This repository has been archived.
A cryptocurrency portfolio analytics Python package
Install with pip:
$ pip install lattice
Backtesting trading strategies
from datetime import datetime
from lattice.backtest import Portfolio
# Create a portfolio on October 1st 2017 with $100k
created_at = datetime(year=2017, month=10, day=1)
portfolio = Portfolio(
assets={'USD': 100000},
created_at=created_at
)
# Make some trades
trade_date = datetime(2017, 10, 1)
portfolio.trade_asset(39000, 'USD', 'BTC', trade_date)
portfolio.trade_asset(39000, 'USD', 'ETH', trade_date)
portfolio.trade_asset(22000, 'USD', 'LTC', trade_date)
# Get the current value
date = datetime(2017, 10, 24)
portfolio.get_value()
portfolio.get_value(date) # at a given date
# View the current portfolio
portfolio.assets
# => {'USD': 8515.5, 'BTC': 8.8335220838, 'ETH': 130.434782609, 'LTC': 423.07692307}
# View the portfolio's history
portfolio.history
# => [{'amount': 100000, 'asset': 'USD', 'datetime': '2017-10-01 00:00:00'}, {'amount': -39000, 'asset': 'USD', 'datetime': '2017-10-01 00:00:00'}, {'amount': 8.8335220838, 'asset': 'BTC', 'datetime': '2017-10-01 00:00:00'}, {'amount': -39000, 'asset': 'USD', 'datetime': '2017-10-01 00:00:00'}, {'amount': 130.434782609, 'asset': 'ETH', 'datetime': '2017-10-01'00:00:00 }, {'amount': -22000, 'asset': 'USD', 'datetime': '2017-10-01 00:00:00'}, {'amount': 423.07692307, 'asset': 'LTC', 'datetime': '2017-10-01'00:00:00 }, {'amount': -1.5, 'asset': 'BTC', 'datetime': '2017-10-24 18:57:30.665241' }, {'amount': 8515.5, 'asset': 'USD', 'datetime': '2017-10-24 18:57:30.665241' }]
# View the historical value data points
portfolio.get_historical_value(datetime(2017, 10, 1))
# Get portfolio value of all 10 portfolios for a portfolio created at the start of October
from lattice.backtest import Portfolio
from lattice.optimize import Allocator
def polyledger_portfolio_values(since):
allocations = Allocator(coins=['BTC', 'LTC', 'ETH']).allocate()
for index, allocation in allocations.iterrows():
p = Portfolio({'USD': 10000}, since)
for coin in allocation.keys():
amount = (allocation[coin]/100) * 10000
p.trade_asset(amount, 'USD', coin, since)
print(p.get_value())
# Compare to Bitwise
def bitwise_portfolio_value(since):
p = Portfolio({'USD': 10000}, since)
bitwise_alloc = {
'BTC': 0.6815, 'ETH': 0.1445, 'BCH': 0.0568, 'XRP': 0.0481, 'LTC': 0.0194,
'DASH': 0.0147, 'ZEC': 0.0141, 'XMR': 0.0077, 'ETC': 0.0069, 'NEO': 0.0062
}
for coin, fraction in bitwise_alloc.items():
amount = fraction * 10000
p.trade_asset(amount, 'USD', coin, since)
print(p.get_value())
since = datetime(year=2017, month=10, day=1)
polyledger_portfolio_values(since)
bitwise_portfolio_value(since)Optimizing portfolio allocations
from lattice.optimize import Allocator
coins = ['BTC', 'ETH', 'LTC', 'XRP']
allocator = Allocator(coins=coins)
allocations = allocator.allocate()
risk_index = 5 # Risk indices are from 0 to 5
allocations.loc[risk_index]Saving data to a CSV
from datetime import date
from lattice.data import Manager
start = date(year=2017, month=1, day=1)
end = date(year=2017, month=6, day=1)
coins = ['BTC', 'LTC', 'ETH']
filepath = '/Users/ari/Desktop/prices.csv'
manager = Manager(coins)
df = manager.get_historic_data(start, end)
df.to_csv(filepath)Virtual Environment
This project uses virtualenv to isolate the development environment from the rest of the local filesystem. You must create the virtual environment, activate it, and deactivate it when you finish working.
- Create the virtual environment with
python3 -m venv venv. - Activate the virtual environment from within the project directory with
$ source venv/bin/activate. - Now you can install the project dependencies with
(venv) $ pip3 install -r requirements.txt. - When you are done working in the virtual environment, you can deactivate it:
(env) $ deactivate. See the python guide for more information.
Makefile
Lattice comes with a Makefile which enables some useful commands. From the project root, run make help for a list of commands.
Testing
To run the full test suite, use make test. To get a code coverage report, ensure coverage is installed and run
$ coverage run --source lattice setup.py test
To get the report,
$ coverage report -m
Before tagging a release, ensure that make test and make lint pass without errors.
$ git tag -a MAJOR.MINOR.PATCH -m "Description of release goes here"
$ git push --tags
Although not necessary, you should also update the version in setup.py.
Ensure wheel and twine are installed. Then inside the directory,
make clean-buildpython setup.py sdistpython setup.py bdist_wheeltwine upload dist/*
See the Python documentation for more info.
Lattice uses Sphinx to generate documentation output to ./docs.
Command to build documentation:
$ cd docs && make html