BUG: fix issue #236: handle properly empty candles received from exchanges

catalyst/exchange/exchange.py

@@ -1,4 +1,5 @@
 import abc
+import pytz
 from abc import ABCMeta, abstractmethod, abstractproperty
 from datetime import timedelta
 from time import sleep
@@ -514,32 +515,37 @@ class Exchange:
 
         series = dict()
         for asset in candles:
-            first_candle = candles[asset][0]
-            asset_series = self.get_series_from_candles(
-                candles=candles[asset],
-                start_dt=first_candle['last_traded'],
-                end_dt=end_dt,
-                data_frequency=frequency,
-                field=field,
-            )
-
-            delta_candle_size = candle_size * 60 if unit == 'H' else candle_size
-            # Checking to make sure that the dates match
-            delta = get_delta(delta_candle_size, data_frequency)
-            adj_end_dt = end_dt - delta
-            last_traded = asset_series.index[-1]
-
-            if last_traded < adj_end_dt:
-                raise LastCandleTooEarlyError(
-                    last_traded=last_traded,
-                    end_dt=adj_end_dt,
-                    exchange=self.name,
+            if candles[asset]:
+                first_candle = candles[asset][0]
+                asset_series = self.get_series_from_candles(
+                    candles=candles[asset],
+                    start_dt=first_candle['last_traded'],
+                    end_dt=end_dt,
+                    data_frequency=frequency,
+                    field=field,
                 )
 
+                delta_candle_size = candle_size * 60 if unit == 'H' else candle_size
+                # Checking to make sure that the dates match
+                delta = get_delta(delta_candle_size, data_frequency)
+                adj_end_dt = end_dt - delta
+                last_traded = asset_series.index[-1]
+
+                if last_traded < adj_end_dt:
+                    raise LastCandleTooEarlyError(
+                        last_traded=last_traded,
+                        end_dt=adj_end_dt,
+                        exchange=self.name,
+                    )
+            else: # empty candle received
+                # because other assets are tz-aware, we need its tz to be set as well
+                asset_series = pd.Series([], index=pd.DatetimeIndex([], tz=pytz.utc))
+
+
             series[asset] = asset_series
 
         df = pd.DataFrame(series)
-        df.dropna(inplace=True)
+        #df.dropna(inplace=True) # commented out due to issue 236
 
         return df
 

catalyst/support/issue_236.py

@@ -0,0 +1,32 @@
+from catalyst.api import symbol
+from catalyst.utils.run_algo import run_algorithm
+
+coins = ['dash', 'btc', 'dash', 'etc', 'eth', 'ltc', 'nxt', 'rep', 'str', 'xmr', 'xrp', 'zec']
+symbols = None
+
+
+def initialize(context):
+    pass
+
+
+def _handle_data(context, data):
+    global symbols
+    if symbols is None: symbols = [symbol(c + '_usdt') for c in coins]
+
+    print'getting history for: %s' % [s.symbol for s in symbols]
+    history = data.history(symbols,
+                    ['close', 'volume'],
+                    bar_count=1, # EXCEPTION, Change to 2
+                    frequency='5T')
+    #print 'history: %s' % history.shape
+
+run_algorithm(initialize=initialize,
+              handle_data=_handle_data,
+            analyze=lambda _, results: True,
+            exchange_name='poloniex',
+            base_currency='usdt',
+            algo_namespace='issue-236',
+            live=True,
+            data_frequency='minute',
+            capital_base=3000,
+            simulate_orders=True)