code stringlengths 66 870k | docstring stringlengths 19 26.7k | func_name stringlengths 1 138 | language stringclasses 1
value | repo stringlengths 7 68 | path stringlengths 5 324 | url stringlengths 46 389 | license stringclasses 7
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def record(self, *args, **kwargs):
"""Track and record values each day.
Parameters
----------
\*\*kwargs
The names and values to record.
Notes
-----
These values will appear in the performance packets and the performance
dataframe passed to `... | Track and record values each day.
Parameters
----------
\*\*kwargs
The names and values to record.
Notes
-----
These values will appear in the performance packets and the performance
dataframe passed to ``analyze`` and returned from
:func:`~c... | record | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def set_benchmark(self, benchmark):
"""Set the benchmark asset.
Parameters
----------
benchmark : Asset
The asset to set as the new benchmark.
Notes
-----
Any dividends payed out for that new benchmark asset will be
automatically reinvested.
... | Set the benchmark asset.
Parameters
----------
benchmark : Asset
The asset to set as the new benchmark.
Notes
-----
Any dividends payed out for that new benchmark asset will be
automatically reinvested.
| set_benchmark | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def symbol(self, symbol_str):
"""Lookup an Equity by its ticker symbol.
Parameters
----------
symbol_str : str
The ticker symbol for the equity to lookup.
Returns
-------
equity : Equity
The equity that held the ticker symbol on the curre... | Lookup an Equity by its ticker symbol.
Parameters
----------
symbol_str : str
The ticker symbol for the equity to lookup.
Returns
-------
equity : Equity
The equity that held the ticker symbol on the current
symbol lookup date.
... | symbol | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def continuous_future(self,
root_symbol_str,
offset=0,
roll='volume',
adjustment='mul'):
"""Create a specifier for a continuous contract.
Parameters
----------
root_symbol_str : str
... | Create a specifier for a continuous contract.
Parameters
----------
root_symbol_str : str
The root symbol for the future chain.
offset : int, optional
The distance from the primary contract. Default is 0.
roll_style : str, optional
How rolls... | continuous_future | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def on_dt_changed(self, dt):
"""
Callback triggered by the simulation loop whenever the current dt
changes.
Any logic that should happen exactly once at the start of each datetime
group should happen here.
"""
self.datetime = dt
self.perf_tracker.set_date... |
Callback triggered by the simulation loop whenever the current dt
changes.
Any logic that should happen exactly once at the start of each datetime
group should happen here.
| on_dt_changed | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def set_slippage(self, us_equities=None, us_futures=None):
"""Set the slippage models for the simulation.
Parameters
----------
us_equities : EquitySlippageModel
The slippage model to use for trading US equities.
us_futures : FutureSlippageModel
The slipp... | Set the slippage models for the simulation.
Parameters
----------
us_equities : EquitySlippageModel
The slippage model to use for trading US equities.
us_futures : FutureSlippageModel
The slippage model to use for trading US futures.
See Also
---... | set_slippage | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def set_commission(self, us_equities=None, us_futures=None):
"""Sets the commission models for the simulation.
Parameters
----------
us_equities : EquityCommissionModel
The commission model to use for trading US equities.
us_futures : FutureCommissionModel
... | Sets the commission models for the simulation.
Parameters
----------
us_equities : EquityCommissionModel
The commission model to use for trading US equities.
us_futures : FutureCommissionModel
The commission model to use for trading US futures.
See Also
... | set_commission | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def set_cancel_policy(self, cancel_policy):
"""Sets the order cancellation policy for the simulation.
Parameters
----------
cancel_policy : CancelPolicy
The cancellation policy to use.
See Also
--------
:class:`catalyst.api.EODCancel`
:class:... | Sets the order cancellation policy for the simulation.
Parameters
----------
cancel_policy : CancelPolicy
The cancellation policy to use.
See Also
--------
:class:`catalyst.api.EODCancel`
:class:`catalyst.api.NeverCancel`
| set_cancel_policy | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def set_symbol_lookup_date(self, dt):
"""Set the date for which symbols will be resolved to their assets
Parameters
----------
dt : datetime
The new symbol lookup date.
"""
try:
self._symbol_lookup_date = pd.Timestamp(dt, tz='UTC')
except ... | Set the date for which symbols will be resolved to their assets
Parameters
----------
dt : datetime
The new symbol lookup date.
| set_symbol_lookup_date | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def batch_market_order(self, share_counts):
"""Place a batch market order for multiple assets.
Parameters
----------
share_counts : pd.Series[Asset -> int]
Map from TradingPair to the number to order for that TradingPair.
Returns
-------
order_ids : ... | Place a batch market order for multiple assets.
Parameters
----------
share_counts : pd.Series[Asset -> int]
Map from TradingPair to the number to order for that TradingPair.
Returns
-------
order_ids : pd.Index[str]
Index of ids for newly-create... | batch_market_order | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def get_open_orders(self, asset=None):
"""Retrieve all of the current open orders.
Parameters
----------
asset : Asset, optional
If passed and not None, return only the open orders for the given
asset instead of all open orders.
Returns
-------
... | Retrieve all of the current open orders.
Parameters
----------
asset : Asset, optional
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[Ord... | get_open_orders | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def set_asset_restrictions(self, restrictions, on_error='fail'):
"""Set a restriction on which assets can be ordered.
Parameters
----------
restricted_list : Restrictions
An object providing information about restricted assets.
See Also
--------
cata... | Set a restriction on which assets can be ordered.
Parameters
----------
restricted_list : Restrictions
An object providing information about restricted assets.
See Also
--------
catalyst.finance.asset_restrictions.Restrictions
| set_asset_restrictions | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def attach_pipeline(self, pipeline, name, chunks=None):
"""Register a pipeline to be computed at the start of each day.
Parameters
----------
pipeline : Pipeline
The pipeline to have computed.
name : str
The name of the pipeline.
chunks : int or i... | Register a pipeline to be computed at the start of each day.
Parameters
----------
pipeline : Pipeline
The pipeline to have computed.
name : str
The name of the pipeline.
chunks : int or iterator, optional
The number of days to compute pipelin... | attach_pipeline | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def pipeline_output(self, name):
"""Get the results of the pipeline that was attached with the name:
``name``.
