BLD: adjusting unit tests

# Conflicts:
#	tests/exchange/test_bundle.py

catalyst/assets/_assets.pyx

@@ -433,7 +433,7 @@ cdef class TradingPair(Asset):
         'taker',
         'trading_state',
         'data_source',
-        'decimals'
+        'decimals',
     })
     def __init__(self,
                  object symbol,
@@ -455,7 +455,7 @@ cdef class TradingPair(Asset):
                  float taker=0.0025,
                  float lot=0,
                  int decimals = 8,
-                 int trading_state=0,
+                 int trading_state=1,
                  object data_source='catalyst'):
         """
         Replicates the Asset constructor with some built-in conventions
@@ -600,14 +600,51 @@ cdef class TradingPair(Asset):
     cpdef to_dict(self):
         """
         Convert to a python dict.
+        
+        Repeat constructor params:
+             object symbol,
+             object exchange,
+             object start_date=None,
+             object asset_name=None,
+             int sid=0,
+             float leverage=1.0,
+             object end_daily=None,
+             object end_minute=None,
+             object end_date=None,
+             object exchange_symbol=None,
+             object first_traded=None,
+             object auto_close_date=None,
+             object exchange_full=None,
+             float min_trade_size=0.0001,
+             float max_trade_size=1000000,
+             float maker=0.0015,
+             float taker=0.0025,
+             float lot=0,
+             int decimals = 8,
+             int trading_state=1,
+             object data_source='catalyst',
         """
-        #TODO: missing fields
-        super_dict = super(TradingPair, self).to_dict()
-        super_dict['end_daily'] = self.end_daily
-        super_dict['end_minute'] = self.end_minute
-        super_dict['leverage'] = self.leverage
-        super_dict['min_trade_size'] = self.min_trade_size
-        return super_dict
+        trading_pair_dict = dict(
+            symbol=self.symbol,
+            exchange=self.exchange,
+            start_date=self.start_date,
+            asset_name=self.asset_name,
+            leverage=self.leverage,
+            end_daily=self.end_daily,
+            end_minute=self.end_minute,
+            end_date=self.end_date,
+            exchange_symbol=self.exchange_symbol,
+            exchange_full=self.exchange_full,
+            min_trade_size=self.min_trade_size,
+            max_trade_size=self.max_trade_size,
+            maker=self.maker,
+            taker=self.taker,
+            lot=self.lot,
+            decimals=self.decimals,
+            trading_state=self.trading_state,
+            data_source=self.data_source,
+        )
+        return trading_pair_dict
 
     def is_exchange_open(self, dt_minute):
         """
@@ -623,6 +660,16 @@ cdef class TradingPair(Asset):
         #TODO: make more dymanic to catch holds
         return True
 
+    def set_end_date(self, dt, data_frequency):
+        if data_frequency == 'minute':
+            self.end_minute = dt
+
+        else:
+            self.end_daily = dt
+
+    def set_start_date(self, dt):
+        self.start_date = dt
+
     cpdef __reduce__(self):
         """
         Function used by pickle to determine how to serialize/deserialize this
@@ -646,7 +693,9 @@ cdef class TradingPair(Asset):
                                  self.lot,
                                  self.decimals,
                                  self.taker,
-                                 self.maker))
+                                 self.maker,
+                                 self.trading_state,
+                                 self.data_source))
 
 def make_asset_array(int size, Asset asset):
     cdef np.ndarray out = np.empty([size], dtype=object)

catalyst/constants.py

@@ -11,7 +11,10 @@ LOG_LEVEL = int(os.environ.get('CATALYST_LOG_LEVEL', logbook.INFO))
 
 SYMBOLS_URL = 'https://s3.amazonaws.com/enigmaco/catalyst-exchanges/' \
               '{exchange}/symbols.json'
-
+EXCHANGE_CONFIG_URL = 'https://s3.amazonaws.com/enigmaco/ohlcv/' \
+                      '{exchange}/config.json'
+BUNDLE_URL = 'https://s3.amazonaws.com/enigmaco/ohlcv/' \
+              '{exchange}/{data_frequency}/{name}.tar.gz'
 DATE_TIME_FORMAT = '%Y-%m-%d %H:%M'
 DATE_FORMAT = '%Y-%m-%d'
 

catalyst/examples/mean_reversion_simple.py

@@ -33,12 +33,12 @@ def initialize(context):
     # parameters or values you're going to use.
 
     # In our example, we're looking at Neo in Ether.
-    context.market = symbol('bnb_eth')
+    context.market = symbol('eth_btc')
     context.base_price = None
     context.current_day = None
 
-    context.RSI_OVERSOLD = 60
-    context.RSI_OVERBOUGHT = 70
+    context.RSI_OVERSOLD = 55
+    context.RSI_OVERBOUGHT = 60
     context.CANDLE_SIZE = '15T'
 
     context.start_time = time.time()
@@ -248,14 +248,14 @@ if __name__ == '__main__':
 
     if live:
         run_algorithm(
-            capital_base=0.1,
+            capital_base=0.03,
             initialize=initialize,
             handle_data=handle_data,
             analyze=analyze,
-            exchange_name='binance',
+            exchange_name='poloniex',
             live=True,
             algo_namespace=NAMESPACE,
-            base_currency='eth',
+            base_currency='btc',
             live_graph=False,
             simulate_orders=False,
             stats_output=None,
@@ -274,7 +274,7 @@ if __name__ == '__main__':
         #    -x bitfinex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion \
         #   --data-frequency minute --capital-base 10000
         run_algorithm(
-            capital_base=0.035,
+            capital_base=0.1,
             data_frequency='minute',
             initialize=initialize,
             handle_data=handle_data,

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -1,34 +1,33 @@
-import json
-import os
 import re
 from collections import defaultdict
 
 import ccxt
 import pandas as pd
 import six
-from ccxt import InvalidOrder, NetworkError, \
-    ExchangeError
-from logbook import Logger
-from six import string_types
+from catalyst.assets._assets import TradingPair
+from redo import retry
 
 from catalyst.algorithm import MarketOrder
-from catalyst.assets._assets import TradingPair
 from catalyst.constants import LOG_LEVEL
 from catalyst.exchange.exchange import Exchange
 from catalyst.exchange.exchange_bundle import ExchangeBundle
 from catalyst.exchange.exchange_errors import InvalidHistoryFrequencyError, \
     ExchangeSymbolsNotFound, ExchangeRequestError, InvalidOrderStyle, \
+    UnsupportedHistoryFrequencyError, \
     ExchangeNotFoundError, CreateOrderError, InvalidHistoryTimeframeError, \
-    UnsupportedHistoryFrequencyError
+    MarketsNotFoundError, InvalidMarketError
 from catalyst.exchange.exchange_execution import ExchangeLimitOrder
-from catalyst.exchange.utils.exchange_utils import mixin_market_params, \
-    get_exchange_folder, get_catalyst_symbol, \
-    get_exchange_auth
+from catalyst.exchange.utils.ccxt_utils import get_exchange_config
 from catalyst.exchange.utils.datetime_utils import from_ms_timestamp, \
     get_epoch, \
     get_periods_range
+from catalyst.exchange.utils.exchange_utils import get_catalyst_symbol
 from catalyst.finance.order import Order, ORDER_STATUS
 from catalyst.finance.transaction import Transaction
+from ccxt import InvalidOrder, NetworkError, \
+    ExchangeError
+from logbook import Logger
+from six import string_types
 
 log = Logger('CCXT', level=LOG_LEVEL)
 
@@ -44,7 +43,7 @@ SUPPORTED_EXCHANGES = dict(
 
 class CCXT(Exchange):
     def __init__(self, exchange_name, key,
-                 secret, password, base_currency):
+                 secret, password, base_currency, config=None):
         log.debug(
             'finding {} in CCXT exchanges:\n{}'.format(
                 exchange_name, ccxt.exchanges
@@ -64,6 +63,8 @@ class CCXT(Exchange):
                 'password': password,
             })
             self.api.enableRateLimit = True
+            self.has = self.api.has
+            self.fees = self.api.fees
 
         except Exception:
             raise ExchangeNotFoundError(exchange_name=exchange_name)
@@ -71,6 +72,7 @@ class CCXT(Exchange):
         self._symbol_maps = [None, None]
 
         self.name = exchange_name
+        self.assets = []
 
         self.base_currency = base_currency
         self.transactions = defaultdict(list)
@@ -82,97 +84,123 @@ class CCXT(Exchange):
         self._common_symbols = dict()
 
         self.bundle = ExchangeBundle(self.name)
-        self.markets = None
         self._is_init = False
+        self._config = config
 
     def init(self):
         if self._is_init:
             return
 
-        exchange_folder = get_exchange_folder(self.name)
-        filename = os.path.join(exchange_folder, 'cctx_markets.json')
-
-        if os.path.exists(filename):
-            timestamp = os.path.getmtime(filename)
-            dt = pd.to_datetime(timestamp, unit='s', utc=True)
-
-            if dt >= pd.Timestamp.utcnow().floor('1D'):
-                with open(filename) as f:
-                    self.markets = json.load(f)
-
-                log.debug('loaded markets for {}'.format(self.name))
-
-        if self.markets is None:
-            try:
-                markets_symbols = self.api.load_markets()
-                log.debug(
-                    'fetching {} markets:\n{}'.format(
-                        self.name, markets_symbols
-                    )
+        if self._config is None:
+            self._config = get_exchange_config(self.name)
+            log.debug(
+                'got exchange config {}:\n{}'.format(
+                    self.name, self._config
                 )
-
-                self.markets = self.api.fetch_markets()
-                with open(filename, 'w+') as f:
-                    json.dump(self.markets, f, indent=4)
-
-            except (ExchangeError, NetworkError) as e:
-                log.warn(
-                    'unable to fetch markets {}: {}'.format(
-                        self.name, e
-                    )
-                )
-                raise ExchangeRequestError(error=e)
+            )
 
         self.load_assets()
         self._is_init = True
 
-    @staticmethod
-    def find_exchanges(features=None, is_authenticated=False):
-        ccxt_features = []
-        if features is not None:
-            for feature in features:
-                if not feature.endswith('Bundle'):
-                    ccxt_features.append(feature)
+    def load_assets(self):
+        if self._config is None:
+            raise ValueError('Exchange config not available.')
 
