def bcolz_exchange_daily_write_read(self, exchange_name):
start = pd.to_datetime('2017-10-01 00:00')
end = pd.to_datetime('today')
freq = 'daily'
bundle = ExchangeBundle(exchange_name)
df = self.generate_df(exchange_name, freq, start, end)
print(df.index[0], df.index[-1])
writer = BcolzExchangeBarWriter(rootdir=self.root_dir,
start_session=df.index[0],
end_session=df.index[-1],
data_frequency=freq,
write_metadata=True)
data = []
data.append((1, df))
writer.write(data)
reader = BcolzExchangeBarReader(rootdir=self.root_dir,
data_frequency=freq)
arrays = reader.load_raw_arrays(self.columns, start, end, [
1,
])
periods = bundle.get_calendar_periods_range(start, end, freq)
dx = get_df_from_arrays(arrays, periods)
assert_equals(df.equals(dx), True)
pass
def chunk_to_df(self, exchange_name, symbol, data_frequency, period):
exchange = get_exchange(exchange_name)
asset = exchange.get_asset(symbol)
filename = get_bcolz_chunk(exchange_name=exchange_name,
symbol=symbol,
data_frequency=data_frequency,
period=period)
reader = BcolzExchangeBarReader(rootdir=filename,
data_frequency=data_frequency)
# metadata = BcolzMinuteBarMetadata.read(filename)
start = reader.first_trading_day
end = reader.last_available_dt
if data_frequency == 'daily':
end = end - pd.Timedelta(hours=23, minutes=59)
print(start, end, data_frequency)
arrays = reader.load_raw_arrays(self.columns, start, end, [
asset.sid,
])
bundle = ExchangeBundle(exchange_name)
periods = bundle.get_calendar_periods_range(start, end, data_frequency)
return get_df_from_arrays(arrays, periods)
def chunk_to_df(self, exchange_name, symbol, data_frequency, period):
exchange = get_exchange(exchange_name)
asset = exchange.get_asset(symbol)
filename = get_bcolz_chunk(
exchange_name=exchange_name,
symbol=symbol,
data_frequency=data_frequency,
period=period
)
reader = BcolzExchangeBarReader(rootdir=filename,
data_frequency=data_frequency)
# metadata = BcolzMinuteBarMetadata.read(filename)
start = reader.first_trading_day
end = reader.last_available_dt
if data_frequency == 'daily':
end = end - pd.Timedelta(hours=23, minutes=59)
print(start, end, data_frequency)
arrays = reader.load_raw_arrays(self.columns, start, end,
[asset.sid, ])
bundle = ExchangeBundle(exchange_name)
periods = bundle.get_calendar_periods_range(
start, end, data_frequency
)
return get_df_from_arrays(arrays, periods)
def bcolz_exchange_daily_write_read(self, exchange_name):
start = pd.to_datetime('2017-10-01 00:00')
end = pd.to_datetime('today')
freq = 'daily'
bundle = ExchangeBundle(exchange_name)
df = self.generate_df(exchange_name, freq, start, end)
print(df.index[0], df.index[-1])
writer = BcolzExchangeBarWriter(
rootdir=self.root_dir,
start_session=df.index[0],
end_session=df.index[-1],
data_frequency=freq,
write_metadata=True)
data = []
data.append((1, df))
writer.write(data)
reader = BcolzExchangeBarReader(rootdir=self.root_dir,
data_frequency=freq)
arrays = reader.load_raw_arrays(self.columns, start, end, [1, ])
periods = bundle.get_calendar_periods_range(
start, end, freq
)
dx = get_df_from_arrays(arrays, periods)
assert_equals(df.equals(dx), True)
pass
def test_ingest_candles(self):
exchange_name = 'bitfinex'
data_frequency = 'minute'
exchange = get_exchange(exchange_name)
bundle = ExchangeBundle(exchange)
assets = [exchange.get_asset('iot_btc')]
end_dt = pd.to_datetime('2017-10-20', utc=True)
bar_count = 100
start_dt = get_start_dt(end_dt, bar_count, data_frequency)
candles = exchange.get_candles(
assets=assets,
start_dt=start_dt,
end_dt=end_dt,
bar_count=bar_count,
freq='1T'
)
writer = bundle.get_writer(start_dt, end_dt, data_frequency)
for asset in assets:
dates = [candle['last_traded'] for candle in candles[asset]]
values = dict()
for field in ['open', 'high', 'low', 'close', 'volume']:
values[field] = [candle[field] for candle in candles[asset]]
periods = bundle.get_calendar_periods_range(
start_dt, end_dt, data_frequency
)
df = pd.DataFrame(values, index=dates)
df = df.loc[periods].fillna(method='ffill')
