Merge branch 'develop'

catalyst/__main__.py

@@ -282,6 +282,7 @@ def run(ctx,
         exchange=exchange_name,
         algo_namespace=algo_namespace,
         base_currency=base_currency,
+        analyze_live=None,
         live_graph=False,
         simulate_orders=True,
         stats_output=None,
@@ -312,11 +313,11 @@ def catalyst_magic(line, cell=None):
                 '--algotext', cell,
                 '--output', os.devnull,  # don't write the results by default
             ] + ([
-                # these options are set when running in line magic mode
+                     # these options are set when running in line magic mode
-                # set a non None algo text to use the ipython user_ns
+                     # set a non None algo text to use the ipython user_ns
-                '--algotext', '',
+                     '--algotext', '',
-                '--local-namespace',
+                     '--local-namespace',
-            ] if cell is None else []) + line.split(),
+                 ] if cell is None else []) + line.split(),
             '%s%%catalyst' % ((cell or '') and '%'),
             # don't use system exit and propogate errors to the caller
             standalone_mode=False,
@@ -470,6 +471,7 @@ def live(ctx,
         algo_namespace=algo_namespace,
         base_currency=base_currency,
         live_graph=live_graph,
+        analyze_live=None,
         simulate_orders=simulate_orders,
         stats_output=None,
     )

catalyst/examples/mean_reversion_simple.py

@@ -37,7 +37,7 @@ def initialize(context):
     context.base_price = None
     context.current_day = None
 
-    context.RSI_OVERSOLD = 50
+    context.RSI_OVERSOLD = 55
     context.RSI_OVERBOUGHT = 65
     context.CANDLE_SIZE = '5T'
 
@@ -244,7 +244,7 @@ def analyze(context=None, perf=None):
 
 if __name__ == '__main__':
     # The execution mode: backtest or live
-    live = False
+    live = True
 
     if live:
         run_algorithm(

catalyst/exchange/exchange_algorithm.py

@@ -680,7 +680,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
         if new_orders != self._last_orders:
             self.performance_needs_update = True
 
-        self._last_orders = new_orders
+        self._last_orders = copy.deepcopy(new_orders)
 
         if self.performance_needs_update:
             self.perf_tracker.update_performance()

catalyst/utils/run_algo.py

@@ -70,7 +70,36 @@ class _RunAlgoError(click.ClickException, ValueError):
         return self.pyfunc_msg
 
 
-def _build_namespace(algotext, local_namespace, defines):
+def _run(handle_data,
+         initialize,
+         before_trading_start,
+         analyze,
+         algofile,
+         algotext,
+         defines,
+         data_frequency,
+         capital_base,
+         data,
+         bundle,
+         bundle_timestamp,
+         start,
+         end,
+         output,
+         print_algo,
+         local_namespace,
+         environ,
+         live,
+         exchange,
+         algo_namespace,
+         base_currency,
+         live_graph,
+         analyze_live,
+         simulate_orders,
+         stats_output):
+    """Run a backtest for the given algorithm.
+
+    This is shared between the cli and :func:`catalyst.run_algo`.
+    """
     if algotext is not None:
         if local_namespace:
             ip = get_ipython()  # noqa
@@ -84,197 +113,173 @@ def _build_namespace(algotext, local_namespace, defines):
             except ValueError:
                 raise ValueError(
                     'invalid define %r, should be of the form name=value' %
-                    assign)
+                    assign,
+                )
             try:
                 # evaluate in the same namespace so names may refer to
                 # eachother
                 namespace[name] = eval(value, namespace)
             except Exception as e:
                 raise ValueError(
-                    'failed to execute definition for name %r: %s' % (name, e))
+                    'failed to execute definition for name %r: %s' % (name, e),
+                )
     elif defines:
         raise _RunAlgoError(
             'cannot pass define without `algotext`',
-            "cannot pass '-D' / '--define' without '-t' / '--algotext'")
+            "cannot pass '-D' / '--define' without '-t' / '--algotext'",
+        )
     else:
         namespace = {}
+        if algofile is not None:
+            algotext = algofile.read()
 