-        exchange_names = []
-        for exchange_name in ccxt.exchanges:
-            if is_authenticated:
-                exchange_auth = get_exchange_auth(exchange_name)
+        self.assets = []
+        for asset_dict in self._config['assets']:
+            asset = TradingPair(**asset_dict)
+            self.assets.append(asset)
 
-                has_auth = (exchange_auth['key'] != ''
-                            and exchange_auth['secret'] != '')
+    def _fetch_markets(self):
+        markets_symbols = self.api.load_markets()
+        log.debug(
+            'fetching {} markets:\n{}'.format(
+                self.name, markets_symbols
+            )
+        )
+        try:
+            markets = self.api.fetch_markets()
 
-                if not has_auth:
-                    continue
+        except NetworkError as e:
+            raise ExchangeRequestError(error=e)
 
-            log.debug('loading exchange: {}'.format(exchange_name))
-            exchange = getattr(ccxt, exchange_name)()
+        if not markets:
+            raise MarketsNotFoundError(
+                exchange=self.name,
+            )
 
-            if ccxt_features is None:
-                has_feature = True
+        for market in markets:
+            if 'id' not in market:
+                raise InvalidMarketError(
+                    exchange=self.name,
+                    market=market,
+                )
+        return markets
 
-            else:
-                try:
-                    has_feature = all(
-                        [exchange.has[feature] for feature in ccxt_features]
-                    )
+    def create_exchange_config(self):
+        config = dict(
+            name=self.name,
+            features=[feature for feature in self.has if self.has[feature]]
+        )
+        markets = retry(
+            action=self._fetch_markets,
+            attempts=5,
+            sleeptime=5,
+            retry_exceptions=(ExchangeRequestError,),
+            cleanup=lambda: log.warn(
+                'fetching markets again for {}'.format(self.name)
+            ),
+        )
 
-                except Exception:
-                    has_feature = False
+        config['assets'] = []
+        for market in markets:
+            asset = self.create_trading_pair(market=market)
+            config['assets'].append(asset)
 
-            if has_feature:
-                try:
-                    log.info('initializing {}'.format(exchange_name))
-                    exchange_names.append(exchange_name)
+        return config
 
-                except Exception as e:
-                    log.warn(
-                        'unable to initialize exchange {}: {}'.format(
-                            exchange_name, e
-                        )
-                    )
+    def create_trading_pair(self, market, start_dt=None, end_dt=None,
+                            leverage=1, end_daily=None, end_minute=None):
+        """
+        Creating a TradingPair from market and asset data.
 
-        return exchange_names
+        Parameters
+        ----------
+        market: dict[str, Object]
+        start_dt
+        end_dt
+        leverage
+        end_daily
+        end_minute
+
+        Returns
+        -------
+
+        """
+        params = dict(
+            exchange=self.name,
+            data_source='catalyst',
+            exchange_symbol=market['id'],
+            symbol=get_catalyst_symbol(market),
+            start_date=start_dt,
+            end_date=end_dt,
+            leverage=leverage,
+            asset_name=market['symbol'],
+            end_daily=end_daily,
+            end_minute=end_minute,
+        )
+        self.apply_conditional_market_params(params, market)
+
+        return TradingPair(**params)
+
+    def load_assets(self):
+        if self._config is None or 'error' in self._config:
+            raise ValueError('Exchange config not available.')
+
+        self.assets = []
+        for asset_dict in self._config['assets']:
+            asset = TradingPair(**asset_dict)
+            self.assets.append(asset)
 
     def account(self):
         return None
@@ -204,32 +232,11 @@ class CCXT(Exchange):
 
         return frequencies
 
-    def get_market(self, symbol):
-        """
-        The CCXT market.
-
-        Parameters
-        ----------
-        symbol:
-            The CCXT symbol.
-
-        Returns
-        -------
-        dict[str, Object]
-
-        """
-        s = self.get_symbol(symbol)
-        market = next(
-            (market for market in self.markets if market['symbol'] == s),
-            None,
-        )
-        return market
-
     def substitute_currency_code(self, currency, source='catalyst'):
         if source == 'catalyst':
             currency = currency.upper()
 
-            key = self.api.common_currency_code(currency)
+            key = self.api.common_currency_code(currency).lower()
             self._common_symbols[key] = currency.lower()
             return key
 
@@ -257,13 +264,7 @@ class CCXT(Exchange):
         if source == 'ccxt':
             if isinstance(asset_or_symbol, string_types):
                 parts = asset_or_symbol.split('/')
-                base_currency = self.substitute_currency_code(
-                    parts[0], source
-                )
-                quote_currency = self.substitute_currency_code(
-                    parts[1], source
-                )
-                return '{}_{}'.format(base_currency, quote_currency)
+                return '{}_{}'.format(parts[0].lower(), parts[1].lower())
 
             else:
                 return asset_or_symbol.symbol
@@ -274,13 +275,7 @@ class CCXT(Exchange):
             ) else asset_or_symbol.symbol
 
             parts = symbol.split('_')
-            base_currency = self.substitute_currency_code(
-                parts[0], source
-            )
-            quote_currency = self.substitute_currency_code(
-                parts[1], source
-            )
-            return '{}/{}'.format(base_currency, quote_currency)
+            return '{}/{}'.format(parts[0].upper(), parts[1].upper())
 
     @staticmethod
     def map_frequency(value, source='ccxt', raise_error=True):
@@ -406,7 +401,7 @@ class CCXT(Exchange):
         )
 
     def get_candles(self, freq, assets, bar_count=1, start_dt=None,
-                    end_dt=None):
+                    end_dt=None, floor_dates=True):
         is_single = (isinstance(assets, TradingPair))
         if is_single:
             assets = [assets]
@@ -453,16 +448,20 @@ class CCXT(Exchange):
 
             candles[asset] = []
             for ohlcv in ohlcvs:
-                candles[asset].append(dict(
-                    last_traded=pd.to_datetime(
-                        ohlcv[0], unit='ms', utc=True
-                    ),
-                    open=ohlcv[1],
-                    high=ohlcv[2],
-                    low=ohlcv[3],
-                    close=ohlcv[4],
-                    volume=ohlcv[5]
-                ))
+                dt = pd.to_datetime(ohlcv[0], unit='ms', utc=True)
+                if floor_dates:
+                    dt = dt.floor('1T')
+
+                candles[asset].append(
+                    dict(
+                        last_traded=dt,
+                        open=ohlcv[1],
+                        high=ohlcv[2],
+                        low=ohlcv[3],
+                        close=ohlcv[4],
+                        volume=ohlcv[5],
+                    )
+                )
             candles[asset] = sorted(
                 candles[asset], key=lambda c: c['last_traded']
             )
@@ -480,144 +479,53 @@ class CCXT(Exchange):
         except ExchangeSymbolsNotFound:
             return None
 
-    def get_asset_defs(self, market):
+    def apply_conditional_market_params(self, params, market):
         """
-        The local and Catalyst definitions of the specified market.
+        Applies a CCXT market dict to parameters of TradingPair init.
 
         Parameters
         ----------
-        market: dict[str, Object]
-            The CCXT market dicts.
+        params: dict[Object]
+        market: dict[Object]
 
         Returns
         -------
-        dict[str, Object]
-            The asset definition.
 