# TODO: why do I get an extra bar?
bundle.ingest_df(
ohlcv_df=df,
data_frequency=data_frequency,
asset=asset,
writer=writer,
empty_rows_behavior='raise',
duplicates_behavior='raise'
)
bundle_series = bundle.get_history_window_series(
assets=assets,
end_dt=end_dt,
bar_count=bar_count,
field='close',
data_frequency=data_frequency,
reset_reader=True
)
df = pd.DataFrame(bundle_series)
print('\n' + df_to_string(df))
pass
def _bundle_to_csv(self,
asset,
exchange_name,
data_frequency,
filename,
path=None,
start_dt=None,
end_dt=None):
bundle = ExchangeBundle(exchange_name)
reader = bundle.get_reader(data_frequency, path=path)
if start_dt is None:
start_dt = reader.first_trading_day
if end_dt is None:
end_dt = reader.last_available_dt
if data_frequency == 'daily':
end_dt = end_dt - pd.Timedelta(hours=23, minutes=59)
arrays = None
try:
arrays = reader.load_raw_arrays(
sids=[asset.sid],
fields=['open', 'high', 'low', 'close', 'volume'],
start_dt=start_dt,
end_dt=end_dt)
except Exception as e:
log.warn('skipping ctable for {} from {} to {}: {}'.format(
asset.symbol, start_dt, end_dt, e))
periods = bundle.get_calendar_periods_range(start_dt, end_dt,
data_frequency)
df = get_df_from_arrays(arrays, periods)
folder = os.path.join(tempfile.gettempdir(), 'catalyst', exchange_name,
asset.symbol)
ensure_directory(folder)
path = os.path.join(folder, filename + '.csv')
log.info('creating csv file: {}'.format(path))
print('HEAD\n{}'.format(df.head(100)))
print('TAIL\n{}'.format(df.tail(100)))
df.to_csv(path)
pass
def generate_df(self, exchange_name, freq, start, end):
bundle = ExchangeBundle(exchange_name)
index = bundle.get_calendar_periods_range(start, end, freq)
df = pd.DataFrame(index=index, columns=self.columns)
df.fillna(random.random(), inplace=True)
return df
class Exchange:
__metaclass__ = ABCMeta
def __init__(self):
self.name = None
self.assets = {}
self._portfolio = None
self.minute_writer = None
self.minute_reader = None
self.base_currency = None
self.num_candles_limit = None
self.max_requests_per_minute = None
self.request_cpt = None
self.bundle = ExchangeBundle(self)
@property
def positions(self):
return self.portfolio.positions
@property
def portfolio(self):
"""
Return the Portfolio
:return:
"""
if self._portfolio is None:
self._portfolio = ExchangePortfolio(
start_date=pd.Timestamp.utcnow())
self.synchronize_portfolio()
return self._portfolio
@abstractproperty
def account(self):
pass
@abstractproperty
def time_skew(self):
pass
def ask_request(self):
"""
Asks permission to issue a request to the exchange.
The primary purpose is to avoid hitting rate limits.
The application will pause if the maximum requests per minute
permitted by the exchange is exceeded.
:return boolean:
"""
now = pd.Timestamp.utcnow()
if not self.request_cpt:
self.request_cpt = dict()
self.request_cpt[now] = 0
return True
cpt_date = list(self.request_cpt.keys())[0]
cpt = self.request_cpt[cpt_date]
if now > cpt_date + timedelta(minutes=1):
self.request_cpt = dict()
self.request_cpt[now] = 0
return True
if cpt >= self.max_requests_per_minute:
delta = now - cpt_date
sleep_period = 60 - delta.total_seconds()
sleep(sleep_period)
now = pd.Timestamp.utcnow()
self.request_cpt = dict()
self.request_cpt[now] = 0
return True
else:
self.request_cpt[cpt_date] += 1
def get_symbol(self, asset):
"""
Get the exchange specific symbol of the given asset.
