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https://github.com/wassname/catalyst.git
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Minor adjustments and draft documentation
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Frederic Fortier
@@ -308,14 +308,14 @@ class Bitfinex(Exchange):
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'Unsupported frequency %s' % data_frequency
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)
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request = requests.get(
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response = requests.get(
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'{url}/v2/candles/trade:{frequency}:{symbol}/last'.format(
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url=self.url,
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frequency=frequency,
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symbol=symbol
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)
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)
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candles = request.json()
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candles = response.json()
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if 'message' in candles:
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raise ValueError(
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@@ -333,7 +333,7 @@ class Bitfinex(Exchange):
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)
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if field not in ohlc:
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raise KeyError('Invalid column: ' + str(field))
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raise KeyError('Invalid column: %s' % field)
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return ohlc[field]
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@@ -1 +1,110 @@
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{ "btcusd": {"symbol":"btc_usd", "start_date": "2010-01-01"}, "ltcusd": {"symbol":"ltc-usd", "start_date": "2010-01-01"}, "ltcbtc": {"symbol":"ltc_btc", "start_date": "2010-01-01"}, "ethusd": {"symbol":"eth_usd", "start_date": "2010-01-01"}, "ethbtc": {"symbol":"eth_btc", "start_date": "2010-01-01"}, "etcbtc": {"symbol":"etc_btc", "start_date": "2010-01-01"}, "etcusd": {"symbol":"etc_usd", "start_date": "2010-01-01"}, "rrtusd": {"symbol":"rrt_usd", "start_date": "2010-01-01"}, "rrtbtc": {"symbol":"rrt_btc", "start_date": "2010-01-01"}, "zecusd": {"symbol":"zec_usd", "start_date": "2010-01-01"}, "zecbtc": {"symbol":"zec_btc", "start_date": "2010-01-01"}, "xmrusd": {"symbol":"xmr_usd", "start_date": "2010-01-01"}, "xmrbtc": {"symbol":"xmr_btc", "start_date": "2010-01-01"}, "dshusd": {"symbol":"dsh_usd", "start_date": "2010-01-01"}, "dshbtc": {"symbol":"dsh_btc", "start_date": "2010-01-01"}, "bccbtc": {"symbol":"bcc_btc", "start_date": "2010-01-01"}, "bcubtc": {"symbol":"bcu_btc", "start_date": "2010-01-01"}, "bccusd": {"symbol":"bcc_usd", "start_date": "2010-01-01"}, "bcuusd": {"symbol":"bcu_usd", "start_date": "2010-01-01"}, "xrpusd": {"symbol":"xrp_usd", "start_date": "2010-01-01"}, "xrpbtc": {"symbol":"xrp_btc", "start_date": "2010-01-01"}, "iotusd": {"symbol":"iot_usd", "start_date": "2010-01-01"}, "iotbtc": {"symbol":"iot_btc", "start_date": "2010-01-01"}, "ioteth": {"symbol":"iot_eth", "start_date": "2010-01-01"}, "eosusd": {"symbol":"eos_usd", "start_date": "2010-01-01"}, "eosbtc": {"symbol":"eos_btc", "start_date": "2010-01-01"}, "eoseth": {"symbol":"eos_eth", "start_date": "2010-01-01"} }
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{
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"btcusd": {
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"symbol": "btc_usd",
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"start_date": "2010-01-01"
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},
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"ltcusd": {
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"symbol": "ltc-usd",
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"start_date": "2010-01-01"
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},
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"ltcbtc": {
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"symbol": "ltc_btc",
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"start_date": "2010-01-01"
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},
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"ethusd": {
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"symbol": "eth_usd",
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"start_date": "2010-01-01"
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},
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"ethbtc": {
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"symbol": "eth_btc",
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"start_date": "2010-01-01"
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},
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"etcbtc": {
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"symbol": "etc_btc",
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"start_date": "2010-01-01"
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},
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"etcusd": {
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"symbol": "etc_usd",
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"start_date": "2010-01-01"
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},
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"rrtusd": {
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"symbol": "rrt_usd",
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"start_date": "2010-01-01"
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},
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"rrtbtc": {
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"symbol": "rrt_btc",
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"start_date": "2010-01-01"
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},
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"zecusd": {
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"symbol": "zec_usd",
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"start_date": "2010-01-01"
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},
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"zecbtc": {
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"symbol": "zec_btc",
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"start_date": "2010-01-01"
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},
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"xmrusd": {
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"symbol": "xmr_usd",
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"start_date": "2010-01-01"
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},
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"xmrbtc": {
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"symbol": "xmr_btc",
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"start_date": "2010-01-01"
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},
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"dshusd": {
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"symbol": "dsh_usd",
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"start_date": "2010-01-01"
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},
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"dshbtc": {
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"symbol": "dsh_btc",
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"start_date": "2010-01-01"
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},
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"bccbtc": {
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"symbol": "bcc_btc",
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"start_date": "2010-01-01"
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},
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"bcubtc": {
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"symbol": "bcu_btc",
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"start_date": "2010-01-01"
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},
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"bccusd": {
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"symbol": "bcc_usd",
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"start_date": "2010-01-01"
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},
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"bcuusd": {
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"symbol": "bcu_usd",
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"start_date": "2010-01-01"
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},
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"xrpusd": {
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"symbol": "xrp_usd",
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"start_date": "2010-01-01"
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},
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"xrpbtc": {
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"symbol": "xrp_btc",
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"start_date": "2010-01-01"
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},
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"iotusd": {
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"symbol": "iot_usd",
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"start_date": "2010-01-01"
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},
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"iotbtc": {
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"symbol": "iot_btc",
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"start_date": "2010-01-01"
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},
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"ioteth": {
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"symbol": "iot_eth",
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"start_date": "2010-01-01"
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},
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"eosusd": {
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"symbol": "eos_usd",
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"start_date": "2010-01-01"
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},
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"eosbtc": {
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"symbol": "eos_btc",
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"start_date": "2010-01-01"
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},
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"eoseth": {
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"symbol": "eos_eth",
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"start_date": "2010-01-01"
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}
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}
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@@ -1,2 +0,0 @@
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from catalyst.finance.trading import TradingEnvironment
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@@ -0,0 +1,185 @@
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<h1>Live Trading Blueprint</h1>
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The purpose of this document is to allow project contributors navigate
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ongoing live trading implementation.
