Expose poloniex data curation methods to load benchmark dynamically

bellyfat · Jul 2, 2017 · 59b7b1d · 59b7b1d
1 parent fa25e01
commit 59b7b1d
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Showing 3 changed files with 52 additions and 73 deletions.
diff --git a/catalyst/curate/__init__.py b/catalyst/curate/__init__.py
diff --git a/curate/crypto_price_generator.py → catalyst/curate/poloniex.py b/curate/crypto_price_generator.py → catalyst/curate/poloniex.py
@@ -6,17 +6,14 @@
 import requests
 import logbook
 
-import catalyst.data.bundles.core as bundles
-
 DT_START        = time.mktime(datetime(2010, 01, 01, 0, 0).timetuple())
-# DT_START = time.mktime(datetime(2017, 06, 13, 0, 0).timetuple()) # TODO: remove temp
 CSV_OUT_FOLDER  = '/var/tmp/catalyst/data/poloniex/'
 CONN_RETRIES    = 2
 
 logbook.StderrHandler().push_application()
 log = logbook.Logger(__name__)
 
-class PoloniexDataGenerator(object):
+class PoloniexCurator(object):
     """
     OHLCV data feed generator for crypto data. Based on Poloniex market data
     """
@@ -89,7 +86,8 @@ def append_data_single_pair(self, currencyPair, repeat=0):
     	log.debug('Getting data for %s' % currencyPair)
         csv_fn = CSV_OUT_FOLDER + 'crypto_prices-' + currencyPair + '.csv'
         start  = self._get_start_date(csv_fn)
-        if (time.time() > start):                   # Only fetch data if more than 5min have passed since last fetch
+        # Only fetch data if more than 5min have passed since last fetch
+        if (time.time() > start):
             data   = self.get_data(currencyPair, start)
             if data is not None:
                 try: 
@@ -98,7 +96,14 @@ def append_data_single_pair(self, currencyPair, repeat=0):
                         for item in data:
                             if item['date'] == 0:
                                 continue
-                            csvwriter.writerow([item['date'], item['open'], item['high'], item['low'], item['close'], item['volume']])
+                            csvwriter.writerow([
+                                item['date'],
+                                item['open'],
+                                item['high'],
+                                item['low'],
+                                item['close'],
+                                item['volume'],
+                            ])
                 except Exception as e:
                     log.error('Error opening %s' % csv_fn)
                     log.exception(e)
@@ -112,7 +117,8 @@ def append_data_single_pair(self, currencyPair, repeat=0):
     def append_data(self):
     	for currencyPair in self.currency_pairs:
     		self.append_data_single_pair(currencyPair)
-    		time.sleep(0.17)                              # Rate limit is 6 calls per second, sleep 1sec/6 to be safe
+        # Rate limit is 6 calls per second, sleep 1sec/6 to be safe
+    		time.sleep(0.17)
 
     '''
     Returns a data frame for all pairs, or for the requests currency pair.
@@ -130,57 +136,9 @@ def to_dataframe(self, start, end, currencyPair=None):
         df['date']=pd.to_datetime(df['date'],unit='s')
         df.set_index('date', inplace=True)
 
-        #return df.loc[(df.index > start) & (df.index <= end)]
         return df[datetime.fromtimestamp(start):datetime.fromtimestamp(end-1)]
 
