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BUG: trying to mitigate a date adjustment issue which occurs sometimes sometimes in live trading especially with Bitrrex at certain frequencies.

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This commit is contained in:
Frederic Fortier
2017-12-12 13:34:18 -05:00
parent 021e1fd8c8
commit f2e4637f29
9 changed files with 112 additions and 52 deletions
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catalyst/examples/mean_reversion_simple.py
+1 -1
View File
@@ -245,7 +245,7 @@ def analyze(context=None, perf=None):
if __name__ == '__main__':
# The execution mode: backtest or live
MODE = 'backtest'
MODE = 'live'
if MODE == 'backtest':
folder = os.path.join(
catalyst/examples/simple_loop.py
+24 -19
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@@ -9,7 +9,7 @@ from catalyst.exchange.stats_utils import get_pretty_stats, \
def initialize(context):
print('initializing')
context.asset = symbol('neo_eth')
context.asset = symbol('eth_btc')
context.base_price = None
@@ -23,8 +23,11 @@ def handle_data(context, data):
context.asset,
fields='price',
bar_count=20,
frequency='15T'
frequency='5T'
)
last_traded = prices.index[-1]
print('last candle date: {}'.format(last_traded))
rsi = talib.RSI(prices.values, timeperiod=14)[-1]
print('got rsi: {}'.format(rsi))
@@ -107,25 +110,27 @@ def analyze(context, perf):
pass
run_algorithm(
capital_base=250,
start=pd.to_datetime('2017-11-9 0:00', utc=True),
end=pd.to_datetime('2017-11-10 23:59', utc=True),
data_frequency='minute',
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
exchange_name='bitfinex',
algo_namespace='simple_loop',
base_currency='usd'
)
# run_algorithm(
# capital_base=250,
# start=pd.to_datetime('2017-11-9 0:00', utc=True),
# end=pd.to_datetime('2017-11-10 23:59', utc=True),
# data_frequency='minute',
# initialize=initialize,
# handle_data=handle_data,
# analyze=None,
# exchange_name='binance',
# live=True,
# analyze=analyze,
# exchange_name='bitfinex',
# algo_namespace='simple_loop',
# base_currency='eth',
# live_graph=False,
# base_currency='usd'
# )
run_algorithm(
capital_base=1,
initialize=initialize,
handle_data=handle_data,
analyze=None,
exchange_name='binance',
live=True,
algo_namespace='simple_loop',
base_currency='eth',
live_graph=False,
simulate_orders=True
)
catalyst/examples/simple_universe.py
+1 -1
View File
@@ -163,7 +163,7 @@ if __name__ == '__main__':
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
exchange_name='bitfinex',
exchange_name='poloniex',
data_frequency='minute',
base_currency='btc',
live=False,
catalyst/exchange/ccxt/ccxt_exchange.py
+12 -6
View File
@@ -4,12 +4,12 @@ from collections import defaultdict
import ccxt
import pandas as pd
import six
from catalyst.assets._assets import TradingPair
from ccxt import ExchangeNotAvailable, InvalidOrder
from logbook import Logger
from six import string_types
from catalyst.algorithm import MarketOrder
from catalyst.assets._assets import TradingPair
from catalyst.constants import LOG_LEVEL
from catalyst.exchange.exchange import Exchange
from catalyst.exchange.exchange_bundle import ExchangeBundle
@@ -58,8 +58,12 @@ class CCXT(Exchange):
self._symbol_maps = [None, None]
markets_symbols = self.api.load_markets()
log.debug('the markets:\n{}'.format(markets_symbols))
try:
markets_symbols = self.api.load_markets()
log.debug('the markets:\n{}'.format(markets_symbols))
except ExchangeNotAvailable as e:
raise ExchangeRequestError(error=e)
self.name = exchange_name
@@ -185,10 +189,12 @@ class CCXT(Exchange):
assets = [assets]
symbols = self.get_symbols(assets)
timeframe = self.get_timeframe(freq)
delta = start_dt - get_epoch()
ms = int(delta.total_seconds()) * 1000
ms = None
if start_dt is not None:
delta = start_dt - get_epoch()
ms = int(delta.total_seconds()) * 1000
candles = dict()
for asset in assets:
catalyst/exchange/exchange.py
+53 -19
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@@ -15,7 +15,7 @@ from catalyst.exchange.exchange_bundle import ExchangeBundle
from catalyst.exchange.exchange_errors import MismatchingBaseCurrencies, \
BaseCurrencyNotFoundError, SymbolNotFoundOnExchange, \
PricingDataNotLoadedError, \
NoDataAvailableOnExchange, NoValueForField
NoDataAvailableOnExchange, NoValueForField, LastCandleTooEarlyError
from catalyst.exchange.exchange_utils import get_exchange_symbols, \
get_frequency, resample_history_df
@@ -176,10 +176,18 @@ class Exchange:
assets = []
for symbol in symbols:
asset = self.get_asset(
symbol, data_frequency, is_exchange_symbol, is_local
)
assets.append(asset)
try:
asset = self.get_asset(
symbol, data_frequency, is_exchange_symbol, is_local
)
assets.append(asset)
except SymbolNotFoundOnExchange:
log.debug(
'skipping non-existent market {} {}'.format(
self.name, symbol
)
)
return assets
def get_asset(self, symbol, data_frequency=None, is_exchange_symbol=False,
@@ -227,8 +235,10 @@ class Exchange:
elif data_frequency is not None:
applies = (
(data_frequency == 'minute' and a.end_minute is not None)
or (data_frequency == 'daily' and a.end_daily is not None)
(
data_frequency == 'minute' and a.end_minute is not None)
or (
data_frequency == 'daily' and a.end_daily is not None)
)
else:
@@ -441,6 +451,12 @@ class Exchange:
Forward-fill missing values. Only has effect if field
is 'price'.
