mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-11 09:08:25 +08:00
BLD: some refactoring to simplify the integration logic and tested several algos
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fredfortier
@@ -516,7 +516,7 @@ cdef class TradingPair(Asset):
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symbol = symbol.lower()
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try:
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self.base_currency,self.quote_currency = symbol.split('_')
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self.base_currency, self.quote_currency = symbol.split('_')
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except Exception as e:
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raise InvalidSymbolError(symbol=symbol, error=e)
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@@ -600,8 +600,8 @@ cdef class TradingPair(Asset):
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-------
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boolean: whether the asset's exchange is open at the given minute.
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"""
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#TODO: consider implementing to spot holds
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return self.trading_state > 0
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#TODO: make more dymanic to catch holds
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return True
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cpdef __reduce__(self):
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"""
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@@ -84,6 +84,19 @@ class CCXT(Exchange):
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return None
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def get_market(self, symbol):
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"""
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The CCXT market.
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Parameters
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----------
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symbol:
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The CCXT symbol.
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Returns
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-------
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dict[str, Object]
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"""
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s = self.get_symbol(symbol)
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market = next(
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(market for market in self.markets if market['symbol'] == s),
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@@ -92,6 +105,17 @@ class CCXT(Exchange):
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return market
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def get_symbol(self, asset_or_symbol):
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"""
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The CCXT symbol.
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Parameters
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----------
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asset_or_symbol
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Returns
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-------
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"""
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symbol = asset_or_symbol if isinstance(
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asset_or_symbol, string_types
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) else asset_or_symbol.symbol
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@@ -100,6 +124,17 @@ class CCXT(Exchange):
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return '{}/{}'.format(parts[0].upper(), parts[1].upper())
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def get_catalyst_symbol(self, market_or_symbol):
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"""
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The Catalyst symbol.
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Parameters
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----------
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market_or_symbol
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Returns
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-------
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"""
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if isinstance(market_or_symbol, string_types):
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parts = market_or_symbol.split('/')
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return '{}_{}'.format(parts[0].lower(), parts[1].lower())
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@@ -111,6 +146,19 @@ class CCXT(Exchange):
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)
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def get_timeframe(self, freq):
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"""
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The CCXT timeframe from the Catalyst frequency.
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Parameters
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----------
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freq: str
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The Catalyst frequency (Pandas convention)
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Returns
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-------
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str
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"""
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freq_match = re.match(r'([0-9].*)?(m|M|d|D|h|H|T)', freq, re.M | re.I)
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if freq_match:
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candle_size = int(freq_match.group(1)) \
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@@ -168,16 +216,47 @@ class CCXT(Exchange):
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except ExchangeSymbolsNotFound:
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return None
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def fetch_asset_defs(self, market):
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def get_asset_defs(self, market):
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"""
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The local and Catalyst definitions of the specified market.
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Parameters
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----------
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market: dict[str, Object]
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The CCXT market dicts.
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Returns
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-------
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dict[str, Object]
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The asset definition.
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"""
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asset_defs = []
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for is_local in (False, True):
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asset_def = self.fetch_asset_def(market, is_local)
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asset_def = self.get_asset_def(market, is_local)
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asset_defs.append((asset_def, is_local))
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return asset_defs
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def fetch_asset_def(self, market, is_local=False):
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def get_asset_def(self, market, is_local=False):
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"""
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The asset definition (in symbols.json files) corresponding
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to the the specified market.
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Parameters
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----------
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market: dict[str, Object]
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The CCXT market dict.
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is_local
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Whether to search in local or Catalyst asset definitions.
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Returns
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-------
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dict[str, Object]
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The asset definition.
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"""
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exchange_symbol = market['id']
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symbol_map = self._fetch_symbol_map(is_local)
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@@ -250,8 +329,7 @@ class CCXT(Exchange):
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self.assets = []
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for market in self.markets:
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log.debug('fetching asset for market: {}'.format(market['id']))
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asset_defs = self.fetch_asset_defs(market)
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asset_defs = self.get_asset_defs(market)
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for asset_def in asset_defs:
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if asset_def[0] is not None or not asset_defs[1]:
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@@ -175,71 +175,102 @@ class Exchange:
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return symbols
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def get_assets(self, symbols=None, data_frequency=None):
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def get_assets(self, symbols=None, data_frequency=None,
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is_exchange_symbol=False,
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is_local=None):
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"""
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The list of markets for the specified symbols.
