mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-06 03:54:57 +08:00
Victor Grau Serrat
427 lines
18 KiB
HTML
427 lines
18 KiB
HTML
|
|
|
|
<!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>Live Trading — 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="Features" href="features.html"/>
|
|
<link rel="prev" title="Catalyst Beginner Tutorial" href="beginner-tutorial.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 current"><a class="current reference internal" href="#">Live Trading</a><ul>
|
|
<li class="toctree-l2"><a class="reference internal" href="#supported-exchanges">Supported Exchanges</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#paper-trading-vs-live-trading-modes">Paper Trading vs Live Trading modes</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#authentication">Authentication</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#currency-symbols">Currency Symbols</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#trading-an-algorithm">Trading an Algorithm</a></li>
|
|
</ul>
|
|
</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"><a class="reference internal" href="utilities.html">Utilities</a></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> »</li>
|
|
|
|
<li>Live Trading</li>
|
|
|
|
|
|
<li class="wy-breadcrumbs-aside">
|
|
|
|
|
|
<a href="_sources/live-trading.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="live-trading">
|
|
<h1>Live Trading<a class="headerlink" href="#live-trading" title="Permalink to this headline">¶</a></h1>
|
|
<p>This document explains how to get started with live trading.</p>
|
|
<div class="section" id="supported-exchanges">
|
|
<h2>Supported Exchanges<a class="headerlink" href="#supported-exchanges" title="Permalink to this headline">¶</a></h2>
|
|
<p>Since version 0.4, Catalyst integrated with <a class="reference external" href="https://github.com/ccxt/ccxt">CCXT</a>,
|
|
a cryptocurrency trading library with support for more than 90 exchanges. The
|
|
range of CCXT and Catalyst support for each of those exchanges varies greatly.
|
|
The most supported exchanges are as follows:</p>
|
|
<p>The exchanges available for backtesting are fully supported in live mode:</p>
|
|
<ul class="simple">
|
|
<li>Bitfinex, id = <code class="docutils literal"><span class="pre">bitfinex</span></code></li>
|
|
<li>Bittrex, id = <code class="docutils literal"><span class="pre">bittrex</span></code></li>
|
|
<li>Poloniex, id = <code class="docutils literal"><span class="pre">poloniex</span></code></li>
|
|
</ul>
|
|
<p>Additionally, we have successfully tested the following exchanges:</p>
|
|
<ul class="simple">
|
|
<li>Binance, id = <code class="docutils literal"><span class="pre">binance</span></code></li>
|
|
<li>Bitmex, id = <code class="docutils literal"><span class="pre">bitmex</span></code></li>
|
|
<li>GDAX, id = <code class="docutils literal"><span class="pre">gdax</span></code></li>
|
|
</ul>
|
|
<p>As Catalyst is currently in Alpha and in under active development, you are
|
|
encouraged to throughly test any exchange in <em>paper trading</em> mode before trading
|
|
<em>live</em> with it.</p>
|
|
</div>
|
|
<div class="section" id="paper-trading-vs-live-trading-modes">
|
|
<h2>Paper Trading vs Live Trading modes<a class="headerlink" href="#paper-trading-vs-live-trading-modes" title="Permalink to this headline">¶</a></h2>
|
|
<p>Catalyst currently supports three different modes in which you can execute your
|
|
trading algorithm. The first is <strong>backtesting</strong>, which is covered extensively in
|
|
the tutorial, and uses historical data to run your algorithm. There is no
|
|
interaction with the exchange in backtesting mode, and this is the first mode
|
|
that you should test any new algorithm.</p>
|
|
<p>Once you are confident with the simulations that you have obtained with your
|
|
algorithm in backtesting, you may switch to live trading, where you have two
|
|
different modes:</p>
|
|
<ul class="simple">
|
|
<li><strong>Paper Trading</strong>: The simulated algorithm runs in real time, and fetches
|
|
pricing data in real time from the exchange, but the orders never reach the
|
|
exchange, and are instead kept within Catalyst and simulated. No real currency
|
|
is bought or sold. Think of it as a <cite>backtesting happening in real time</cite>.</li>
|
|
<li><strong>Live Trading</strong>: This is the proper live trading mode in which an algorithm