Parameters
----------
name : str
Name of the pipeline for which results are requested.
Returns
-------
results : pd.DataFrame
... | Get the results of the pipeline that was attached with the name:
``name``.
Parameters
----------
name : str
Name of the pipeline for which results are requested.
Returns
-------
results : pd.DataFrame
DataFrame containing the results of t... | pipeline_output | python | scrtlabs/catalyst | catalyst/algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/algorithm.py | Apache-2.0 |
def live(ctx,
algofile,
capital_base,
algotext,
define,
output,
print_algo,
local_namespace,
exchange_name,
algo_namespace,
quote_currency,
start,
end,
live_graph,
auth_aliases,
simulat... | Trade live with the given algorithm.
| live | python | scrtlabs/catalyst | catalyst/__main__.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/__main__.py | Apache-2.0 |
def remote_run(ctx,
algofile,
algotext,
define,
data_frequency,
capital_base,
bundle,
bundle_timestamp,
start,
end,
mail,
print_algo,
local_... | Run a backtest for the given algorithm on the cloud.
| remote_run | python | scrtlabs/catalyst | catalyst/__main__.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/__main__.py | Apache-2.0 |
def remote_status(ctx, algo_id, data_output, log_output):
"""
Get the status of a running algorithm on the cloud
"""
if algo_id is None:
ctx.fail("must specify an id of your running algorithm with '--id'")
status_response = get_remote_status(
algo_id=algo_id
)
if isinstance(... |
Get the status of a running algorithm on the cloud
| remote_status | python | scrtlabs/catalyst | catalyst/__main__.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/__main__.py | Apache-2.0 |
def ingest_exchange(ctx, exchange_name, data_frequency, start, end,
include_symbols, exclude_symbols, csv, show_progress,
verbose, validate):
"""
Ingest data for the given exchange.
"""
if exchange_name is None:
ctx.fail("must specify an exchange name '-x... |
Ingest data for the given exchange.
| ingest_exchange | python | scrtlabs/catalyst | catalyst/__main__.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/__main__.py | Apache-2.0 |
def clean_exchange(ctx, exchange_name, data_frequency):
"""Clean up bundles from 'ingest-exchange'.
"""
if exchange_name is None:
ctx.fail("must specify an exchange name '-x'")
exchange_bundle = ExchangeBundle(exchange_name)
click.echo('Cleaning exchange bundle {}...'.format(exchange_name... | Clean up bundles from 'ingest-exchange'.
| clean_exchange | python | scrtlabs/catalyst | catalyst/__main__.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/__main__.py | Apache-2.0 |
def _reset_caches(self):
"""
Reset our asset caches.
You probably shouldn't call this method.
"""
# This method exists as a workaround for the in-place mutating behavior
# of `TradingAlgorithm._write_and_map_id_index_to_sids`. No one else
# should be calling thi... |
Reset our asset caches.
You probably shouldn't call this method.
| _reset_caches | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def reload_symbol_maps(self):
"""Clear the in memory symbol lookup maps.
This will make any changes to the underlying db available to the
symbol maps.
"""
# clear the lazyval caches, the next access will requery
try:
del type(self).symbol_ownership_map[self]
... | Clear the in memory symbol lookup maps.
This will make any changes to the underlying db available to the
symbol maps.
| reload_symbol_maps | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def lookup_symbol(self, symbol, as_of_date, fuzzy=False):
"""Lookup an equity by symbol.
Parameters
----------
symbol : str
The ticker symbol to resolve.
as_of_date : datetime or None
Look up the last owner of this symbol as of this datetime.
... | Lookup an equity by symbol.
Parameters
----------
symbol : str
The ticker symbol to resolve.
as_of_date : datetime or None
Look up the last owner of this symbol as of this datetime.
If ``as_of_date`` is None, then this can only resolve the equity
... | lookup_symbol | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def lookup_symbols(self, symbols, as_of_date, fuzzy=False):
"""
Lookup a list of equities by symbol.
Equivalent to::
[finder.lookup_symbol(s, as_of, fuzzy) for s in symbols]
but potentially faster because repeated lookups are memoized.
Parameters
---------... |
Lookup a list of equities by symbol.
Equivalent to::
[finder.lookup_symbol(s, as_of, fuzzy) for s in symbols]
but potentially faster because repeated lookups are memoized.
Parameters
----------
symbols : sequence[str]
Sequence of ticker symbol... | lookup_symbols | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def _symbol_lookups(self):
"""
An iterable of symbol lookup functions to use with ``lookup_generic``
Attempts equities lookup, then futures.
"""
return (
self.lookup_symbol,
# lookup_future_symbol method does not use as_of date, since
# symbol... |
An iterable of symbol lookup functions to use with ``lookup_generic``
Attempts equities lookup, then futures.
| _symbol_lookups | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def lookup_generic(self,
asset_convertible_or_iterable,
as_of_date):
"""
Convert a AssetConvertible or iterable of AssetConvertibles into
a list of Asset objects.
This method exists primarily as a convenience for implementing
user-fa... |
Convert a AssetConvertible or iterable of AssetConvertibles into
a list of Asset objects.
This method exists primarily as a convenience for implementing
user-facing APIs that can handle multiple kinds of input. It should
not be used for internal code where we already know the ... | lookup_generic | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def map_identifier_index_to_sids(self, index, as_of_date):
"""
This method is for use in sanitizing a user's DataFrame or Panel
inputs.
Takes the given index of identifiers, checks their types, builds assets
if necessary, and returns a list of the sids that correspond to the
... |
This method is for use in sanitizing a user's DataFrame or Panel
inputs.
Takes the given index of identifiers, checks their types, builds assets
if necessary, and returns a list of the sids that correspond to the
input index.
Parameters
----------
index... | map_identifier_index_to_sids | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def _compute_asset_lifetimes(self):
"""
Compute and cache a recarry of asset lifetimes.
"""
equities_cols = self.equities.c
buf = np.array(
tuple(
sa.select((
equities_cols.sid,
equities_cols.start_date,
... |
Compute and cache a recarry of asset lifetimes.
| _compute_asset_lifetimes | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def lifetimes(self, dates, include_start_date):
"""
Compute a DataFrame representing asset lifetimes for the specified date
range.
