Merge branch 'develop'

typo on creating env for python 3.6

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/ccxt/ccxt_exchange.py

@@ -190,6 +190,9 @@ class CCXT(Exchange):
                 if data_frequency == 'minute' and not freq.endswith('T'):
                     continue
 
+                elif data_frequency == 'hourly' and not freq.endswith('D'):
+                    continue
+
                 elif data_frequency == 'daily' and not freq.endswith('D'):
                     continue
 

catalyst/exchange/exchange.py

@@ -16,7 +16,8 @@ from catalyst.exchange.exchange_errors import MismatchingBaseCurrencies, \
     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
@@ -511,7 +512,12 @@ class Exchange:
         # 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 +535,14 @@ 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
@@ -602,7 +611,7 @@ class Exchange:
         # TODO: this function needs some work,
         # we're currently using it just for benchmark data
         freq, candle_size, unit, data_frequency = get_frequency(
-            frequency, data_frequency
+            frequency, data_frequency, supported_freqs=['T', 'D']
         )
         adj_bar_count = candle_size * bar_count
         try:

catalyst/exchange/exchange_data_portal.py

@@ -296,7 +296,7 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
         bundle = self.exchange_bundles[exchange_name]  # type: ExchangeBundle
 
         freq, candle_size, unit, adj_data_frequency = get_frequency(
-            frequency, data_frequency
+            frequency, data_frequency, supported_freqs=['T', 'D']
         )
         adj_bar_count = candle_size * bar_count
 
@@ -312,7 +312,7 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
             algo_end_dt=self._last_available_session,
         )
 
-        start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
+        start_dt = get_start_dt(end_dt, adj_bar_count, adj_data_frequency)
         df = resample_history_df(pd.DataFrame(series), freq, field, start_dt)
         return df
 

catalyst/exchange/utils/datetime_utils.py

@@ -1,4 +1,5 @@
 import calendar
+import math
 import re
 from datetime import datetime, timedelta, date
 
@@ -248,9 +249,12 @@ def get_year_start_end(dt, first_day=None, last_day=None):
     return year_start, year_end
 
 
-def get_frequency(freq, data_frequency=None, supported_freqs=['D', 'T']):
+def get_frequency(freq, data_frequency=None, supported_freqs=['D', 'H', 'T']):
     """
-    Get the frequency parameters.
+    Takes an arbitrary candle size (e.g. 15T) and converts to the lowest
+    common denominator supported by the data bundles (e.g. 1T). The data
+    bundles only support 1T and 1D frequencies. If another frequency
+    is requested, Catalyst must request the underlying data and resample.
 
     Notes
     -----
@@ -305,14 +309,14 @@ def get_frequency(freq, data_frequency=None, supported_freqs=['D', 'T']):
         data_frequency = 'minute'
 
     elif unit.lower() == 'h':
+        data_frequency = 'minute'
+
         if 'H' in supported_freqs:
             unit = 'H'
             alias = '{}H'.format(candle_size)
-
         else:
             candle_size = candle_size * 60
             alias = '{}T'.format(candle_size)
-            data_frequency = 'minute'
 
     else:
         raise InvalidHistoryFrequencyAlias(freq=freq)
@@ -326,3 +330,33 @@ 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/auth_utils.py

@@ -1,5 +1,6 @@
 import hashlib
 import hmac
+import webbrowser
 
 import requests
 import time
@@ -45,10 +46,17 @@ def get_key_secret(pubAddr, wallet='mew'):
     nonce = '0x{}'.format(d['nonce'])
 
     if wallet == 'mew':
+        url = 'https://www.myetherwallet.com/signmsg.html'
+
         print('\nObtaining a key/secret pair to streamline all future '
               'requests with the authentication server.\n'
-              'Visit https://www.myetherwallet.com/signmsg.html and sign the '
+              'Visit {url} and sign the '
-              'following message:\n{}'.format(nonce))
+              'following message:\n{nonce}'.format(
+                url=url,
+                nonce=nonce))
+
+        webbrowser.open_new(url)
+
         signature = input('Copy and Paste the "sig" field from '
                           'the signature here (without the double quotes, '
                           'only the HEX value):\n')