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Parameters
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----------
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symbols: list[str]
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data_frequency: str
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is_exchange_symbol: bool
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is_local: bool
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Returns
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-------
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list[TradingPair]
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A list of asset objects.
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Notes
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-----
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See get_asset for details of each parameter.
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"""
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if symbols is None:
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# Make a distinct list of all symbols
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symbols = list(set([asset.symbol for asset in self.assets]))
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is_exchange_symbol = False
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if symbols is not None:
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assets = []
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for symbol in symbols:
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asset = self.get_asset(symbol, data_frequency)
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assets.append(asset)
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return assets
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else:
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return self.assets
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assets = []
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for symbol in symbols:
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asset = self.get_asset(
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symbol, data_frequency, is_exchange_symbol, is_local
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)
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assets.append(asset)
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return assets
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def _find_asset(self, asset, symbol, data_frequency, is_exchange_symbol,
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is_local=False):
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for a in self.assets:
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has_data = (data_frequency == 'minute'
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and a.end_minute is not None) \
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or (data_frequency == 'daily'
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and a.end_daily is not None)
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symbol_attr = a.exchange_symbol if is_exchange_symbol else a.symbol
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if not asset and symbol_attr.lower() == symbol.lower() \
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and (not data_frequency or has_data):
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asset = a
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return asset
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def get_asset(self, symbol, data_frequency=None, is_exchange_symbol=False):
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def get_asset(self, symbol, data_frequency=None, is_exchange_symbol=False,
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is_local=None):
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"""
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The market for the specified symbol.
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Parameters
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----------
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symbol: str
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The Catalyst or exchange symbol.
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data_frequency: str
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Check for asset corresponding to the specified data_frequency.
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The same asset might exist in the Catalyst repository or
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locally (following a CSV ingestion). Filtering by
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data_frequency picks the right asset.
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is_exchange_symbol: bool
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Whether the symbol uses the Catalyst or exchange convention.
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is_local: bool
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For the local or Catalyst asset.
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Returns
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-------
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TradingPair
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The asset object.
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"""
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asset = None
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log.debug('searching asset {} on the server'.format(symbol))
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asset = self._find_asset(
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asset, symbol, data_frequency, is_exchange_symbol, False
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log.debug(
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'searching assets for: {} {}'.format(
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self.name, symbol
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)
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)
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for a in self.assets:
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if asset is not None:
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break
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log.debug('asset {} not found on the server, searching local '
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'assets'.format(symbol))
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asset = self._find_asset(
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asset, symbol, data_frequency, is_exchange_symbol, True
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)
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if is_local is not None:
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data_source = 'local' if is_local else 'catalyst'
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applies = (a.data_source == data_source)
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elif data_frequency is not None:
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applies = (
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(data_frequency == 'minute' and a.end_minute is not None)
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or (data_frequency == 'daily' and a.end_daily is not None)
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)
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else:
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applies = True
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# The symbol provided may use the Catalyst or the exchange
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# convention
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key = a.exchange_symbol if is_exchange_symbol else a.symbol
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if not asset and key.lower() == symbol.lower() and applies:
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asset = a
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if asset is None:
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if not asset:
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supported_symbols = sorted([
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asset.symbol for asset in self.assets
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])
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@@ -250,6 +281,7 @@ class Exchange:
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supported_symbols=supported_symbols
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)
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log.debug('found asset: {}'.format(asset))
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return asset
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def fetch_symbol_map(self, is_local=False):
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@@ -715,7 +715,7 @@ class ExchangeBundle:
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)
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mixin_market_params(self.exchange_name, params, market)
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asset_def = self.exchange.fetch_asset_def(market, True)
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asset_def = self.exchange.get_asset_def(market, True)
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if asset_def is not None:
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params['symbol'] = asset_def['symbol']
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