def from_config(self, config):
root = os.path.join(cfg.DATA_DIR, config['experiment'])
store = DATA_STORES[cfg.DATA_STORE](root)
feed = load_feed(
name=config['feed']['name'],
fpath=config['feed']['fpath'],
assets=[Asset.from_symbol(a) for a in config['feed']['symbols']],
timeframe=Timeframe[config['feed']['timeframe']],
start=str_to_date(config['feed'].get('start')),
end=str_to_date(config['feed'].get('end')),
)
feed.initialize(exchange)
perf = PerformanceTracker(
starting_cash=config['starting_cash'],
timeframe=Timeframe[config['feed']['timeframe']],
store=store)
record = Record(config=cfg,
portfolio=Portfolio(config['cash_currency'],
config['starting_cash'], perf),
balance=Balance.from_dict(config['balance']),
store=store)
exchange = load_exchange(config['exchange']['exchange_id'],
cfg=config['exchange'])
logger = get_logger(fpath=root,
logger_name='progress',
ch_log_level=logging.INFO)
return Context(exchange=exchange,
feed=feed,
record=record,
logger=logger)
def download_and_save_order_book_data(exchange_id, asset, depth):
exchange = load_exchange(exchange_id)
depth = {} if depth is None else {'depth': depth}
data = exchange.fetch_order_book(asset, depth)
fname = get_order_book_fname(exchange_id, asset)
fpath = Path(ORDER_BOOK_DIR, fname)
utils.files.save_dct(fpath, data, mode='a+')
return fpath
def paperexchange(balance, asset):
exchange_id = ex_cfg.BINANCE
assets = [asset]
balance = deepcopy(balance)
timeframe = Timeframe.ONE_MIN
# Ensuring we have data for the paper exchange
start = datetime(year=2018, month=1, day=1, hour=0)
end = datetime(year=2018, month=1, day=2, hour=0)
data_exchange = load_exchange(exchange_id)
ohlcv_feed.download_ohlcv([data_exchange], assets, timeframe, start, end)
feed = ohlcv_feed.OHLCVFileFeed(exchange_ids=[exchange_id],
assets=assets,
timeframe=timeframe,
start=None,
end=None)
feed.next()
ex = load_feed_based_paper_exchange(balance, feed, exchange_id)
return ex
def ccxtexchange():
return load_exchange(ex_cfg.BINANCE)
assets=[asset],
timeframe=timeframe,
start=
None, # Usually None for backtest, but its possible to filter the csv
end=None)
exchange = load_feed_based_paper_exchange(deepcopy(balance), feed,
exchange_id)
runner.backtest(experiment_name, exchange, portfolio.balance,
portfolio, feed, strategy)
elif trade_mode is TradeMode.SIMULATE:
exchange = load_ccxt_based_paper_exchange(deepcopy(balance),
feedexchange_id)
feed = OHLCVExchangeFeed(exchange=exchange,
assets=[asset],
timeframe=timeframe,
start=datetime.datetime.utcnow(),
end=None)
runner.simulate(experiment_name, exchange, balance, portfolio, feed,
strategy)
elif trade_mode is TradeMode.LIVE:
exchange = load_exchange(exchange_id)
feed = OHLCVExchangeFeed(exchange=exchange,
assets=[asset],
timeframe=timeframe,
start=datetime.datetime.utcnow(),
end=None)
runner.live(experiment_name, exchange, balance, portfolio, feed,
strategy)
def fetch_and_save(ex_id, asset, timeframe, start, end):
exchange = load_exchange(ex_id)
df = ohlcv_feed.fetch_asset(exchange, asset, timeframe, start, end)
fpath = get_rotating_ohlcv_fpath(ex_id, asset, timeframe, start)
df.to_csv(fpath, index=True)
return df
def paperexchange():
return load_exchange(ex_cfg.PAPER)