-    return namespace
+    if print_algo:
+        if PYGMENTS:
+            highlight(
+                algotext,
+                PythonLexer(),
+                TerminalFormatter(),
+                outfile=sys.stdout,
+            )
+        else:
+            click.echo(algotext)
 
+    mode = 'paper-trading' if simulate_orders else 'live-trading' \
+        if live else 'backtest'
+    log.info('running algo in {mode} mode'.format(mode=mode))
 
-def _mode(simulate_orders, live):
-    if not live:
-        return 'backtest'
-    elif simulate_orders:
-        return 'paper-trading'
-    else:
-        return 'live-trading'
-
-
-def _build_exchanges_dict(exchange, live, simulate_orders, base_currency):
     exchange_name = exchange
     if exchange_name is None:
         raise ValueError('Please specify at least one exchange.')
 
     exchange_list = [x.strip().lower() for x in exchange.split(',')]
 
-    exchanges = {exchange_name: get_exchange(
+    exchanges = dict()
-                                    exchange_name=exchange_name,
+    for exchange_name in exchange_list:
-                                    base_currency=base_currency,
+        exchanges[exchange_name] = get_exchange(
-                                    must_authenticate=(live and not simulate_orders))
+            exchange_name=exchange_name,
-                 for exchange_name in exchange_list}
-
-    return exchanges
-
-
-def _pretty_print_code(algotext):
-    if PYGMENTS:
-        highlight(
-            algotext,
-            PythonLexer(),
-            TerminalFormatter(),
-            outfile=sys.stdout)
-    else:
-        click.echo(algotext)
-
-
-def _choose_loader(data_frequency, column):
-    bound_cols = TradingPairPricing.columns
-    if column in bound_cols:
-        return ExchangePricingLoader(data_frequency)
-    raise ValueError(
-        "No PipelineLoader registered for column %s." % column)
-
-
-def _get_live_time_range():
-    start = pd.Timestamp.utcnow()
-    # TODO: fix the end data.
-    end = start + timedelta(hours=8760)
-    return start, end
-
-
-def _data_for_live_trading(sim_params, exchanges, env, open_calendar):
-    data = DataPortalExchangeLive(
-        exchanges=exchanges,
-        asset_finder=env.asset_finder,
-        trading_calendar=open_calendar,
-        first_trading_day=pd.to_datetime('today', utc=True))
-
-    return data
-
-
-# TODO use proper retry here
-def _fetch_capital_base(base_currency, exchange_name, exchange,
-                        attempt_index=0):
-    """
-    Fetch the base currency amount required to bootstrap
-    the algorithm against the exchange.
-
-    The algorithm cannot continue without this value.
-
-    :param exchange: the targeted exchange
-    :param attempt_index:
-    :return capital_base: the amount of base currency available for
-    trading
-    """
-    try:
-        log.debug('retrieving capital base in {} to bootstrap '
-                  'exchange {}'.format(base_currency, exchange_name))
-        balances = exchange.get_balances()
-    except ExchangeRequestError as e:
-        if attempt_index < 20:
-            log.warn(
-                'could not retrieve balances on {}: {}'.format(
-                    exchange.name, e))
-            sleep(5)
-            return _fetch_capital_base(base_currency, exchange_name, exchange,
-                                       attempt_index + 1)
-
-        else:
-            raise ExchangeRequestErrorTooManyAttempts(
-                attempts=attempt_index,
-                error=e)
-
-    if base_currency in balances:
-        base_currency_available = balances[base_currency]['free']
-        log.info(
-            'base currency available in the account: {} {}'.format(
-                base_currency_available, base_currency))
-
-        return base_currency_available
-    else:
-        raise BaseCurrencyNotFoundError(
             base_currency=base_currency,
-            exchange=exchange_name)
+            must_authenticate=(live and not simulate_orders),
+            skip_init=True,
+        )
 