:param asset: Asset
:return: symbol: str
"""
symbol = None
for key in self.assets:
if not symbol and self.assets[key].symbol == asset.symbol:
symbol = key
if not symbol:
raise ValueError('Currency %s not supported by exchange %s' %
(asset['symbol'], self.name.title()))
return symbol
def get_symbols(self, assets):
"""
Get a list of symbols corresponding to each given asset.
:param assets: Asset[]
:return:
"""
symbols = []
for asset in assets:
symbols.append(self.get_symbol(asset))
return symbols
def get_assets(self, symbols=None):
assets = []
if symbols is not None:
for symbol in symbols:
asset = self.get_asset(symbol)
assets.append(asset)
else:
for key in self.assets:
assets.append(self.assets[key])
return assets
def get_asset(self, symbol):
"""
Find an Asset on the current exchange based on its Catalyst symbol
:param symbol: the [target]_[base] currency pair symbol
:return: Asset
"""
asset = None
for key in self.assets:
if not asset and self.assets[key].symbol.lower() == symbol.lower():
asset = self.assets[key]
if not asset:
supported_symbols = [
pair.symbol for pair in list(self.assets.values())
]
raise SymbolNotFoundOnExchange(symbol=symbol,
exchange=self.name.title(),
supported_symbols=supported_symbols)
return asset
def fetch_symbol_map(self):
return get_exchange_symbols(self.name)
def load_assets(self):
"""
Populate the 'assets' attribute with a dictionary of Assets.
The key of the resulting dictionary is the exchange specific
currency pair symbol. The universal symbol is contained in the
'symbol' attribute of each asset.
Notes
-----
The sid of each asset is calculated based on a numeric hash of the
universal symbol. This simple approach avoids maintaining a mapping
of sids.
This method can be overridden if an exchange offers equivalent data
via its api.
"""
symbol_map = self.fetch_symbol_map()
for exchange_symbol in symbol_map:
asset = symbol_map[exchange_symbol]
if 'start_date' in asset:
start_date = pd.to_datetime(asset['start_date'], utc=True)
else:
start_date = None
if 'end_date' in asset:
end_date = pd.to_datetime(asset['end_date'], utc=True)
else:
end_date = None
if 'leverage' in asset:
leverage = asset['leverage']
else:
leverage = 1.0
if 'asset_name' in asset:
asset_name = asset['asset_name']
else:
asset_name = None
if 'min_trade_size' in asset:
min_trade_size = asset['min_trade_size']
else:
min_trade_size = 0.0000001
if 'end_daily' in asset and asset['end_daily'] != 'N/A':
end_daily = pd.to_datetime(asset['end_daily'], utc=True)
else:
end_daily = None
if 'end_minute' in asset and asset['end_minute'] != 'N/A':
end_minute = pd.to_datetime(asset['end_minute'], utc=True)
else:
end_minute = None
trading_pair = TradingPair(symbol=asset['symbol'],
exchange=self.name,
start_date=start_date,
end_date=end_date,
leverage=leverage,
asset_name=asset_name,
min_trade_size=min_trade_size,
end_daily=end_daily,
end_minute=end_minute,
exchange_symbol=exchange_symbol)
self.assets[exchange_symbol] = trading_pair
def check_open_orders(self):
"""
Loop through the list of open orders in the Portfolio object.
For each executed order found, create a transaction and apply to the
Portfolio.
:return:
transactions: Transaction[]
"""
transactions = list()
if self.portfolio.open_orders:
for order_id in list(self.portfolio.open_orders):
log.debug('found open order: {}'.format(order_id))
order, executed_price = self.get_order(order_id)
log.debug('got updated order {} {}'.format(
order, executed_price))
if order.status == ORDER_STATUS.FILLED:
transaction = Transaction(asset=order.asset,
amount=order.amount,
dt=pd.Timestamp.utcnow(),
price=executed_price,
order_id=order.id,
commission=order.commission)
transactions.append(transaction)
self.portfolio.execute_order(order, transaction)
elif order.status == ORDER_STATUS.CANCELLED:
self.portfolio.remove_order(order)
else:
delta = pd.Timestamp.utcnow() - order.dt
log.info(
'order {order_id} still open after {delta}'.format(
order_id=order_id, delta=delta))
return transactions
def get_spot_value(self, assets, field, dt=None, data_frequency='minute'):
"""
Public API method that returns a scalar value representing the value
of the desired asset's field at either the given dt.
