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Frederic Fortier
118 lines
3.6 KiB
Python
118 lines
3.6 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.exchange_asset_finder import ExchangeAssetFinder
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from catalyst.exchange.exchange_data_portal import (
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DataPortalExchangeBacktest,
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DataPortalExchangeLive
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)
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from catalyst.exchange.utils.exchange_utils import get_common_assets
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from catalyst.exchange.utils.factory import get_exchanges
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from .test_utils import rnd_history_date_days, rnd_bar_count
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log = Logger('test_bitfinex')
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class TestExchangeDataPortal:
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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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exchanges = get_exchanges(['bitfinex', 'bittrex', 'poloniex'])
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open_calendar = get_calendar('OPEN')
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asset_finder = ExchangeAssetFinder()
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self.data_portal_live = DataPortalExchangeLive(
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exchanges=exchanges,
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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=exchanges,
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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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def test_history_compare_exchanges(self):
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exchanges = get_exchanges(['bittrex', 'bitfinex', 'poloniex'])
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assets = get_common_assets(exchanges)
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date = rnd_history_date_days()
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bar_count = rnd_bar_count()
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data = self.data_portal_backtest.get_history_window(
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assets=assets,
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end_dt=date,
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bar_count=bar_count,
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frequency='1d',
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field='close',
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data_frequency='daily'
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)
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log.info('found history window: {}'.format(data))
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def test_validate_resample(self):
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pass
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