         """
-        asset_defs = []
-
-        for is_local in (False, True):
-            asset_def = self.get_asset_def(market, is_local)
-            asset_defs.append((asset_def, is_local))
-
-        return asset_defs
-
-    def get_asset_def(self, market, is_local=False):
-        """
-        The asset definition (in symbols.json files) corresponding
-        to the the specified market.
-
-        Parameters
-        ----------
-        market: dict[str, Object]
-            The CCXT market dict.
-        is_local
-            Whether to search in local or Catalyst asset definitions.
-
-        Returns
-        -------
-        dict[str, Object]
-            The asset definition.
-
-        """
-        exchange_symbol = market['id']
-
-        symbol_map = self._fetch_symbol_map(is_local)
-        if symbol_map is not None:
-            assets_lower = {k.lower(): v for k, v in symbol_map.items()}
-            key = exchange_symbol.lower()
-
-            asset = assets_lower[key] if key in assets_lower else None
-            if asset is not None:
-                return asset
-
-            else:
-                return None
+        # TODO: make this more externalized / configurable
+        # Consider representing in some type of JSON structure
+        if 'active' in market:
+            params['trading_state'] = 1 if market['active'] else 0
 
         else:
-            return None
+            params['trading_state'] = 1
 
-    def create_trading_pair(self, market, asset_def=None, is_local=False):
-        """
-        Creating a TradingPair from market and asset data.
+        if 'lot' in market:
+            params['min_trade_size'] = market['lot']
+            params['lot'] = market['lot']
 
-        Parameters
-        ----------
-        market: dict[str, Object]
-        asset_def: dict[str, Object]
-        is_local: bool
+        if self.name == 'bitfinex':
+            params['maker'] = 0.001
+            params['taker'] = 0.002
 
-        Returns
-        -------
-
-        """
-        data_source = 'local' if is_local else 'catalyst'
-        params = dict(
-            exchange=self.name,
-            data_source=data_source,
-            exchange_symbol=market['id'],
-        )
-        mixin_market_params(self.name, params, market)
-
-        if asset_def is not None:
-            params['symbol'] = asset_def['symbol']
-
-            params['start_date'] = asset_def['start_date'] \
-                if 'start_date' in asset_def else None
-
-            params['end_date'] = asset_def['end_date'] \
-                if 'end_date' in asset_def else None
-
-            params['leverage'] = asset_def['leverage'] \
-                if 'leverage' in asset_def else 1.0
-
-            params['asset_name'] = asset_def['asset_name'] \
-                if 'asset_name' in asset_def else None
-
-            params['end_daily'] = asset_def['end_daily'] \
-                if 'end_daily' in asset_def \
-                   and asset_def['end_daily'] != 'N/A' else None
-
-            params['end_minute'] = asset_def['end_minute'] \
-                if 'end_minute' in asset_def \
-                   and asset_def['end_minute'] != 'N/A' else None
+        elif 'maker' in market and 'taker' in market \
+            and market['maker'] is not None \
+            and market['taker'] is not None:
+            params['maker'] = market['maker']
+            params['taker'] = market['taker']
 
         else:
-            params['symbol'] = get_catalyst_symbol(market)
-            # TODO: add as an optional column
-            params['leverage'] = 1.0
+            # TODO: default commission, make configurable
+            params['maker'] = 0.0015
+            params['taker'] = 0.0025
 
-        return TradingPair(**params)
+        info = market['info'] if 'info' in market else None
+        if info:
+            if 'minimum_order_size' in info:
+                params['min_trade_size'] = float(info['minimum_order_size'])
 
-    def load_assets(self):
-        log.debug('loading assets for {}'.format(self.name))
-        self.assets = []
-
-        for market in self.markets:
-            if 'id' not in market:
-                log.warn('invalid market: {}'.format(market))
-                continue
-
-            asset_defs = self.get_asset_defs(market)
-
-            asset = None
-            for asset_def in asset_defs:
-                if asset_def[0] is not None or not asset_defs[1]:
-                    try:
-                        asset = self.create_trading_pair(
-                            market=market,
-                            asset_def=asset_def[0],
-                            is_local=asset_def[1]
-                        )
-                        self.assets.append(asset)
-
-                    except TypeError as e:
-                        log.warn('unable to add asset: {}'.format(e))
-
-            if asset is None:
-                asset = self.create_trading_pair(market=market)
-                self.assets.append(asset)
+                if 'lot' not in params:
+                    params['lot'] = params['min_trade_size']
 
     def get_balances(self):
         try:
@@ -755,18 +663,14 @@ class CCXT(Exchange):
 
         side = 'buy' if amount > 0 else 'sell'
         if hasattr(self.api, 'amount_to_lots'):
-            # TODO: is this right?
-            if self.api.markets is None:
-                self.api.load_markets()
-
-            # https://github.com/ccxt/ccxt/issues/1483
-            adj_amount = round(abs(amount), asset.decimals)
-            market = self.api.markets[symbol]
-            if 'lots' in market and market['lots'] > amount:
-                raise CreateOrderError(
-                    exchange=self.name,
-                    e='order amount lower than the smallest lot: {}'.format(
-                        amount
+            adj_amount = self.api.amount_to_lots(
+                symbol=symbol,
+                amount=abs(amount),
+            )
+            if adj_amount != abs(amount):
+                log.info(
+                    'adjusted order amount {} to {} based on lot size'.format(
+                        abs(amount), adj_amount,
                     )
                 )
 
@@ -994,7 +898,7 @@ class CCXT(Exchange):
             symbol = self.get_symbol(asset_or_symbol) \
                 if asset_or_symbol is not None else None
             self.api.cancel_order(id=order_id,
-                                  symbol=symbol, params= params)
+                                  symbol=symbol, params=params)
 
         except (ExchangeError, NetworkError) as e:
             log.warn(
@@ -1112,19 +1016,27 @@ class CCXT(Exchange):
         return result
 
     def get_trades(self, asset, my_trades=True, start_dt=None, limit=100):
-        if not my_trades:
-            raise NotImplemented(
-                'get_trades only supports "my trades"'
-            )
-
         # TODO: is it possible to sort this? Limit is useless otherwise.
         ccxt_symbol = self.get_symbol(asset)
+        if start_dt:
+            delta = start_dt - get_epoch()
+            since = int(delta.total_seconds()) * 1000
+        else:
+            since = None
+
         try:
-            trades = self.api.fetch_my_trades(
-                symbol=ccxt_symbol,
-                since=start_dt,
-                limit=limit,
-            )
+            if my_trades:
+                trades = self.api.fetch_my_trades(
+                    symbol=ccxt_symbol,
+                    since=since,
+                    limit=limit,
+                )
+            else:
+                trades = self.api.fetch_trades(
+                    symbol=ccxt_symbol,
+                    since=since,
+                    limit=limit,
+                )
         except (ExchangeError, NetworkError) as e:
             log.warn(
                 'unable to fetch trades {} / {}: {}'.format(

catalyst/exchange/exchange.py

@@ -5,6 +5,8 @@ from time import sleep
 
 import numpy as np
 import pandas as pd
+from logbook import Logger
+
 from catalyst.constants import LOG_LEVEL
 from catalyst.data.data_portal import BASE_FIELDS
 from catalyst.exchange.exchange_bundle import ExchangeBundle
@@ -17,9 +19,8 @@ from catalyst.exchange.exchange_errors import MismatchingBaseCurrencies, \
 from catalyst.exchange.utils.datetime_utils import get_delta, \
     get_periods_range, \
     get_periods, get_start_dt, get_frequency
-from catalyst.exchange.utils.exchange_utils import get_exchange_symbols, \
-    resample_history_df, has_bundle, get_candles_df
-from logbook import Logger
+from catalyst.exchange.utils.exchange_utils import \
+    resample_history_df, has_bundle
 
 log = Logger('Exchange', level=LOG_LEVEL)
 
@@ -256,10 +257,10 @@ class Exchange:
             elif data_frequency is not None:
                 applies = (
                     (
-                        data_frequency == 'minute' and
-                        a.end_minute is not None)
-                    or (
-                        data_frequency == 'daily' and a.end_daily is not None)
+                        data_frequency == 'minute' and a.end_minute is not None
+                    ) or (
+                        data_frequency == 'daily' and a.end_daily is not None
+                    )
                 )
 
             else:
@@ -292,16 +293,6 @@ class Exchange:
         log.debug('found asset: {}'.format(asset))
         return asset
 
-    def fetch_symbol_map(self, is_local=False):
-        index = 1 if is_local else 0
-        if self._symbol_maps[index] is not None:
-            return self._symbol_maps[index]
-
-        else:
-            symbol_map = get_exchange_symbols(self.name, is_local)
-            self._symbol_maps[index] = symbol_map
-            return symbol_map
-
     @abstractmethod
     def init(self):
         """
@@ -313,24 +304,13 @@ class Exchange:
         """
 
     @abstractmethod
-    def load_assets(self, is_local=False):
+    def create_exchange_config(self):
         """
-        Populate the 'assets' attribute with a dictionary of Assets.
-        The key of the resulting dictionary is the exchange specific
-        currency pair symbol. The universal symbol is contained in the
-        'symbol' attribute of each asset.
-
-        Notes
-        -----
-        The sid of each asset is calculated based on a numeric hash of the
-        universal symbol. This simple approach avoids maintaining a mapping
-        of sids.
-
-        This method can be omerridden if an exchange offers equivalent data
-        via its api.
+        Fetch the exchange market data and generate a config object
+        Returns
+        -------
 