Parameters
----------
assets : Asset, ContinuousFuture, or iterable of same.
The asset or assets whose data is desired.
field : {'open', 'high', 'low', 'close', 'volume',
'price', 'last_traded'}
The desired field of the asset.
dt : pd.Timestamp
The timestamp for the desired value.
data_frequency : str
The frequency of the data to query; i.e. whether the data is
'daily' or 'minute' bars
Returns
-------
value : float, int, or pd.Timestamp
The spot value of ``field`` for ``asset`` The return type is based
on the ``field`` requested. If the field is one of 'open', 'high',
'low', 'close', or 'price', the value will be a float. If the
``field`` is 'volume' the value will be a int. If the ``field`` is
'last_traded' the value will be a Timestamp.
Bitfinex timeframes
-------------------
Available values: '1m', '5m', '15m', '30m', '1h', '3h', '6h', '12h',
'1D', '7D', '14D', '1M'
"""
if field not in BASE_FIELDS:
raise KeyError('Invalid column: {}'.format(field))
values = []
for asset in assets:
value = self.get_single_spot_value(asset, field, data_frequency)
values.append(value)
return values
def get_single_spot_value(self, asset, field, data_frequency):
"""
Similar to 'get_spot_value' but for a single asset
Note
----
We're writing each minute bar to disk using zipline's machinery.
This is especially useful when running multiple algorithms
concurrently. By using local data when possible, we try to reaching
request limits on exchanges.
:param asset:
:param field:
:param data_frequency:
:return value: The spot value of the given asset / field
"""
log.debug('fetching spot value {field} for symbol {symbol}'.format(
symbol=asset.symbol, field=field))
ohlc = self.get_candles(data_frequency, asset)
if field not in ohlc:
raise KeyError('Invalid column: %s' % field)
value = ohlc[field]
log.debug('got spot value: {}'.format(value))
return value
def get_series_from_candles(self,
candles,
start_dt,
end_dt,
data_frequency,
field,
previous_value=None):
"""
Get a series of field data for the specified candles.
:param candles:
:param start_dt:
:param end_dt:
:param field:
:param previous_value:
:return:
"""
dates = [candle['last_traded'] for candle in candles]
values = [candle[field] for candle in candles]
periods = self.bundle.get_calendar_periods_range(
start_dt, end_dt, data_frequency)
series = pd.Series(values, index=dates)
#TODO: ensure that this working as expected, if not use fillna
series.reindex(periods, method='ffill', fill_value=previous_value)
return series
def get_history_window(self,
assets,
end_dt,
bar_count,
frequency,
field,
data_frequency=None,
ffill=True):
"""
Public API method that returns a dataframe containing the requested
history window. Data is fully adjusted.
Parameters
----------
assets : list of catalyst.data.Asset objects
The assets whose data is desired.
end_dt: not applicable to cryptocurrencies
bar_count: int
The number of bars desired.
frequency: string
"1d" or "1m"
field: string
The desired field of the asset.
data_frequency: string
The frequency of the data to query; i.e. whether the data is
'daily' or 'minute' bars.
# TODO: fill how?
ffill: boolean
Forward-fill missing values. Only has effect if field
is 'price'.
Returns
-------
A dataframe containing the requested data.