+    open_calendar = get_calendar('OPEN')
 
-def _algorithm_class_for_live(algo_namespace, live_graph, stats_output,
+    env = TradingEnvironment(
-                              analyze_live, base_currency, simulate_orders,
+        load=partial(
-                              exchanges, capital_base):
+            load_crypto_market_data,
-    if not simulate_orders:
+            environ=environ,
-        for exchange_name in exchanges:
+            start_dt=start,
-            exchange = exchanges[exchange_name]
+            end_dt=end
-            balance = _fetch_capital_base(base_currency, exchange_name,
+        ),
-                                          exchange)
+        environ=environ,
+        exchange_tz='UTC',
+        asset_db_path=None  # We don't need an asset db, we have exchanges
+    )
+    env.asset_finder = ExchangeAssetFinder(exchanges=exchanges)
 
-            if balance < capital_base:
+    def choose_loader(column):
-                raise NotEnoughCapitalError(
+        bound_cols = TradingPairPricing.columns
-                    exchange=exchange_name,
+        if column in bound_cols:
-                    base_currency=base_currency,
+            return ExchangePricingLoader(data_frequency)
-                    balance=balance,
-                    capital_base=capital_base)
-
-    algorithm_class = partial(
-        ExchangeTradingAlgorithmLive,
-        exchanges=exchanges,
-        algo_namespace=algo_namespace,
-        live_graph=live_graph,
-        simulate_orders=simulate_orders,
-        stats_output=stats_output,
-        analyze_live=analyze_live,)
-
-    return algorithm_class
-
-
-def _bundle_trading_environment(bundle_data, environ):
-    prefix, connstr = re.split(
-        r'sqlite:///',
-        str(bundle_data.asset_finder.engine.url),
-        maxsplit=1)
-    if prefix:
         raise ValueError(
-            "invalid url %r, must begin with 'sqlite:///'" %
+            "No PipelineLoader registered for column %s." % column
-            str(bundle_data.asset_finder.engine.url))
+        )
 
-    return TradingEnvironment(asset_db_path=connstr, environ=environ)
+    if live:
+        start = pd.Timestamp.utcnow()
 
+        # TODO: fix the end data.
+        end = start + timedelta(hours=8760)
 
-def _build_live_algo_and_data(sim_params, exchanges, env, open_calendar,
+        data = DataPortalExchangeLive(
-                              simulate_orders, algo_namespace, capital_base,
+            exchanges=exchanges,
-                              live_graph, stats_output, analyze_live,
+            asset_finder=env.asset_finder,
-                              base_currency, namespace, choose_loader,
+            trading_calendar=open_calendar,
-                              algorithm_class_kwargs):
+            first_trading_day=pd.to_datetime('today', utc=True)
-    sim_params._arena = 'live'  # TODO: use the constructor instead
+        )
 
-    data = _data_for_live_trading(sim_params, exchanges, env, open_calendar)
+        def fetch_capital_base(exchange, attempt_index=0):
+            """
+            Fetch the base currency amount required to bootstrap
+            the algorithm against the exchange.
 
-    algorithm_class = _algorithm_class_for_live(
+            The algorithm cannot continue without this value.
-        algo_namespace, live_graph, stats_output, analyze_live,
-        base_currency, simulate_orders, exchanges, capital_base)
 
-    return data, algorithm_class(
+            :param exchange: the targeted exchange
-        namespace=namespace,
+            :param attempt_index:
-        env=env,
+            :return capital_base: the amount of base currency available for
-        get_pipeline_loader=choose_loader,
+            trading
-        sim_params=sim_params,
+            """
-        **algorithm_class_kwargs)
+            try:
+                log.debug('retrieving capital base in {} to bootstrap '
+                          'exchange {}'.format(base_currency, exchange_name))
+                balances = exchange.get_balances()
+            except ExchangeRequestError as e:
+                if attempt_index < 20:
+                    log.warn(
+                        'could not retrieve balances on {}: {}'.format(
+                            exchange.name, e
+                        )
+                    )
+                    sleep(5)
+                    return fetch_capital_base(exchange, attempt_index + 1)
 