Parameters
----------
dates : pd.DatetimeIndex
The dates for which to compute lifetimes.
include_start_date : bool
... |
Compute a DataFrame representing asset lifetimes for the specified date
range.
Parameters
----------
dates : pd.DatetimeIndex
The dates for which to compute lifetimes.
include_start_date : bool
Whether or not to count the asset as alive on its st... | lifetimes | python | scrtlabs/catalyst | catalyst/assets/assets.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/assets.py | Apache-2.0 |
def _generate_output_dataframe(data_subset, defaults):
"""
Generates an output dataframe from the given subset of user-provided
data, the given column names, and the given default values.
Parameters
----------
data_subset : DataFrame
A DataFrame, usually from an AssetData object,
... |
Generates an output dataframe from the given subset of user-provided
data, the given column names, and the given default values.
Parameters
----------
data_subset : DataFrame
A DataFrame, usually from an AssetData object,
that contains the user's input metadata for the asset type b... | _generate_output_dataframe | python | scrtlabs/catalyst | catalyst/assets/asset_writer.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/asset_writer.py | Apache-2.0 |
def _split_symbol_mappings(df):
"""Split out the symbol: sid mappings from the raw data.
Parameters
----------
df : pd.DataFrame
The dataframe with multiple rows for each symbol: sid pair.
Returns
-------
asset_info : pd.DataFrame
The asset info with one row per asset.
... | Split out the symbol: sid mappings from the raw data.
Parameters
----------
df : pd.DataFrame
The dataframe with multiple rows for each symbol: sid pair.
Returns
-------
asset_info : pd.DataFrame
The asset info with one row per asset.
symbol_mappings : pd.DataFrame
... | _split_symbol_mappings | python | scrtlabs/catalyst | catalyst/assets/asset_writer.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/asset_writer.py | Apache-2.0 |
def write(self,
equities=None,
futures=None,
exchanges=None,
root_symbols=None,
equity_supplementary_mappings=None,
chunk_size=DEFAULT_CHUNK_SIZE):
"""Write asset metadata to a sqlite database.
Parameters
------... | Write asset metadata to a sqlite database.
Parameters
----------
equities : pd.DataFrame, optional
The equity metadata. The columns for this dataframe are:
symbol : str
The ticker symbol for this equity.
asset_name : str
... | write | python | scrtlabs/catalyst | catalyst/assets/asset_writer.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/asset_writer.py | Apache-2.0 |
def make_rotating_equity_info(num_assets,
first_start,
frequency,
periods_between_starts,
asset_lifetime):
"""
Create a DataFrame representing lifetimes of assets that are constantly
rotat... |
Create a DataFrame representing lifetimes of assets that are constantly
rotating in and out of existence.
Parameters
----------
num_assets : int
How many assets to create.
first_start : pd.Timestamp
The start date for the first asset.
frequency : str or pd.tseries.offsets.O... | make_rotating_equity_info | python | scrtlabs/catalyst | catalyst/assets/synthetic.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/synthetic.py | Apache-2.0 |
def make_simple_equity_info(sids,
start_date,
end_date,
symbols=None):
"""
Create a DataFrame representing assets that exist for the full duration
between `start_date` and `end_date`.
Parameters
----------
sids ... |
Create a DataFrame representing assets that exist for the full duration
between `start_date` and `end_date`.
Parameters
----------
sids : array-like of int
start_date : pd.Timestamp, optional
end_date : pd.Timestamp, optional
symbols : list, optional
Symbols to use for the asse... | make_simple_equity_info | python | scrtlabs/catalyst | catalyst/assets/synthetic.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/synthetic.py | Apache-2.0 |
def make_future_info(first_sid,
root_symbols,
years,
notice_date_func,
expiration_date_func,
start_date_func,
month_codes=None):
"""
Create a DataFrame representing futures for `root_sym... |
Create a DataFrame representing futures for `root_symbols` during `year`.
Generates a contract per triple of (symbol, year, month) supplied to
`root_symbols`, `years`, and `month_codes`.
Parameters
----------
first_sid : int
The first sid to use for assigning sids to the created contr... | make_future_info | python | scrtlabs/catalyst | catalyst/assets/synthetic.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/synthetic.py | Apache-2.0 |
def make_commodity_future_info(first_sid,
root_symbols,
years,
month_codes=None):
"""
Make futures testing data that simulates the notice/expiration date
behavior of physical commodities like oil.
Parameters
... |
Make futures testing data that simulates the notice/expiration date
behavior of physical commodities like oil.