"""
freq_match = re.match(r'([0-9].*)(m|M|d|D)', frequency, re.M | re.I)
if freq_match:
candle_size = int(freq_match.group(1))
unit = freq_match.group(2)
else:
raise InvalidHistoryFrequencyError(frequency)
if unit.lower() == 'd':
if data_frequency == 'minute':
data_frequency = 'daily'
elif unit.lower() == 'm':
if data_frequency == 'daily':
data_frequency = 'minute'
else:
raise InvalidHistoryFrequencyError(frequency)
adj_bar_count = candle_size * bar_count
try:
series = self.bundle.get_history_window_series_and_load(
assets=assets,
end_dt=end_dt,
bar_count=adj_bar_count,
field=field,
data_frequency=data_frequency)
except PricingDataNotLoadedError:
series = dict()
for asset in assets:
if asset not in series or series[asset].index[-1] < end_dt:
# Adding bars too recent to be contained in the consolidated
# exchanges bundles. We go directly against the exchange
# to retrieve the candles.
start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
trailing_dt = \
series[asset].index[-1] + get_delta(1, data_frequency) \
if asset in series else start_dt
trailing_bar_count = \
get_periods(trailing_dt, end_dt, data_frequency)
# The get_history method supports multiple asset
candles = self.get_candles(data_frequency=data_frequency,
assets=asset,
bar_count=trailing_bar_count,
start_dt=start_dt,
end_dt=end_dt)
last_value = series[asset].iloc(0) if asset in series \
else np.nan
candle_series = self.get_series_from_candles(
candles=candles,
start_dt=trailing_dt,
end_dt=end_dt,
data_frequency=data_frequency,
field=field,
previous_value=last_value)
if asset in series:
series[asset].append(candle_series)
else:
series[asset] = candle_series
df = pd.DataFrame(series)
if candle_size > 1:
if field == 'open':
agg = 'first'
elif field == 'high':
agg = 'max'
elif field == 'low':
agg = 'min'
elif field == 'close':
agg = 'last'
elif field == 'volume':
agg = 'sum'
else:
raise ValueError('Invalid field.')
df = df.resample('{}T'.format(candle_size)).agg(agg)
return df
def synchronize_portfolio(self):
"""
Update the portfolio cash and position balances based on the
latest ticker prices.
:return:
"""
log.debug('synchronizing portfolio with exchange {}'.format(self.name))
balances = self.get_balances()
base_position_available = balances[self.base_currency] \
if self.base_currency in balances else None
if base_position_available is None:
raise BaseCurrencyNotFoundError(base_currency=self.base_currency,
exchange=self.name.title())
portfolio = self._portfolio
portfolio.cash = base_position_available
log.debug('found base currency balance: {}'.format(portfolio.cash))
if portfolio.starting_cash is None:
portfolio.starting_cash = portfolio.cash
if portfolio.positions:
assets = list(portfolio.positions.keys())
tickers = self.tickers(assets)
portfolio.positions_value = 0.0
for asset in tickers:
# TODO: convert if the position is not in the base currency
ticker = tickers[asset]
position = portfolio.positions[asset]
position.last_sale_price = ticker['last_price']
position.last_sale_date = ticker['timestamp']
portfolio.positions_value += \
position.amount * position.last_sale_price
portfolio.portfolio_value = \
portfolio.positions_value + portfolio.cash
def order(self,
asset,
amount,
limit_price=None,
stop_price=None,
style=None):
"""Place an order.
Parameters
----------
asset : Asset
The asset that this order is for.
amount : int
The amount of shares to order. If ``amount`` is positive, this is
the number of shares to buy or cover. If ``amount`` is negative,
this is the number of shares to sell or short.
limit_price : float, optional
The limit price for the order.
stop_price : float, optional
The stop price for the order.
style : ExecutionStyle, optional
The execution style for the order.
Returns
-------
order_id : str or None
The unique identifier for this order, or None if no order was
placed.
Notes
-----
The ``limit_price`` and ``stop_price`` arguments provide shorthands for
passing common execution styles. Passing ``limit_price=N`` is
equivalent to ``style=LimitOrder(N)``. Similarly, passing
``stop_price=M`` is equivalent to ``style=StopOrder(M)``, and passing
``limit_price=N`` and ``stop_price=M`` is equivalent to
``style=StopLimitOrder(N, M)``. It is an error to pass both a ``style``
and ``limit_price`` or ``stop_price``.