+                else:
+                    raise ExchangeRequestErrorTooManyAttempts(
+                        attempts=attempt_index,
+                        error=e
+                    )
 
-def _build_backtest_algo_and_data(
+            if base_currency in balances:
-        exchanges, bundle, env, environ, bundle_timestamp, open_calendar,
+                base_currency_available = balances[base_currency]['free']
-        start, end, namespace, choose_loader, sim_params,
+                log.info(
-        algorithm_class_kwargs):
+                    'base currency available in the account: {} {}'.format(
-    if exchanges:
+                        base_currency_available, base_currency
+                    )
+                )
+
+                return base_currency_available
+            else:
+                raise BaseCurrencyNotFoundError(
+                    base_currency=base_currency,
+                    exchange=exchange_name
+                )
+
+        if not simulate_orders:
+            for exchange_name in exchanges:
+                exchange = exchanges[exchange_name]
+                balance = fetch_capital_base(exchange)
+
+                if balance < capital_base:
+                    raise NotEnoughCapitalError(
+                        exchange=exchange_name,
+                        base_currency=base_currency,
+                        balance=balance,
+                        capital_base=capital_base,
+                    )
+
+        sim_params = create_simulation_parameters(
+            start=start,
+            end=end,
+            capital_base=capital_base,
+            emission_rate='minute',
+            data_frequency='minute'
+        )
+
+        # TODO: use the constructor instead
+        sim_params._arena = 'live'
+
+        algorithm_class = partial(
+            ExchangeTradingAlgorithmLive,
+            exchanges=exchanges,
+            algo_namespace=algo_namespace,
+            live_graph=live_graph,
+            simulate_orders=simulate_orders,
+            stats_output=stats_output,
+            analyze_live=analyze_live,
+        )
+    elif exchanges:
         # Removed the existing Poloniex fork to keep things simple
         # We can add back the complexity if required.
 
@@ -288,19 +293,41 @@ def _build_backtest_algo_and_data(
             asset_finder=None,
             trading_calendar=open_calendar,
             first_trading_day=start,
-            last_available_session=end)
+            last_available_session=end
+        )
+
+        sim_params = create_simulation_parameters(
+            start=start,
+            end=end,
+            capital_base=capital_base,
+            data_frequency=data_frequency,
+            emission_rate=data_frequency,
+        )
 
         algorithm_class = partial(
             ExchangeTradingAlgorithmBacktest,
-            exchanges=exchanges)
+            exchanges=exchanges
+        )
+
     elif bundle is not None:
-        # TODO This branch should probably be removed or fixed: it doesn't even
+        bundle_data = load(
-        # build `algorithm_class`, so it will break when trying to instantiate
+            bundle,
-        # it.
+            environ,
-        bundle_data = load(bundle, environ, bundle_timestamp)
+            bundle_timestamp,
+        )
 
-        env = _bundle_trading_environment(bundle_data, environ)
+        prefix, connstr = re.split(
+            r'sqlite:///',
+            str(bundle_data.asset_finder.engine.url),
+            maxsplit=1,
+        )
+        if prefix:
+            raise ValueError(
+                "invalid url %r, must begin with 'sqlite:///'" %
+                str(bundle_data.asset_finder.engine.url),
+            )
 
+        env = TradingEnvironment(asset_db_path=connstr, environ=environ)
         first_trading_day = \
             bundle_data.equity_minute_bar_reader.first_trading_day
 