 if __name__ == '__main__':
-    pdg = PoloniexDataGenerator()
-    pdg.get_currency_pairs()
-    pdg.append_data()
-
-
-
-# from zipline.utils.calendars import get_calendar
-# from zipline.data.us_equity_pricing import (
-#     BcolzDailyBarWriter,
-#     BcolzDailyBarReader,
-# )
-
-# open_calendar = get_calendar('OPEN')
-
-# start_session = pd.Timestamp('2012-12-31', tz='UTC')
-# end_session = pd.Timestamp('2015-01-01', tz='UTC')
-
-# file_path = 'test.bcolz'
-
-# writer = BcolzDailyBarWriter(
-#     file_path,
-#     open_calendar,
-#     start_session,
-#     end_session
-# )
-
-# index = open_calendar.schedule.index
-# index = index[
-#     (index.date >= start_session.date()) &
-#     (index.date <= end_session.date())
-# ]
-
-# data = pd.DataFrame(
-#     0,
-#     index=index,
-#     columns=['open', 'high', 'low', 'close', 'volume'],
-# )
-
-# writer.write(
-#     [(0, data)],
-#     assets=[0],
-#     show_progress=True
-# )
-
-# print 'len(index):', len(index)
-
-# reader = BcolzDailyBarReader(file_path)
-
-# print 'first_rows:', reader._first_rows
-# print 'last_rows:',  reader._last_rows
+    pc = PoloniexCurator()
+    pc.get_currency_pairs()
+    pc.append_data()
diff --git a/catalyst/data/loader.py b/catalyst/data/loader.py
@@ -31,6 +31,8 @@
     data_root,
 )
 from ..utils.deprecate import deprecated
+
+from catalyst.curate.poloniex import PoloniexCurator
 from catalyst.utils.calendars import get_calendar
 
 
@@ -310,6 +312,8 @@ def compute_daily_bars(five_min_bars, schedule):
 
         return daily_bars
 
+
+    five_min_bars = None
     try:
         # load five minute bars from csv cache
         five_min_bars = pd.read_csv(
@@ -320,31 +324,48 @@ def compute_daily_bars(five_min_bars, schedule):
             date_parser=dateparse,
         )
         five_min_bars.index = pd.to_datetime(five_min_bars.index, utc=True, unit='s')
+    except (OSError, IOError):
+        # Otherwise load from Poloniex API
+        try:
+            pc = PoloniexCurator()
+            pc.append_data_single_pair(symbol)
 
-        # compute daily bars for open calendar
-        open_calendar = get_calendar('OPEN')
-        daily_bars = compute_daily_bars(
-            five_min_bars,
-            open_calendar.all_sessions,
-        )
+            five_min_bars = pc.to_dataframe(
+                first_date,
+                last_date,
+                currencyPair=symbol,
+            )
+        except (OSError, IOError, HTTPError):
+            logger.exception('Failed to new crypto benchmark returns')
+            raise
+
+    # compute daily bars for open calendar
+    open_calendar = get_calendar('OPEN')
+    daily_bars = compute_daily_bars(
+        five_min_bars,
+        open_calendar.all_sessions,
+    )
 
-        # filter daily bars to include first_date and last_date
-        daily_bars = daily_bars[
-            (daily_bars.index >= (first_date - trading_day)) &
-            (daily_bars.index <= last_date)
-        ]
+    # filter daily bars to include first_date and last_date
+    daily_bars = daily_bars[
+        (daily_bars.index >= (first_date - trading_day)) &
+        (daily_bars.index <= last_date)
+    ]
 
-        # select close column and compute percent change between days
-        daily_close = daily_bars[['close']]
-        daily_close = daily_close.pct_change(1).iloc[1:]
+    # select close column and compute percent change between days
+    daily_close = daily_bars[['close']]
+    daily_close = daily_close.pct_change(1).iloc[1:]
 
+    try:
         # write to benchmark csv cache
         daily_close.to_csv(get_data_filepath(filename, environ))
     except (OSError, IOError, HTTPError):
         logger.exception('Failed to cache the new benchmark returns')
         raise
+
     if not has_data_for_dates(daily_close, first_date, last_date):
         logger.warn("Still don't have expected data after redownload!")
+
     return daily_close
 
 
@@ -535,7 +556,7 @@ def _load_cached_data(filename, first_date, last_date, now, resource_name,
     if os.path.exists(path):
         try:
             data = from_csv(path)
-            data.index = data.index.to_datetime().tz_localize('UTC')
+            data.index = pd.to_datetime(data.index).tz_localize('UTC')
             if has_data_for_dates(data, first_date, last_date):
                 return data