mirror of
https://github.com/wassname/catalyst.git
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122 lines
4.5 KiB
Python
122 lines
4.5 KiB
Python
#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from time import sleep
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from logbook import Logger
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from catalyst.data.data_portal import DataPortal
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from catalyst.exchange.exchange_errors import (
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ExchangeRequestError,
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ExchangeBarDataError
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)
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log = Logger('DataPortalExchange')
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class DataPortalExchange(DataPortal):
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def __init__(self, exchange, *args, **kwargs):
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self.exchange = exchange
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# TODO: put somewhere accessible by each algo
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self.retry_get_history_window = 5
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self.retry_get_spot_value = 5
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self.retry_delay = 5
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super(DataPortalExchange, self).__init__(*args, **kwargs)
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def _get_history_window(self,
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assets,
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end_dt,
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bar_count,
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frequency,
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field,
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data_frequency,
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ffill=True,
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attempt_index=0):
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try:
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return self.exchange.get_history_window(
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assets,
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end_dt,
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bar_count,
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frequency,
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field,
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data_frequency,
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ffill)
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except ExchangeRequestError as e:
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log.warn(
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'get history attempt {}: {}'.format(attempt_index, e)
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)
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if attempt_index < self.retry_get_history_window:
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sleep(self.retry_delay)
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return self._get_history_window(assets,
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end_dt,
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bar_count,
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frequency,
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field,
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data_frequency,
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ffill,
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attempt_index + 1)
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else:
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raise ExchangeBarDataError(
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data_type='history',
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attempts=attempt_index,
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error=e
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)
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def get_history_window(self,
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assets,
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end_dt,
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bar_count,
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frequency,
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field,
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data_frequency,
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ffill=True):
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return self._get_history_window(assets,
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end_dt,
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bar_count,
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frequency,
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field,
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data_frequency,
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ffill)
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def _get_spot_value(self, assets, field, dt, data_frequency,
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attempt_index=0):
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try:
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return self.exchange.get_spot_value(assets, field, dt,
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data_frequency)
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except ExchangeRequestError as e:
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log.warn(
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'get spot value attempt {}: {}'.format(attempt_index, e)
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)
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if attempt_index < self.retry_get_spot_value:
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sleep(self.retry_delay)
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return self._get_spot_value(assets, field, dt, data_frequency,
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attempt_index + 1)
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else:
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raise ExchangeBarDataError(
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data_type='spot',
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attempts=attempt_index,
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error=e
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)
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def get_spot_value(self, assets, field, dt, data_frequency):
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return self._get_spot_value(assets, field, dt, data_frequency)
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def get_adjusted_value(self, asset, field, dt,
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perspective_dt,
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data_frequency,
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spot_value=None):
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# TODO: does this pertain to cryptocurrencies?
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raise NotImplementedError("get_adjusted_value is not implemented yet!")
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