@@ -309,103 +336,27 @@ def _build_backtest_algo_and_data(
             first_trading_day=first_trading_day,
             equity_minute_reader=bundle_data.equity_minute_bar_reader,
             equity_daily_reader=bundle_data.equity_daily_bar_reader,
-            adjustment_reader=bundle_data.adjustment_reader)
+            adjustment_reader=bundle_data.adjustment_reader,
+        )
 
-    return data, algorithm_class(
+    perf = algorithm_class(
         namespace=namespace,
         env=env,
         get_pipeline_loader=choose_loader,
         sim_params=sim_params,
-        **algorithm_class_kwargs)
+        **{
-
+            'initialize': initialize,
-
+            'handle_data': handle_data,
-def _build_algo_and_data(handle_data, initialize, before_trading_start,
+            'before_trading_start': before_trading_start,
-                         analyze, algofile, algotext, defines, data_frequency,
+            'analyze': analyze,
-                         capital_base, data, bundle, bundle_timestamp, start,
+        } if algotext is None else {
-                         end, output, print_algo, local_namespace, environ,
+            'algo_filename': getattr(algofile, 'name', '<algorithm>'),
-                         live, exchange, algo_namespace, base_currency,
+            'script': algotext,
-                         live_graph, analyze_live, simulate_orders,
+        }
-                         stats_output):
+    ).run(
-    namespace = _build_namespace(algotext, local_namespace, defines)
-    if algotext is not None:
-        algotext = algofile.read()
-
-    if print_algo:
-        _pretty_print_code(algotext)
-
-    mode = _mode(simulate_orders, live)
-    log.info('running algo in {mode} mode'.format(mode=mode))
-
-    exchanges = _build_exchanges_dict(exchange, live, simulate_orders,
-                                      base_currency)
-
-    open_calendar = get_calendar('OPEN')
-
-    env = TradingEnvironment(
-        load=partial(load_crypto_market_data, environ=environ, start_dt=start,
-                     end_dt=end),
-        environ=environ,
-        exchange_tz='UTC',
-        asset_db_path=None)  # We don't need an asset db, we have exchanges
-
-    env.asset_finder = ExchangeAssetFinder(exchanges=exchanges)
-
-    choose_loader = partial(_choose_loader, data_frequency)
-
-    if live:
-        start, end = _get_live_time_range()
-        data_frequency = 'minute'  # TODO double check if this is the desired behavior
-
-    sim_params = create_simulation_parameters(
-        start=start,
-        end=end,
-        capital_base=capital_base,
-        emission_rate=data_frequency,
-        data_frequency=data_frequency)
-
-    if algotext is None:
-        algorithm_class_kwargs = {'initialize': initialize,
-                                  'handle_data': handle_data,
-                                  'before_trading_start': before_trading_start,
-                                  'analyze': analyze}
-    else:
-        algorithm_class_kwargs = {'algo_filename': getattr(algofile, 'name',
-                                                           '<algorithm>'),
-                                  'script': algotext}
-
-    if live:
-        return _build_live_algo_and_data(
-            sim_params, exchanges, env, open_calendar, simulate_orders,
-            algo_namespace, capital_base, live_graph, stats_output,
-            analyze_live, base_currency, namespace, choose_loader,
-            algorithm_class_kwargs)
-    else:
-        return _build_backtest_algo_and_data(
-            exchanges, bundle, env, environ, bundle_timestamp, open_calendar,
-            start, end, namespace, choose_loader, sim_params,
-            algorithm_class_kwargs)
-
-
-def _run(handle_data, initialize, before_trading_start, analyze, algofile,
-         algotext, defines, data_frequency, capital_base, data, bundle,
-         bundle_timestamp, start, end, output, print_algo, local_namespace,
-         environ, live, exchange, algo_namespace, base_currency, live_graph,
-         analyze_live, simulate_orders, stats_output):
-    """Run an algorithm in backtest,
-    paper-trading or live-trading mode.
-
-    This is shared between the cli and :func:`catalyst.run_algo`.
-    """
-
-    data, algorithm = _build_algo_and_data(
-        handle_data, initialize, before_trading_start, analyze, algofile,
-        algotext, defines, data_frequency, capital_base, data, bundle,
-        bundle_timestamp, start, end, output, print_algo, local_namespace,
-        environ, live, exchange, algo_namespace, base_currency, live_graph,
-        analyze_live, simulate_orders, stats_output)
-    perf = algorithm.run(
         data,
-        overwrite_sim_params=False)
+        overwrite_sim_params=False,
+    )
 
