Merge branch 'develop'

catalyst/__main__.py

@@ -793,7 +793,7 @@ def ls(ctx):
 )
 @click.pass_context
 def subscribe(ctx, dataset):
-    """Subscribe to an exisiting dataset.
+    """Subscribe to an existing dataset.
     """
     marketplace = Marketplace()
     marketplace.subscribe(dataset)

catalyst/constants.py

@@ -25,8 +25,7 @@ AUTO_INGEST = False
 AUTH_SERVER = 'https://data.enigma.co'
 
 # TODO: switch to mainnet
-ETH_REMOTE_NODE = 'https://ropsten.infura.io/'
+ETH_REMOTE_NODE = 'https://rinkeby.infura.io/'
-
 
 MARKETPLACE_CONTRACT = 'https://raw.githubusercontent.com/enigmampc/' \
                        'catalyst/master/catalyst/marketplace/' \
@@ -37,8 +36,8 @@ MARKETPLACE_CONTRACT_ABI = 'https://raw.githubusercontent.com/enigmampc/' \
                            'contract_marketplace_abi.json'
 
 # TODO: switch to mainnet
-ENIGMA_CONTRACT = 'https://raw.githubusercontent.com/enigmampc/catalyst/' \
+ENIGMA_CONTRACT = 'https://raw.githubusercontent.com/enigmampc/' \
-                  'master/catalyst/marketplace/' \
+                  'catalyst/master/catalyst/marketplace/' \
                   'contract_enigma_address.txt'
 
 ENIGMA_CONTRACT_ABI = 'https://raw.githubusercontent.com/enigmampc/' \

catalyst/examples/simple_loop.py

@@ -26,7 +26,7 @@ def handle_data(context, data):
         context.asset,
         fields='price',
         bar_count=20,
-        frequency='2H'
+        frequency='30T'
     )
     last_traded = prices.index[-1]
     log.info('last candle date: {}'.format(last_traded))

catalyst/exchange/exchange.py

@@ -13,10 +13,12 @@ from catalyst.exchange.exchange_errors import MismatchingBaseCurrencies, \
     PricingDataNotLoadedError, \
     NoDataAvailableOnExchange, NoValueForField, \
     NoCandlesReceivedFromExchange, \
+    InvalidHistoryFrequencyAlias,  \
     TickerNotFoundError, NotEnoughCashError
 from catalyst.exchange.utils.datetime_utils import get_delta, \
     get_periods_range, \
-    get_periods, get_start_dt, get_frequency
+    get_periods, get_start_dt, get_frequency, \
+    get_candles_number_from_minutes
 from catalyst.exchange.utils.exchange_utils import get_exchange_symbols, \
     resample_history_df, has_bundle, get_candles_df
 from logbook import Logger
@@ -507,11 +509,20 @@ class Exchange:
             frequency, data_frequency, supported_freqs=['T', 'D', 'H']
         )
 
+        if unit == 'H':
+            raise InvalidHistoryFrequencyAlias(
+                freq=frequency)
+
         # we want to avoid receiving empty candles
         # so we request more than needed
         # TODO: consider defining a const per asset
         # and/or some retry mechanism (in each iteration request more data)
-        requested_bar_count = bar_count + 30
+        kExtra_minutes_candles = 150
+        requested_bar_count = bar_count + \
+            get_candles_number_from_minutes(unit,
+                                            candle_size,
+                                            kExtra_minutes_candles)
+
         # The get_history method supports multiple asset
         candles = self.get_candles(
             freq=freq,
@@ -529,11 +540,14 @@ class Exchange:
                     asset=asset,
                     exchange=self.name)
 
+        # for avoiding unnecessary forward fill end_dt is taken back one second
+        forward_fill_till_dt = end_dt - timedelta(seconds=1)
+
         series = get_candles_df(candles=candles,
                                 field=field,
                                 freq=frequency,
                                 bar_count=requested_bar_count,
-                                end_dt=end_dt)
+                                end_dt=forward_fill_till_dt)
 
         # TODO: consider how to approach this edge case
         # delta_candle_size = candle_size * 60 if unit == 'H' else candle_size

catalyst/exchange/utils/datetime_utils.py

@@ -1,4 +1,5 @@
 import calendar
+import math
 import re
 from datetime import datetime, timedelta, date
 
@@ -326,3 +327,33 @@ def from_ms_timestamp(ms):
 
 def get_epoch():
     return pd.to_datetime('1970-1-1', utc=True)
+
+
+def get_candles_number_from_minutes(unit, candle_size, minutes):
+    """
+    Get the number of bars needed for the given time interval
+    in minutes.
+
+    Notes
+    -----
+    Supports only "T", "D" and "H" units
+
+    Parameters
+    ----------
+    unit: str
+    candle_size : int
+    minutes: int
+
+    Returns
+    -------
+    int
+
+    """
+    if unit == "T":
+        res = (float(minutes) / candle_size)
+    elif unit == "H":
+        res = (minutes / 60.0) / candle_size
+    else:  # unit == "D"
+        res = (minutes / 1440.0) / candle_size
+
+    return int(math.ceil(res))

