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https://github.com/wassname/catalyst.git
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fredfortier
115 lines
3.4 KiB
Python
115 lines
3.4 KiB
Python
from logging import Logger
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import pandas as pd
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from catalyst.data.minute_bars import BcolzMinuteBarReader
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from catalyst.exchange.bundle_utils import get_bcolz_chunk
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from catalyst.exchange.exchange_bundle import ExchangeBundle
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from catalyst.exchange.init_utils import get_exchange
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log = Logger('test_exchange_bundle')
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class ExchangeBundleTestCase:
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def test_ingest_minute(self):
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exchange_name = 'poloniex'
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# start = pd.to_datetime('2017-09-01', utc=True)
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start = pd.to_datetime('2017-1-1', utc=True)
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end = pd.to_datetime('2017-9-30', utc=True)
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exchange_bundle = ExchangeBundle(get_exchange(exchange_name))
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log.info('ingesting exchange bundle {}'.format(exchange_name))
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exchange_bundle.ingest(
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data_frequency='minute',
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include_symbols='gno_btc',
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# include_symbols=None,
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exclude_symbols=None,
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start=start,
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end=end,
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show_progress=True
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)
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pass
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def test_ingest_minute_all(self):
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exchange_name = 'bitfinex'
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# start = pd.to_datetime('2017-09-01', utc=True)
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start = pd.to_datetime('2017-10-01', utc=True)
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end = pd.to_datetime('2017-10-05', utc=True)
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exchange_bundle = ExchangeBundle(get_exchange(exchange_name))
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log.info('ingesting exchange bundle {}'.format(exchange_name))
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exchange_bundle.ingest(
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data_frequency='minute',
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exclude_symbols=None,
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start=start,
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end=end,
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show_progress=True
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)
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pass
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def test_ingest_daily(self):
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exchange_name = 'bitfinex'
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start = pd.to_datetime('2017-01-01', utc=True)
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end = pd.to_datetime('2017-09-30', utc=True)
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exchange_bundle = ExchangeBundle(get_exchange(exchange_name))
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log.info('ingesting exchange bundle {}'.format(exchange_name))
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exchange_bundle.ingest(
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data_frequency='daily',
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include_symbols='neo_btc,bch_btc,eth_btc',
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exclude_symbols=None,
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start=start,
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end=end,
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show_progress=True
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)
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pass
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def test_merge_ctables(self):
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exchange_name = 'bitfinex'
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data_frequency = 'daily'
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exchange = get_exchange(exchange_name)
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asset = exchange.get_asset('neo_btc')
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start = pd.to_datetime('2017-9-1', utc=True)
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end = pd.to_datetime('2017-9-30', utc=True)
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# asset = exchange.get_asset('neo_btc')
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#
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# start = pd.to_datetime('2017-9-1', utc=True)
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# end = pd.to_datetime('2017-9-30', utc=True)
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exchange_bundle = ExchangeBundle(exchange)
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writer = exchange_bundle.get_writer(start, end, data_frequency)
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exchange_bundle.ingest_ctable(
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asset=asset,
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data_frequency=data_frequency,
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period='2017',
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writer=writer,
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empty_rows_behavior='strip'
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)
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pass
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def test_minute_bundle(self):
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exchange_name = 'poloniex'
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data_frequency = 'minute'
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exchange = get_exchange(exchange_name)
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asset = exchange.get_asset('neo_btc')
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path = get_bcolz_chunk(
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exchange_name=exchange_name,
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symbol=asset.symbol,
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data_frequency=data_frequency,
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period='2017-5',
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)
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reader = BcolzMinuteBarReader(path)
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pass
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