Merge branch 'develop'

catalyst/api.pyi

@@ -64,6 +64,39 @@ def cancel_order(order_param, symbol=None, params={}):
     """
 
 
+def get_orderbook(asset, order_type='all', limit=None):
+    """Get the order book of asset.exchange.
+
+    Parameters
+    ----------
+    asset : Asset
+        The asset .
+
+    order_type : str, optional
+
+    limit : int, optional
+    """
+
+
+def get_open_orders(asset=None):
+    """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.
+    """
+
+
 def continuous_future(root_symbol_str, offset=0, roll='volume',
                       adjustment='mul'):
     """Create a specifier for a continuous contract.
@@ -213,7 +246,8 @@ def get_environment(field='platform'):
     """
 
 
-def get_order(order_id, asset_or_symbol=None, return_price=False):
+def get_order(order_id, asset_or_symbol=None,
+              return_price=False, params={}):
     """Lookup an order based on the order id returned from one of the
     order functions.
 
@@ -223,8 +257,10 @@ def get_order(order_id, asset_or_symbol=None, return_price=False):
         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
+    return_price: bool
+        get the trading price in addition to the order
+    params: dict, optional
+        Extra parameters to pass to the exchange
 
     Returns
     -------

catalyst/data/minute_bars.py

@@ -1114,6 +1114,11 @@ def get_value(self, sid, dt, field):
             self._last_get_value_dt_value = dt.value
             self._last_get_value_dt_position = minute_pos
 
+        # a patch for requesting non existing time frames
+        # due to the different candles labeling + wrong start dates
+        if minute_pos < 0:
+            return np.nan
+
         try:
             value = self._open_minute_file(field, sid)[minute_pos]
         except IndexError:

catalyst/exchange/ccxt/ccxt_exchange.py

@@ -41,6 +41,10 @@
     poloniex=ccxt.poloniex,
     bitmex=ccxt.bitmex,
     gdax=ccxt.gdax,
+    huobipro=ccxt.huobipro,
+    okex=ccxt.okex,
+    hitbtc=ccxt.hitbtc2,
+    kucoin=ccxt.kucoin,
 )
 
 
@@ -454,13 +458,21 @@ def get_candles(self, freq, assets, bar_count=1, start_dt=None,
 
         candles = dict()
         for index, asset in enumerate(assets):
-            ohlcvs = self.api.fetch_ohlcv(
-                symbol=symbols[index],
-                timeframe=timeframe,
-                since=since,
-                limit=bar_count,
-                params={}
-            )
+            try:
+                ohlcvs = self.api.fetch_ohlcv(
+                    symbol=symbols[index],
+                    timeframe=timeframe,
+                    since=since,
+                    limit=bar_count,
+                    params={}
+                )
+            except (ExchangeError, NetworkError) as e:
+                log.warn(
+                    'unable to fetch {} ohlcv: {}'.format(
+                        asset, e
+                    )
+                )
+                raise ExchangeRequestError(error=e)
 
             candles[asset] = []
             for ohlcv in ohlcvs:
@@ -897,7 +909,6 @@ def create_order(self, asset, amount, is_buy, style):
                         amount
                     )
                 )
-
         adj_amount = round(abs(amount), asset.decimals)
         prec_amount = self.api.amount_to_precision(symbol, adj_amount)
         before_order_dt = pd.Timestamp.utcnow()
@@ -1140,7 +1151,8 @@ def process_order(self, order):
         order.broker_order_id = ', '.join([t['id'] for t in trades])
         return transactions
 
-    def get_order(self, order_id, asset_or_symbol=None, return_price=False):
+    def get_order(self, order_id, asset_or_symbol=None,
+                  return_price=False, params={}):
         """Lookup an order based on the order id returned from one of the
         order functions.
 
@@ -1152,6 +1164,8 @@ def get_order(self, order_id, asset_or_symbol=None, return_price=False):
             The asset or the tradingPair symbol of the order.
         return_price: bool
             get the trading price in addition to the order
+        params: dict, optional
+            Extra parameters to pass to the exchange
 