catalyst/marketplace/contract_enigma_address.txt

@@ -1 +1 @@
-0x7fAec9aaE31BE428DeAAE1be8195dF609079Fd10
+0x39a54f480d922a58c963de8091a6c9afc69db2cf

catalyst/marketplace/contract_marketplace_address.txt

@@ -1 +1 @@
-0x3985f5de8fddf2e8f7705cd360b498bf35ebfbc4
+0xa2b37c6cd52f60fd4eb46ca59fafcf22d081aebc

catalyst/marketplace/marketplace.py

@@ -177,10 +177,12 @@ class Marketplace:
     def check_transaction(self, tx_hash):
 
         if 'ropsten' in ETH_REMOTE_NODE:
-            etherscan = 'https://ropsten.etherscan.io/tx/{}'.format(
+            etherscan = 'https://ropsten.etherscan.io/tx/'
-                tx_hash)
+        elif 'rinkeby' in ETH_REMOTE_NODE:
+            etherscan = 'https://rinkeby.etherscan.io/tx/'
         else:
-            etherscan = 'https://etherscan.io/tx/{}'.format(tx_hash)
+            etherscan = 'https://etherscan.io/tx/'
+        etherscan = '{}{}'.format(etherscan, tx_hash)
 
         print('\nYou can check the outcome of your transaction here:\n'
               '{}\n\n'.format(etherscan))
@@ -329,9 +331,6 @@ class Marketplace:
              'nonce': self.web3.eth.getTransactionCount(address)}
         )
 
-        if 'ropsten' in ETH_REMOTE_NODE:
-            tx['gas'] = min(int(tx['gas'] * 1.5), 4700000)
-
         signed_tx = self.sign_transaction(tx)
         try:
             tx_hash = '0x{}'.format(
@@ -371,9 +370,6 @@ class Marketplace:
             'from': address,
             'nonce': self.web3.eth.getTransactionCount(address)})
 
-        if 'ropsten' in ETH_REMOTE_NODE:
-            tx['gas'] = min(int(tx['gas'] * 1.5), 4700000)
-
         signed_tx = self.sign_transaction(tx)
 
         try:
@@ -701,9 +697,6 @@ class Marketplace:
              'nonce': self.web3.eth.getTransactionCount(address)}
         )
 
-        if 'ropsten' in ETH_REMOTE_NODE:
-            tx['gas'] = min(int(tx['gas'] * 1.5), 4700000)
-
         signed_tx = self.sign_transaction(tx)
 
         try:

catalyst/marketplace/utils/bundle_utils.py

@@ -88,5 +88,7 @@ def safely_reduce_dtype(ser):  # pandas.Series or numpy.array
         new_itemsize = np.min_scalar_type(val).itemsize
         if mx < new_itemsize:
             mx = new_itemsize
+        if orig_dtype == 'int':
+            mx = max(mx, 4)
     new_dtype = orig_dtype + str(mx * 8)
     return ser.astype(new_dtype)

docs/source/install.rst

@@ -314,6 +314,16 @@ Troubleshooting ``pip`` Install
 
       $ sudo apt-get install python-dev
 
+----
+
+**Issue**:
+   Missing TA_Lib
+
+**Solution**:
+   Follow `these instructions
+   <https://mrjbq7.github.io/ta-lib/install.html>`_ to install the TA_Lib Python wrapper
+   (and if needed, its underlying C library as well).
+
 .. _pipenv:
 
 Installing with ``pipenv``

docs/source/releases.rst

@@ -2,6 +2,43 @@
 Release Notes
 =============
 
+Version 0.5.4
+^^^^^^^^^^^^^
+**Release Date**: 2018-03-14
+
+Build
+~~~~~
+- Switched Data Marketplace from Ropstein testnet to Rinkeby testnet after 
+  incorporating changes resulting from the marketplace contract audit
+- Several usability improvements of the Data Marketplace that make the 
+  `--dataset` parameter optional. If it is not included in the command line, 
+  will list available datasets, and let you choose interactively.
+
+Bug Fixes
+~~~~~~~~~
+- Fix Binance requirement of symbol to be included in the cancelled order 
+  :issue:`204`
+- Fix `notenoughcasherror` when an open order is filled minutes later 
+  :issue:`237`
+- Properly handle of empty candles received from exchanges :issue:`236`
+- Added a function to reduce open orders amount from calculated target/amount 
+  for target orders :issue:`243`
+- Fix missing file in live trading mode on date change :issue:`252`, 
+  :issue:`253`
+- Upgraded Data Marketplace to Web3==4.0.0b11, which was breaking some 
+  functionality from prior version 4.0.0b7 :issue:`257`
+- Always request more data to avoid empty bars and always give the exact bar  
+  number :issue:`260`
+
+Documentation
+~~~~~~~~~~~~~
+- PyCharm documentation :issue:`195`
+- Added TA-Lib troubleshooting instructions
+- Added instructions on how to create a Conda environment for Python 3.6, and
+  updated Visual C++ instructions for Windows and Python 3
+- Linking example algorithms in the documentation to their sources
+
+
 Version 0.5.3
 ^^^^^^^^^^^^^
 **Release Date**: 2018-02-09