         """
-        pass
 
     def get_spot_value(self, assets, field, dt=None, data_frequency='minute'):
         """
@@ -626,7 +606,7 @@ class Exchange:
                 start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
                 trailing_dt = \
                     series[asset].index[-1] + get_delta(1, data_frequency) \
-                    if asset in series else start_dt
+                        if asset in series else start_dt
 
                 # The get_history method supports multiple asset
                 # Use the original frequency to let each api optimize
@@ -667,16 +647,20 @@ class Exchange:
 
         return df
 
-    def _check_low_balance(self, currency, balances, amount):
+    def _check_low_balance(self, currency, balances, amount, open_orders=None):
         free = balances[currency]['free'] if currency in balances else 0.0
 
+        if open_orders:
+            # TODO: make sure that this works
+            free += sum([order.amount for order in open_orders])
+
         if free < amount:
             return free, True
 
         else:
             return free, False
 
-    def sync_positions(self, positions, cash=None,
+    def sync_positions(self, positions, open_orders=None, cash=None,
                        check_balances=False):
         """
         Update the portfolio cash and position balances based on the
@@ -706,7 +690,7 @@ class Exchange:
                     balances=balances,
                     amount=cash,
                 )
-                if is_lower:
+                if is_lower and not open_orders:
                     raise NotEnoughCashError(
                         currency=self.base_currency,
                         exchange=self.name,

catalyst/exchange/exchange_algorithm.py

@@ -18,9 +18,11 @@ from datetime import timedelta
 from os import listdir
 from os.path import isfile, join, exists
 
-import catalyst.protocol as zp
 import logbook
 import pandas as pd
+from redo import retry
+
+import catalyst.protocol as zp
 from catalyst.algorithm import TradingAlgorithm
 from catalyst.constants import LOG_LEVEL
 from catalyst.exchange.exchange_blotter import ExchangeBlotter
@@ -50,7 +52,6 @@ from catalyst.utils.api_support import api_method
 from catalyst.utils.input_validation import error_keywords, ensure_upper_case
 from catalyst.utils.math_utils import round_nearest
 from catalyst.utils.preprocess import preprocess
-from redo import retry
 
 log = logbook.Logger('exchange_algorithm', level=LOG_LEVEL)
 
@@ -670,6 +671,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
             required_cash = self.portfolio.cash if not orders else None
             cash, positions_value = exchange.sync_positions(
                 positions=exchange_positions,
+                open_orders=orders,
                 check_balances=check_balances,
                 cash=required_cash,
             )

catalyst/exchange/exchange_bundle.py

@@ -1,3 +1,4 @@
+import copy
 import os
 import shutil
 from datetime import timedelta
@@ -8,8 +9,12 @@ from operator import is_not
 import numpy as np
 import pandas as pd
 import pytz
-from catalyst import get_calendar
 from catalyst.assets._assets import TradingPair
+from logbook import Logger
+from pytz import UTC
+from six import itervalues
+
+from catalyst import get_calendar
 from catalyst.constants import DATE_TIME_FORMAT, AUTO_INGEST
 from catalyst.constants import LOG_LEVEL
 from catalyst.data.minute_bars import BcolzMinuteOverlappingData, \
@@ -22,15 +27,12 @@ from catalyst.exchange.exchange_errors import EmptyValuesInBundleError, \
     PricingDataNotLoadedError, DataCorruptionError, PricingDataValueError
 from catalyst.exchange.utils.bundle_utils import range_in_bundle, \
     get_bcolz_chunk, get_df_from_arrays, get_assets
-from catalyst.exchange.utils.datetime_utils import get_delta, get_start_dt, \
-    get_period_label, get_month_start_end, get_year_start_end
-from catalyst.exchange.utils.exchange_utils import get_exchange_folder, \
-    save_exchange_symbols, mixin_market_params, get_catalyst_symbol
+from catalyst.exchange.utils.datetime_utils import get_start_dt, \
+    get_period_label, get_month_start_end, get_year_start_end, get_period, \
+    timestr_to_dt
+from catalyst.exchange.utils.exchange_utils import get_exchange_folder
 from catalyst.utils.cli import maybe_show_progress
 from catalyst.utils.paths import ensure_directory
-from logbook import Logger
-from pytz import UTC
-from six import itervalues
 
 log = Logger('exchange_bundle', level=LOG_LEVEL)
 
@@ -512,8 +514,8 @@ class ExchangeBundle:
                 continue
 
             dates = pd.date_range(
-                start=get_period_label(adj_start, data_frequency),
-                end=get_period_label(adj_end, data_frequency),
+                start=get_period(adj_start, data_frequency),
+                end=get_period(adj_end, data_frequency),
                 freq='MS' if data_frequency == 'minute' else 'AS',
                 tz=UTC
             )
@@ -552,7 +554,9 @@ class ExchangeBundle:
 
             # We sort the chunks by end date to ingest most recent data first
             chunks[asset].sort(
-                key=lambda chunk: pd.to_datetime(chunk['period'])
+                key=lambda chunk: timestr_to_dt(
+                    chunk['period'], data_frequency
+                )
             )
 
         return chunks
@@ -607,7 +611,8 @@ class ExchangeBundle:
                         exchange=self.exchange_name,
                         frequency=data_frequency,
                         symbol=asset.symbol
-                    )) as it:
+                    )
+                ) as it:
                     for chunk in it:
                         problems += self.ingest_ctable(
                             asset=chunk['asset'],
@@ -622,7 +627,9 @@ class ExchangeBundle:
 
             # We sort the chunks by end date to ingest most recent data first
             all_chunks.sort(
-                key=lambda chunk: pd.to_datetime(chunk['period'])
+                key=lambda chunk: timestr_to_dt(
+                    chunk['period'], data_frequency
+                )
             )
             with maybe_show_progress(
                 all_chunks,
@@ -631,7 +638,8 @@ class ExchangeBundle:
                       '{exchange}'.format(
                     exchange=self.exchange_name,
                     frequency=data_frequency,
-                )) as it:
+                )
+            ) as it:
                 for chunk in it:
                     problems += self.ingest_ctable(
                         asset=chunk['asset'],
@@ -700,42 +708,36 @@ class ExchangeBundle:
         for symbol in symbols:
             start_dt = df.index.get_level_values(1).min()
             end_dt = df.index.get_level_values(1).max()
-            end_dt_key = 'end_{}'.format(data_frequency)
 
-            market = self.exchange.get_market(symbol)
-            if market is None:
-                raise ValueError('symbol not available in the exchange.')
+            try:
+                asset = self.exchange.get_asset(symbol, is_local=True)
+            except:
+                asset = copy.deepcopy(self.exchange.get_asset(symbol))
 
-            params = dict(
-                exchange=self.exchange.name,
-                data_source='local',
-                exchange_symbol=market['id'],
-            )
-            mixin_market_params(self.exchange_name, params, market)
+            if asset.data_source == 'local':
+                asset.start_date = asset.start_date \
+                    if asset.start_date < start_dt else start_dt
 
-            asset_def = self.exchange.get_asset_def(market, True)
-            if asset_def is not None:
-                params['symbol'] = asset_def['symbol']
+                if data_frequency == 'daily':
+                    asset.end_date = asset.end_daily = asset.end_daily \
+                        if asset.end_daily > end_dt else end_dt
 
-                params['start_date'] = asset_def['start_date'] \
-                    if asset_def['start_date'] < start_dt else start_dt
-
-                params['end_date'] = asset_def[end_dt_key] \
-                    if asset_def[end_dt_key] > end_dt else end_dt
-
-                params['end_daily'] = end_dt \
-                    if data_frequency == 'daily' else asset_def['end_daily']
-
-                params['end_minute'] = end_dt \
-                    if data_frequency == 'minute' else asset_def['end_minute']
+                else:
+                    asset.end_date = asset.end_minute = asset.end_minute \
+                        if asset.end_minute > end_dt else end_dt
 
             else:
-                params['symbol'] = get_catalyst_symbol(market)
+                asset.data_source = 'local'
+                asset.start_date = start_dt
+                asset.end_dt = end_dt
 
-                params['end_daily'] = end_dt \
-                    if data_frequency == 'daily' else 'N/A'
-                params['end_minute'] = end_dt \
-                    if data_frequency == 'minute' else 'N/A'
+                if data_frequency == 'daily':
+                    asset.end_daily = end_dt
+                    asset.end_minute = None
+
+                else:
+                    asset.end_daily = None
+                    asset.end_minute = end_dt
 
             if min_start_dt is None or start_dt < min_start_dt:
                 min_start_dt = start_dt
@@ -743,11 +745,9 @@ class ExchangeBundle:
             if max_end_dt is None or end_dt > max_end_dt:
                 max_end_dt = end_dt
 
-            asset = TradingPair(**params)
-            assets[market['id']] = asset
-
-        save_exchange_symbols(self.exchange_name, assets, True)
+            assets[symbol] = asset
 
