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fredfortier
109 lines
3.4 KiB
Python
109 lines
3.4 KiB
Python
import pandas as pd
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from logbook import Logger
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from catalyst import get_calendar
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from catalyst.exchange.asset_finder_exchange import AssetFinderExchange
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from catalyst.exchange.bitfinex.bitfinex import Bitfinex
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from catalyst.exchange.bittrex.bittrex import Bittrex
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from catalyst.exchange.data_portal_exchange import DataPortalExchangeBacktest, \
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DataPortalExchangeLive
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from catalyst.exchange.exchange_utils import get_exchange_auth
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log = Logger('test_bitfinex')
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class ExchangeDataPortalTestCase:
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@classmethod
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def setup(self):
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log.info('creating bitfinex exchange')
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auth_bitfinex = get_exchange_auth('bitfinex')
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self.bitfinex = Bitfinex(
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key=auth_bitfinex['key'],
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secret=auth_bitfinex['secret'],
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base_currency='usd'
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)
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log.info('creating bittrex exchange')
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auth_bitfinex = get_exchange_auth('bittrex')
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self.bittrex = Bittrex(
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key=auth_bitfinex['key'],
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secret=auth_bitfinex['secret'],
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base_currency='usd'
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)
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open_calendar = get_calendar('OPEN')
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asset_finder = AssetFinderExchange()
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self.data_portal_live = DataPortalExchangeLive(
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exchanges=dict(bitfinex=self.bitfinex, bittrex=self.bittrex),
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asset_finder=asset_finder,
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trading_calendar=open_calendar,
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first_trading_day=pd.to_datetime('today', utc=True)
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)
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self.data_portal_backtest = DataPortalExchangeBacktest(
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exchanges=dict(bitfinex=self.bitfinex),
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asset_finder=asset_finder,
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trading_calendar=open_calendar,
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first_trading_day=None # will set dynamically based on assets
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)
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def test_get_history_window_live(self):
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asset_finder = self.data_portal_live.asset_finder
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assets = [
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asset_finder.lookup_symbol('eth_btc', self.bitfinex),
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asset_finder.lookup_symbol('eth_btc', self.bittrex)
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]
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now = pd.Timestamp.utcnow()
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data = self.data_portal_live.get_history_window(
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assets,
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now,
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10,
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'1m',
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'price')
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pass
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def test_get_spot_value_live(self):
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asset_finder = self.data_portal_live.asset_finder
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assets = [
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asset_finder.lookup_symbol('eth_btc', self.bitfinex),
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asset_finder.lookup_symbol('eth_btc', self.bittrex)
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]
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now = pd.Timestamp.utcnow()
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value = self.data_portal_live.get_spot_value(
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assets, 'price', now, '1m')
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pass
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def test_get_history_window_backtest(self):
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asset_finder = self.data_portal_live.asset_finder
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assets = [
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asset_finder.lookup_symbol('neo_btc', self.bitfinex),
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]
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date = pd.to_datetime('2017-09-10', utc=True)
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data = self.data_portal_backtest.get_history_window(
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assets,
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date,
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10,
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'1m',
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'close',
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'minute')
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log.info('found history window: {}'.format(data))
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pass
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def test_get_spot_value_backtest(self):
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asset_finder = self.data_portal_backtest.asset_finder
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assets = [
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asset_finder.lookup_symbol('neo_btc', self.bitfinex),
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]
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date = pd.to_datetime('2017-09-10', utc=True)
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value = self.data_portal_backtest.get_spot_value(
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assets, 'close', date, 'minute')
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log.info('found spot value {}'.format(value))
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pass
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