     if output == '-':
         click.echo(str(perf))
@@ -462,7 +413,8 @@ def load_extensions(default, extensions, strict, environ, reload=False):
             # without `strict` we should just log the failure
             warnings.warn(
                 'Failed to load extension: %r\n%s' % (ext, e),
-                stacklevel=2)
+                stacklevel=2
+            )
         else:
             _loaded_extensions.add(ext)
 
@@ -561,7 +513,8 @@ def run_algorithm(initialize,
     catalyst.data.bundles.bundles : The available data bundles.
     """
     load_extensions(
-        default_extension, extensions, strict_extensions, environ)
+        default_extension, extensions, strict_extensions, environ
+    )
 
     if capital_base is None:
         raise ValueError(
@@ -569,7 +522,8 @@ def run_algorithm(initialize,
             'amount of base currency available for trading. For example, '
             'if the `capital_base` is 5ETH, the '
             '`order_target_percent(asset, 1)` command will order 5ETH worth '
-            'of the specified asset.')
+            'of the specified asset.'
+        )
     # I'm not sure that we need this since the modified DataPortal
     # does not require extensions to be explicitly loaded.
 
@@ -587,11 +541,13 @@ def run_algorithm(initialize,
         elif len(non_none_data) != 1:
             raise ValueError(
                 'must specify one of `data`, `data_portal`, or `bundle`,'
-                ' got: %r' % non_none_data)
+                ' got: %r' % non_none_data,
+            )
 
         elif 'bundle' not in non_none_data and bundle_timestamp is not None:
             raise ValueError(
-                'cannot specify `bundle_timestamp` without passing `bundle`')
+                'cannot specify `bundle_timestamp` without passing `bundle`',
+            )
     return _run(
         handle_data=handle_data,
         initialize=initialize,
@@ -618,4 +574,5 @@ def run_algorithm(initialize,
         live_graph=live_graph,
         analyze_live=analyze_live,
         simulate_orders=simulate_orders,
-        stats_output=stats_output)
+        stats_output=stats_output
+    )

docs/source/releases.rst

@@ -2,7 +2,16 @@
 Release Notes
 =============
 
-Version 0.4.1
+Version 0.4.3
+^^^^^^^^^^^^^
+**Release Date**: 2017-01-05
+
+Bug Fixes
+~~~~~~~~~
+- Fixed CLI issue (:issue:`137`)
+- Upgraded CCXT
+
+Version 0.4.2
 ^^^^^^^^^^^^^
 **Release Date**: 2017-01-03
 
@@ -39,7 +48,7 @@ Build
 - Added market orders in live mode (:issue:`81`)
 
 Version 0.3.10
-^^^^^^^^^^^^^
+~~~~~~~~~~~~~~
 **Release Date**: 2017-11-28
 
 Bug Fixes

etc/python2.7-environment.yml

@@ -20,7 +20,7 @@ dependencies:
   - bcolz==0.12.1
   - bottleneck==1.2.1
   - chardet==3.0.4
-  - ccxt==1.10.283
+  - ccxt==1.10.565
   - click==6.7
   - contextlib2==0.5.5
   - cycler==0.10.0