Parameters
----------
first_sid : int
root_symbols : list[str]
years : list[int]
month_codes : dict[str -> int]
Expiration dates are on the 20th of the month prior to the... | make_commodity_future_info | python | scrtlabs/catalyst | catalyst/assets/synthetic.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/assets/synthetic.py | Apache-2.0 |
def get_currency_pairs(self):
'''
Retrieves and returns all currency pairs from the exchange
'''
url = self._api_path + 'command=returnTicker'
try:
response = requests.get(url)
except Exception as e:
log.error('Failed to retrieve list of currency ... |
Retrieves and returns all currency pairs from the exchange
| get_currency_pairs | python | scrtlabs/catalyst | catalyst/curate/poloniex.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/curate/poloniex.py | Apache-2.0 |
def _retrieve_tradeID_date(self, row):
'''
Helper function that reads tradeID and date fields from CSV readline
'''
tId = int(row.split(',')[0])
d = pd.to_datetime(row.split(',')[1],
infer_datetime_format=True).value // 10 ** 9
return tId, d |
Helper function that reads tradeID and date fields from CSV readline
| _retrieve_tradeID_date | python | scrtlabs/catalyst | catalyst/curate/poloniex.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/curate/poloniex.py | Apache-2.0 |
def generate_ohlcv(self, df):
'''
Generates OHLCV dataframe from a dataframe containing all TradeHistory
by resampling with 1-minute period
'''
df.set_index('date', inplace=True) # Index by date
vol = df['total'].to_frame('volume') # set Vol aside
... |
Generates OHLCV dataframe from a dataframe containing all TradeHistory
by resampling with 1-minute period
| generate_ohlcv | python | scrtlabs/catalyst | catalyst/curate/poloniex.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/curate/poloniex.py | Apache-2.0 |
def write_ohlcv_file(self, currencyPair):
'''
Generates OHLCV data file with 1minute bars from TradeHistory on disk
'''
csv_trades = CSV_OUT_FOLDER + 'crypto_trades-' + currencyPair + '.csv'
csv_1min = CSV_OUT_FOLDER + 'crypto_1min-' + currencyPair + '.csv'
if(os.path.get... |
Generates OHLCV data file with 1minute bars from TradeHistory on disk
| write_ohlcv_file | python | scrtlabs/catalyst | catalyst/curate/poloniex.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/curate/poloniex.py | Apache-2.0 |
def onemin_to_dataframe(self, currencyPair, start, end):
'''
Returns a data frame for a given currencyPair from data on disk
'''
csv_fn = CSV_OUT_FOLDER + 'crypto_1min-' + currencyPair + '.csv'
df = pd.read_csv(csv_fn, names=['date',
'open'... |
Returns a data frame for a given currencyPair from data on disk
| onemin_to_dataframe | python | scrtlabs/catalyst | catalyst/curate/poloniex.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/curate/poloniex.py | Apache-2.0 |
def generate_symbols_json(self, filename=None):
'''
Generates a symbols.json file with corresponding start_date
for each currencyPair
'''
symbol_map = {}
if(filename is None):
filename = get_exchange_symbols_filename('poloniex')
with open(filename, '... |
Generates a symbols.json file with corresponding start_date
for each currencyPair
| generate_symbols_json | python | scrtlabs/catalyst | catalyst/curate/poloniex.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/curate/poloniex.py | Apache-2.0 |
def get_last_traded_dt(self, asset, dt):
"""
Get the latest minute on or before ``dt`` in which ``asset`` traded.
If there are no trades on or before ``dt``, returns ``pd.NaT``.
Parameters
----------
asset : catalyst.asset.Asset
The asset for which to get th... |
Get the latest minute on or before ``dt`` in which ``asset`` traded.
If there are no trades on or before ``dt``, returns ``pd.NaT``.
Parameters
----------
asset : catalyst.asset.Asset
The asset for which to get the last traded minute.
dt : pd.Timestamp
... | get_last_traded_dt | python | scrtlabs/catalyst | catalyst/data/continuous_future_reader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/continuous_future_reader.py | Apache-2.0 |
def get_adjustments(self, assets, field, dt, perspective_dt):
"""
Returns a list of adjustments between the dt and perspective_dt for the
given field and list of assets
Parameters
----------
assets : list of type Asset, or Asset
The asset, or assets whose adj... |
Returns a list of adjustments between the dt and perspective_dt for the
given field and list of assets
Parameters
----------
assets : list of type Asset, or Asset
The asset, or assets whose adjustments are desired.
field : {'open', 'high', 'low', 'close', 'v... | get_adjustments | python | scrtlabs/catalyst | catalyst/data/data_portal.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/data_portal.py | Apache-2.0 |
def get_history_window(self,
assets,
end_dt,
bar_count,
frequency,
field,
data_frequency,
ffill=True):
"""
Public A... |
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.
bar_count: int
The number of bars d... | get_history_window | python | scrtlabs/catalyst | catalyst/data/data_portal.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/data_portal.py | Apache-2.0 |
def get_data_filepath(name, environ=None):
"""
Returns a handle to data file.
Creates containing directory, if needed.
"""
dr = data_root(environ)
if not os.path.exists(dr):
os.makedirs(dr)
return os.path.join(dr, name) |
Returns a handle to data file.
Creates containing directory, if needed.
| get_data_filepath | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def has_data_for_dates(series_or_df, first_date, last_date):
"""
Does `series_or_df` have data on or before first_date and on or after
last_date?
"""
dts = series_or_df.index
if not isinstance(dts, pd.DatetimeIndex):
raise TypeError("Expected a DatetimeIndex, but got %s." % type(dts))
... |
Does `series_or_df` have data on or before first_date and on or after
last_date?
| has_data_for_dates | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def load_market_data(trading_day=None, trading_days=None, bm_symbol='SPY',
environ=None):
"""
Load benchmark returns and treasury yield curves for the given calendar and
benchmark symbol.
Benchmarks are downloaded as a Series from Google Finance. Treasury curves
are US Treasur... |
Load benchmark returns and treasury yield curves for the given calendar and
benchmark symbol.
Benchmarks are downloaded as a Series from Google Finance. Treasury curves
are US Treasury Bond rates and are downloaded from 'www.federalreserve.gov'
by default. For Canadian exchanges, a loader for Ca... | load_market_data | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def ensure_benchmark_data(symbol, first_date, last_date, now, trading_day,
environ=None):
"""
Ensure we have benchmark data for `symbol` from `first_date` to `last_date`
Parameters
----------
symbol : str
The symbol for the benchmark to load.
first_date : pd.Ti... |
Ensure we have benchmark data for `symbol` from `first_date` to `last_date`
Parameters
----------
symbol : str
The symbol for the benchmark to load.
first_date : pd.Timestamp
First required date for the cache.
last_date : pd.Timestamp
Last required date for the cache.
... | ensure_benchmark_data | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def ensure_treasury_data(symbol, first_date, last_date, now, environ=None):
"""
Ensure we have treasury data from treasury module associated with
`symbol`.
Parameters
----------
symbol : str
Benchmark symbol for which we're loading associated treasury curves.
first_date : pd.Timesta... |
Ensure we have treasury data from treasury module associated with
`symbol`.
Parameters
----------
symbol : str
Benchmark symbol for which we're loading associated treasury curves.
first_date : pd.Timestamp
First date required to be in the cache.
last_date : pd.Timestamp
... | ensure_treasury_data | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def _load_raw_yahoo_data(indexes=None, stocks=None, start=None, end=None):
"""Load closing prices from yahoo finance.
:Optional:
indexes : dict (Default: {'SPX': '^SPY'})
Financial indexes to load.
stocks : list (Default: ['AAPL', 'GE', 'IBM', 'MSFT',
... | Load closing prices from yahoo finance.