         Returns
         -------
@@ -1168,7 +1182,9 @@ def get_order(self, order_id, asset_or_symbol=None, return_price=False):
         try:
             symbol = self.get_symbol(asset_or_symbol) \
                 if asset_or_symbol is not None else None
-            order_status = self.api.fetch_order(id=order_id, symbol=symbol)
+            order_status = self.api.fetch_order(id=order_id,
+                                                symbol=symbol,
+                                                params=params)
             order, executed_price = self._create_order(order_status)
 
             if return_price:
@@ -1301,10 +1317,11 @@ def get_orderbook(self, asset, order_type='all', limit=None):
         order_types = ['bids', 'asks'] if order_type == 'all' else [order_type]
         result = dict(last_traded=from_ms_timestamp(order_book['timestamp']))
         for index, order_type in enumerate(order_types):
-            if limit is not None and index > limit - 1:
-                break
-
             result[order_type] = []
+
+            if limit is not None and len(order_book[order_type]) > limit:
+                order_book[order_type] = order_book[order_type][:limit]
+
             for entry in order_book[order_type]:
                 result[order_type].append(dict(
                     rate=float(entry[0]),

catalyst/exchange/exchange.py

@@ -915,7 +915,8 @@ def get_open_orders(self, asset):
         pass
 
     @abstractmethod
-    def get_order(self, order_id, symbol_or_asset=None):
+    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.
 
@@ -925,6 +926,10 @@ def get_order(self, order_id, symbol_or_asset=None):
             The unique identifier for the order.
         symbol_or_asset: str|TradingPair
             The catalyst symbol, some exchanges need this
+        return_price: bool
+            get the trading price in addition to the order
+        params: dict, optional
+            Extra parameters to pass to the exchange
 
         Returns
         -------

catalyst/exchange/exchange_algorithm.py

@@ -85,6 +85,7 @@ def __init__(self, *args, **kwargs):
             get_spot_value_attempts=5,
             get_history_window_attempts=5,
             retry_sleeptime=5,
+            get_orderbook_attempts=5,
         )
 
         self.blotter = ExchangeBlotter(
@@ -1085,7 +1086,8 @@ def get_open_orders(self, asset=None):
         )
 
     @api_method
-    def get_order(self, order_id, asset_or_symbol=None, return_price=False):
+    def get_order(self, order_id, asset_or_symbol=None,
+                  return_price=False, params={}):
         """Lookup an order based on the order id returned from one of the
         order functions.
 
@@ -1097,6 +1099,8 @@ def get_order(self, order_id, asset_or_symbol=None, return_price=False):
             The asset or the tradingPair symbol of the order.
         return_price: bool
             get the trading price in addition to the order
+        params: dict, optional
+            Extra parameters to pass to the exchange
 
         Returns
         -------
@@ -1113,7 +1117,7 @@ def get_order(self, order_id, asset_or_symbol=None, return_price=False):
             sleeptime=self.attempts['retry_sleeptime'],
             retry_exceptions=(ExchangeRequestError,),
             cleanup=lambda: log.warn('Fetching orders again.'),
-            args=(order_id, asset_or_symbol, return_price)
+            args=(order_id, asset_or_symbol, return_price, params)
         )
 
     @api_method
@@ -1150,3 +1154,34 @@ def cancel_order(self, order_param, symbol=None, params={}):
             self.blotter.cancel(order_id)
         else:
             self.blotter.cancel(order_id)
+
+    def _get_orderbook(self, asset, order_type='all', limit=None):
+        exchange = self.exchanges[asset.exchange]
+        return exchange.get_orderbook(asset, order_type, limit)
+
+    @api_method
+    def get_orderbook(self, asset, order_type='all', limit=None):
+        """
+        Retrieve the orderbook for the given trading pair.
+
+        Parameters
+        ----------
+        asset: TradingPair
+
+        order_type: str
+            The type of orders: bid, ask or all
+
+        limit: int
+
+        Returns
+        -------
+        list[dict[str, float]
+        """
+        return retry(
+            action=self._get_orderbook,
+            attempts=self.attempts['get_orderbook_attempts'],
+            sleeptime=self.attempts['retry_sleeptime'],
+            retry_exceptions=(ExchangeRequestError,),
+            cleanup=lambda: log.warn('Requesting order book again'),
+            args=(asset, order_type, limit),
+        )

catalyst/exchange/exchange_data_portal.py

@@ -360,6 +360,10 @@ def get_exchange_spot_value(self,
             dt = dt.floor('1D')
         else:
             dt = dt.floor('1 min')
+            # In order to align with the crypto left
+            # bounded candles, we request the candle of the previous timestamp
+            # (do not include the current minute)
+            dt = dt - datetime.timedelta(minutes=1)
 
         if AUTO_INGEST:
             try:

catalyst/support/issue_420.py

@@ -0,0 +1,21 @@
+from catalyst.api import symbol
+from catalyst.utils.run_algo import run_algorithm
+
+
+def initialize(context):
+    pass
+
+
+def handle_data(context, data):
+    data.history(symbol("DASH_BTC"), ['close'],
+                 bar_count=200, frequency='15T')
+
+
+run_algorithm(initialize=lambda ctx: True,
+              handle_data=handle_data,
+              exchange_name='poloniex',
+              quote_currency='usd',
+              algo_namespace='issue-420',
+              live=True,
+              data_frequency='daily',
+              capital_base=3000)

