catalyst/tests/exchange/test_data_portal.py

import pandas as pd
from catalyst.exchange.exchange_data_portal import DataPortalExchangeBacktest, \
    DataPortalExchangeLive
from logbook import Logger
from test_utils import rnd_history_date_days, rnd_bar_count

from catalyst import get_calendar
from catalyst.exchange.asset_finder_exchange import AssetFinderExchange
from catalyst.exchange.bitfinex.bitfinex import Bitfinex
from catalyst.exchange.bittrex.bittrex import Bittrex
from catalyst.exchange.exchange_utils import get_exchange_auth, \
    get_common_assets
from catalyst.exchange.factory import get_exchange, get_exchanges

log = Logger('test_bitfinex')


class TestExchangeDataPortal:
    @classmethod
    def setup(self):
        log.info('creating bitfinex exchange')
        exchanges = get_exchanges(['bitfinex', 'bittrex', 'poloniex'])
        open_calendar = get_calendar('OPEN')
        asset_finder = AssetFinderExchange()

        self.data_portal_live = DataPortalExchangeLive(
            exchanges=exchanges,
            asset_finder=asset_finder,
            trading_calendar=open_calendar,
            first_trading_day=pd.to_datetime('today', utc=True)
        )

        self.data_portal_backtest = DataPortalExchangeBacktest(
            exchanges=exchanges,
            asset_finder=asset_finder,
            trading_calendar=open_calendar,
            first_trading_day=None  # will set dynamically based on assets
        )

    def test_get_history_window_live(self):
        asset_finder = self.data_portal_live.asset_finder

        assets = [
            asset_finder.lookup_symbol('eth_btc', self.bitfinex),
            asset_finder.lookup_symbol('eth_btc', self.bittrex)
        ]
        now = pd.Timestamp.utcnow()
        data = self.data_portal_live.get_history_window(
            assets,
            now,
            10,
            '1m',
            'price')
        pass

    def test_get_spot_value_live(self):
        asset_finder = self.data_portal_live.asset_finder

        assets = [
            asset_finder.lookup_symbol('eth_btc', self.bitfinex),
            asset_finder.lookup_symbol('eth_btc', self.bittrex)
        ]
        now = pd.Timestamp.utcnow()
        value = self.data_portal_live.get_spot_value(
            assets, 'price', now, '1m')
        pass

    def test_get_history_window_backtest(self):
        asset_finder = self.data_portal_live.asset_finder

        assets = [
            asset_finder.lookup_symbol('neo_btc', self.bitfinex),
        ]

        date = pd.to_datetime('2017-09-10', utc=True)
        data = self.data_portal_backtest.get_history_window(
            assets,
            date,
            10,
            '1m',
            'close',
            'minute')

        log.info('found history window: {}'.format(data))
        pass

    def test_get_spot_value_backtest(self):
        asset_finder = self.data_portal_backtest.asset_finder

        assets = [
            asset_finder.lookup_symbol('neo_btc', self.bitfinex),
        ]

        date = pd.to_datetime('2017-09-10', utc=True)
        value = self.data_portal_backtest.get_spot_value(
            assets, 'close', date, 'minute')
        log.info('found spot value {}'.format(value))
        pass

    def test_history_compare_exchanges(self):
        exchanges = get_exchanges(['bittrex', 'bitfinex', 'poloniex'])
        assets = get_common_assets(exchanges)

        date = rnd_history_date_days()
        bar_count = rnd_bar_count()
        data = self.data_portal_backtest.get_history_window(
            assets=assets,
            end_dt=date,
            bar_count=bar_count,
            frequency='1d',
            field='close',
            data_frequency='daily'
        )

        log.info('found history window: {}'.format(data))

    def test_validate_resample(self):
        symbol = ['eth_btc']
        exchange_name = 'poloniex'
        exchange = get_exchange(exchange_name, base_currency=symbol)

        assets = exchange.get_assets(symbols=symbol)

        date = rnd_history_date_days(
            max_days=10,
            last_dt=pd.to_datetime('2017-11-1', utc=True)
        )
        bar_count = rnd_bar_count(max_bars=10)
        sample_minutes = 15
        sample_data = self.data_portal_backtest.get_history_window(
            assets=assets,
            end_dt=date,
            bar_count=bar_count,
            frequency='{}T'.format(sample_minutes),
            field='close',
            data_frequency='daily'
        )
        minute_data = self.data_portal_backtest.get_history_window(
            assets=assets,
            end_dt=date,
            bar_count=bar_count * sample_minutes,
            frequency='1T',
            field='close',
            data_frequency='daily'
        )
        resampled_minute_data = minute_data.resample(
            '{}T'.format(sample_minutes))

        print(sample_data.tail(10))
        print(resampled_minute_data.tail(10))
        print(minute_data.tail(10))
        pass