|
|
runs in real time, fetching pricing data from live exchanges and placing
|
|
orders against the exchange. Real currency is transacted on the exchange
|
|
driven by the algorithm.</li>
|
|
</ul>
|
|
<p>These three modes are controlled by the following variables:</p>
|
|
<table border="1" class="docutils">
|
|
<colgroup>
|
|
<col width="38%" />
|
|
<col width="18%" />
|
|
<col width="44%" />
|
|
</colgroup>
|
|
<tbody valign="top">
|
|
<tr class="row-odd"><td rowspan="2">Mode</td>
|
|
<td colspan="2">Parameters</td>
|
|
</tr>
|
|
<tr class="row-even"><td>live</td>
|
|
<td>simulate_orders</td>
|
|
</tr>
|
|
<tr class="row-odd"><td>backtesting</td>
|
|
<td>False</td>
|
|
<td>True (default)</td>
|
|
</tr>
|
|
<tr class="row-even"><td>paper trading</td>
|
|
<td>True</td>
|
|
<td>True</td>
|
|
</tr>
|
|
<tr class="row-odd"><td>live trading</td>
|
|
<td>True</td>
|
|
<td>False</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
</div>
|
|
<div class="section" id="authentication">
|
|
<h2>Authentication<a class="headerlink" href="#authentication" title="Permalink to this headline">¶</a></h2>
|
|
<p>Most exchanges require token key/secret combination for authentication. By
|
|
convention, Catalyst uses an <code class="docutils literal"><span class="pre">auth.json</span></code> file to hold this data.</p>
|
|
<p>This example illustrates the convention using the <em>Bitfinex</em> exchange.
|
|
Here is how to generate key and secret values for the Bitfinex exchange:
|
|
<a class="reference external" href="https://docs.bitfinex.com/v1/docs/api-access">https://docs.bitfinex.com/v1/docs/api-access</a>. Most exchanges follow
|
|
a similar process.</p>
|
|
<p>The auth.json file:</p>
|
|
<div class="highlight-json"><div class="highlight"><pre><span></span><span class="p">{</span>
|
|
<span class="nt">"name"</span><span class="p">:</span> <span class="s2">"bitfinex"</span><span class="p">,</span>
|
|
<span class="nt">"key"</span><span class="p">:</span> <span class="s2">"my-key"</span><span class="p">,</span>
|
|
<span class="nt">"secret"</span><span class="p">:</span> <span class="s2">"my-secret"</span>
|
|
<span class="p">}</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>The file goes here: <code class="docutils literal"><span class="pre">~/.catalyst/data/exchanges/bitfinex/auth.json</span></code></p>
|
|
<p>Note that the <cite>bitfinex</cite> part in the directory above 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 <code class="docutils literal"><span class="pre">auth.json</span></code> file will create the directory structure and create an empty
|
|
auth.json file, but will result in an error.</p>
|
|
</div>
|
|
<div class="section" id="currency-symbols">
|
|
<h2>Currency Symbols<a class="headerlink" href="#currency-symbols" title="Permalink to this headline">¶</a></h2>
|
|
<p>Catalyst introduces a universal convention to reference
|
|
trading pairs and individual currencies. This
|
|
is required to ensure that the <code class="docutils literal"><span class="pre">symbol()</span></code> api predictably
|
|
returns the correct asset regardless of the targeted exchange.</p>
|
|
<p>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.</p>
|
|
<p>Here is the Catalyst convention:</p>
|
|
<p><em>[Market Currency]_[Base Currency]</em> all lowercase.</p>
|
|
<p>Currency symbols (e.g. btc, eth, ltc) follow the Bittrex convention.</p>
|
|
<p>Here are some examples:</p>
|
|
<div class="code python highlight-python"><div class="highlight"><pre><span></span><span class="c1"># With Bitfinex</span>
|
|
<span class="n">bitcoin_usd_asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">'btc_usd'</span><span class="p">)</span>
|
|
<span class="n">ethereum_bitcoin_asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">'eth_btc'</span><span class="p">)</span>
|
|
|
|
<span class="c1"># With Bittrex</span>
|
|
<span class="n">ethereum_bitcoin_asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">'eth_btc'</span><span class="p">)</span>
|
|
<span class="n">neo_ethereum_asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">'neo_eth)</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>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. To check which currency pairs are available on each
|
|
of the supported exchanges, see
|
|
