Get_Wallet, Broker Mapping, Partial Candle Update

Added ability to get a wallet
Added an option to drop the most recent candle
Improved broker mapping so that you only need to specify the parts you want to change. 
Updated various doc strings
Removed balance checks - Not needed since we have get wallet now

ccxtbt/ccxtbroker.py

@@ -53,9 +53,12 @@ class CCXTBroker(with_metaclass(MetaCCXTBroker, BrokerBase)):
 
  Added a new mappings parameter to the script with defaults.
 
- self.balance_checks can be overwritten in the strategy to stop making a getbalance()
- call. Useful when backfilling. It should be set by the strategy to pause and also
- restart the checks
+ Added a new get_wallet_balance method. This will allow manual checking of the balance.
+ The method will allow setting parameters. Useful for getting margin balances
+
+ Modified getcash() and getvalue():
+ Backtrader will call getcash and getvalue before and after next, slowing things down
+ with rest calls. As such, th
 
  The broker mapping should contain a new dict for order_types and mappings like below:
 
@@ -96,9 +99,16 @@ class CCXTBroker(with_metaclass(MetaCCXTBroker, BrokerBase)):
 
  def __init__(self, broker_mapping=None, **kwargs):
  super(CCXTBroker, self).__init__()
+
  if broker_mapping is not None:
- self.order_types = broker_mapping['order_types']
- self.mappings = broker_mapping['mappings']
+ try:
+ self.order_types = broker_mapping['order_types']
+ except KeyError: # Might not want to change the order types
+ pass
+ try:
+ self.mappings = broker_mapping['mappings']
+ except KeyError: # might not want to change the mappings
+ pass
 
  #self.o = oandav20store.OandaV20Store(**kwargs)
  #self.store = CCXTStore(exchange, config, retries)
@@ -113,17 +123,18 @@ def __init__(self, broker_mapping=None, **kwargs):
 
  self.open_orders = list()
 
- self.balance_checks = True
-
  self.startingcash = self.store._cash
  self.startingvalue = self.store._value
 
+ def get_wallet_balance(self, currency, params=None):
+ balance = self.store.get_wallet_balance(currency, params=params)
+ cash = balance['free'][currency]
+ value = balance['total'][currency]
+ return cash, value
 
  def getcash(self):
  # Get cash seems to always be called before get value
  # Therefore it makes sense to add getbalance here.
- if self.balance_checks:
- self.store.getbalance(self.currency)
  #return self.store.getcash(self.currency)
  return self.store._cash
 
@@ -197,6 +208,11 @@ def cancel(self, order):
  return order
 
  ccxt_order = self.store.cancel_order(oID)
+ print('CCXT Order')
+ print(ccxt_order)
+ print('Value Received: {}'.format(ccxt_order[self.mappings['canceled_order']['key']]))
+ print('Value Expected: {}'.format(self.mappings['canceled_order']['value']))
+
  if ccxt_order[self.mappings['canceled_order']['key']] == self.mappings['canceled_order']['value']:
  self.open_orders.remove(order)
  order.cancel()

ccxtbt/ccxtfeed.py

@@ -54,13 +54,23 @@ class CCXTFeed(with_metaclass(MetaCCXTFeed, DataBase)):
  - ``backfill_start`` (default: ``True``)
  Perform backfilling at the start. The maximum possible historical data
  will be fetched in a single request.
+
+ Changes From Ed's pacakge
+
+ - Added option to send some additional fetch_ohlcv_params. Some exchanges (e.g Bitmex)
+ support sending some additional fetch parameters. 
+ - Added drop_newest option to avoid loading incomplete candles where exchanges
+ do not support sending ohlcv params to prevent returning partial data
+
  """
 
  params = (
  ('historical', False), # only historical download
  ('backfill_start', False), # do backfilling at the start
  ('fetch_ohlcv_params', {}),
- ('ohlcv_limit', 20)
+ ('ohlcv_limit', 20),
+ ('drop_newest', False),
+ ('debug', False)
  )
 
