mtgox – Mt. Gox reference

MtGox support depends on ws4py (https://github.com/Lawouach/WebSocket-for-Python) and tornado (http://www.tornadoweb.org/en/stable/) so be sure to have those installed before moving forward.

Tools

pyalgotrade.mtgox.tools.download_trades_by_month(currency, year, month, csvFile, ignoreMultiCurrency=False)

Download trades for a given month.

Parameters:

• currency (string.) – Currency in which trade was completed.
• year (int.) – The year.
• month (int.) – The month.
• csvFile (string.) – The path to the CSV file to write the trades.
• ignoreMultiCurrency (boolean.) – Ignore multi currency trades.

Note

This will take some time since Mt. Gox API returns no more than 1000 trades on each request

pyalgotrade.mtgox.tools.download_trades_by_year(currency, year, csvFile, ignoreMultiCurrency=False)

Download trades for a given year.

Parameters:

• currency (string.) – Currency in which trade was completed.
• year (int.) – The year.
• csvFile (string.) – The path to the CSV file to write the trades.
• ignoreMultiCurrency (boolean.) – Ignore multi currency trades.

Note

This will take some time since Mt. Gox API returns no more than 1000 trades on each request

Client

class pyalgotrade.mtgox.client.Client(currency, apiKey, apiSecret, ignoreMultiCurrency=False)

Bases: pyalgotrade.observer.Subject

This class is responsible for all trading interaction with MtGox.

Parameters:

• currency (string.) – The account’s currency. Valid values are: USD, AUD, CAD, CHF, CNY, DKK, EUR, GBP, HKD, JPY, NZD, PLN, RUB, SEK, SGD, THB, NOK or CZK.
• apiKey (string.) – Your API key. Set this to None for paper trading.
• apiSecret (string.) – Your API secret. Set this to None for paper trading.
• ignoreMultiCurrency (boolean.) – Ignore multi currency trades.

Note

For apiKey and apiSecret check the Application and API access section in mtgox.com.

Feeds

class pyalgotrade.mtgox.barfeed.CSVTradeFeed(timezone=None, frequency=None, maxLen=1024)

Bases: pyalgotrade.barfeed.csvfeed.BarFeed

A BarFeed that builds bars from a trades CSV file.

Parameters:

• timezone (A pytz timezone.) – The default timezone to use to localize bars. Check pyalgotrade.marketsession.
• frequency – Reserved for future use. Currently ignored.
• maxLen (int.) – The maximum number of values that the pyalgotrade.dataseries.bards.BarDataSeries will hold. If not None, it must be greater than 0. Once a bounded length is full, when new items are added, a corresponding number of items are discarded from the opposite end.

Note

Note that a pyalgotrade.bar.Bar instance will be created for every trade, so open, high, low and close values will all be the same.

addBarsFromCSV(path, timezone=None)

Loads bars from a trades CSV formatted file.

Parameters:

• path (string.) – The path to the file.
• timezone (A pytz timezone.) – The timezone to use to localize bars. Check pyalgotrade.marketsession.

Note

Every file that you load bars from must have trades in the same currency.

class pyalgotrade.mtgox.barfeed.LiveTradeFeed(client, maxLen=1024)

Bases: pyalgotrade.barfeed.BarFeed

A real-time BarFeed that builds bars from live trades.

Parameters:

• client (pyalgotrade.mtgox.client.Client.) – A MtGox client.
• maxLen (int.) – The maximum number of values that the pyalgotrade.dataseries.bards.BarDataSeries will hold. If not None, it must be greater than 0. Once a bounded length is full, when new items are added, a corresponding number of items are discarded from the opposite end.

Note

Note that a pyalgotrade.bar.Bar instance will be created for every trade, so open, high, low and close values will all be the same.

Brokers

class pyalgotrade.mtgox.broker.BacktestingBroker(cash, barFeed, commission=None)

Bases: pyalgotrade.broker.backtesting.Broker

A backtesting broker.

Parameters:

• cash (int/float.) – The initial amount of cash.
• barFeed (pyalgotrade.barfeed.BarFeed) – The bar feed that will provide the bars.
• commission (pyalgotrade.broker.backtesting.Commission) – An object responsible for calculating order commissions. If None, a 0.6% trade commision will be used.

Note

Neither stop nor stop limit orders are supported.