Merge branch 'develop'

Dockerfile

@@ -9,7 +9,7 @@
 #
 # To access Jupyter when running docker locally (you may need to add NAT rules):
 #
-#    https://127.0.0.1
+#    https://127.0.0.1:8888      <- Please note HTTPS, not HTTP
 #
 # Default password is 'jupyter'. To provide another, see:
 #    http://jupyter-notebook.readthedocs.org/en/latest/public_server.html#preparing-a-hashed-password
@@ -21,7 +21,7 @@
 #
 #    docker exec -it catalyst catalyst run -f /projects/my_algo.py --start 2015-1-1 --end 2016-1-1 /projects/result.pickle
 #
-FROM python:3.5
+FROM python:3.6
 
 #
 # set up environment
@@ -54,9 +54,9 @@ RUN mkdir ${PROJECT_DIR} \
 
 WORKDIR /ta-lib
 
-RUN pip install 'numpy>=1.11.1,<2.0.0' \
-  && pip install 'scipy>=0.17.1,<1.0.0' \
-  && pip install 'pandas>=0.18.1,<1.0.0' \
+RUN pip install 'numpy==1.14.0' \
+  && pip install 'scipy==1.0.0' \
+  && pip install 'pandas==0.19.2' \
   && ./configure --prefix=/usr \
   && make \
   && make install \

catalyst/_protocol.pyx

@@ -304,7 +304,10 @@ cdef class BarData:
         the current trade bar.  If there is no current trade bar, NaN is
         returned.
 
+        In live mode, "volume", "close" and "price" are the only available fields.
+
         In live mode, "volume" returns the last 24 hour trading volume.
+
         """
         multiple_assets = _is_iterable(assets)
         multiple_fields = _is_iterable(fields)

catalyst/algorithm.py

@@ -76,6 +76,7 @@
     StopLimitOrder,
     StopOrder,
 )
+from catalyst.finance.order import Order
 from catalyst.finance.performance import PerformanceTracker
 from catalyst.finance.asset_restrictions import Restrictions
 from catalyst.finance.cancel_policy import NeverCancel, CancelPolicy
@@ -2104,7 +2105,8 @@ def cancel_order(self, order_param):
             The order_id or order object to cancel.
         """
         order_id = order_param
-        if isinstance(order_param, catalyst.protocol.Order):
+        if isinstance(order_param, catalyst.protocol.Order) or \
+                isinstance(order_param, Order):
             order_id = order_param.id
 
         self.blotter.cancel(order_id)

catalyst/api.pyi

@@ -50,13 +50,17 @@ def batch_market_order(share_counts):
     """
 
 
-def cancel_order(order_param):
+def cancel_order(order_param, symbol=None, params={}):
     """Cancel an open order.
 
     Parameters
     ----------
     order_param : str or Order
         The order_id or order object to cancel.
+    symbol: str
+        The tradingPair symbol
+    params: dict, optional
+        Extra parameters to pass to the exchange
     """
 
 
@@ -209,14 +213,18 @@ def get_environment(field='platform'):
     """
 
 
-def get_order(order_id):
+def get_order(order_id, asset_or_symbol=None, return_price=False):
     """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.
+    asset_or_symbol: Asset or str
+            The asset or the tradingPair symbol of the order.
+        return_price: bool
+            get the trading price in addition to the order
 
     Returns
     -------

catalyst/examples/arbitrage_with_interface.py

@@ -3,8 +3,7 @@
 from catalyst.api import (
     record,
     order,
-    symbol,
-    get_open_orders
+    symbol
 )
 from catalyst.exchange.utils.stats_utils import get_pretty_stats
 from catalyst.utils.run_algo import run_algorithm
@@ -200,12 +199,11 @@ def handle_data(context, data):
     for exchange in context.trading_pairs:
         asset = context.trading_pairs[exchange]
 
-        orders = get_open_orders(asset)
-        if orders:
+        if asset in context.blotter.open_orders:
             log.info(
                 'found {order_count} open orders on {exchange_name} '
                 'skipping bar until all open orders execute'.format(
-                    order_count=len(orders),
+                    order_count=len(context.blotter.open_orders(asset)),
                     exchange_name=exchange.name
                 )
             )

catalyst/examples/talib_simple.py

@@ -38,7 +38,6 @@ def initialize(context):
     context.ORDER_SIZE = 10
     context.SLIPPAGE_ALLOWED = 0.05
 
-    context.swallow_errors = True
     context.errors = []
 
     # Bars to look at per iteration should be bigger than SMA_SLOW

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -30,6 +30,7 @@
     get_periods_range
 from catalyst.finance.order import Order, ORDER_STATUS
 from catalyst.finance.transaction import Transaction
+from redo import retry
 
 log = Logger('CCXT', level=LOG_LEVEL)
 
@@ -82,6 +83,12 @@ def __init__(self, exchange_name, key,
         self.request_cpt = dict()
         self._common_symbols = dict()
 
