updates

Author: timkpaine

Makefile

@@ -1,4 +1,7 @@
 CONFIG=./config/sandbox_gemini.cfg
+EXCHANGE=gemini
+CURRENCY=USD
+
 
 runconfig:  ## Clean and make target, run target
 	python3 -m algocoin --config=$(CONFIG)
@@ -9,15 +12,22 @@ run:  clean ## Clean and make target, run target
 sandbox:  ## Clean and make target, run target
 	python3 -m algocoin --sandbox --verbose=$(VERBOSE) -exchange=$(EXCHANGE)
 
-fetch_data: ## Fetch data
-	. scripts/fetchdata.sh --exchange=$(EXCHANGE) --currency=$(CURRENCY)
+data:  ## Fetch data for EXCHANGE
+	. scripts/fetchdata.sh $(EXCHANGE) $(CURRENCY)
+
+fetch_data: ## Fetch data for EXCHANGE
+	. scripts/fetchdata.sh $(EXCHANGE) $(CURRENCY)
+
+backtest_config: ## Clean and make target, run backtest
+	python3 -m algocoin --config=./config/backtest_gemini.cfg
 
 backtest: ## Clean and make target, run backtest
 	python3 -m algocoin --backtest --verbose=$(VERBOSE) --exchange=$(EXCHANGE)
 
 backtest_inline:  ## Clean and make target, run backtest, plot in terminal
 	bash -c "export MPLBACKEND=\"module://itermplot\";	export ITERMPLOT=\"rv\"; python3 -m algocoin backtest $(VERBOSE) $(EXCHANGE)"
 
+
 tests: ## Clean and Make unit tests
 	python3 -m nose -v algocoin/tests --with-coverage --cover-erase --cover-package=`find algocoin -name "*.py" | sed "s=\./==g" | sed "s=/=.=g" | sed "s/.py//g" | tr '\n' ',' | rev | cut -c2- | rev`
 
@@ -52,4 +62,4 @@ help:
 print-%:
 	@echo '$*=$($*)'
 
-.PHONY: clean run sandbox backtest test tests test_verbose help install docs
+.PHONY: clean run runconfig sandbox backtest backtest_config test tests test_verbose help install docs data

README.md

@@ -92,15 +92,32 @@ Let's make sure everything worked out by running a sample strategy on the GDAX s
 python3 -m algocoin --sandbox
 ```
 
-### Writing an algorithm
+### Writing a trading strategy
+Trading strategies implement the `TradingStrategy` abstract class in `algocoin.lib.strategy`. This has a number of required methods for handling messages:
+
+- onBuy
+- onSell
+- onTrade 
+- onChange
+- onDone
+- onError
+- onOpen
+- onReceived
+
+There are also a variety of optional methods for more granular control over risk/execution/backtesting, such as `slippage`, `transactionCost`, `onHalt`, `onContinue`, etc. 
 
 ### Backtesting
+An instance of `TradingStrategy` class is able to run live or against a set of historical trade/quote data. When instantiating a `TradingEngine` object with a `TradingEngineConfig` object, the `TradingEngineConfig` has a `type` which can be set to `live`, `sandbox`, or `backtest`. Some additional methods are then usable on the `TradingStrategy`, including the `onAnalyze` method which allows you to visualize algorithm performance.
+
 
 #### Getting Data
+Historical data is relatively sparse, but the provided `fetchdata.sh` script will help grab historical data from bitcoincharts.com.
 
 ### Sandboxes
+Currently only the Gemini sandbox is supported, the other exchanges have discontinued theirs. To run in sandbox, set `TradingEngineConfig.type` to Sandbox.
 
 ### Live Trading
+When you want to run live, set `TradingEngineConfig.type` to Live. You will want to become familiar with the risk and execution engines, as these control things like max drawdown, max risk accrual, execution eagerness, etc.
 
 ---
 

algocoin/lib/parser.py

@@ -122,7 +122,7 @@ def _parse_live_options(argv, config: TradingEngineConfig) -> None:
     if argv.get('exchange'):
         config.exchange_options.exchange_type = str_to_exchange(argv['exchange'])
     elif argv.get('exchanges'):
-        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split(',') if x]
+        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split() if x]
     else:
         config.exchange_options.exchange_type = str_to_exchange('')
         log.critical('No Exchange set, using default: %s', config.exchange_options.exchange_type)
@@ -134,7 +134,7 @@ def _parse_sandbox_options(argv, config) -> None:
     if argv.get('exchange'):
         config.exchange_options.exchange_type = str_to_exchange(argv['exchange'])
     elif argv.get('exchanges'):
-        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split(',') if x]
+        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split() if x]
     else:
         config.exchange_options.exchange_type = str_to_exchange('')
         log.critical('No Exchange set, using default: %s', config.exchange_options.exchange_type)
@@ -148,7 +148,7 @@ def _parse_backtest_options(argv, config) -> None:
         config.backtest_options.file = exchange_to_file(str_to_exchange(argv['exchange']))
         config.exchange_options.exchange_type = str_to_exchange(argv['exchange'])
     elif argv.get('exchanges'):
-        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split(',') if x]
+        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split() if x]
     else:
         config.exchange_options.exchange_type = str_to_exchange('')
         log.critical('No Exchange set, using default: %s', config.exchange_options.exchange_type)

config/backtest_gemini.cfg

@@ -1,16 +1,17 @@
 [general]
-verbose=1
-print=1
+verbose=0
+print=0
 TradingType=backtest
 
 [exchange]
 exchange=gemini
 
 [strategy]
 strategies = 
-    SMACrossesStrategyWithRegressionFollow, 15, 25
-    SMACrossesStrategy, 15, 25
+    algocoin.lib.strategies.test_strat.TestStrategy,
+    algocoin.lib.strategies.sma_crosses_strategy.SMACrossesStrategy, 15, 25
 
 [risk]
-max_drawdown = 100.0  # Max strat drawdown before liquidation
-max_risk = 100.0  # Max to risk on any trade
+max_drawdown = 100.0
+max_risk = 100.0
+total_funds = 10.0

config/live_gemini.cfg

@@ -1,16 +1,17 @@
 [general]
-verbose=1
-print=1
+verbose=0
+print=0
 TradingType=live
 
 [exchange]
 exchange=gemini
 
 [strategy]
 strategies = 
-    SMACrossesStrategyWithRegressionFollow, 15, 25
-    SMACrossesStrategy, 15, 25
+    algocoin.lib.strategies.test_strat.TestStrategy,
+    algocoin.lib.strategies.sma_crosses_strategy.SMACrossesStrategy, 15, 25
 
 [risk]
-max_drawdown = 10.0  # Max strat drawdown before liquidation, 10%
-max_risk = 10.0  # Max to risk on any trade, 10%
+max_drawdown = 100.0
+max_risk = 100.0
+total_funds = 10.0

scripts/fetchdata.sh

@@ -2,7 +2,7 @@
 BASE_URL="http://api.bitcoincharts.com/v1/csv/"
 
 function help_and_quit {
-    echo "usage: fetchdata -e <bitfinex/bitstamp/coinbase/itbit/kraken/hitbtc/lake> -c <USD>"
+    echo "usage: fetchdata <bitfinex/bitstamp/coinbase/itbit/kraken/hitbtc/lake> <USD>"
     exit
 }