:Optional:
indexes : dict (Default: {'SPX': '^SPY'})
Financial indexes to load.
stocks : list (Default: ['AAPL', 'GE', 'IBM', 'MSFT',
'XOM', 'AA', 'JNJ', 'PEP', 'KO'])
Stock closing prices to load.
... | _load_raw_yahoo_data | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def load_from_yahoo(indexes=None,
stocks=None,
start=None,
end=None,
adjusted=True):
"""
Loads price data from Yahoo into a dataframe for each of the indicated
assets. By default, 'price' is taken from Yahoo's 'Adjusted Close',... |
Loads price data from Yahoo into a dataframe for each of the indicated
assets. By default, 'price' is taken from Yahoo's 'Adjusted Close',
which removes the impact of splits and dividends. If the argument
'adjusted' is False, then the non-adjusted 'close' field is used instead.
:param indexes: Fi... | load_from_yahoo | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def load_bars_from_yahoo(indexes=None,
stocks=None,
start=None,
end=None,
adjusted=True):
"""
Loads data from Yahoo into a panel with the following
column names for each indicated security:
- open
... |
Loads data from Yahoo into a panel with the following
column names for each indicated security:
- open
- high
- low
- close
- volume
- price
Note that 'price' is Yahoo's 'Adjusted Close', which removes the
impact of splits and dividends. If the argument... | load_bars_from_yahoo | python | scrtlabs/catalyst | catalyst/data/loader.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/loader.py | Apache-2.0 |
def convert_cols(cols, scale_factor, sid, invalid_data_behavior):
"""Adapt OHLCV columns into uint64 columns.
Parameters
----------
cols : dict
A dict mapping each column name (open, high, low, close, volume)
to a float column to convert to uint64.
scale_factor : int
Factor ... | Adapt OHLCV columns into uint64 columns.
Parameters
----------
cols : dict
A dict mapping each column name (open, high, low, close, volume)
to a float column to convert to uint64.
scale_factor : int
Factor to use to scale float values before converting to uint64.
sid : int
... | convert_cols | python | scrtlabs/catalyst | catalyst/data/minute_bars.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/minute_bars.py | Apache-2.0 |
def write(self, rootdir):
"""
Write the metadata to a JSON file in the rootdir.
Values contained in the metadata are:
version : int
The value of FORMAT_VERSION of this class.
ohlc_ratio : int
The default ratio by which to multiply the pricing data to
... |
Write the metadata to a JSON file in the rootdir.
Values contained in the metadata are:
version : int
The value of FORMAT_VERSION of this class.
ohlc_ratio : int
The default ratio by which to multiply the pricing data to
convert the floats from floa... | write | python | scrtlabs/catalyst | catalyst/data/minute_bars.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/minute_bars.py | Apache-2.0 |
def minute_frame_to_session_frame(minute_frame, calendar):
"""
Resample a DataFrame with minute data into the frame expected by a
BcolzDailyBarWriter.
Parameters
----------
minute_frame : pd.DataFrame
A DataFrame with the columns `open`, `high`, `low`, `close`, `volume`,
and `d... |
Resample a DataFrame with minute data into the frame expected by a
BcolzDailyBarWriter.
Parameters
----------
minute_frame : pd.DataFrame
A DataFrame with the columns `open`, `high`, `low`, `close`, `volume`,
and `dt` (minute dts)
calendar : catalyst.utils.calendars.trading_cal... | minute_frame_to_session_frame | python | scrtlabs/catalyst | catalyst/data/resample.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/resample.py | Apache-2.0 |
def parse_treasury_csv_column(column):
"""
Parse a treasury CSV column into a more human-readable format.
Columns start with 'RIFLGFC', followed by Y or M (year or month), followed
by a two-digit number signifying number of years/months, followed by _N.B.
We only care about the middle two entries, ... |
Parse a treasury CSV column into a more human-readable format.
Columns start with 'RIFLGFC', followed by Y or M (year or month), followed
by a two-digit number signifying number of years/months, followed by _N.B.
We only care about the middle two entries, which we turn into a string like
3month or... | parse_treasury_csv_column | python | scrtlabs/catalyst | catalyst/data/treasuries.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/treasuries.py | Apache-2.0 |
def earliest_possible_date():
"""
The earliest date for which we can load data from this module.
"""
# The US Treasury actually has data going back further than this, but it's
# pretty rare to find pricing data going back that far, and there's no
# reason to make people download benchmarks back ... |
The earliest date for which we can load data from this module.
| earliest_possible_date | python | scrtlabs/catalyst | catalyst/data/treasuries.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/treasuries.py | Apache-2.0 |
def get_daily_10yr_treasury_data():
"""Download daily 10 year treasury rates from the Federal Reserve and
return a pandas.Series."""
url = "https://www.federalreserve.gov/datadownload/Output.aspx?rel=H15" \
"&series=bcb44e57fb57efbe90002369321bfb3f&lastObs=&from=&to=" \
"&filetype=csv&la... | Download daily 10 year treasury rates from the Federal Reserve and
return a pandas.Series. | get_daily_10yr_treasury_data | python | scrtlabs/catalyst | catalyst/data/treasuries.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/treasuries.py | Apache-2.0 |
def _format_url(instrument_type,
instrument_ids,
start_date,
end_date,
earliest_allowed_date):
"""
Format a URL for loading data from Bank of Canada.
"""
return (
"http://www.bankofcanada.ca/stats/results/csv"
"?lP=lookup_{i... |
Format a URL for loading data from Bank of Canada.
| _format_url | python | scrtlabs/catalyst | catalyst/data/treasuries_can.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/treasuries_can.py | Apache-2.0 |
def load_frame(url, skiprows):
"""
Load a DataFrame of data from a Bank of Canada site.
"""
return pd.read_csv(
url,
skiprows=skiprows,
skipinitialspace=True,
na_values=["Bank holiday", "Not available"],
parse_dates=["Date"],
index_col="Date",
).dropna... |
Load a DataFrame of data from a Bank of Canada site.
| load_frame | python | scrtlabs/catalyst | catalyst/data/treasuries_can.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/treasuries_can.py | Apache-2.0 |
def check_known_inconsistencies(bill_data, bond_data):
"""
There are a couple quirks in the data provided by Bank of Canada.
