wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-27 17:47:56 +08:00
Code Issues Packages Projects Releases Wiki Activity
Files
gh-pages
catalyst/utilities.html
T
Victor Grau Serrat 0e1fa5c436 DOC: release notes 0.5.8
2018-03-29 14:16:42 -06:00

382 lines
24 KiB
HTML
Raw Permalink Blame History

This file contains ambiguous Unicode characters
This file contains Unicode characters that might be confused with other characters. If you think that this is intentional, you can safely ignore this warning. Use the Escape button to reveal them.
<!DOCTYPE html>
<!--[if IE 8]><html class="no-js lt-ie9" lang="en" > <![endif]-->
<!--[if gt IE 8]><!--> <html class="no-js" lang="en" > <!--<![endif]-->
<head>
<meta charset="utf-8">
<meta name="viewport" content="width=device-width, initial-scale=1.0">
<title>Utilities &mdash; Catalyst 0.4 documentation</title>
<link rel="stylesheet" href="_static/css/theme.css" type="text/css" />
<link rel="index" title="Index"
href="genindex.html"/>
<link rel="search" title="Search" href="search.html"/>
<link rel="top" title="Catalyst 0.4 documentation" href="index.html"/>
<link rel="next" title="Videos" href="videos.html"/>
<link rel="prev" title="Example Algorithms" href="example-algos.html"/>
<script src="_static/js/modernizr.min.js"></script>
</head>
<body class="wy-body-for-nav" role="document">
<div class="wy-grid-for-nav">
<nav data-toggle="wy-nav-shift" class="wy-nav-side">
<div class="wy-side-scroll">
<div class="wy-side-nav-search">
<a href="index.html" class="icon icon-home"> Catalyst
</a>
<div role="search">
<form id="rtd-search-form" class="wy-form" action="search.html" method="get">
<input type="text" name="q" placeholder="Search docs" />
<input type="hidden" name="check_keywords" value="yes" />
<input type="hidden" name="area" value="default" />
</form>
</div>
</div>
<div class="wy-menu wy-menu-vertical" data-spy="affix" role="navigation" aria-label="main navigation">
<ul class="current">
<li class="toctree-l1"><a class="reference internal" href="install.html">Install</a></li>
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a></li>
<li class="toctree-l1"><a class="reference internal" href="live-trading.html">Live Trading</a></li>
<li class="toctree-l1"><a class="reference internal" href="features.html">Features</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a></li>
<li class="toctree-l1 current"><a class="current reference internal" href="#">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="#extracting-market-data">Extracting market data</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a></li>
<li class="toctree-l1"><a class="reference internal" href="resources.html">Resources</a></li>
<li class="toctree-l1"><a class="reference internal" href="development-guidelines.html">Development Guidelines</a></li>
<li class="toctree-l1"><a class="reference internal" href="releases.html">Release Notes</a></li>
</ul>
</div>
</div>
</nav>
<section data-toggle="wy-nav-shift" class="wy-nav-content-wrap">
<nav class="wy-nav-top" role="navigation" aria-label="top navigation">
<i data-toggle="wy-nav-top" class="fa fa-bars"></i>
<a href="index.html">Catalyst</a>
</nav>
<div class="wy-nav-content">
<div class="rst-content">
<div role="navigation" aria-label="breadcrumbs navigation">
<ul class="wy-breadcrumbs">
<li><a href="index.html">Docs</a> &raquo;</li>
<li>Utilities</li>
<li class="wy-breadcrumbs-aside">
<a href="_sources/utilities.rst.txt" rel="nofollow"> View page source</a>
</li>
</ul>
<hr/>
</div>
<div role="main" class="document" itemscope="itemscope" itemtype="http://schema.org/Article">
<div itemprop="articleBody">
<div class="section" id="utilities">
<h1>Utilities<a class="headerlink" href="#utilities" title="Permalink to this headline"></a></h1>
<p>This section covers a variety of utilites that provide complimentary
functionality to your trading algorithms. These are code snippets that you can
add to any algorithm to add the desired functionality.</p>
<p>If you are looking for example trading algorithms, see the corresponding section.</p>
<div class="section" id="output-to-csv-file">
<h2>Output to CSV file<a class="headerlink" href="#output-to-csv-file" title="Permalink to this headline"></a></h2>
<p>Add this script to the analyze method to create and save a CSV file with the
results from the trading algorithm. This file will include the default
parameters of the results DataFrame plus any recorded variables and will be
saved in the same location where your trading algorithm is saved. The exact
script that you need to use depends on the interface that you are using to run
