catalyst/docs/live-trading-wiki.md

Live Trading

This document explains how to get started with live trading.

Supported Exchanges

Catalyst can trade against these exchanges:

• Bitfinex, id=bitfinex
• Bittrex, id=bittrex

Authentication

Most exchanges require key/token combination for authentication. By convention, Catalyst uses an "auth.json" file to hold this data.

This example illustrates the convention using the Bitfinex exchange. Here is how to generate key and secret values for bitfinex: https://docs.bitfinex.com/v1/docs/api-access. Most exchanges follow a similar process.

The auth.json file:

{
  "name": "bitfinex",
  "key": "my-key",
  "secret": "my-secret"
}

The file goes here:

~/.catalyst/data/exchanges/bitfinex/auth.json

Note that the 'bitfinex' directory corresponds to the id of the Bitfinex exchange as defined in the "Supported Exchanges" section above. Attempting to run an algorithm where the targeted exchange is missing its "auth.json" file will create the directory structure but result in an error.

Currency Symbols

Catalyst introduces a universal convention to reference trading pairs and individual currencies. This is required to ensure that the `symbol()` api predictably returns the correct asset regardless of the targeted exchange.

Exchanges tend to use their own convention to represent currencies (e.g. XBT and BTC both represent Bitcoin on different exchanges). Trading pairs are also inconsistent. For example, Bitfinex puts the market currency before the base currency without a separator, Bittrex puts the base currency first and uses a dash seperator.

Here is the Catalyst convention:

[Market Currency]_[Base Currency] all lowercase.

Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention.

Here are some examples:

# With Bitfinex
bitcoin_usd_asset = symbol('btc_usd')
ethereum_bitcoin_asset = symbol('eth_btc')

# With Bittrex
ethereum_bitcoin_asset = symbol('eth_btc')
neo_ethereum_asset = symbol('neo_eth)

Note that the trading pairs are always referenced in the same manner. However, not all trading pairs are available on all exchanges. An error will occur if the specified trading pair is not trading on the exchange.

Trading an Algorithm

There is no special convention to follow when writing an algorithm for live trading. The same algorithm should work in backtest and live execution mode without modification.

What differs are the arguments provided to the catalyst client or run_algorithm() interface. Here is example:

run_algorithm(
    initialize=initialize,
    handle_data=handle_data,
    analyze=analyze,
    exchange_name='bitfinex',
    live=True,
    algo_namespace='my_algo_trading_xrp',
    base_currency='btc'
)

Here is the breakdown of the new arguments:

• live: Boolean flag which enables live trading.
• exchange_name: The name of the targeted exchange (supported values: bitfinex, bittrex).
• algo_namespace: A arbitrary label assigned to your algorithm for data storage purposes.
• base_currency: The base currency used to calculate the statistics of your algorithm. Currently, the base currency of all trading pairs of your algorithm must match this value.

Here is a complete algorithm for reference: Buy Low and Sell High