Check that no new quirks have been introduced in the latest download.
"""
inconsistent_dates = bill_data.index.sym_diff(bond_data.index)
known_inconsistencies = [
... |
There are a couple quirks in the data provided by Bank of Canada.
Check that no new quirks have been introduced in the latest download.
| check_known_inconsistencies | python | scrtlabs/catalyst | catalyst/data/treasuries_can.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/treasuries_can.py | Apache-2.0 |
def winsorise_uint64(df, invalid_data_behavior, column, *columns):
"""Drops any record where a value would not fit into a uint64.
Parameters
----------
df : pd.DataFrame
The dataframe to winsorise.
invalid_data_behavior : {'warn', 'raise', 'ignore'}
What to do when data is outside t... | Drops any record where a value would not fit into a uint64.
Parameters
----------
df : pd.DataFrame
The dataframe to winsorise.
invalid_data_behavior : {'warn', 'raise', 'ignore'}
What to do when data is outside the bounds of a uint64.
*columns : iterable[str]
The names of t... | winsorise_uint64 | python | scrtlabs/catalyst | catalyst/data/us_equity_pricing.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/us_equity_pricing.py | Apache-2.0 |
def write(self,
data,
assets=None,
show_progress=False,
invalid_data_behavior='warn'):
"""
Parameters
----------
data : iterable[tuple[int, pandas.DataFrame or bcolz.ctable]]
The data chunks to write. Each chunk should b... |
Parameters
----------
data : iterable[tuple[int, pandas.DataFrame or bcolz.ctable]]
The data chunks to write. Each chunk should be a tuple of sid
and the data for that asset.
assets : set[int], optional
The assets that should be in ``data``. If this i... | write | python | scrtlabs/catalyst | catalyst/data/us_equity_pricing.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/us_equity_pricing.py | Apache-2.0 |
def write_csvs(self,
asset_map,
show_progress=False,
invalid_data_behavior='warn'):
"""Read CSVs as DataFrames from our asset map.
Parameters
----------
asset_map : dict[int -> str]
A mapping from asset id to file path... | Read CSVs as DataFrames from our asset map.
Parameters
----------
asset_map : dict[int -> str]
A mapping from asset id to file path with the CSV data for that
asset
show_progress : bool
Whether or not to show a progress bar while writing.
inva... | write_csvs | python | scrtlabs/catalyst | catalyst/data/us_equity_pricing.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/us_equity_pricing.py | Apache-2.0 |
def get_last_traded_dt(self, asset, dt):
"""
Parameters
----------
asset : catalyst.asset.Asset
The asset identifier.
dt : datetime64-like
Midnight of the day for which data is requested.
Returns
-------
pd.Timestamp : The last kno... |
Parameters
----------
asset : catalyst.asset.Asset
The asset identifier.
dt : datetime64-like
Midnight of the day for which data is requested.
Returns
-------
pd.Timestamp : The last know dt for the asset and dt;
Na... | get_last_traded_dt | python | scrtlabs/catalyst | catalyst/data/us_equity_pricing.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/us_equity_pricing.py | Apache-2.0 |
def write(self,
splits=None,
mergers=None,
dividends=None,
stock_dividends=None):
"""
Writes data to a SQLite file to be read by SQLiteAdjustmentReader.
Parameters
----------
splits : pandas.DataFrame, optional
... |
Writes data to a SQLite file to be read by SQLiteAdjustmentReader.
Parameters
----------
splits : pandas.DataFrame, optional
Dataframe containing split data. The format of this dataframe is:
effective_date : int
The date, represented as secon... | write | python | scrtlabs/catalyst | catalyst/data/us_equity_pricing.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/us_equity_pricing.py | Apache-2.0 |
def _make_bundle_core():
"""Create a family of data bundle functions that read from the same
bundle mapping.
Returns
-------
bundles : mappingproxy
The mapping of bundles to bundle payloads.
register_bundle : Bundle
A bundle instance to add to the ``bundles`` mapping.
regist... | Create a family of data bundle functions that read from the same
bundle mapping.
Returns
-------
bundles : mappingproxy
The mapping of bundles to bundle payloads.
register_bundle : Bundle
A bundle instance to add to the ``bundles`` mapping.
register : callable
The functi... | _make_bundle_core | python | scrtlabs/catalyst | catalyst/data/bundles/core.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/core.py | Apache-2.0 |
def register(name,
f,
calendar_name='OPEN',
start_session=None,
end_session=None,
minutes_per_day=1440,
create_writers=True):
"""Register a data bundle ingest function.
Parameters
----------
... | Register a data bundle ingest function.
Parameters
----------
name : str
The name of the bundle.
f : callable
The ingest function. This function will be passed:
environ : mapping
The environment this is being run with.
... | register | python | scrtlabs/catalyst | catalyst/data/bundles/core.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/core.py | Apache-2.0 |
def unregister(name):
"""Unregister a bundle.
Parameters
----------
name : str
The name of the bundle to unregister.
Raises
------
UnknownBundle
Raised when no bundle has been registered with the given name.
See Also
----... | Unregister a bundle.
Parameters
----------
name : str
The name of the bundle to unregister.
Raises
------
UnknownBundle
Raised when no bundle has been registered with the given name.
See Also
--------
catalyst.data.bundle... | unregister | python | scrtlabs/catalyst | catalyst/data/bundles/core.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/core.py | Apache-2.0 |
def most_recent_data(bundle_name, timestamp, environ=None):
"""Get the path to the most recent data after ``date``for the
given bundle.
Parameters
----------
bundle_name : str
The name of the bundle to lookup.
timestamp : datetime
The timestamp to... | Get the path to the most recent data after ``date``for the
given bundle.
Parameters
----------
bundle_name : str
The name of the bundle to lookup.
timestamp : datetime
The timestamp to begin searching on or before.
environ : dict, optional
... | most_recent_data | python | scrtlabs/catalyst | catalyst/data/bundles/core.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/core.py | Apache-2.0 |
def clean(name,
before=None,
after=None,
keep_last=None,
environ=os.environ):
"""Clean up data that was created with ``ingest`` or
``$ python -m catalyst ingest``
Parameters
----------
name : str
The name of the... | Clean up data that was created with ``ingest`` or
``$ python -m catalyst ingest``
Parameters
----------
name : str
The name of the bundle to remove data for.
before : datetime, optional
Remove data ingested before this date.