your trading algorithm, which could be the CLI or a Python Interpreter.</p>
<ol class="arabic">
<li><p class="first">Script to use with CLI:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="kn">import</span> <span class="nn">sys</span>
<span class="kn">import</span> <span class="nn">os</span>
<span class="kn">from</span> <span class="nn">os.path</span> <span class="kn">import</span> <span class="n">basename</span>
<span class="c1"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">basename</span><span class="p">(</span><span class="n">sys</span><span class="o">.</span><span class="n">argv</span><span class="p">[</span><span class="mi">3</span><span class="p">]))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">&#39;.csv&#39;</span><span class="p">)</span>
</pre></div>
</div>
</li>
<li><p class="first">Script to use with Python Interpreter:</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="kn">import</span> <span class="nn">os</span>
<span class="kn">from</span> <span class="nn">os.path</span> <span class="kn">import</span> <span class="n">basename</span>
<span class="c1"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">results</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">&#39;.csv&#39;</span><span class="p">)</span>
</pre></div>
</div>
</li>
</ol>
</div>
<div class="section" id="extracting-market-data">
<h2>Extracting market data<a class="headerlink" href="#extracting-market-data" title="Permalink to this headline"></a></h2>
<p>Use this script to save the price and volume data of one cryptoasset in a CSV
file, which will be saved in the same location and with the same name as your
Python file. To get custom data, simply modify the asset’s symbol and the dates.
Run this script directly from your development environment: python scriptname.py,
where the contents of ‘scriptname.py’ are as follows. Two different version are
provided as an example for daily- and minute-resolution data respectively:</p>
<p>Simpler case for daily data</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">os</span>
<span class="kn">import</span> <span class="nn">pytz</span>
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">symbols</span>
<span class="kn">from</span> <span class="nn">catalyst.utils.run_algo</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="c1"># Portfolio assets list</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">&#39;btc_usdt&#39;</span><span class="p">)</span> <span class="c1"># Bitcoin on Poloniex</span>
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="c1"># Variables to record for a given asset: price and volume</span>
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">)</span>
<span class="n">volume</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;volume&#39;</span><span class="p">)</span>
<span class="n">record</span><span class="p">(</span><span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span> <span class="n">volume</span><span class="o">=</span><span class="n">volume</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="c1"># Generate DataFrame with Price and Volume only</span>
<span class="n">data</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span><span class="s1">&#39;price&#39;</span><span class="p">,</span><span class="s1">&#39;volume&#39;</span><span class="p">]]</span>
<span class="c1"># Save results in CSV file</span>
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">data</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">&#39;.csv&#39;</span><span class="p">)</span>
<span class="sd">&#39;&#39;&#39; Bitcoin data is available on Poloniex since 2015-3-1.</span>
<span class="sd"> Dates vary for other tokens. In the example below, we choose the</span>
<span class="sd"> full month of July of 2017.</span>
<span class="sd">&#39;&#39;&#39;</span>
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">31</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
<span class="n">results</span> <span class="o">=</span> <span class="n">run_algorithm</span><span class="p">(</span><span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">&#39;poloniex&#39;</span><span class="p">,</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span><span class="p">,</span>
<span class="n">base_currency</span> <span class="o">=</span> <span class="s1">&#39;usdt&#39;</span><span class="p">)</span>
</pre></div>
</div>
<p>More versatile case for minute data</p>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">os</span>
<span class="kn">import</span> <span class="nn">csv</span>
<span class="kn">import</span> <span class="nn">pytz</span>
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">symbols</span>