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<h2>Components</h2>
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At a high level the following components have been modified to coerce
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zipline into live trading.
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<h3>Exchange</h3>
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Exchange is a new package which introduces the concept of cryptocurrency
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exchanges to zipline. The package contains all new component
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implementations adapted to charasteristics of exchanges.
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```
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catalyst/exchange
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```
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Here are some key characteristics which makes exchanges different from
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equity and futures currently implemented in zipline.
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* They trade around the clock.
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* Currency symbols are inconsistent across exchanges.
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* They trade currency pairs, i.e. the base currency is not always be USD.
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This is a significant departure from the equity market. Additional
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business logic will be required both to assess performance and
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manage trades.
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* The cryptocurrency market being relatively immature, there are still
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significant price arbitrage opportunities between exchanges.
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In contrast with the equity markets, trader usually trade directly
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against an exchange (as oppose to using a broker). Consequently,
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to extract maximum alpha, the platform should not only support
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multiple exchanges, but also multiple exchanges per algorithm.
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* The fee model is usually more complex than that of an equity broker.
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It can vary drastically between exchanges.
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* There are no splits, mergers, etc to worry about.
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* Their order book is publicly available, the platform should access to
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it as it can be used to drastically reduce slippage.
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<h4>New Components</h4>
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These components of the exchange package were added to the zipline
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sources.
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<h5>Exchange</h5>
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```
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catalyst/exchange/exchange.py
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```
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Abstract class which acts an interface for the implementation of
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various exchanges. It also contains logic common to all exchanges.
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<h5>Bitfinex</h5>
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```
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catalyst/exchange/bitfinex.py
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```
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The Bitfinex exchange implementation. It extends the Exchange class.
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<h5>DataPortalExchange</h5>
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```
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catalyst/exchange/data_portal_exchange.py
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```
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Extends the zipline DataPortal to route spot data to the exchange.
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This is critical because it allows the algoritm to request data in
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real-time.
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For example,
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```python
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data.current(asset, 'price')
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```
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retrieves the current price of the asset, not the price at the time
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of yielding the bar this is critical to minimize slippage.
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<h5>ExchangeClock</h5>
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```
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catalyst/exchange/exchange_clock.py
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```
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An implementation to the zipline Clock which runs 24/7. It yeilds a
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bar every minute.
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<h5>AssetFinderExchange</h5>
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```
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catalyst/exchange/asset_finder_exchange.py
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```
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An alternate implementation of AssetFinder which locates each asset
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against the exchanges instead of bundle databases.
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For example,
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```python
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symbol('eth_usd')
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```
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retrieves an Asset object against the exchange as opposed to querying
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a database of equities.
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I have created a dictionary of currencies for the Bitfinex exchange.
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The primary goal is to standardize the symbol notation across exchanges.
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Here is a snippet of the file.
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* Each key represents the exchange specific symbol.
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* The symbol attribute represents the standard symbol which
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should be common across exchanges for the given currency.
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* The start_date attribute should correspond to its first trading day
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on the exchange.
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```json
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{
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"btcusd": {
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"symbol": "btc_usd",
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"start_date": "2010-01-01"
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},
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"ltcusd": {
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"symbol": "ltc_usd",
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"start_date": "2010-01-01"
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},
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"ltcbtc": {
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"symbol": "ltc_btc",
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"start_date": "2010-01-01"
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},
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"ethusd": {
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"symbol": "eth_usd",
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"start_date": "2010-01-01"
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},
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"ethbtc": {
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"symbol": "eth_btc",
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"start_date": "2010-01-01"
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}
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}
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```
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<h5>ExchangeTradingAlgorithm</h5>
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```
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catalyst/exchange/algorithm_exchange.py
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```
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Extends the TradingAlgorithm class which orchestrates the api
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operations. This class brings together most of the components
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described above.
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<h4>Modified Components</h4>
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The following components have been modified to include conditional
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business logic to enable live trading.
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<h5>run_algorithm</h5>
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```
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catalyst/utils/run_algo.py
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```
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The run_algorithm interface is an entry point to execute an
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algorithm in zipline. This component was already modified for
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the catalyst concurrency bundles. I added conditional logic to
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which should not break any of the existing backtesting implementations.
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At a high-level the run_algorithm method now contains two additional
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parameters:
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* live: If True, zipline will attempt to trade live. If False or not
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specified, it will run a backtest as normal.
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* exchange_conn: A dictionary containing the attributes required
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to instantiate an exchange. Here is an example for Bitfinex:
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```python
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exchange_conn = dict(
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name='bitfinex',
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key='',
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secret=b'',
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base_currency='usd'
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)
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```
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The following sample algorithm uses the run_algorithm interface:
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```
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catalyst/examples/buy_and_hold_live.py
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```
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