This argument is m... | clean | python | scrtlabs/catalyst | catalyst/data/bundles/core.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/core.py | Apache-2.0 |
def _format_metadata_url(self, api_key, page_number):
"""Build the query RL for the quandl WIKI metadata.
"""
query_params = [
('per_page', '100'),
('sort_by', 'id'),
('page', str(page_number)),
('database_code', 'WIKI'),
]
if api_k... | Build the query RL for the quandl WIKI metadata.
| _format_metadata_url | python | scrtlabs/catalyst | catalyst/data/bundles/quandl.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/quandl.py | Apache-2.0 |
def _format_wiki_url(self,
api_key,
symbol,
start_date,
end_date,
data_frequency):
"""
Build a query URL for a quandl WIKI dataset.
"""
query_params = [
... |
Build a query URL for a quandl WIKI dataset.
| _format_wiki_url | python | scrtlabs/catalyst | catalyst/data/bundles/quandl.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/quandl.py | Apache-2.0 |
def yahoo_equities(symbols, start=None, end=None):
"""Create a data bundle ingest function from a set of symbols loaded from
yahoo.
Parameters
----------
symbols : iterable[str]
The ticker symbols to load data for.
start : datetime, optional
The start date to query for. By defau... | Create a data bundle ingest function from a set of symbols loaded from
yahoo.
Parameters
----------
symbols : iterable[str]
The ticker symbols to load data for.
start : datetime, optional
The start date to query for. By default this pulls the full history
for the calendar.
... | yahoo_equities | python | scrtlabs/catalyst | catalyst/data/bundles/yahoo.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/data/bundles/yahoo.py | Apache-2.0 |
def place_orders(context, amount, buying_price, selling_price, action):
"""
This method will always place two orders of the same amount to keep
the currency position the same as it moves between the two exchanges.
:param context: TradingAlgorithm
:param amount: float
The trading pair amount... |
This method will always place two orders of the same amount to keep
the currency position the same as it moves between the two exchanges.
:param context: TradingAlgorithm
:param amount: float
The trading pair amount to trade on both exchanges.
:param buying_price: float
The current... | place_orders | python | scrtlabs/catalyst | catalyst/examples/arbitrage_with_interface.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/examples/arbitrage_with_interface.py | Apache-2.0 |
def run_example(example_name, environ):
"""
Run an example module from catalyst.examples.
"""
mod = EXAMPLE_MODULES[example_name]
register_calendar("YAHOO", get_calendar("NYSE"), force=True)
return run_algorithm(
initialize=getattr(mod, 'initialize', None),
handle_data=getattr(... |
Run an example module from catalyst.examples.
| run_example | python | scrtlabs/catalyst | catalyst/examples/__init__.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/examples/__init__.py | Apache-2.0 |
def get_symbol(self, asset):
"""
The exchange specific symbol of the specified market.
Parameters
----------
asset: TradingPair
Returns
-------
str
"""
symbol = None
for a in self.assets:
if not symbol and a.symbol =... |
The exchange specific symbol of the specified market.
Parameters
----------
asset: TradingPair
Returns
-------
str
| get_symbol | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def get_symbols(self, assets):
"""
Get a list of symbols corresponding to each given asset.
Parameters
----------
assets: list[TradingPair]
Returns
-------
list[str]
"""
symbols = []
for asset in assets:
symbols.appen... |
Get a list of symbols corresponding to each given asset.
Parameters
----------
assets: list[TradingPair]
Returns
-------
list[str]
| get_symbols | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def get_assets(self, symbols=None, data_frequency=None,
is_exchange_symbol=False,
is_local=None, quote_currency=None):
"""
The list of markets for the specified symbols.
Parameters
----------
symbols: list[str]
data_frequency: str
... |
The list of markets for the specified symbols.
Parameters
----------
symbols: list[str]
data_frequency: str
is_exchange_symbol: bool
is_local: bool
Returns
-------
list[TradingPair]
A list of asset objects.
Notes
... | get_assets | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def get_asset(self, symbol, data_frequency=None, is_exchange_symbol=False,
is_local=None):
"""
The market for the specified symbol.
Parameters
----------
symbol: str
The Catalyst or exchange symbol.
data_frequency: str
Check for... |
The market for the specified symbol.
Parameters
----------
symbol: str
The Catalyst or exchange symbol.
data_frequency: str
Check for asset corresponding to the specified data_frequency.
The same asset might exist in the Catalyst repository ... | get_asset | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def init(self):
"""
Load the asset list from the network.
Returns
-------
""" |
Load the asset list from the network.
Returns
-------
| init | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
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... |
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',... | get_spot_value | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
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.
Parameters
----------
candles: list[dict[str, float]]
start_dt: datetime
... |
Get a series of field data for the specified candles.
Parameters
----------
candles: list[dict[str, float]]
start_dt: datetime
end_dt: datetime
data_frequency: str
field: str
previous_value: float
Returns
-------
Series
... | get_series_from_candles | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def get_history_window(self,
assets,
end_dt,
bar_count,
frequency,
field,
data_frequency=None,
is_current=False):
"""
... |
Public API method that returns a dataframe containing the requested
history window. Data is fully adjusted.
Parameters
----------
assets : list[TradingPair]
The assets whose data is desired.
end_dt: datetime
The date of the last bar
ba... | get_history_window | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def get_history_window_with_bundle(self,
assets,
end_dt,
bar_count,
frequency,
field,
... |
Public API method that returns a dataframe containing the requested
history window. Data is fully adjusted.
Parameters
----------
assets : list[TradingPair]
The assets whose data is desired.
end_dt: datetime
The date of the last bar.
b... | get_history_window_with_bundle | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def _check_low_balance(self, currency, balances, amount):
"""
In order to avoid spending money that the user doesn't own,
we are comparing to the balance on the account.
For positions, we want to avoid double updates, since, exchanges
update positions when the order is opened as ... |
In order to avoid spending money that the user doesn't own,
we are comparing to the balance on the account.