+        # Operations with retry features
+        self.attempts = dict(
+            missing_order_attempts=5,
+            retry_sleeptime=5,
+        )
+
         self.bundle = ExchangeBundle(self.name)
         self.markets = None
         self._is_init = False
@@ -722,7 +729,12 @@ def _create_order(self, order_status):
 
         limit_price = price if order_type == 'limit' else None
 
-        executed_price = order_status['cost'] / order_status['amount']
+        if 'price' in order_status:
+            executed_price = order_status['price']
+        elif 'cost' in order_status and "amount" in order_status:
+            executed_price = order_status['cost'] / order_status['amount']
+        else:
+            executed_price = None
         commission = order_status['fee']
         date = from_ms_timestamp(order_status['timestamp'])
 
@@ -837,8 +849,9 @@ def _handle_request_timeout(self, dt_before, asset, amount, is_buy, style,
         :param adj_amount: int
         :return: missing_order: Order/ None
         """
+        symbol = asset.asset_name.replace(' ', '')
         missing_order_id, missing_order = self._fetch_missing_order(
-            dt_before=dt_before, symbol=asset.asset_name)
+            dt_before=dt_before, symbol=symbol)
 
         if missing_order_id:
             final_amount = adj_amount if amount > 0 else -adj_amount
@@ -908,9 +921,15 @@ def create_order(self, asset, amount, is_buy, style):
                 'an order on {} / {}\n Checking if an order was filled '
                 'during the timeout'.format(self.name, symbol)
             )
-
-            missing_order = self._handle_request_timeout(
-                before_order_dt, asset, amount, is_buy, style, adj_amount
+            missing_order = retry(
+                action=self._handle_request_timeout,
+                attempts=self.attempts['missing_order_attempts'],
+                sleeptime=self.attempts['retry_sleeptime'],
+                retry_exceptions=(RequestTimeout, ExchangeError),
+                cleanup=lambda: log.warn('Checking missing order again..'),
+                args=(
+                    before_order_dt, asset, amount, is_buy, style, adj_amount
+                )
             )
             if missing_order is None:
                 # no order was found
@@ -920,6 +939,7 @@ def create_order(self, asset, amount, is_buy, style):
                     'We encourage you to report any issue on GitHub: '
                     'https://github.com/enigmampc/catalyst/issues'
                 )
+                # In order to try ordering again
                 raise ExchangeRequestError(error=e)
             else:
                 return missing_order
@@ -999,11 +1019,6 @@ def _check_low_balance(self, currency, balances, amount):
         return super(CCXT, self)._check_low_balance(updated_currency, balances,
                                                     amount)
 
-    def _check_position_balance(self, currency, balances, amount):
-        updated_currency = self._check_common_symbols(currency)
-        return super(CCXT, self)._check_position_balance(updated_currency,
-                                                         balances, amount)
-
     def _process_order_fallback(self, order):
         """
         Fallback method for exchanges which do not play nice with
@@ -1128,6 +1143,25 @@ def process_order(self, order):
         return transactions
 
     def get_order(self, order_id, asset_or_symbol=None, return_price=False):
+        """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.
+        asset_or_symbol: Asset or str
+            The asset or the tradingPair symbol of the order.
+        return_price: bool
+            get the trading price in addition to the order
+
+        Returns
+        -------
+        order : Order
+            The order object.
+        execution_price: float
+            The execution price per unit of the order if return_price is True
+        """
         if asset_or_symbol is None:
             log.debug(
                 'order not found in memory, the request might fail '

catalyst/exchange/exchange.py

@@ -679,24 +679,6 @@ def get_history_window_with_bundle(self,
         return df
 
     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.
-        :param currency: str
-        :param balances: dict
-        :param amount: float
-        :return: free: float,
-                       bool
-        """
-        free = balances[currency]['free'] if currency in balances else 0.0
-
-        if free < amount:
-            return free, True
-
-        else:
-            return free, False
-
-    def _check_position_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.
@@ -732,17 +714,17 @@ def sync_positions(self, positions, cash=None,
             Check balances amounts against the exchange.
 
         """
-        free_cash = 0.0
+        total_cash = 0.0
         if check_balances:
             log.debug('fetching {} balances'.format(self.name))
             balances = self.get_balances()
             log.debug(
-                'got free balances for {} currencies'.format(
+                'got balances for {} currencies'.format(
                     len(balances)
                 )
             )
             if cash is not None:
-                free_cash, is_lower = self._check_low_balance(
+                total_cash, is_lower = self._check_low_balance(
                     currency=self.quote_currency,
                     balances=balances,
                     amount=cash,
@@ -751,7 +733,7 @@ def sync_positions(self, positions, cash=None,
                     raise NotEnoughCashError(
                         currency=self.quote_currency,
                         exchange=self.name,
-                        free=free_cash,
+                        total=total_cash,
                         cash=cash,
                     )
 
@@ -782,7 +764,7 @@ def sync_positions(self, positions, cash=None,
                 position.last_sale_date = ticker['last_traded']
 
                 if check_balances:
-                    total, is_lower = self._check_position_balance(
+                    total, is_lower = self._check_low_balance(
                         currency=asset.base_currency,
                         balances=balances,
                         amount=position.amount,
@@ -800,7 +782,7 @@ def sync_positions(self, positions, cash=None,
                 positions_value += \
                     position.amount * position.last_sale_price
 
-        return free_cash, positions_value
+        return total_cash, positions_value
 
     def order(self, asset, amount, style):
         """Place an order.