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Victor Grau Serrat 1fe981f856 DOC: PEP8 simple_universe.py & added to example_algos.html
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<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 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="c"># 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="s">&#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 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="c"># 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="n">__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="s">&#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&#8217;s symbol and the dates.
Run this script directly from your development environment: python scriptname.py,
where the contents of &#8216;scriptname.py&#8217; 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 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="c"># 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="s">&#39;btc_usdt&#39;</span><span class="p">)</span> <span class="c"># 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="c"># 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="s">&#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="s">&#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="c"># 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="s">&#39;price&#39;</span><span class="p">,</span><span class="s">&#39;volume&#39;</span><span class="p">]]</span>
<span class="c"># 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="n">__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="s">&#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="s">&#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="s">&#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 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="c"># 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="s">&#39;btc_usdt&#39;</span><span class="p">)</span> <span class="c"># Bitcoin on Poloniex</span>
<span class="c"># 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="n">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span><span class="o">+</span><span class="s">&#39;.csv&#39;</span><span class="p">,</span> <span class="s">&#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="c"># Variables to record for a given asset: price and volume</span>
<span class="c"># Other options include &#39;open&#39;, &#39;high&#39;, &#39;open&#39;, &#39;close&#39;</span>
<span class="c"># 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="c"># 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="s">&#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="s">&#39;volume&#39;</span><span class="p">)</span>
<span class="c"># 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="c"># 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="c"># 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="s">&#39;poloniex&#39;</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s">&#39;minute&#39;</span><span class="p">,</span>
<span class="n">base_currency</span> <span class="o">=</span><span class="s">&#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>
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