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Modified for examples consistency.

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Fully tested on v0.3.8
This commit is contained in:
Abner Ayala-Acevedo
2017-11-16 11:22:35 -08:00
committed by GitHub
parent cd0157347f
commit df14a94918
1 changed files with 19 additions and 14 deletions
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catalyst/examples/simple_universe.py
+19 -14
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@@ -26,27 +26,29 @@ from catalyst.api import (
def initialize(context):
context.i = -1 # counts the minutes
context.exchange = 'poloniex' # must match the exchange specified in run_algorithm
context.base_currency = 'btc' # must match the base currency specified in run_algorithm
context.exchange = context.exchanges.values()[0].name.lower() # exchange name
context.base_currency = context.exchanges.values()[0].base_currency.lower() # market base currency
def handle_data(context, data):
lookback = 60 * 24 * 7 # (minutes, hours, days) of how far to lookback in the data history
context.i += 1
lookback_days = 7 # 7 days
# current date formatted into a string
today = context.blotter.current_dt
today = data.current_dt
date, time = today.strftime('%Y-%m-%d %H:%M:%S').split(' ')
lookback_date = today - timedelta(days=(lookback / (60 * 24))) # subtract the amount of days specified in lookback
lookback_date = today - timedelta(days=lookback_days) # subtract the amount of days specified in lookback
lookback_date = lookback_date.strftime('%Y-%m-%d %H:%M:%S').split(' ')[0] # get only the date as a string
# update universe everyday
new_day = 60 * 24
new_day = 60 * 24 # assuming data_frequency='minute'
if not context.i % new_day:
context.universe = universe(context, lookback_date, date)
# get data every 30 minutes
minutes = 30
one_day_in_minutes = 1440 # 1440 assumes data_frequency='minute'
lookback = one_day_in_minutes / minutes * lookback_days # get N lookback_days of history data
if not context.i % minutes and context.universe:
# we iterate for every pair in the current universe
for coin in context.coins:
@@ -54,15 +56,15 @@ def handle_data(context, data):
# 30 minute interval ohlcv data (the standard data required for candlestick or indicators/signals)
# 30T means 30 minutes re-sampling of one minute data. change to your desire time interval.
open = fill(data.history(coin, 'open', bar_count=lookback, frequency='1m')).resample('30T').first()
high = fill(data.history(coin, 'high', bar_count=lookback, frequency='1m')).resample('30T').max()
low = fill(data.history(coin, 'low', bar_count=lookback, frequency='1m')).resample('30T').min()
close = fill(data.history(coin, 'price', bar_count=lookback, frequency='1m')).resample('30T').last()
volume = fill(data.history(coin, 'volume', bar_count=lookback, frequency='1m')).resample('30T').sum()
opened = fill(data.history(coin, 'open', bar_count=lookback, frequency='30T')).values
high = fill(data.history(coin, 'high', bar_count=lookback, frequency='30T')).values
low = fill(data.history(coin, 'low', bar_count=lookback, frequency='30T')).values
close = fill(data.history(coin, 'price', bar_count=lookback, frequency='30T')).values
volume = fill(data.history(coin, 'volume', bar_count=lookback, frequency='30T')).values
# close[-1] is the equivalent to current price
# displays the minute price for each pair every 30 minutes
print(today, pair, open[-1], high[-1], low[-1], close[-1], volume[-1])
print(today, pair, opened[-1], high[-1], low[-1], close[-1], volume[-1])
# ----------------------------------------------------------------------------------------------------------
# -------------------------------------- Insert Your Strategy Here -----------------------------------------
@@ -82,6 +84,7 @@ def universe(context, lookback_date, current_date):
axis=1)
universe_df['market_currency'] = universe_df.apply(lambda row: row.symbol.split('_')[0],
axis=1)
# Filter all the exchange pairs to only the ones for a give base currency
universe_df = universe_df[universe_df['base_currency'] == context.base_currency]
@@ -89,6 +92,8 @@ def universe(context, lookback_date, current_date):
universe_df = universe_df[universe_df.start_date < lookback_date]
universe_df = universe_df[universe_df.end_daily >= current_date]
context.coins = symbols(*universe_df.symbol) # convert all the pairs to symbols
# print(universe_df.symbol.tolist())
return universe_df.symbol.tolist()
@@ -104,10 +109,10 @@ def fill(series):
if __name__ == '__main__':
start_date = pd.to_datetime('2017-01-01', utc=True)
end_date = pd.to_datetime('2017-10-15', utc=True)
end_date = pd.to_datetime('2017-11-13', utc=True)
performance = run_algorithm(start=start_date, end=end_date,
capital_base=10000.0,
capital_base=100.0, # amount of base_currency, not always in dollars unless usd
initialize=initialize,
handle_data=handle_data,
analyze=analyze,