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)

catalyst/support/issue_227.py

@@ -0,0 +1,49 @@
+import pytz
+from datetime import datetime
+from catalyst.api import symbol
+from catalyst.utils.run_algo import run_algorithm
+
+coin = 'btc'
+base_currency = 'usd'
+n_candles = 5
+
+
+def initialize(context):
+    context.symbol = symbol('%s_%s' % (coin, base_currency))
+
+
+def handle_data_polo_partial_candles(context, data):
+    history = data.history(symbol('btc_usdt'), ['volume'],
+                           bar_count=10,
+                           frequency='4H')
+    print('\nnow: %s\n%s' % (data.current_dt, history))
+    if not hasattr(context, 'i'):
+        context.i = 0
+    context.i += 1
+    if context.i > 5:
+        raise Exception('stop')
+
+
+live = False
+
+if live:
+    run_algorithm(initialize=lambda ctx: True,
+                  handle_data=handle_data_polo_partial_candles,
+                  exchange_name='poloniex',
+                  base_currency='usdt',
+                  algo_namespace='ns',
+                  live=True,
+                  data_frequency='minute',
+                  capital_base=3000)
+else:
+    run_algorithm(initialize=lambda ctx: True,
+                  handle_data=handle_data_polo_partial_candles,
+                  exchange_name='poloniex',
+                  base_currency='usdt',
+                  algo_namespace='ns',
+                  live=False,
+                  data_frequency='minute',
+                  capital_base=3000,
+                  start=datetime(2018, 2, 2, 0, 0, 0, 0, pytz.utc),
+                  end=datetime(2018, 2, 20, 0, 0, 0, 0, pytz.utc)
+                  )

catalyst/support/issue_274.py

@@ -0,0 +1,35 @@
+import pytz
+from datetime import datetime
+from catalyst.api import symbol
+from catalyst.utils.run_algo import run_algorithm
+
+coin = 'btc'
+base_currency = 'usd'
+
+
+def initialize(context):
+    context.symbol = symbol('%s_%s' % (coin, base_currency))
+
+
+def handle_data_polo_partial_candles(context, data):
+    history = data.history(symbol('btc_usdt'), ['volume'],
+                           bar_count=10,
+                           frequency='1D')
+    print('\nnow: %s\n%s' % (data.current_dt, history))
+    if not hasattr(context, 'i'):
+        context.i = 0
+    context.i += 1
+    if context.i > 5:
+        raise Exception('stop')
+
+
+run_algorithm(initialize=lambda ctx: True,
+              handle_data=handle_data_polo_partial_candles,
+              exchange_name='poloniex',
+              base_currency='usdt',
+              algo_namespace='ns',
+              live=False,
+              data_frequency='minute',
+              capital_base=3000,
+              start=datetime(2018, 2, 2, 0, 0, 0, 0, pytz.utc),
+              end=datetime(2018, 2, 20, 0, 0, 0, 0, pytz.utc))

docs/source/install.rst

@@ -143,7 +143,7 @@ with the following steps:
 
    .. code-block:: bash
 
-      conda create --name catalyst python=2.7 scipy zlib
+      conda create --name catalyst python=3.6 scipy zlib
 
 3. Activate the environment:
 
@@ -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 +2,52 @@
 Release Notes
 =============
 
+Version 0.5.5
+^^^^^^^^^^^^^
+**Release Date**: 2018-03-19
+
+Bug Fixes
+~~~~~~~~~
+- Fixed an issue with the data history in daily frequency :issue:`274`
+- Fix hourly frequency issues :issue:`227` and :issue:`114`
+
+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

etc/python2.7-environment.yml

@@ -5,7 +5,6 @@ channels:
 dependencies:
 - certifi=2016.2.28=py27_0
 - mkl=2017.0.3
-- matplotlib=2.1.2=py36_0
 - numpy=1.13.1=py27_0
 - openssl=1.0.2l
 - pip=9.0.1=py27_1
@@ -40,7 +39,7 @@ dependencies:
   - lru-dict==1.1.6
   - mako==1.0.7
   - markupsafe==1.0
-  - matplotlib==2.1.0
+  - matplotlib==2.1.2
   - multipledispatch==0.4.9
   - networkx==2.0
   - numexpr==2.6.4