def fetch_symbol_map(self, is_local=False):
index = 1 if is_local else 0
if self._symbol_maps[index] is not None:
return self._symbol_maps[index]
else:
symbol_map = get_exchange_symbols(self.name, is_local)
self._symbol_maps[index] = symbol_map
return symbol_map
def fetch_symbol_map(self, is_local=False):
index = 1 if is_local else 0
if self._symbol_maps[index] is not None:
return self._symbol_maps[index]
else:
symbol_map = get_exchange_symbols(self.name, is_local)
self._symbol_maps[index] = symbol_map
return symbol_map
def universe(context, lookback_date, current_date):
# get all the pairs for the given exchange
json_symbols = get_exchange_symbols(context.exchange)
# convert into a DataFrame for easier processing
df = pd.DataFrame.from_dict(json_symbols).transpose().astype(str)
df['base_currency'] = df.apply(lambda row: row.symbol.split('_')[1],
axis=1)
df['market_currency'] = df.apply(lambda row: row.symbol.split('_')[0],
axis=1)
# Filter all the pairs to get only the ones for a given base_currency
df = df[df['base_currency'] == context.base_currency]
# Filter all pairs to ensure that pair existed in the current date range
df = df[df.start_date < lookback_date]
df = df[df.end_daily >= current_date]
context.coins = symbols(*df.symbol) # convert all the pairs to symbols
return df.symbol.tolist()
def universe(context, lookback_date, current_date):
# get all the pairs for the given exchange
json_symbols = get_exchange_symbols(context.exchange)
# convert into a DataFrame for easier processing
df = pd.DataFrame.from_dict(json_symbols).transpose().astype(str)
df['base_currency'] = df.apply(lambda row: row.symbol.split('_')[1],
axis=1)
df['market_currency'] = df.apply(lambda row: row.symbol.split('_')[0],
axis=1)
# Filter all the pairs to get only the ones for a given base_currency
df = df[df['base_currency'] == context.base_currency]
# Filter all pairs to ensure that pair existed in the current date range
df = df[df.start_date < lookback_date]
df = df[df.end_daily >= current_date]
context.coins = symbols(*df.symbol) # convert all the pairs to symbols
return df.symbol.tolist()
def update_symbols_file(self, assets):
if self.exchange is None:
# Avoid circular dependencies
from catalyst.exchange.utils.factory import get_exchange
self.exchange = get_exchange(self.exchange_name)
# check if the symbols.json file was updated today
try:
root = get_exchange_folder(self.exchange_name)
timestamp = os.path.getmtime(os.path.join(root, 'symbols.json'))
file_dt = pd.to_datetime(timestamp, unit='s', utc=True)
except FileNotFoundError:
file_dt = None
log.info("updating symbols.json")
try:
existing_symbols_defs = get_exchange_symbols(self.exchange_name)
except ExchangeSymbolsNotFound:
existing_symbols_defs = {}
self.exchange.api.load_markets()
results = {}
for asset in assets:
if asset.symbol in INGEST_PAIRS_INCLUDED or self._matches_included_quote(
asset.symbol):
if asset.exchange_symbol in existing_symbols_defs:
existing_def = existing_symbols_defs[asset.exchange_symbol]
if self.exchange.api.markets[asset.asset_name.replace(
' ', '')]['active']:
end_date = pd.Timestamp.utcnow().floor('1D')
existing_def['end_minute'] = end_date
existing_def['end_daily'] = end_date
log.debug("updated {} symbol -> [still active]",
asset.symbol)
results[asset.exchange_symbol] = existing_def
continue
elif file_dt is not None and pd.Timestamp(
existing_def['end_daily']) < file_dt.floor('1D'):
log.debug("updated {} symbol -> [already delisted]",
asset.symbol)
results[asset.exchange_symbol] = existing_def
continue
# either the symbol is new or it has been delisted since the last update
try:
end_results = self.exchange.get_candles(
freq='1H',
assets=asset,
start_dt=None,
end_dt=None,
bar_count=1,
keep_empty_start=True)
if len(end_results) == 0:
raise Exception("no end cancles found for {}",
asset.symbol)
last_date = end_results[-1]['last_traded'].floor('1D')
start_results = self.exchange.get_candles(
freq='1D',
assets=asset,
start_dt=pd.Timestamp("2009-01-01", tz='utc'),
end_dt=None,
bar_count=1,
keep_empty_start=True)
if len(start_results) == 0:
raise Exception("no start cancles found for {}",
asset.symbol)
first_date = start_results[-1]['last_traded'].floor('1D')
symbol_dates = {
'end_minute': last_date,
'end_daily': last_date,
'start_date': first_date,
'symbol': asset.symbol
}
if last_date != pd.Timestamp.utcnow().floor('1D'):
log.info("updated {} symbol [new delisted]",
asset.symbol)
else:
log.info("updated {} symbol [new listed]",
asset.symbol)
results[asset.exchange_symbol] = symbol_dates
except:
log.exception("error building symbol dates for {}".format(
asset.symbol))
pass
save_exchange_symbols_dicts(self.exchange_name, results)