See Also
--------
:class:`catalyst.finance.execution.ExecutionStyle`
:func:`catalyst.api.order_value`
:func:`catalyst.api.order_percent`
"""
if amount == 0:
log.warn('skipping order amount of 0')
return None
if asset.base_currency != self.base_currency.lower():
raise MismatchingBaseCurrencies(base_currency=asset.base_currency,
algo_currency=self.base_currency)
is_buy = (amount > 0)
if limit_price is not None and stop_price is not None:
style = ExchangeStopLimitOrder(limit_price,
stop_price,
exchange=self.name)
elif limit_price is not None:
style = ExchangeLimitOrder(limit_price, exchange=self.name)
elif stop_price is not None:
style = ExchangeStopOrder(stop_price, exchange=self.name)
elif style is not None:
raise InvalidOrderStyle(exchange=self.name.title(),
style=style.__class__.__name__)
else:
raise ValueError('Incomplete order data.')
display_price = limit_price if limit_price is not None else stop_price
log.debug(
'issuing {side} order of {amount} {symbol} for {type}: {price}'.
format(side='buy' if is_buy else 'sell',
amount=amount,
symbol=asset.symbol,
type=style.__class__.__name__,
price='{}{}'.format(display_price, asset.base_currency)))
order = self.create_order(asset, amount, is_buy, style)
if order:
self._portfolio.create_order(order)
return order.id
else:
return None
# The methods below must be implemented for each exchange.
@abstractmethod
def get_balances(self):
"""
Retrieve wallet balances for the exchange
:return balances: A dict of currency => available balance
"""
pass
@abstractmethod
def create_order(self, asset, amount, is_buy, style):
"""
Place an order on the exchange.
:param asset : Asset
The asset that this order is for.
:param amount : int
The amount of shares to order. If ``amount`` is positive, this is
the number of shares to buy or cover. If ``amount`` is negative,
this is the number of shares to sell or short.
:param style : ExecutionStyle
The execution style for the order.
:param is_buy: boolean
Is it a buy order?
:return:
"""
pass
@abstractmethod
def get_open_orders(self, asset):
"""Retrieve all of the current open orders.
Parameters
----------
asset : Asset
If passed and not None, return only the open orders for the given
asset instead of all open orders.
Returns
-------
open_orders : dict[list[Order]] or list[Order]
If no asset is passed this will return a dict mapping Assets
to a list containing all the open orders for the asset.
If an asset is passed then this will return a list of the open
orders for this asset.
"""
pass
@abstractmethod
def get_order(self, order_id):
"""Lookup an order based on the order id returned from one of the
order functions.
Parameters
----------
order_id : str
The unique identifier for the order.
Returns
-------
order : Order
The order object.
execution_price: float
The execution price per share of the order
"""
pass
@abstractmethod
def cancel_order(self, order_param):
"""Cancel an open order.
Parameters
----------
order_param : str or Order
The order_id or order object to cancel.
"""
pass
@abstractmethod
def get_candles(self,
data_frequency,
assets,
bar_count=None,
start_dt=None,
end_dt=None):
"""
Retrieve OHLCV candles for the given assets
:param data_frequency:
The candle frequency: minute or daily
:param assets: list[TradingPair]
The targeted assets.
:param bar_count:
The number of bar desired. (default 1)
:param end_dt: datetime, optional
The last bar date.
:param start_dt: datetime, optional
The first bar date.
:return dict[TradingPair, dict[str, Object]]: OHLCV data
A dictionary of OHLCV candles. Each TradingPair instance is
mapped to a list of dictionaries with this structure:
open: float
high: float
low: float
close: float
volume: float
last_traded: datetime
See definition here:
http://www.investopedia.com/terms/o/ohlcchart.asp
"""
pass
@abc.abstractmethod
def tickers(self, assets):
"""
Retrieve current tick data for the given assets
:param assets:
:return:
"""
pass
@abc.abstractmethod
def get_account(self):
"""
Retrieve the account parameters.
:return:
"""
pass
@abc.abstractmethod
def get_orderbook(self, asset, order_type, limit):
"""
Retrieve the the orderbook for the given trading pair.
:param asset: TradingPair
:param order_type: str
The type of orders: bid, ask or all
:param limit
:return:
"""
pass
def generate_df(self, exchange_name, freq, start, end):
bundle = ExchangeBundle(exchange_name)
index = bundle.get_calendar_periods_range(start, end, freq)
df = pd.DataFrame(index=index, columns=self.columns)
df.fillna(random.random(), inplace=True)
return df