+        # TODO: update config.json
         writer = self.get_writer(
             start_dt=min_start_dt.replace(hour=00, minute=00),
             end_dt=max_end_dt.replace(hour=23, minute=59),

catalyst/exchange/exchange_errors.py

@@ -329,3 +329,17 @@ class NoCandlesReceivedFromExchange(ZiplineError):
         'Although requesting {bar_count} candles until {end_dt} of asset {asset}, '
         'an empty list of candles was received for {exchange}.'
     ).strip()
+
+
+class MarketsNotFoundError(ZiplineError):
+    msg = (
+        'Exchange {exchange} contains no valid market so it is unusable in '
+        'Catalyst.'
+    ).strip()
+
+
+class InvalidMarketError(ZiplineError):
+    msg = (
+        'Exchange {exchange} contains at least one incorrectly structured '
+        'market: {market}, so it is unusable in Catalyst.'
+    ).strip()

catalyst/exchange/utils/bundle_utils.py

@@ -5,6 +5,7 @@ from datetime import datetime
 import numpy as np
 import pandas as pd
 
+from catalyst.constants import BUNDLE_URL
 from catalyst.data.bundles.core import download_without_progress
 from catalyst.exchange.utils.exchange_utils import get_exchange_bundles_folder
 import os
@@ -48,10 +49,11 @@ def get_bcolz_chunk(exchange_name, symbol, data_frequency, period):
     path = os.path.join(root, name)
 
     if not os.path.isdir(path):
-        url = 'https://s3.amazonaws.com/enigmaco/catalyst-bundles/' \
-              'exchange-{exchange}/{name}.tar.gz'.format(
+        url = BUNDLE_URL.format(
             exchange=exchange_name,
-            name=name)
+            data_frequency=data_frequency,
+            name=name,
+        )
 
         bytes = download_without_progress(url)
         with tarfile.open('r', fileobj=bytes) as tar:
@@ -75,14 +77,14 @@ def get_df_from_arrays(arrays, periods):
 
     """
     ohlcv = dict()
-    for index, field in enumerate(
-            ['open', 'high', 'low', 'close', 'volume']):
+    for index, field in enumerate(['open', 'high', 'low', 'close', 'volume']):
         ohlcv[field] = arrays[index].flatten()
 
     df = pd.DataFrame(
         data=ohlcv,
         index=periods
     )
+    df.index.name = 'last_traded'
     return df
 
 

catalyst/exchange/utils/ccxt_utils.py

@@ -0,0 +1,307 @@
+import json
+import os
+import pandas as pd
+from six.moves.urllib import request
+
+from catalyst.assets._assets import TradingPair
+from ccxt import NetworkError
+from catalyst.constants import LOG_LEVEL, EXCHANGE_CONFIG_URL
+from catalyst.exchange.exchange_errors import MarketsNotFoundError, \
+    InvalidMarketError
+from catalyst.exchange.utils.exchange_utils import get_catalyst_symbol, \
+    get_exchange_folder, get_exchange_auth
+from catalyst.exchange.utils.serialization_utils import ExchangeJSONDecoder, \
+    ExchangeJSONEncoder
+from logbook import Logger
+from redo import retry
+from ccxt.base.exchange import Exchange
+from catalyst.utils.paths import last_modified_time, data_root, \
+    ensure_directory
+import ccxt
+
+log = Logger('ccxt_utils', level=LOG_LEVEL)
+
+
+def scan_exchange_configs(features=None, history=None, is_authenticated=False,
+                          path=None):
+    """
+    Finding exchanges from their config files
+
+    Parameters
+    ----------
+    features
+    is_authenticated
+
+    Returns
+    -------
+
+    """
+    for exchange_name in ccxt.exchanges:
+        config = get_exchange_config(exchange_name, path)
+        if not config or 'error' in config:
+            log.info(
+                'skipping invalid exchange {}'.format(exchange_name)
+            )
+
+        # Check if the exchange has an auth.json file
+        if is_authenticated:
+            exchange_auth = get_exchange_auth(exchange_name)
+            has_auth = (exchange_auth['key'] != ''
+                        and exchange_auth['secret'] != '')
+
+            if not has_auth:
+                continue
+
+        if features is None:
+            has_features = True
+
+        else:
+            try:
+                supported_features = [
+                    feature for feature in features if
+                    feature in config['features']
+                ]
+                has_features = len(supported_features) > 0
+            except Exception:
+                has_features = False
+
+        # TODO: filter by history
+        if has_features:
+            yield config
+
+
+def get_exchange_config(exchange_name, path=None, environ=None,
+                        expiry='1H'):
+    """
+    The de-serialized content of the exchange's config.json.
+    Parameters
+    ----------
+    exchange_name: str
+        The exchange name
+    filename: str
+        The target file
+    environ:
+
+    Returns
+    -------
+    config: dict[srt, Object]
+        The config dictionary.
+
+    """
+    try:
+        if path is None:
+            root = data_root(environ)
+            path = os.path.join(root, 'exchanges')
+
+        folder = os.path.join(path, exchange_name)
+        ensure_directory(folder)
+
+        filename = os.path.join(folder, 'config.json')
+        url = EXCHANGE_CONFIG_URL.format(exchange=exchange_name)
+        if os.path.isfile(filename):
+            # If the file exists, only update periodically to avoid
+            # unnecessary calls
+            now = pd.Timestamp.utcnow()
+            limit = pd.Timedelta(expiry)
+            if pd.Timedelta(now - last_modified_time(filename)) > limit:
+                try:
+                    request.urlretrieve(url=url, filename=filename)
+                except Exception as e:
+                    log.warn(
+                        'unable to update config {} => {}: {}'.format(
+                            url, filename, e
+                        )
+                    )
+
+        else:
+            request.urlretrieve(url=url, filename=filename)
+
+        with open(filename) as data_file:
+            data = json.load(data_file, cls=ExchangeJSONDecoder)
+            return data
+
+    except Exception as e:
+        log.warn(
+            'unable to download {} config: {}'.format(
+                exchange_name, e
+            )
+        )
+        return dict(error=e)
+
+
+def save_exchange_config(config, filename=None, environ=None):
+    """
+    Save assets into an exchange_config file.
+    Parameters
+    ----------
+    exchange_name: str
+    config
+    environ
+    Returns
+    -------
+    """
+    if filename is None:
+        name = 'config.json'
+        exchange_folder = get_exchange_folder(config['id'], environ)
+        filename = os.path.join(exchange_folder, name)
+
+    with open(filename, 'w+') as handle:
+        json.dump(config, handle, indent=4, cls=ExchangeJSONEncoder)
+
+
+def fetch_markets(ccxt_exchange):
+    """
+    Fetches CCXT market objects.
+    
+    Parameters
+    ----------
+    ccxt_exchange: Exchange
+
+    Returns
+    -------
+
+    """
+    markets_symbols = ccxt_exchange.load_markets()
+    log.debug(
+        'fetching {} markets:\n{}'.format(
+            ccxt_exchange.name, markets_symbols
+        )
+    )
+    markets = ccxt_exchange.fetch_markets()
+
+    if not markets:
+        raise MarketsNotFoundError(
+            exchange=ccxt_exchange.name,
+        )
+
+    for market in markets:
+        if 'id' not in market:
+            raise InvalidMarketError(
+                exchange=ccxt_exchange.name,
+                market=market,
+            )
+    return markets
+
+
+def create_exchange_config(ccxt_exchange):
+    """
+    Creates an exchange config structure. 
+    
+    Parameters
+    ----------
+    ccxt_exchange: Exchange
+
+    Returns
+    -------
+
+    """
+    exchange_name = ccxt_exchange.__class__.__name__
+    config = dict(
+        id=exchange_name,
+        name=ccxt_exchange.name,
+        features=[
+            feature for feature in ccxt_exchange.has if
+            ccxt_exchange.has[feature]
+        ]
+    )
+    markets = retry(
+        action=fetch_markets,
+        attempts=5,
+        sleeptime=5,
+        retry_exceptions=(NetworkError,),
+        cleanup=lambda: log.warn(
+            'fetching markets again for {}'.format(exchange_name)
+        ),
+        args=(ccxt_exchange,)
+    )
+
+    config['assets'] = []
+    for market in markets:
+        asset = create_trading_pair(exchange_name, market)
+        config['assets'].append(asset)
+
+    return config
+
+
+def create_trading_pair(exchange_name, market, start_dt=None, end_dt=None,
+                        leverage=1, end_daily=None, end_minute=None):
+    """
+    Creating a TradingPair from market and asset data.
+
+    Parameters
+    ----------
+    market: dict[str, Object]
+    start_dt
+    end_dt
+    leverage
+    end_daily
+    end_minute
+
+    Returns
+    -------
+
+    """
+    params = dict(
+        exchange=exchange_name,
+        data_source='catalyst',
+        exchange_symbol=market['id'],
+        symbol=get_catalyst_symbol(market),
+        start_date=start_dt,
+        end_date=end_dt,
+        leverage=leverage,
+        asset_name=market['symbol'],
+        end_daily=end_daily,
+        end_minute=end_minute,
+    )
+    apply_conditional_market_params(exchange_name, params, market)
+
+    return TradingPair(**params)
+
+
+def apply_conditional_market_params(exchange_name, params, market):
+    """
+    Applies a CCXT market dict to parameters of TradingPair init.
+
+    Parameters
+    ----------
+    params: dict[Object]
+    market: dict[Object]
+
+    Returns
+    -------
+
+    """
+    # TODO: make this more externalized / configurable
+    # Consider representing in some type of JSON structure
+    if 'active' in market:
+        params['trading_state'] = 1 if market['active'] else 0
+
+    else:
+        params['trading_state'] = 1
+
+    if 'lot' in market:
+        params['min_trade_size'] = market['lot']
+        params['lot'] = market['lot']
+
+    if exchange_name == 'bitfinex':
+        params['maker'] = 0.001
+        params['taker'] = 0.002
+
+    elif 'maker' in market and 'taker' in market \
+        and market['maker'] is not None \
+        and market['taker'] is not None:
+        params['maker'] = market['maker']
+        params['taker'] = market['taker']
+
+    else:
+        # TODO: default commission, make configurable
+        params['maker'] = 0.0015
+        params['taker'] = 0.0025
+
+    info = market['info'] if 'info' in market else None
+    if info:
+        if 'minimum_order_size' in info:
+            params['min_trade_size'] = float(info['minimum_order_size'])
+
+            if 'lot' not in params:
+                params['lot'] = params['min_trade_size']