<span class="kn">from</span> <span class="nn">catalyst.utils.run_algo</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="c1"># Portfolio assets list</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">&#39;btc_usdt&#39;</span><span class="p">)</span> <span class="c1"># Bitcoin on Poloniex</span>
<span class="c1"># Creates a .CSV file with the same name as this script to store results</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvfile</span> <span class="o">=</span> <span class="nb">open</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span>
<span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span><span class="o">+</span><span class="s1">&#39;.csv&#39;</span><span class="p">,</span> <span class="s1">&#39;w+&#39;</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvwriter</span> <span class="o">=</span> <span class="n">csv</span><span class="o">.</span><span class="n">writer</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">csvfile</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="c1"># Variables to record for a given asset: price and volume</span>
<span class="c1"># Other options include &#39;open&#39;, &#39;high&#39;, &#39;open&#39;, &#39;close&#39;</span>
<span class="c1"># Please note that &#39;price&#39; equals &#39;close&#39;</span>
<span class="n">date</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">blotter</span><span class="o">.</span><span class="n">current_dt</span> <span class="c1"># current time in each iteration</span>
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">)</span>
<span class="n">volume</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s1">&#39;volume&#39;</span><span class="p">)</span>
<span class="c1"># Writes one line to CSV on each iteration with the chosen variables</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvwriter</span><span class="o">.</span><span class="n">writerow</span><span class="p">([</span><span class="n">date</span><span class="p">,</span><span class="n">price</span><span class="p">,</span><span class="n">volume</span><span class="p">])</span>
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="c1"># Close open file properly at the end</span>
<span class="n">context</span><span class="o">.</span><span class="n">csvfile</span><span class="o">.</span><span class="n">close</span><span class="p">()</span>
<span class="c1"># Bitcoin data is available from 2015-3-2. Dates vary for other tokens.</span>
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">30</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">7</span><span class="p">,</span> <span class="mi">31</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
<span class="n">results</span> <span class="o">=</span> <span class="n">run_algorithm</span><span class="p">(</span><span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">&#39;poloniex&#39;</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">&#39;minute&#39;</span><span class="p">,</span>
<span class="n">base_currency</span> <span class="o">=</span><span class="s1">&#39;usdt&#39;</span><span class="p">,</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span> <span class="p">)</span>
</pre></div>
</div>
</div>
</div>
</div>
<div class="articleComments">
</div>
</div>
<footer>
<div class="rst-footer-buttons" role="navigation" aria-label="footer navigation">
<a href="videos.html" class="btn btn-neutral float-right" title="Videos" accesskey="n" rel="next">Next <span class="fa fa-arrow-circle-right"></span></a>
<a href="example-algos.html" class="btn btn-neutral" title="Example Algorithms" accesskey="p" rel="prev"><span class="fa fa-arrow-circle-left"></span> Previous</a>
</div>
<hr/>
<div role="contentinfo">
<p>
&copy; Copyright 2018, Enigma MPC, Inc..
</p>
</div>
Built with <a href="http://sphinx-doc.org/">Sphinx</a> using a <a href="https://github.com/snide/sphinx_rtd_theme">theme</a> provided by <a href="https://readthedocs.org">Read the Docs</a>.
</footer>
</div>
</div>
</section>
</div>
<script type="text/javascript">
var DOCUMENTATION_OPTIONS = {
URL_ROOT:'./',
VERSION:'0.4',
COLLAPSE_INDEX:false,
FILE_SUFFIX:'.html',
HAS_SOURCE: true,
SOURCELINK_SUFFIX: '.txt'
};
</script>
<script type="text/javascript" src="_static/jquery.js"></script>
<script type="text/javascript" src="_static/underscore.js"></script>
<script type="text/javascript" src="_static/doctools.js"></script>
<script type="text/javascript" src="_static/js/theme.js"></script>
<script type="text/javascript">
jQuery(function () {
SphinxRtdTheme.StickyNav.enable();
});
</script>
</body>
</html>
Reference in New Issue View Git Blame Copy Permalink