For positions, we want to avoid double updates, since, exchanges
update positions when the order is opened as used, catalyst wants
to take them into consideration, therefo... | _check_low_balance | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def sync_positions(self, positions, cash=None,
check_balances=False):
"""
Update the portfolio cash and position balances based on the
latest ticker prices.
Parameters
----------
positions:
The positions to synchronize.
check_b... |
Update the portfolio cash and position balances based on the
latest ticker prices.
Parameters
----------
positions:
The positions to synchronize.
check_balances:
Check balances amounts against the exchange.
| sync_positions | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def get_order(self, order_id, symbol_or_asset=None,
return_price=False, params={}):
"""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.
... | 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.
symbol_or_asset: str|TradingPair
The catalyst symbol, some exchanges need this
return_price: ... | get_order | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def process_order(self, order):
"""
Similar to get_order but looks only for executed orders.
Parameters
----------
order: Order
Returns
-------
float
Avg execution price
""" |
Similar to get_order but looks only for executed orders.
Parameters
----------
order: Order
Returns
-------
float
Avg execution price
| process_order | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def cancel_order(self, order_param,
symbol_or_asset=None, params={}):
"""Cancel an open order.
Parameters
----------
order_param : str or Order
The order_id or order object to cancel.
symbol_or_asset: str|TradingPair
The catalyst symb... | Cancel an open order.
Parameters
----------
order_param : str or Order
The order_id or order object to cancel.
symbol_or_asset: str|TradingPair
The catalyst symbol, some exchanges need this
params:
| cancel_order | python | scrtlabs/catalyst | catalyst/exchange/exchange.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange.py | Apache-2.0 |
def set_commission(self, maker=None, taker=None):
"""Sets the maker and taker fees of the commission model for the simulation.
Parameters
----------
maker : float
The taker fee - taking from the order book.
taker : float
The maker fee - adding to the orde... | Sets the maker and taker fees of the commission model for the simulation.
Parameters
----------
maker : float
The taker fee - taking from the order book.
taker : float
The maker fee - adding to the order book.
| set_commission | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def set_slippage(self, slippage=None):
"""Set the slippage of the fixed slippage model used by the simulation.
Parameters
----------
slippage : float
The slippage to be set.
"""
key = list(self.blotter.slippage_models.keys())[0]
if slippage is not Non... | Set the slippage of the fixed slippage model used by the simulation.
Parameters
----------
slippage : float
The slippage to be set.
| set_slippage | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def _calculate_order_target_amount(self, asset, target):
"""
removes order amounts so we won't run into issues
when two orders are placed one after the other.
it then proceeds to removing positions amount at TradingAlgorithm
:param asset:
:param target:
:return: t... |
removes order amounts so we won't run into issues
when two orders are placed one after the other.
it then proceeds to removing positions amount at TradingAlgorithm
:param asset:
:param target:
:return: target
| _calculate_order_target_amount | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def symbol(self, symbol_str, exchange_name=None):
"""Lookup a Trading pair by its ticker symbol.
Catalyst defines its own set of "universal" symbols to reference
trading pairs across exchanges. This is required because exchanges
are not adhering to a universal symbolism. For example, Bit... | Lookup a Trading pair by its ticker symbol.
Catalyst defines its own set of "universal" symbols to reference
trading pairs across exchanges. This is required because exchanges
are not adhering to a universal symbolism. For example, Bitfinex
uses the BTC symbol for Bitcon while Kraken use... | symbol | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def prepare_period_stats(self, start_dt, end_dt):
"""
Creates a dictionary representing the state of the tracker.
Parameters
----------
start_dt: datetime
end_dt: datetime
Notes
-----
I rewrote this in an attempt to better control the stats.
... |
Creates a dictionary representing the state of the tracker.
Parameters
----------
start_dt: datetime
end_dt: datetime
Notes
-----
I rewrote this in an attempt to better control the stats.
I don't want things to happen magically through complex l... | prepare_period_stats | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def get_frame_stats(self):
"""
preparing the stats before analyze
:return: stats: pd.Dataframe
"""
# add the last day stats which is not saved in the directory
current_stats = pd.DataFrame(self.frame_stats)
current_stats.set_index('period_close', drop=False, inpla... |
preparing the stats before analyze
:return: stats: pd.Dataframe
| get_frame_stats | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def interrupt_algorithm(self):
"""
when algorithm comes to an end this function is called.
extracts the stats and calls analyze.
after finishing, it exits the run.
Parameters
----------
Returns
-------
"""
self.is_running = False
... |
when algorithm comes to an end this function is called.
extracts the stats and calls analyze.
after finishing, it exits the run.
Parameters
----------
Returns
-------
| interrupt_algorithm | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def _init_trading_client(self):
"""
This replaces Ziplines `_create_generator` method. The main difference
is that we are restoring performance tracker objects if available.
This allows us to stop/start algos without loosing their state.
"""
self.state = get_algo_object(... |
This replaces Ziplines `_create_generator` method. The main difference
is that we are restoring performance tracker objects if available.
This allows us to stop/start algos without loosing their state.
| _init_trading_client | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def synchronize_portfolio(self):
"""
Synchronizes the portfolio tracked by the algorithm to refresh
its current value.
This includes updating the last_sale_price of all tracked
positions, returning the available cash, and raising error
if the data goes out of sync.
... |
Synchronizes the portfolio tracked by the algorithm to refresh
its current value.
This includes updating the last_sale_price of all tracked
positions, returning the available cash, and raising error
if the data goes out of sync.
Returns
-------
float
... | synchronize_portfolio | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
def add_custom_signals_stats(self, period_stats):
"""
Save custom signals stats.
Parameters
----------
period_stats
Returns
-------
"""
log.debug('adding custom signals stats: {}'.format(self.recorded_vars))
df = pd.DataFrame(
... |
Save custom signals stats.
Parameters
----------
period_stats
Returns
-------
| add_custom_signals_stats | python | scrtlabs/catalyst | catalyst/exchange/exchange_algorithm.py | https://github.com/scrtlabs/catalyst/blob/master/catalyst/exchange/exchange_algorithm.py | Apache-2.0 |
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