{ "info": { "author": "Florian Wilhelm", "author_email": "florian.wilhelm@gmail.com", "bugtrack_url": null, "classifiers": [ "Development Status :: 4 - Beta", "Programming Language :: Python" ], "description": "=======================\nZipline Poloniex Bundle\n=======================\n\nPoloniex data bundle for zipline_, the pythonic algorithmic trading library.\n\n\nDescription\n===========\n\nJust install the data bundle with pip::\n\n pip install zipline-poloniex\n\nand create a file ``$HOME/.zipline/extension.py`` calling zipline's register_ function.\nThe ``create_bundle`` function returns the necessary ingest function for ``register``.\nUse the ``Pairs`` record for common US-Dollar to crypto-currency pairs.\n\n\nExample\n=======\n\n1) Add following content to ``$HOME/.zipline/extension.py``:\n\n.. code:: python\n\n import pandas as pd\n from zipline_poloniex import create_bundle, Pairs, register\n\n # adjust the following lines to your needs\n start_session = pd.Timestamp('2016-01-01', tz='utc')\n end_session = pd.Timestamp('2016-12-31', tz='utc')\n assets = [Pairs.usdt_eth]\n\n register(\n 'poloniex',\n create_bundle(\n assets,\n start_session,\n end_session,\n ),\n calendar_name='POLONIEX',\n minutes_per_day=24*60,\n start_session=start_session,\n end_session=end_session\n )\n\n2) Ingest the data with::\n\n zipline ingest -b poloniex\n\n3) Create your trading algorithm, e.g. ``my_algorithm.py`` with:\n\n.. code:: python\n\n import logging\n\n from zipline.api import order, record, symbol\n from zipline_poloniex.utils import setup_logging\n\n __author__ = \"Florian Wilhelm\"\n __copyright__ = \"Florian Wilhelm\"\n __license__ = \"new-bsd\"\n\n # setup logging and all\n setup_logging(logging.INFO)\n _logger = logging.getLogger(__name__)\n _logger.info(\"Dummy agent loaded\")\n\n\n def initialize(context):\n _logger.info(\"Initializing agent...\")\n # There seems no \"nice\" way to set the emission rate to minute\n context.sim_params._emission_rate = 'minute'\n\n\n def handle_data(context, data):\n _logger.debug(\"Handling data...\")\n order(symbol('ETH'), 10)\n record(ETH=data.current(symbol('ETH'), 'price'))\n\n4) Run your algorithm in ``my_algorithm.py`` with::\n\n zipline run -f ./my_algorithm.py -s 2016-01-01 -e 2016-12-31 -o results.pickle --data-frequency minute -b poloniex\n\n5) Analyze the performance by reading ``results.pickle`` with the help of Pandas.\n\n\nNote\n====\n\nThis project has been set up using PyScaffold 2.5.7. 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