catalyst/exchange/utils/datetime_utils.py

@@ -164,6 +164,12 @@ def get_start_dt(end_dt, bar_count, data_frequency, include_first=True):
     return start_dt
 
 
+def timestr_to_dt(timestr, data_frequency):
+    dt_format = '%Y' if data_frequency == 'daily' else '%Y%m'
+    dt = pd.to_datetime(timestr, format=dt_format, utc=True)
+    return dt
+
+
 def get_period_label(dt, data_frequency):
     """
     The period label for the specified date and frequency.
@@ -177,6 +183,26 @@ def get_period_label(dt, data_frequency):
     -------
     str
 
+    """
+    if data_frequency == 'minute':
+        return '{}{:02d}'.format(dt.year, dt.month)
+    else:
+        return '{}'.format(dt.year)
+
+
+def get_period(dt, data_frequency):
+    """
+    The period label for the specified date and frequency.
+
+    Parameters
+    ----------
+    dt: datetime
+    data_frequency: str
+
+    Returns
+    -------
+    str
+
     """
     if data_frequency == 'minute':
         return '{}-{:02d}'.format(dt.year, dt.month)

catalyst/exchange/utils/exchange_utils.py

@@ -1,19 +1,19 @@
 import hashlib
-import json
 import os
-import pickle
 import shutil
-from datetime import date, datetime
 
+import json
 import pandas as pd
+import pickle
 from catalyst.assets._assets import TradingPair
+from datetime import date, datetime
 from six import string_types
 from six.moves.urllib import request
 
-from catalyst.constants import DATE_FORMAT, SYMBOLS_URL
-from catalyst.exchange.exchange_errors import ExchangeSymbolsNotFound
+from catalyst.constants import EXCHANGE_CONFIG_URL
 from catalyst.exchange.utils.serialization_utils import ExchangeJSONEncoder, \
-    ExchangeJSONDecoder
+    ExchangeJSONDecoder, ConfigJSONEncoder
+from catalyst.utils.deprecate import deprecated
 from catalyst.utils.paths import data_root, ensure_directory, \
     last_modified_time
 
@@ -69,7 +69,7 @@ def is_blacklist(exchange_name, environ=None):
     return os.path.exists(filename)
 
 
-def get_exchange_symbols_filename(exchange_name, is_local=False, environ=None):
+def get_exchange_config_filename(exchange_name, environ=None):
     """
     The absolute path of the exchange's symbol.json file.
 
@@ -83,12 +83,12 @@ def get_exchange_symbols_filename(exchange_name, is_local=False, environ=None):
     str
 
     """
-    name = 'symbols.json' if not is_local else 'symbols_local.json'
+    name = 'config.json'
     exchange_folder = get_exchange_folder(exchange_name, environ)
     return os.path.join(exchange_folder, name)
 
 
-def download_exchange_symbols(exchange_name, environ=None):
+def download_exchange_config(exchange_name, filename, environ=None):
     """
     Downloads the exchange's symbols.json from the repository.
 
@@ -102,15 +102,14 @@ def download_exchange_symbols(exchange_name, environ=None):
     str
 
     """
-    filename = get_exchange_symbols_filename(exchange_name)
-    url = SYMBOLS_URL.format(exchange=exchange_name)
-    response = request.urlretrieve(url=url, filename=filename)
-    return response
+    url = EXCHANGE_CONFIG_URL.format(exchange=exchange_name)
+    request.urlretrieve(url=url, filename=filename)
 
 
-def get_exchange_symbols(exchange_name, is_local=False, environ=None):
+@deprecated
+def get_exchange_config(exchange_name, filename=None, environ=None):
     """
-    The de-serialized content of the exchange's symbols.json.
+    The de-serialized content of the exchange's config.json.
 
     Parameters
     ----------
@@ -123,55 +122,48 @@ def get_exchange_symbols(exchange_name, is_local=False, environ=None):
     Object
 
     """
-    filename = get_exchange_symbols_filename(exchange_name, is_local)
-
-    if not is_local and (not os.path.isfile(filename) or pd.Timedelta(
-            pd.Timestamp('now', tz='UTC') - last_modified_time(
-            filename)).days > 1):
-        try:
-            download_exchange_symbols(exchange_name, environ)
-        except Exception:
-            pass
+    if filename is None:
+        filename = get_exchange_config_filename(exchange_name)
 
     if os.path.isfile(filename):
-        with open(filename) as data_file:
-            try:
-                data = json.load(data_file, cls=ExchangeJSONDecoder)
-                return data
+        now = pd.Timestamp.utcnow()
+        limit = pd.Timedelta('2H')
+        if pd.Timedelta(now - last_modified_time(filename)) > limit:
+            download_exchange_config(exchange_name, filename, environ)
 
-            except ValueError:
-                return dict()
     else:
-        raise ExchangeSymbolsNotFound(
-            exchange=exchange_name,
-            filename=filename
-        )
+        download_exchange_config(exchange_name, filename, environ)
+
+    with open(filename) as data_file:
+        try:
+            data = json.load(data_file, cls=ExchangeJSONDecoder)
+            return data
+
+        except ValueError:
+            return dict()
 
 
-def save_exchange_symbols(exchange_name, assets, is_local=False, environ=None):
+def save_exchange_config(exchange_name, config, filename=None, environ=None):
     """
-    Save assets into an exchange_symbols file.
+    Save assets into an exchange_config file.
 
     Parameters
     ----------
     exchange_name: str
-    assets: list[dict[str, object]]
-    is_local: bool
+    config
     environ
 
     Returns
     -------
 
     """
-    asset_dicts = dict()
-    for symbol in assets:
-        asset_dicts[symbol] = assets[symbol].to_dict()
+    if filename is None:
+        name = 'config.json'
+        exchange_folder = get_exchange_folder(exchange_name, environ)
+        filename = os.path.join(exchange_folder, name)
 
-    filename = get_exchange_symbols_filename(
-        exchange_name, is_local, environ
-    )
-    with open(filename, 'wt') as handle:
-        json.dump(asset_dicts, handle, indent=4, default=symbols_serial)
+    with open(filename, 'w+') as handle:
+        json.dump(config, handle, indent=4, cls=ConfigJSONEncoder)
 
 
 def get_symbols_string(assets):
@@ -512,25 +504,6 @@ def has_bundle(exchange_name, data_frequency, environ=None):
     return os.path.isdir(folder)
 
 
-def symbols_serial(obj):
-    """
-    JSON serializer for objects not serializable by default json code
-
-    Parameters
-    ----------
-    obj: Object
-
-    Returns
-    -------
-    str
-
-    """
-    if isinstance(obj, (datetime, date)):
-        return obj.floor('1D').strftime(DATE_FORMAT)
-
-    raise TypeError("Type %s not serializable" % type(obj))
-
-
 def perf_serial(obj):
     """
     JSON serializer for objects not serializable by default json code
@@ -620,46 +593,12 @@ def resample_history_df(df, freq, field, start_dt=None):
     return resampled_df
 
 
-def mixin_market_params(exchange_name, params, market):
-    """
-    Applies a CCXT market dict to parameters of TradingPair init.
+def from_ms_timestamp(ms):
+    return pd.to_datetime(ms, unit='ms', utc=True)
 
-    Parameters
-    ----------
-    params: dict[Object]
-    market: dict[Object]
 
