delay)
|
||||
return self._check_open_orders(attempt_index + 1)
|
||||
else:
|
||||
raise ExchangePortfolioDataError(
|
||||
data_type='order-status',
|
||||
attempts=attempt_index,
|
||||
error=e
|
||||
)
|
||||
|
||||
def add_pnl_stats(self, period_stats):
|
||||
"""
|
||||
Save p&l stats.
|
||||
@@ -577,14 +564,19 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
|
||||
if not self.is_running:
|
||||
return
|
||||
|
||||
self._synchronize_portfolio()
|
||||
new_transactions, new_commissions, closed_orders = \
|
||||
self.blotter.get_transactions(data)
|
||||
|
||||
transactions = self._check_open_orders()
|
||||
if len(transactions) > 0:
|
||||
for transaction in transactions:
|
||||
self.perf_tracker.process_transaction(transaction)
|
||||
self.blotter.prune_orders(closed_orders)
|
||||
|
||||
self.perf_tracker.update_performance()
|
||||
for transaction in new_transactions:
|
||||
self.perf_tracker.process_transaction(transaction)
|
||||
|
||||
# since this order was modified, record it
|
||||
order = self.blotter.orders[transaction.order_id]
|
||||
self.perf_tracker.process_order(order)
|
||||
|
||||
self.perf_tracker.update_performance()
|
||||
|
||||
if self._handle_data:
|
||||
self._handle_data(self, data)
|
||||
@@ -713,25 +705,35 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
|
||||
order: Order
|
||||
The catalyst order object or None
|
||||
"""
|
||||
amount, style = self._calculate_order(asset, amount,
|
||||
limit_price, stop_price,
|
||||
style)
|
||||
|
||||
order_id = self._order(asset, amount, limit_price, stop_price, style)
|
||||
if self.simulate_orders:
|
||||
order_id = super(ExchangeTradingAlgorithmLive, self).order(
|
||||
asset, amount, limit_price, stop_price, style
|
||||
)
|
||||
log.debug('created a simulated order {}'.format(order_id))
|
||||
|
||||
else:
|
||||
amount, style = self._calculate_order(
|
||||
asset, amount, limit_price, stop_price, style
|
||||
)
|
||||
order_id = self._order(
|
||||
asset, amount, limit_price, stop_price, style
|
||||
)
|
||||
|
||||
exchange = self.exchanges[asset.exchange]
|
||||
exchange_portfolio = exchange.portfolio
|
||||
if order_id is not None:
|
||||
current_order = None
|
||||
for order in self.blotter.open_orders[asset]:
|
||||
if current_order is None and order.id == order_id:
|
||||
self.perf_tracker.process_order(order)
|
||||
current_order = order
|
||||
|
||||
if order_id in exchange_portfolio.open_orders:
|
||||
order = exchange_portfolio.open_orders[order_id]
|
||||
self.perf_tracker.process_order(order)
|
||||
return order
|
||||
if current_order is not None:
|
||||
return current_order
|
||||
|
||||
else:
|
||||
raise OrphanOrderError(
|
||||
order_id=order_id,
|
||||
exchange=exchange.name
|
||||
exchange=asset.exchange
|
||||
)
|
||||
else:
|
||||
log.warn('unable to order {} {} on exchange {}'.format(
|
||||
|
||||
Reference in New Issue
Block a user