Notes
-----
Catalysts requires an end data with bar count both CCXT wants a
start data with bar count. Since we have to make calculations here,
we ensure that the last candle match the end_dt parameter.
Returns
-------
DataFrame
@@ -451,6 +467,7 @@ class Exchange:
frequency, data_frequency
)
adj_bar_count = candle_size * bar_count
start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
# The get_history method supports multiple asset
@@ -459,11 +476,23 @@ class Exchange:
assets=assets,
bar_count=bar_count,
start_dt=start_dt,
end_dt=end_dt
end_dt=end_dt,
)
series = dict()
for asset in candles:
if end_dt is not None and candles[asset]:
delta = get_delta(candle_size, data_frequency)
adj_end_dt = end_dt - delta
last_candle = candles[asset][-1]
if last_candle['last_traded'] < adj_end_dt:
raise LastCandleTooEarlyError(
last_traded=last_candle['last_traded'],
end_dt=adj_end_dt,
exchange=self.name,
)
asset_series = self.get_series_from_candles(
candles=candles[asset],
start_dt=start_dt,
@@ -528,6 +557,7 @@ class Exchange:
frequency, data_frequency
)
adj_bar_count = candle_size * bar_count
try:
series = self.bundle.get_history_window_series_and_load(
assets=assets,
@@ -537,6 +567,7 @@ class Exchange:
data_frequency=data_frequency,
force_auto_ingest=force_auto_ingest
)
except (PricingDataNotLoadedError, NoDataAvailableOnExchange):
series = dict()
@@ -548,7 +579,7 @@ class Exchange:
start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
trailing_dt = \
series[asset].index[-1] + get_delta(1, data_frequency) \
if asset in series else start_dt
if asset in series else start_dt
# The get_history method supports multiple asset
# Use the original frequency to let each api optimize
@@ -590,24 +621,27 @@ class Exchange:
return df
def calculate_totals(self, positions=None):
def calculate_totals(self, check_cash=False, positions=None):
"""
Update the portfolio cash and position balances based on the
latest ticker prices.
"""
log.debug('synchronizing portfolio with exchange {}'.format(self.name))
balances = self.get_balances()
cash = balances[self.base_currency]['free'] \
if self.base_currency in balances else None
cash = None
if check_cash:
balances = self.get_balances()
if cash is None:
raise BaseCurrencyNotFoundError(
base_currency=self.base_currency,
exchange=self.name
)
log.debug('found base currency balance: {}'.format(cash))
cash = balances[self.base_currency]['free'] \
if self.base_currency in balances else None
if cash is None:
raise BaseCurrencyNotFoundError(
base_currency=self.base_currency,
exchange=self.name
)
log.debug('found base currency balance: {}'.format(cash))
positions_value = 0.0
if positions:
catalyst/exchange/exchange_algorithm.py
+13 -5
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@@ -498,13 +498,18 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
exchange_positions = \
[positions[asset] for asset in assets]
exchange = self.exchanges[exchange_name] # Type: Exchange
cash, positions_value = \
exchange.calculate_totals(exchange_positions)
check_cash = (not self.simulate_orders)
total_cash += cash
exchange = self.exchanges[exchange_name] # Type: Exchange
cash, positions_value = exchange.calculate_totals(
positions=exchange_positions,
check_cash=check_cash,
)
total_positions_value += positions_value
if cash is not None:
total_cash += cash
for position in exchange_positions:
tracker.update_position(
asset=position.asset,
@@ -512,7 +517,10 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
last_sale_price=position.last_sale_price
)
if total_cash < self.portfolio.cash:
if cash is None:
total_cash = self.portfolio.cash
elif total_cash < self.portfolio.cash:
raise ValueError('Cash on exchanges is lower than the algo.')
return total_cash, total_positions_value
catalyst/exchange/exchange_data_portal.py
+1
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@@ -237,6 +237,7 @@ class DataPortalExchangeLive(DataPortalExchangeBase):
"""
exchange = self.exchanges[exchange_name]
df = exchange.get_history_window(
assets,
end_dt,
catalyst/exchange/exchange_errors.py
+6
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@@ -263,3 +263,9 @@ class NotEnoughCapitalError(ZiplineError):
'exchange should contain at least as much {base_currency} '
'as the specified `capital_base`. The current balance {balance} is '
'lower than the `capital_base`: {capital_base}').strip()
class LastCandleTooEarlyError(ZiplineError):
msg = (
'The trade date of the last candle {last_traded} is before the '
'specified end date minus one candle {end_dt}. Please verify how '
'{exchange} calculates the start date of OHLCV candles.').strip()
catalyst/utils/run_algo.py
+1 -1
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@@ -155,7 +155,7 @@ def _run(handle_data,
exchanges[exchange_name] = get_exchange(
exchange_name=exchange_name,
base_currency=base_currency,
must_authenticate=live,
must_authenticate=(live and not simulate_orders),
)
open_calendar = get_calendar('OPEN')