  _store = CCXTStore
@@ -100,7 +110,11 @@ def _load(self):
  return self._load_ticks()
  else:
  self._fetch_ohlcv()
- return self._load_ohlcv()
+ ret = self._load_ohlcv()
+ if self.p.debug:
+ print('---- LOAD ----')
+ print('{} Load OHLCV Returning: {}'.format(datetime.utcnow(), ret))
+ return ret
 
  elif self._state == self._ST_HISTORBACK:
  ret = self._load_ohlcv()
@@ -134,19 +148,49 @@ def _fetch_ohlcv(self, fromdate=None):
  while True:
  dlen = len(self._data)
 
- for ohlcv in sorted(self.store.fetch_ohlcv(self.symbol, timeframe=granularity,
- since=since, limit=limit, params=self.p.fetch_ohlcv_params)):
+
+ if self.p.debug:
+ # TESTING
+ since_dt = datetime.utcfromtimestamp(since // 1000) if since is not None else 'NA'
+ print('---- NEW REQUEST ----')
+ print('{} - Requesting: Since TS {} Since date {} granularity {}, limit {}, params'.format(datetime.utcnow(),since, since_dt, granularity, limit, self.p.fetch_ohlcv_params))
+ data = sorted(self.store.fetch_ohlcv(self.symbol, timeframe=granularity,
+ since=since, limit=limit, params=self.p.fetch_ohlcv_params))
+ try:
+ for i, ohlcv in enumerate(data):
+ tstamp, open_, high, low, close, volume = ohlcv
+ print('{} - Data {}: {} - TS {} Time {}'.format(datetime.utcnow(), i, datetime.utcfromtimestamp(tstamp // 1000), tstamp, (time.time() * 1000)))
+ # ------------------------------------------------------------------
+ except IndexError:
+ print('Index Error: Data = {}'.format(data))
+ print('---- REQUEST END ----')
+ else:
+
+ data = sorted(self.store.fetch_ohlcv(self.symbol, timeframe=granularity,
+ since=since, limit=limit, params=self.p.fetch_ohlcv_params))
+
+ # Check to see if dropping the latest candle will help with
+ # exchanges which return partial data
+ if self.p.drop_newest:
+ del data[-1]
+
+ for ohlcv in data:
+
+ #for ohlcv in sorted(self.store.fetch_ohlcv(self.symbol, timeframe=granularity,
+ # since=since, limit=limit, params=self.p.fetch_ohlcv_params)):
 
  if None in ohlcv:
  continue
 
  tstamp = ohlcv[0]
 
  # Prevent from loading incomplete data
- if tstamp > (time.time() * 1000):
- continue
+ #if tstamp > (time.time() * 1000):
+ # continue
 
  if tstamp > self._last_ts:
+ if self.p.debug:
+ print('Adding: {}'.format(ohlcv))
  self._data.append(ohlcv)
  self._last_ts = tstamp
 

ccxtbt/ccxtstore.py

@@ -46,7 +46,12 @@ def __call__(cls, *args, **kwargs):
 
 
 class CCXTStore(with_metaclass(MetaSingleton, object)):
- '''API provider for CCXT feed and broker classes.'''
+ '''API provider for CCXT feed and broker classes.
+
+ Added a new get_wallet_balance method. This will allow manual checking of the balance.
+ The method will allow setting parameters. Useful for getting margin balances
+
+ '''
 
  # Supported granularities
  _GRANULARITIES = {
@@ -129,17 +134,17 @@ def retry_method(self, *args, **kwargs):
 
 
  @retry
- def getbalance(self, currency):
+ def get_wallet_balance(self, currency, params=None):
+ balance = self.exchange.fetch_balance(params)
+ return balance
+
+ @retry
+ def get_balance(self, currency):
  balance = self.exchange.fetch_balance()
  self._cash = balance['free'][currency]
  self._value = balance['total'][currency]
 
- #@retry
- #def getvalue(self, currency):
- # return self._value
- # #return self.exchange.fetch_balance()['total'][currency]
-
- #@retry
+ @retry
  def getposition(self, currency):
  return self._value
  #return self.getvalue(currency)