etc/requirements.txt

@@ -81,6 +81,6 @@ empyrical==0.2.1
 tables==3.3.0
 
 #Catalyst dependencies
-ccxt==1.10.283
+ccxt==1.10.565
 boto3==1.4.8
 redo==1.6

tests/exchange/test_ccxt.py

@@ -19,16 +19,16 @@ class TestCCXT(BaseExchangeTestCase):
             exchange_name=exchange_name,
             key=auth['key'],
             secret=auth['secret'],
-            base_currency='eth',
+            base_currency='bnb',
         )
         self.exchange.init()
 
     def test_order(self):
         log.info('creating order')
-        asset = self.exchange.get_asset('neo_eth')
+        asset = self.exchange.get_asset('neo_bnb')
         order_id = self.exchange.order(
             asset=asset,
-            style=ExchangeLimitOrder(limit_price=0.7),
+            style=ExchangeLimitOrder(limit_price=10),
             amount=1,
         )
         log.info('order created {}'.format(order_id))

tests/exchange/test_suites/test_suite_bundle.py

@@ -1,7 +1,7 @@
 import random
 
 import pandas as pd
-from logbook import Logger
+from logbook import TestHandler
 from pandas.util.testing import assert_frame_equal
 
 from catalyst import get_calendar
@@ -11,8 +11,7 @@ from catalyst.exchange.utils.exchange_utils import get_candles_df
 from catalyst.exchange.utils.factory import get_exchange
 from catalyst.exchange.utils.test_utils import output_df, \
     select_random_assets
-
+from catalyst.testing.fixtures import WithLogger, ZiplineTestCase
-log = Logger('TestSuiteExchange')
 
 pd.set_option('display.expand_frame_repr', False)
 pd.set_option('precision', 8)
@@ -20,7 +19,7 @@ pd.set_option('display.width', 1000)
 pd.set_option('display.max_colwidth', 1000)
 
 
-class TestSuiteBundle:
+class TestSuiteBundle(WithLogger, ZiplineTestCase):
     @staticmethod
     def get_data_portal(exchange_names):
         open_calendar = get_calendar('OPEN')
@@ -54,46 +53,46 @@ class TestSuiteBundle:
         """
         data = dict()
 
-        log.info('creating data sample from bundle')
+        log_catcher = TestHandler()
-        data['bundle'] = data_portal.get_history_window(
+        with log_catcher:
-            assets=assets,
+            data['bundle'] = data_portal.get_history_window(
-            end_dt=end_dt,
+                assets=assets,
-            bar_count=bar_count,
+                end_dt=end_dt,
-            frequency=freq,
+                bar_count=bar_count,
-            field='close',
+                frequency=freq,
-            data_frequency=data_frequency,
+                field='close',
-        )
+                data_frequency=data_frequency,
-        log.info('bundle data:\n{}'.format(
+            )
-            data['bundle'].tail(10))
+            print('bundle data:\n{}'.format(
-        )
+                data['bundle'].tail(10))
+            )
 
-        log.info('creating data sample from exchange api')
+            candles = exchange.get_candles(
-        candles = exchange.get_candles(
+                end_dt=end_dt,
-            end_dt=end_dt,
+                freq=freq,
-            freq=freq,
+                assets=assets,
-            assets=assets,
+                bar_count=bar_count,
-            bar_count=bar_count,
+            )
-        )
+            data['exchange'] = get_candles_df(
-        data['exchange'] = get_candles_df(
+                candles=candles,
-            candles=candles,
+                field='close',
-            field='close',
+                freq=freq,
-            freq=freq,
+                bar_count=bar_count,
-            bar_count=bar_count,
+                end_dt=end_dt,
-            end_dt=end_dt,
+            )
-        )
+            print('exchange data:\n{}'.format(
-        log.info('exchange data:\n{}'.format(
+                data['exchange'].tail(10))
-            data['exchange'].tail(10))
+            )
-        )
+            for source in data:
-        for source in data:
+                df = data[source]
-            df = data[source]
+                path = output_df(df, assets, '{}_{}'.format(freq, source))
-            path = output_df(df, assets, '{}_{}'.format(freq, source))
+                print('saved {}:\n{}'.format(source, path))
-            log.info('saved {}:\n{}'.format(source, path))
 
