def fetch_ohlcv_dataframe(self,
symbol,
timeframe='1m',
since=None,
limit=None,
params={}):
# Exchanges in the real world have different behaviour, when there is
# no since parameter provided. (some use data from the beginning,
# some from the end)
# We return data from the beginning, because this is most likely not
# what the user wants, so this will force the user to provide the
# parameters, which will work with every exchange. This is a bug
# prevention mechanism.
ohlcv = self._ohlcvs.get(symbol)
if ohlcv is None:
raise BadSymbol('ExchangeBackend: no prices for {}'.format(symbol))
pd_current_date = self._timeframe.date().floor('1T')
if limit is None:
limit = 5
timeframe_sec = Exchange.parse_timeframe(timeframe)
pd_timeframe = pandas.Timedelta(timeframe_sec, unit='s')
ohlcv_start_date = ohlcv.index[0]
if since is None:
pd_since = ohlcv_start_date
else:
pd_since = pandas.Timestamp(since, unit='ms', tz='UTC')
pd_since = pd_since.ceil(pd_timeframe)
if pd_since < ohlcv_start_date:
raise BadRequest('ExchangeBackend: fetch_ohlcv: no date availabe '
'at since')
pd_until = pd_since + limit * pd_timeframe - pandas.Timedelta('1m')
if pd_until >= pd_current_date + pd_timeframe:
raise BadRequest('ExchangeBackend: fetch_ohlcv:'
' since.ceil(timeframe) + limit * timeframe'
' needs to be in the past')
pd_until = min(pd_until, pd_current_date)
data = ohlcv[pd_since:pd_until]
return data.resample(pd_timeframe).agg({
'open': 'first',
'high': 'max',
'low': 'min',
'close': 'last',
'volume': 'sum'
})
def parse_params_and_execute_algorithm(AlgorithmClass):
parser = argparse.ArgumentParser(
epilog=HELP_EPILOG, formatter_class=argparse.RawTextHelpFormatter)
parser.add_argument('--start-date', default='',
help='Date to start backtesting, ignored in live mode')
parser.add_argument('--end-date', default='2009-01-01',
help='Date to end backtesting')
parser.add_argument('--interval', default='1m',
help='Timedelta between each iteration')
parser.add_argument('--exchanges', default='',
help='Exchange ids comma separated to load ohlcv')
parser.add_argument('--symbols', default='',
help='Symbols (comma separated) to load ohlcv '
'per exchange')
parser.add_argument('--data-directory', default=USER_DATA_DIR,
help='directory where data is stored'
' (e.g. ohlcv data')
parser.add_argument('--config-directory', default=USER_CONFIG_DIR,
help='directory where config is stored'
' (e.g. exchange parameters')
parser.add_argument('--auth-aliases', default='{}',
help='Auth aliases for different exchange'
' config files')
parser.add_argument('--live', action='store_true',
help='Trade live on exchanges')
parser.add_argument('--start-balances', default='{}',
help='Balance at start (json): '
'{"exchange": {"BTC": 3}}')
AlgorithmClass.configure_argparser(parser)
args = parser.parse_args()
logger = logging.getLogger(__package__)
def split_parameters(p):
if p == '':
return []
return p.split(',')
exchange_names = split_parameters(args.exchanges)
symbols = split_parameters(args.symbols)
if not args.live:
if len(exchange_names) == 0:
logger.warning('No exchanges specified, do not load ohlcv')
if len(symbols) == 0:
logger.warning('No symbols specified, load all ohlcvs per each '
'exchange. This can lead to long start times')
try:
pd_interval = pandas.Timedelta(
Exchange.parse_timeframe(args.interval), unit='s')
except (NotSupported, ValueError):
raise ValueError('Interval is not valid')
auth_aliases = {}
if args.live:
if args.start_date != '':
raise ValueError('Start date cannot be set in live mode')
if args.start_balances != '{}':
raise ValueError('Start balance cannot be set in live mode')
pd_start_date = pandas.Timestamp.now(tz='UTC').floor(pd_interval)
start_balances = None
auth_aliases = json.loads(args.auth_aliases)
else:
pd_start_date = pandas.to_datetime(args.start_date, utc=True)
start_balances = json.loads(args.start_balances)
pd_end_date = pandas.to_datetime(args.end_date, utc=True)
if pandas.isnull(pd_start_date):
raise ValueError('Start date is not valid')
if pandas.isnull(pd_end_date):
raise ValueError('End date is not valid')
return execute_algorithm(exchange_names=exchange_names,
symbols=symbols,
pd_start_date=pd_start_date,
pd_end_date=pd_end_date,
pd_interval=pd_interval,
conf_dir=args.config_directory,
data_dir=args.data_directory,
AlgorithmClass=AlgorithmClass,
args=args,
auth_aliases=auth_aliases,
live=args.live,
start_balances=start_balances)