<a class="reference external" href="https://www.enigma.co/catalyst/status">Catalyst Market Coverage</a>.</p>
|
|
</div>
|
|
<div class="section" id="trading-an-algorithm">
|
|
<h2>Trading an Algorithm<a class="headerlink" href="#trading-an-algorithm" title="Permalink to this headline">¶</a></h2>
|
|
<p>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.</p>
|
|
<p>What differs are the arguments provided to the catalyst client or
|
|
<cite>run_algorithm()</cite> interface. Here is the same example in both interfaces:</p>
|
|
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst live -f my_algo_code -x bitfinex -c btc -n my_algo_name
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre><span></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">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
|
<span class="n">live</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
|
|
<span class="n">algo_namespace</span><span class="o">=</span><span class="s1">'my_algo_name'</span><span class="p">,</span>
|
|
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'btc'</span>
|
|
<span class="p">)</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>Here is the breakdown of the new arguments:</p>
|
|
<ul class="simple">
|
|
<li><code class="docutils literal"><span class="pre">live</span></code>: Boolean flag which enables live trading. It defaults to <code class="docutils literal"><span class="pre">False</span></code>.</li>
|
|
<li><code class="docutils literal"><span class="pre">capital_base</span></code>: The amount of base_currency assigned to the strategy.
|
|
It has to be lower or equal to the amount of base currency available for
|
|
trading on the exchange. For illustration, order_target_percent(asset, 1)
|
|
will order the capital_base amount specified here of the specified asset.</li>
|
|
<li><code class="docutils literal"><span class="pre">exchange_name</span></code>: The name of the targeted exchange. See the
|
|
<a class="reference external" href="https://github.com/ccxt/ccxt/wiki/Exchange-Markets">CCXT Supported Exchanges</a>
|
|
for the full list.</li>
|
|
<li><code class="docutils literal"><span class="pre">algo_namespace</span></code>: A arbitrary label assigned to your algorithm for
|
|
data storage purposes.</li>
|
|
<li><code class="docutils literal"><span class="pre">base_currency</span></code>: 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.</li>
|
|
<li><code class="docutils literal"><span class="pre">simulate_orders</span></code>: Enables the paper trading mode, in which orders are
|
|
simulated in Catalyst instead of processed on the exchange. It defaults to
|
|
<code class="docutils literal"><span class="pre">True</span></code>.</li>
|
|
<li><code class="docutils literal"><span class="pre">end_date</span></code>: When setting the end_date to a time in the <strong>future</strong>,
|
|
it will schedule the live algo to finish gracefully at the specified date.</li>
|
|
<li><code class="docutils literal"><span class="pre">start_date</span></code>: (<strong>Will be implemented in the future</strong>)
|
|
The live algo starts by default in the present, as mentioned above.
|
|
by setting the start_date to a time in the future, the algorithm would
|
|
essentially sleep and when the predefined time comes, it would start executing.</li>
|
|
</ul>
|
|
<p>The <cite>catalyst live</cite> command offers additional parameters.
|
|
You can learn more by running the following from the command line:</p>
|
|
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst live --help
|
|
</pre></div>
|
|
</div>
|
|
<p>Here is a complete algorithm for reference:
|
|
<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_low_sell_high_live.py">Buy Low and Sell High</a></p>
|
|
</div>
|
|
</div>
|
|
|
|
|
|
</div>
|
|
<div class="articleComments">
|
|
|
|
</div>
|
|
</div>
|
|
<footer>
|
|
|
|
<div class="rst-footer-buttons" role="navigation" aria-label="footer navigation">
|
|
|
|
<a href="features.html" class="btn btn-neutral float-right" title="Features" accesskey="n" rel="next">Next <span class="fa fa-arrow-circle-right"></span></a>
|
|
|
|
|
|
<a href="beginner-tutorial.html" class="btn btn-neutral" title="Catalyst Beginner Tutorial" accesskey="p" rel="prev"><span class="fa fa-arrow-circle-left"></span> Previous</a>
|
|
|
|
</div>
|
|
|
|
|
|
<hr/>
|
|
|
|
<div role="contentinfo">
|
|
<p>
|
|
© 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> |