docs/source/appendix.rst

@@ -67,6 +67,9 @@ Orders
 
 .. autofunction:: catalyst.api.cancel_order
 
+.. autofunction:: catalyst.api.get_orderbook
+
+
 Order Cancellation Policies
 '''''''''''''''''''''''''''
 

docs/source/beginner-tutorial.rst

@@ -641,7 +641,7 @@ A few comments on the code above:
   you will see that in most cases, the performance is either worse than the 
   price of the asset, or you are overfitting to one specific case. As we said 
   at the beginning of this section, this strategy is probably not used by any 
-  serious trader anymore, but its educational purpose.
+  serious trader anymore, but it has an educational purpose.
 
 Although it might not be directly apparent, the power of ``history()``
 (pun intended) can not be under-estimated as most algorithms make use of
@@ -16465,7 +16465,7 @@ PyCharm IDE
 ~~~~~~~~~~~
 
 PyCharm is an Integrated Development Environment (IDE) used in computer 
-programming, specifically for the Python language. It streamlines the continuos
+programming, specifically for the Python language. It streamlines the continuous
 development of Python code, and among other things includes a debugger that 
 comes in handy to see the inner workings of Catalyst, and your trading 
 algorithms.
@@ -16478,12 +16478,12 @@ There is a free and open-source **Community** version.
 Setup
 ^^^^^
 
-1. When creating a new project in PyCharm, right under you specify the Location,
+1. When creating a new project in PyCharm, right under where you specify the Location,
    click on **Project Interpreter** to display a drop down menu
 
 2. Select **Existing interpreter**, click the gear box right next to it and 
    select 'add local'. Depending on your installation, select either 
-   "*Virtual Environemnt*" or "*Conda Environment" and click the '...' button to
+   "*Virtual Environment*" or "*Conda Environment" and click the '...' button to
    navigate to your catalyst env and select the Python binary file: 
    ``bin/python`` for Linux/MacOS installations or 'python.exe' for Windows 
    installs (for example: 'C:\\Users\\user\\Anaconda2\\envs\\catalyst\\python.exe'). 
@@ -16509,7 +16509,7 @@ Next steps
 ~~~~~~~~~~
 
 We hope that this tutorial gave you a little insight into the
-architecture, API, and features of Catalyst. For next steps, check
+architecture, API, and features of Catalyst. For your next step, check
 out some of the other :doc:`example algorithms<example-algos>`.
 
 Feel free to ask questions on the ``#catalyst_dev`` channel of our 

docs/source/development-guidelines.rst

@@ -61,6 +61,53 @@ If you want to contribute to the codebase of Catalyst, familiarize yourself with
 
 .. image:: https://camo.githubusercontent.com/9bde6fb64a9542a572e0e2017cbb58d9d2c440ac/687474703a2f2f6e7669652e636f6d2f696d672f6769742d6d6f64656c4032782e706e67
 
+Style Guide & Running Tests
+---------------------------
+
+We use `flake8`__ for checking style requirements and `nosetests`__ to run Catalyst tests. Our `continuous integration`__ tool will run these commands.
+
+__ http://flake8.pycqa.org/en/latest/
+__ http://nose.readthedocs.io/en/latest/
+__ https://en.wikipedia.org/wiki/Continuous_integration
+
+Before submitting patches or pull requests, please ensure that your changes pass when running:
+
+.. code-block:: bash
+
+   $ flake8 catalyst tests
+
+In order to run tests locally, you'll need to install several libraries
+(one of them is TA-lib, so make sure you have it installed following `these instructions`__ before continuing).
+
+__ https://mrjbq7.github.io/ta-lib/install.html
+
+.. code-block:: bash
+
+   $ pip install -r ./etc/requirements.txt
+   $ pip install -r ./etc/requirements_dev.txt
+   $ pip install -r ./etc/requirements_blaze.txt
+   $ pip install -r ./etc/requirements_talib.txt
+   $ pip install -e .
+
+You should now be free to run tests:
+
+.. code-block:: bash
+
+   $ cd tests && nosetests
+
+
+Continuous Integration
+----------------------
+
+We use `Travis CI`__ for Linux-64 bit builds.
+
+.. note::
+
+   We do not currently have CI for OSX-64 bit builds or Windows-64 bit builds.
+
+__ https://travis-ci.com/enigmampc/catalyst
+
+
 Contributing to the Docs
 ------------------------