Zipline Poloniex Bundle
UNMAINTAINED: This project is no longer actively developed. If you are interested in taking over please send me a message.
Poloniex data bundle for zipline, the pythonic algorithmic trading library.
Description
Just install the data bundle with pip:
pip install zipline-poloniex
and create a file $HOME/.zipline/extension.py
calling zipline's register function.
The create_bundle
function returns the necessary ingest function for register
.
Use the Pairs
record for common US-Dollar to crypto-currency pairs.
Alternatively, you can clone this repository and install with pip:
git clone https://github.com/FlorianWilhelm/zipline-poloniex.git cd zipline-poloniex pip install -e .
Example
- Add following content to
$HOME/.zipline/extension.py
:
import pandas as pd
from zipline_poloniex import create_bundle, Pairs, register
# adjust the following lines to your needs
start_session = pd.Timestamp('2016-01-01', tz='utc')
end_session = pd.Timestamp('2016-12-31', tz='utc')
assets = [Pairs.usdt_eth]
register(
'poloniex',
create_bundle(
assets,
start_session,
end_session,
),
calendar_name='POLONIEX',
minutes_per_day=24*60,
start_session=start_session,
end_session=end_session
)
Ingest the data with:
zipline ingest -b poloniex
Create your trading algorithm, e.g.
my_algorithm.py
with:
import logging
from zipline.api import order, record, symbol
from zipline_poloniex.utils import setup_logging
__author__ = "Florian Wilhelm"
__copyright__ = "Florian Wilhelm"
__license__ = "new-bsd"
# setup logging and all
setup_logging(logging.INFO)
_logger = logging.getLogger(__name__)
_logger.info("Dummy agent loaded")
def initialize(context):
_logger.info("Initializing agent...")
# There seems no "nice" way to set the emission rate to minute
context.sim_params._emission_rate = 'minute'
def handle_data(context, data):
_logger.debug("Handling data...")
order(symbol('ETH'), 10)
record(ETH=data.current(symbol('ETH'), 'price'))
Run your algorithm in
my_algorithm.py
with:zipline run -f ./my_algorithm.py -s 2016-01-01 -e 2016-12-31 -o results.pickle --data-frequency minute -b poloniex
Analyze the performance by reading
results.pickle
with the help of Pandas.
Note
This project has been set up using PyScaffold 2.5.7. For details and usage information on PyScaffold see http://pyscaffold.readthedocs.org/.