-        assert_frame_equal(
+            assert_frame_equal(
-            right=data['bundle'],
+                right=data['bundle'],
-            left=data['exchange'],
+                left=data['exchange'],
-            check_less_precise=True,
+                check_less_precise=True,
-        )
+            )
 
     def test_validate_bundles(self):
         # exchange_population = 3

tests/exchange/test_suites/test_suite_exchange.py

@@ -1,21 +1,25 @@
 import json
 import os
 import random
-from logging import Logger
+from logging import Logger, WARNING
 from time import sleep
 
 import pandas as pd
+from catalyst.assets._assets import TradingPair
+from logbook import TestHandler
 
 from catalyst.exchange.exchange_errors import ExchangeRequestError
 from catalyst.exchange.exchange_execution import ExchangeLimitOrder
 from catalyst.exchange.utils.exchange_utils import get_exchange_folder
 from catalyst.exchange.utils.test_utils import select_random_exchanges, \
     handle_exchange_error, select_random_assets
+from catalyst.testing import ZiplineTestCase
+from catalyst.testing.fixtures import WithLogger
 
 log = Logger('TestSuiteExchange')
 
 
-class TestSuiteExchange:
+class TestSuiteExchange(WithLogger, ZiplineTestCase):
     def _test_markets_exchange(self, exchange, attempts=0):
         assets = None
         try:
@@ -156,34 +160,47 @@ class TestSuiteExchange:
             base_currency=quote_currency,
         )  # Type: list[Exchange]
 
-        for exchange in exchanges:
+        log_catcher = TestHandler()
-            exchange.init()
+        with log_catcher:
+            for exchange in exchanges:
+                exchange.init()
 
-            assets = exchange.get_assets(quote_currency=quote_currency)
+                assets = exchange.get_assets(quote_currency=quote_currency)
-            asset = select_random_assets(assets, 1)[0]
+                asset = select_random_assets(assets, 1)[0]
-            assert asset
+                self.assertIsInstance(asset, TradingPair)
 
-            tickers = exchange.tickers([asset])
+                tickers = exchange.tickers([asset])
-            price = tickers[asset]['last_price']
+                price = tickers[asset]['last_price']
 
-            amount = order_amount / price
+                amount = order_amount / price
 
-            limit_price = price * 0.8
+                limit_price = price * 0.8
-            style = ExchangeLimitOrder(limit_price=limit_price)
+                style = ExchangeLimitOrder(limit_price=limit_price)
 
-            order = exchange.order(
+                order = exchange.order(
-                asset=asset,
+                    asset=asset,
-                amount=amount,
+                    amount=amount,
-                style=style,
+                    style=style,
-            )
+                )
-            sleep(1)
+                sleep(1)
 
-            open_order, _ = exchange.get_order(order.id, asset)
+                open_order, _ = exchange.get_order(order.id, asset)
-            assert open_order.status == 0
+                self.assertEqual(0, open_order.status)
 
-            exchange.cancel_order(open_order, asset)
+                exchange.cancel_order(open_order, asset)
-            sleep(1)
+                sleep(1)
 
-            canceled_order, _ = exchange.get_order(open_order.id, asset)
+                canceled_order, _ = exchange.get_order(open_order.id, asset)
-            assert canceled_order.status == 2
+                warnings = [record for record in log_catcher.records if
+                            record.level == WARNING]
+
+                self.assertEqual(0, len(warnings))
+                self.assertEqual(2, canceled_order.status)
+                print(
+                    'tested {exchange} / {symbol}, order: {order}'.format(
+                        exchange=exchange.name,
+                        symbol=asset.symbol,
+                        order=order.id,
+                    )
+                )
         pass