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BUG: fix #252 #253 and split state into paper and live

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This commit is contained in:
AvishaiW
2018-02-26 09:21:00 +02:00
parent 8587fee0ce
commit e5870ea60a
3 changed files with 53 additions and 27 deletions
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catalyst/exchange/exchange_algorithm.py
+36 -15
View File
@@ -375,13 +375,23 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
if error:
log.warning(error)
self.pnl_stats = get_algo_df(self.algo_namespace, 'pnl_stats')
# in order to save paper & live files separately
self.mode_name = 'paper' if kwargs['simulate_orders'] else 'live'
self.custom_signals_stats = \
get_algo_df(self.algo_namespace, 'custom_signals_stats')
self.pnl_stats = get_algo_df(
self.algo_namespace,
'pnl_stats_{}'.format(self.mode_name),
)
self.exposure_stats = \
get_algo_df(self.algo_namespace, 'exposure_stats')
self.custom_signals_stats = get_algo_df(
self.algo_namespace,
'custom_signals_stats_{}'.format(self.mode_name)
)
self.exposure_stats = get_algo_df(
self.algo_namespace,
'exposure_stats_{}'.format(self.mode_name)
)
self.is_running = True
@@ -515,7 +525,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
"""
self.state = get_algo_object(
algo_name=self.algo_namespace,
key='context.state',
key='context.state_{}'.format(self.mode_name),
)
if self.state is None:
self.state = {}
@@ -538,7 +548,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
# Unpacking the perf_tracker and positions if available
cum_perf = get_algo_object(
algo_name=self.algo_namespace,
key='cumulative_performance',
key='cumulative_performance_{}'.format(self.mode_name),
)
if cum_perf is not None:
tracker.cumulative_performance = cum_perf
@@ -549,7 +559,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
todays_perf = get_algo_object(
algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
rel_path='daily_performance',
rel_path='daily_performance_{}'.format(self.mode_name),
)
if todays_perf is not None:
# Ensure single common position tracker
@@ -686,7 +696,11 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
)
self.pnl_stats = pd.concat([self.pnl_stats, df])
save_algo_df(self.algo_namespace, 'pnl_stats', self.pnl_stats)
save_algo_df(
self.algo_namespace,
'pnl_stats_{}'.format(self.mode_name),
self.pnl_stats,
)
def add_custom_signals_stats(self, period_stats):
"""
@@ -707,8 +721,11 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
)
self.custom_signals_stats = pd.concat([self.custom_signals_stats, df])
save_algo_df(self.algo_namespace, 'custom_signals_stats',
self.custom_signals_stats)
save_algo_df(
self.algo_namespace,
'custom_signals_stats_{}'.format(self.mode_name),
self.custom_signals_stats,
)
def add_exposure_stats(self, period_stats):
"""
@@ -735,7 +752,9 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
self.exposure_stats = pd.concat([self.exposure_stats, df])
save_algo_df(
self.algo_namespace, 'exposure_stats', self.exposure_stats
self.algo_namespace,
'exposure_stats_{}'.format(self.mode_name),
self.exposure_stats
)
def nullify_frame_stats(self, now):
@@ -759,6 +778,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
obj=self.frame_stats,
rel_path='frame_stats'
)
error = remove_old_files(
algo_name=self.algo_namespace,
today=now,
@@ -843,7 +863,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
log.debug('saving cumulative performance object')
save_algo_object(
algo_name=self.algo_namespace,
key='cumulative_performance',
key='cumulative_performance_{}'.format(self.mode_name),
obj=self.perf_tracker.cumulative_performance,
)
log.debug('saving todays performance object')
@@ -851,12 +871,12 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
obj=self.perf_tracker.todays_performance,
rel_path='daily_performance'
rel_path='daily_performance_{}'.format(self.mode_name)
)
log.debug('saving context.state object')
save_algo_object(
algo_name=self.algo_namespace,
key='context.state',
key='context.state_{}'.format(self.mode_name),
obj=self.state)
def _process_stats(self, data):
@@ -912,6 +932,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
csv_bytes = stats_to_algo_folder(
stats=self.frame_stats,
algo_namespace=self.algo_namespace,
folder_name='stats_{}'.format(self.mode_name),
recorded_cols=recorded_cols,
)
except Exception as e:
catalyst/exchange/utils/exchange_utils.py
+13 -10
View File
@@ -420,7 +420,7 @@ def clear_frame_stats_directory(algo_name):
return error
def remove_old_files(algo_name, today, rel_path):
def remove_old_files(algo_name, today, rel_path, environ=None):
"""
remove old files from a directory
to avoid overloading the disk
@@ -430,27 +430,30 @@ def remove_old_files(algo_name, today, rel_path):
algo_name: str
today: Timestamp
rel_path: str
environ:
Returns
-------
error: str
"""
error = None
algo_folder = get_algo_folder(algo_name)
algo_folder = get_algo_folder(algo_name, environ)
folder = os.path.join(algo_folder, rel_path)
ensure_directory(folder)
# run on all files in the folder
for f in os.listdir(folder):
creation_unix = os.path.getctime(f)
creation_time = pd.to_datetime(creation_unix, unit='s', )
try:
creation_unix = os.path.getctime(os.path.join(folder, f))
creation_time = pd.to_datetime(creation_unix, unit='s', )
# if the file is older than 30 days erase it
if today - pd.DateOffset(30) > creation_time:
try:
os.unlink(f)
except OSError:
error = 'unable to erase files in {}'.format(folder)
# if the file is older than 30 days erase it
if today - pd.DateOffset(30) > creation_time:
os.unlink(f)
except OSError:
error = 'unable to erase files in {}'.format(folder)
return error
catalyst/exchange/utils/stats_utils.py
+4 -2
View File
@@ -396,7 +396,8 @@ def email_error(algo_name, dt, e, environ=None):
)})
def stats_to_algo_folder(stats, algo_namespace, recorded_cols=None):
def stats_to_algo_folder(stats, algo_namespace,
folder_name, recorded_cols=None):
"""
Saves the performance stats to the algo local folder.
@@ -404,6 +405,7 @@ def stats_to_algo_folder(stats, algo_namespace, recorded_cols=None):
----------
stats: list[Object]
algo_namespace: str
folder_name: str
recorded_cols: list[str]
Returns
@@ -416,7 +418,7 @@ def stats_to_algo_folder(stats, algo_namespace, recorded_cols=None):
timestr = time.strftime('%Y%m%d')
folder = get_algo_folder(algo_namespace)
stats_folder = os.path.join(folder, 'stats')
stats_folder = os.path.join(folder, folder_name)
ensure_directory(stats_folder)
filename = os.path.join(stats_folder, '{}.csv'.format(timestr))