-    Returns
-    -------
-
-    """
-    # TODO: make this more externalized / configurable
-    if 'lot' in market:
-        params['min_trade_size'] = market['lot']
-        params['lot'] = market['lot']
-
-    if exchange_name == 'bitfinex':
-        params['maker'] = 0.001
-        params['taker'] = 0.002
-
-    elif 'maker' in market and 'taker' in market and \
-            market['maker'] is not None and market['taker'] is not None:
-
-        params['maker'] = market['maker']
-        params['taker'] = market['taker']
-
-    else:
-        # TODO: default commission, make configurable
-        params['maker'] = 0.0015
-        params['taker'] = 0.0025
-
-    info = market['info'] if 'info' in market else None
-    if info:
-        if 'minimum_order_size' in info:
-            params['min_trade_size'] = float(info['minimum_order_size'])
-
-            if 'lot' not in params:
-                params['lot'] = params['min_trade_size']
+def get_epoch():
+    return pd.to_datetime('1970-1-1', utc=True)
 
 
 def group_assets_by_exchange(assets):
@@ -748,6 +687,37 @@ def get_candles_df(candles, field, freq, bar_count, end_dt):
         all_series[asset] = pd.Series(asset_df[field])
 
     df = pd.DataFrame(all_series)
+
     df.dropna(inplace=True)
 
     return df
+
+
+def get_trades_df(trades):
+    df = pd.DataFrame(trades)
+    df.index = pd.to_datetime(df.pop('datetime'))
+    df.index = df.index.tz_localize('UTC')
+
+    return df
+
+
+def candles_from_trades(trades_df, freq):
+    """
+    Calculate OHLCV from candles.
+
+    Parameters
+    ----------
+    trades_df
+    freq
+
+    Returns
+    -------
+
+    """
+    df = trades_df['price'].resample(freq).ohlc()  # type: pd.DataFrame
+    df['volume'] = trades_df['amount'].resample(freq).sum()
+
+    df.dropna(axis=0, how='all', inplace=True)
+    df.sort_index(inplace=True, ascending=False)
+
+    return df

catalyst/exchange/utils/factory.py

@@ -4,8 +4,9 @@ from catalyst.constants import LOG_LEVEL
 from catalyst.exchange.ccxt.ccxt_exchange import CCXT
 from catalyst.exchange.exchange import Exchange
 from catalyst.exchange.exchange_errors import ExchangeAuthEmpty
+from catalyst.exchange.utils.ccxt_utils import scan_exchange_configs
 from catalyst.exchange.utils.exchange_utils import get_exchange_auth, \
-    get_exchange_folder, is_blacklist
+    get_exchange_folder
 from logbook import Logger
 
 log = Logger('factory', level=LOG_LEVEL)
@@ -13,9 +14,12 @@ exchange_cache = dict()
 
 
 def get_exchange(exchange_name, base_currency=None, must_authenticate=False,
-                 skip_init=False, auth_alias=None):
+                 skip_init=False, auth_alias=None, config=None):
     key = (exchange_name, base_currency)
     if key in exchange_cache:
+        if not skip_init:
+            exchange_cache[key].init()
+
         return exchange_cache[key]
 
     exchange_auth = get_exchange_auth(exchange_name, alias=auth_alias)
@@ -36,6 +40,7 @@ def get_exchange(exchange_name, base_currency=None, must_authenticate=False,
         password=exchange_auth['password'] if 'password'
                                               in exchange_auth.keys() else '',
         base_currency=base_currency,
+        config=config,
     )
     exchange_cache[key] = exchange
 
@@ -53,8 +58,8 @@ def get_exchanges(exchange_names):
     return exchanges
 
 
-def find_exchanges(features=None, skip_blacklist=True, is_authenticated=False,
-                   base_currency=None):
+def find_exchanges(features=None, history=None, skip_blacklist=True, path=None,
+                   is_authenticated=False, base_currency=None):
     """
     Find exchanges filtered by a list of feature.
 
@@ -72,28 +77,33 @@ def find_exchanges(features=None, skip_blacklist=True, is_authenticated=False,
     list[Exchange]
 
     """
-    exchange_names = CCXT.find_exchanges(features, is_authenticated)
 
-    exchanges = []
-    for exchange_name in exchange_names:
-        if skip_blacklist and is_blacklist(exchange_name):
+    return list(
+        scan_exchanges(
+            features,
+            history,
+            skip_blacklist,
+            path,
+            is_authenticated,
+            base_currency
+        )
+    )
+
+
+def scan_exchanges(features=None, history=None, skip_blacklist=True, path=None,
+                   is_authenticated=False, base_currency=None):
+    for config in scan_exchange_configs(
+        features=features,
+        history=history,
+        is_authenticated=is_authenticated,
+        path=path,
+    ):
+        if skip_blacklist and (config is None or 'error' in config):
             continue
 
-        exchange = get_exchange(
-            exchange_name=exchange_name,
+        yield get_exchange(
+            exchange_name=config['id'],
             skip_init=True,
             base_currency=base_currency,
+            config=config,
         )
-
-        if features is not None:
-            if 'dailyBundle' in features \
-                    and not exchange.has_bundle('daily'):
-                continue
-
-            elif 'minuteBundle' in features \
-                    and not exchange.has_bundle('minute'):
-                continue
-
-        exchanges.append(exchange)
-
-    return exchanges

catalyst/exchange/utils/serialization_utils.py

@@ -3,15 +3,48 @@ import re
 from json import JSONEncoder
 
 import pandas as pd
-from catalyst.constants import DATE_TIME_FORMAT
 from six import string_types
 
+from datetime import date, datetime
+from catalyst.constants import DATE_TIME_FORMAT, DATE_FORMAT
+from catalyst.assets._assets import TradingPair
+
+
+class ConfigJSONEncoder(json.JSONEncoder):
+    def default(self, obj):
+        """
+        JSON serializer for objects not serializable by default json code
+
+        Parameters
+        ----------
+        obj: Object
+
+        Returns
+        -------
+        str
+
+        """
+        if isinstance(obj, (datetime, date)):
+            return obj.floor('1D').strftime(DATE_FORMAT)
+
+        elif isinstance(obj, TradingPair):
+            return obj.to_dict()
+
 
 class ExchangeJSONEncoder(json.JSONEncoder):
     def default(self, obj):
         if isinstance(obj, pd.Timestamp):
             return obj.strftime(DATE_TIME_FORMAT)
 
+        elif isinstance(obj, TradingPair):
+            asset = obj.to_dict()
+            asset['maker'] = round(asset['maker'], asset['decimals'])
+            asset['taker'] = round(asset['taker'], asset['decimals'])
+            asset['lot'] = round(asset['lot'], 4)
+            asset['min_trade_size'] = round(asset['min_trade_size'], 4)
+            asset['max_trade_size'] = round(asset['max_trade_size'], 4)
+            return asset
+
         # Let the base class default method raise the TypeError
         return JSONEncoder.default(self, obj)
 

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_236.py

@@ -1,7 +1,8 @@
 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']
+coins = ['dash', 'btc', 'dash', 'etc', 'eth', 'ltc', 'nxt', 'rep', 'str',
+         'xmr', 'xrp', 'zec']
 symbols = None
 
 
@@ -13,20 +14,21 @@ 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]
+    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
+                           ['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)
+              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)

etc/python2.7-environment.yml

@@ -22,7 +22,7 @@ dependencies:
   - bcolz==0.12.1
   - bottleneck==1.2.1
   - chardet==3.0.4
-  - ccxt==1.10.1094
+  - ccxt==1.11.22
 # The Enigma Data Marketplace requires Python3 because it depends on
 # web3, which requires Python3, as building its dependencies breaks in Python2
 #  - web3==4.0.0b7

etc/python3.6-environment.yml

@@ -31,7 +31,7 @@ dependencies:
   - botocore==1.8.41
   - bottleneck==1.2.1
   - cchardet==2.1.1
-  - ccxt==1.10.1102
+  - ccxt==1.11.22
   - chardet==3.0.4
   - click==6.7
   - contextlib2==0.5.5

etc/requirements.txt

@@ -81,7 +81,7 @@ empyrical==0.2.1
 tables==3.3.0
 
 #Catalyst dependencies
-ccxt==1.10.1094
+ccxt==1.11.22
 boto3==1.4.8
 redo==1.6
 web3==4.0.0b11; python_version > '3.4'

tests/exchange/test_bundle.py

@@ -14,7 +14,8 @@ from catalyst.exchange.utils.bundle_utils import get_bcolz_chunk, \
 from catalyst.exchange.utils.datetime_utils import get_start_dt
 from catalyst.exchange.utils.exchange_utils import get_exchange_folder
 from catalyst.exchange.utils.factory import get_exchange
-from catalyst.exchange.utils.stats_utils import df_to_string
+from catalyst.exchange.utils.stats_utils import df_to_string, \
+    set_print_settings
 from catalyst.utils.paths import ensure_directory
 
 log = getLogger('test_exchange_bundle')
@@ -45,9 +46,9 @@ class TestExchangeBundle:
         exchange_name = 'binance'
 
         exchange = get_exchange(exchange_name)
-        exchange_bundle = ExchangeBundle(exchange)
+        exchange_bundle = ExchangeBundle(exchange_name)
         assets = [
-            exchange.get_asset('eth_btc')
+            exchange.get_asset('bch_eth')
         ]
 
         start = pd.to_datetime('2018-03-01', utc=True)
@@ -61,7 +62,8 @@ class TestExchangeBundle:
             exclude_symbols=None,
             start=start,
             end=end,
-            show_progress=True
+            show_progress=False,
+            show_breakdown=False
         )
 
