def load_crypto_market_data(trading_day=None, trading_days=None,
bm_symbol=None, bundle=None, bundle_data=None,
environ=None, exchange=None, start_dt=None,
end_dt=None):
if trading_day is None:
trading_day = get_calendar('OPEN').trading_day
# TODO: consider making configurable
bm_symbol = 'btc_usdt'
# if trading_days is None:
# trading_days = get_calendar('OPEN').schedule
# if start_dt is None:
start_dt = get_calendar('OPEN').first_trading_session
if end_dt is None:
end_dt = pd.Timestamp.utcnow()
# We expect to have benchmark and treasury data that's current up until
# **two** full trading days prior to the most recently completed trading
# day.
# Example:
# On Thu Oct 22 2015, the previous completed trading day is Wed Oct 21.
# However, data for Oct 21 doesn't become available until the early morning
# hours of Oct 22. This means that there are times on the 22nd at which we
# cannot reasonably expect to have data for the 21st available. To be
# conservative, we instead expect that at any time on the 22nd, we can
# download data for Tuesday the 20th, which is two full trading days prior
# to the date on which we're running a test.
# We'll attempt to download new data if the latest entry in our cache is
# before this date.
'''
if(bundle_data):
# If we are using the bundle to retrieve the cryptobenchmark, find the last
# date for which there is trading data in the bundle
asset = bundle_data.asset_finder.lookup_symbol(symbol=bm_symbol,as_of_date=None)
ix = bundle_data.daily_bar_reader._last_rows[asset.sid]
last_date = pd.to_datetime(bundle_data.daily_bar_reader._spot_col('day')[ix],unit='s')
else:
last_date = trading_days[trading_days.get_loc(now, method='ffill') - 2]
'''
last_date = trading_days[trading_days.get_loc(end_dt, method='ffill') - 1]
if exchange is None:
# This is exceptional, since placing the import at the module scope
# breaks things and it's only needed here
from catalyst.exchange.poloniex.poloniex import Poloniex
exchange = Poloniex('', '', '')
benchmark_asset = exchange.get_asset(bm_symbol)
# exchange.get_history_window() already ensures that we have the right data
# for the right dates
br = exchange.get_history_window_with_bundle(
assets=[benchmark_asset],
end_dt=last_date,
bar_count=pd.Timedelta(last_date - start_dt).days,
frequency='1d',
field='close',
data_frequency='daily',
force_auto_ingest=True)
br.columns = ['close']
br = br.pct_change(1).iloc[1:]
br.loc[start_dt] = 0
br = br.sort_index()
# Override first_date for treasury data since we have it for many more years
# and is independent of crypto data
first_date_treasury = pd.Timestamp('1990-01-02', tz='UTC')
tc = ensure_treasury_data(
bm_symbol,
first_date_treasury,
last_date,
end_dt,
environ,
)
benchmark_returns = br[br.index.slice_indexer(start_dt, last_date)]
treasury_curves = tc[
tc.index.slice_indexer(first_date_treasury, last_date)]
return benchmark_returns, treasury_curves
class TestPoloniex(BaseExchangeTestCase):
@classmethod
def setup(self):
print ('creating poloniex object')
auth = get_exchange_auth('poloniex')
self.exchange = Poloniex(
key=auth['key'],
secret=auth['secret'],
base_currency='btc'
)
def test_order(self):
log.info('creating order')
asset = self.exchange.get_asset('neos_btc')
order_id = self.exchange.order(
asset=asset,
limit_price=0.0005,
amount=1,
)
log.info('order created {}'.format(order_id))
assert order_id is not None
pass
def test_open_orders(self):
log.info('retrieving open orders')
# asset = self.exchange.get_asset('neos_btc')
# orders = self.exchange.get_open_orders(asset)
pass
def test_get_order(self):
log.info('retrieving order')
order = self.exchange.get_order(
u'2c584020-9caf-4af5-bde0-332c0bba17e2')
assert isinstance(order, Order)
pass
def test_cancel_order(self, ):
log.info('cancel order')
self.exchange.cancel_order(u'dc7bcca2-5219-4145-8848-8a593d2a72f9')
pass
def test_get_candles(self):
log.info('retrieving candles')
assets = self.exchange.get_asset('eth_btc')
ohlcv = self.exchange.get_candles(
# end_dt=pd.to_datetime('2017-11-01', utc=True),
end_dt=None,
freq='5T',
assets=assets,
bar_count=200
)
df = pd.DataFrame(ohlcv)
df.set_index('last_traded', drop=True, inplace=True)
log.info(df.tail(25))
path = output_df(df, assets, '5min_candles')
log.info('saved candles: {}'.format(path))
pass
def test_tickers(self):
log.info('retrieving tickers')
tickers = self.exchange.tickers([
self.exchange.get_asset('eth_btc'),
self.exchange.get_asset('etc_btc')
])
assert len(tickers) == 2
pass
def test_get_balances(self):
log.info('testing wallet balances')
# balances = self.exchange.get_balances()
pass
def test_get_account(self):
log.info('testing account data')
pass
def test_orderbook(self):
log.info('testing order book for poloniex')
# asset = self.exchange.get_asset('eth_btc')
# orderbook = self.exchange.get_orderbook(asset)
pass
class PoloniexTestCase(BaseExchangeTestCase):
@classmethod
def setup(self):
print('creating poloniex object')
auth = get_exchange_auth('poloniex')
self.exchange = Poloniex(key=auth['key'],
secret=auth['secret'],
base_currency='btc')
def test_order(self):
log.info('creating order')
asset = self.exchange.get_asset('neo_btc')
order_id = self.exchange.order(
asset=asset,
limit_price=0.0005,
amount=1,
)
log.info('order created {}'.format(order_id))
assert order_id is not None
pass
def test_open_orders(self):
log.info('retrieving open orders')
asset = self.exchange.get_asset('neo_btc')
orders = self.exchange.get_open_orders(asset)
pass
def test_get_order(self):
log.info('retrieving order')
order = self.exchange.get_order(
u'2c584020-9caf-4af5-bde0-332c0bba17e2')
assert isinstance(order, Order)
pass
def test_cancel_order(self, ):
log.info('cancel order')
self.exchange.cancel_order(u'dc7bcca2-5219-4145-8848-8a593d2a72f9')
pass
def test_get_candles(self):
log.info('retrieving candles')
ohlcv_neo = self.exchange.get_candles(
data_frequency='5m', assets=self.exchange.get_asset('neo_btc'))
ohlcv_neo_ubq = self.exchange.get_candles(
data_frequency='5m',
assets=[
self.exchange.get_asset('neo_btc'),
self.exchange.get_asset('ubq_btc')
],
bar_count=14)
pass
def test_tickers(self):
log.info('retrieving tickers')
tickers = self.exchange.tickers([
self.exchange.get_asset('eth_btc'),
self.exchange.get_asset('etc_btc')
])
assert len(tickers) == 2
pass
def test_get_balances(self):
log.info('testing wallet balances')
balances = self.exchange.get_balances()
pass
def test_get_account(self):
log.info('testing account data')
pass
def test_orderbook(self):
log.info('testing order book for poloniex')
asset = self.exchange.get_asset('eth_btc')
orderbook = self.exchange.get_orderbook(asset)
pass