         reader = exchange_bundle.get_reader(data_frequency)
@@ -72,9 +74,15 @@ class TestExchangeBundle:
                 start_dt=start,
                 end_dt=end
             )
-            print('found {} rows for {} ingestion\n{}'.format(
-                len(arrays[0]), asset.symbol, arrays[0])
+            periods = exchange_bundle.get_calendar_periods_range(
+                start, end, data_frequency
             )
+
+            dx = get_df_from_arrays(arrays[0], periods)
+            set_print_settings()
+            print('found {} rows for last ingestion:\n{}\n{}'.format(
+                len(dx), dx.head(10), dx.tail(10)
+            ))
         pass
 
     def test_ingest_minute_all(self):
@@ -222,9 +230,14 @@ class TestExchangeBundle:
                 start_dt=start,
                 end_dt=end
             )
-            print('found {} rows for {} ingestion\n{}'.format(
-                len(arrays[0]), asset.symbol, arrays[0])
+            periods = exchange_bundle.get_calendar_periods_range(
+                start, end, data_frequency
             )
+
+            dx = get_df_from_arrays(arrays, periods)
+            print('found {} rows for last ingestion'.format(
+                len(dx)
+            ))
         pass
 
     def test_daily_data_to_minute_table(self):
@@ -290,17 +303,22 @@ class TestExchangeBundle:
         for asset in assets:
             sid = asset.sid
 
-            daily_values = reader.load_raw_arrays(
+            arrays = reader.load_raw_arrays(
                 fields=['open', 'high', 'low', 'close', 'volume'],
                 start_dt=start,
                 end_dt=end,
                 sids=[sid],
             )
 
-            print('found {} rows for last ingestion'.format(
-                len(daily_values[0]))
+            periods = exchange_bundle.get_calendar_periods_range(
+                start, end, data_frequency
             )
-        pass
+
+            dx = get_df_from_arrays(arrays, periods)
+            print('found {} rows for last ingestion'.format(
+                len(dx)
+            ))
+            pass
 
     def test_minute_bundle(self):
         # exchange_name = 'poloniex'

tests/exchange/test_ccxt.py

@@ -5,7 +5,8 @@ from catalyst.exchange.utils.stats_utils import set_print_settings
 from .base import BaseExchangeTestCase
 from catalyst.exchange.ccxt.ccxt_exchange import CCXT
 from catalyst.exchange.exchange_execution import ExchangeLimitOrder
-from catalyst.exchange.utils.exchange_utils import get_exchange_auth
+from catalyst.exchange.utils.exchange_utils import get_exchange_auth, \
+    get_trades_df, candles_from_trades
 from catalyst.finance.order import Order
 
 log = Logger('test_ccxt')
@@ -14,12 +15,13 @@ log = Logger('test_ccxt')
 class TestCCXT(BaseExchangeTestCase):
     @classmethod
     def setup(self):
-        exchange_name = 'bittrex'
+        exchange_name = 'binance'
         auth = get_exchange_auth(exchange_name)
         self.exchange = CCXT(
             exchange_name=exchange_name,
             key=auth['key'],
             secret=auth['secret'],
+            password=None,
             base_currency='usdt',
         )
         self.exchange.init()
@@ -58,9 +60,9 @@ class TestCCXT(BaseExchangeTestCase):
         log.info('retrieving candles')
         candles = self.exchange.get_candles(
             freq='1T',
-            assets=[self.exchange.get_asset('eth_btc')],
+            assets=[self.exchange.get_asset('eng_eth')],
             bar_count=200,
-            # start_dt=pd.to_datetime('2017-09-01', utc=True),
+            start_dt=pd.to_datetime('2017-09-01', utc=True),
         )
 
         for asset in candles:
@@ -90,6 +92,37 @@ class TestCCXT(BaseExchangeTestCase):
         assert trades
         pass
 
+    def test_validate_volume(self):
+        asset = self.exchange.get_asset('eng_eth')
+        candles = self.exchange.get_candles(
+            freq='1T',
+            assets=[asset],
+            bar_count=10,
+        )
+        df = pd.DataFrame(candles[asset])
+        df.set_index('last_traded', drop=True, inplace=True)
+
+        df.drop_duplicates()
+        df.sort_index(inplace=True, ascending=False)
+        assert candles
+
+        start_dt = df.index[-1]
+        trades = self.exchange.get_trades(
+            asset, start_dt=start_dt, my_trades=False
+        )
+        assert trades
+
+        trades_df = get_trades_df(trades)
+        df2 = candles_from_trades(trades_df, '1T')
+
+        set_print_settings()
+        log.info(
+            'comparing candles / resampled trades:\n{}\n{}'.format(
+                df, df2
+            )
+        )
+        pass
+
     def test_get_executed_order(self):
         log.info('retrieving executed order')
         asset = self.exchange.get_asset('eng_eth')

tests/exchange/test_config.py

@@ -0,0 +1,8 @@
+from catalyst.exchange.utils.factory import get_exchange
+
+
+class TestConfig:
+    def test_create_config(self):
+        exchange = get_exchange('binance', skip_init=True)
+        config = exchange.create_exchange_config()
+        pass

tests/exchange/test_data_portal.py

@@ -9,7 +9,7 @@ from catalyst.exchange.exchange_data_portal import (
 )
 from catalyst.exchange.utils.exchange_utils import get_common_assets
 from catalyst.exchange.utils.factory import get_exchanges
-from test_utils import rnd_history_date_days, rnd_bar_count
+from .test_utils import rnd_history_date_days, rnd_bar_count
 
 log = Logger('test_bitfinex')
 

tests/exchange/test_suites/test_suite_bundle.py

@@ -197,6 +197,7 @@ class TestSuiteBundle:
         #     population=exchange_population,
         #     features=[bundle],
         # )  # Type: list[Exchange]
+        # TODO: currently focusing on Binance, try other exchanges
         exchanges = [get_exchange('poloniex', skip_init=True)]
 
         data_portal = TestSuiteBundle.get_data_portal(exchanges)
@@ -204,17 +205,20 @@ class TestSuiteBundle:
             exchange.init()
 
             frequencies = exchange.get_candle_frequencies(data_frequency)
-            freq = random.sample(frequencies, 1)[0]
+            # freq = random.sample(frequencies, 1)[0]
+            freq = '5T'
             rnd = random.SystemRandom()
             # field = rnd.choice(['open', 'high', 'low', 'close', 'volume'])
-            field = rnd.choice(['volume'])
+            field = rnd.choice(['close'])
 
-            bar_count = random.randint(3, 6)
+            # bar_count = random.randint(3, 6)
+            bar_count = 5
 
-            assets = select_random_assets(
-                exchange.assets, asset_population
-            )
-            end_dt = None
+            # assets = select_random_assets(
+            #     exchange.assets, asset_population
+            # )
+            assets = [exchange.get_asset('bch_eth')]
+            end_dt = pd.to_datetime('2018-03-01', utc=True)
             for asset in assets:
                 attribute = 'end_{}'.format(data_frequency)
                 asset_end_dt = getattr(asset, attribute)

tests/exchange/test_suites/test_suite_exchange.py

@@ -5,63 +5,28 @@ 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.assets._assets import TradingPair
 from catalyst.exchange.exchange_execution import ExchangeLimitOrder
 from catalyst.exchange.utils.exchange_utils import get_exchange_folder
+from catalyst.exchange.utils.factory import get_exchanges, get_exchange
 from catalyst.exchange.utils.test_utils import select_random_exchanges, \
-    handle_exchange_error, select_random_assets
+    select_random_assets
 from catalyst.testing import ZiplineTestCase
 from catalyst.testing.fixtures import WithLogger
-from catalyst.exchange.utils.factory import get_exchanges, get_exchange
 
 log = Logger('TestSuiteExchange')
 
 
 class TestSuiteExchange(WithLogger, ZiplineTestCase):
-    def _test_markets_exchange(self, exchange, attempts=0):
-        assets = None
-        try:
-            exchange.init()
-
-            # Verify that the assets and markets are populated
-            if not exchange.markets:
-                raise ValueError(
-                    'no markets found'
-                )
-            if not exchange.assets:
-                raise ValueError(
-                    'no assets derived from markets'
-                )
-            assets = exchange.assets
-
-        except ExchangeRequestError as e:
-            sleep(5)
-
-            if attempts > 5:
-                handle_exchange_error(exchange, e)
-
-            else:
-                print(
-                    're-trying an exchange request {} {}'.format(
-                        exchange.name, attempts
-                    )
-                )
-                self._test_markets_exchange(exchange, attempts + 1)
-
-        except Exception as e:
-            handle_exchange_error(exchange, e)
-
-        return assets
-
     def test_markets(self):
         population = 3
         results = dict()
 
         exchanges = select_random_exchanges(population)  # Type: list[Exchange]
         for exchange in exchanges:
+            exchange.init()
             assets = self._test_markets_exchange(exchange)
 
             if assets is not None: