]>
Commit | Line | Data |
---|---|---|
774c099c IB |
1 | from ccxt import * |
2 | import decimal | |
9f1408a3 | 3 | import time |
c7c1e0b2 IB |
4 | from retry.api import retry_call |
5 | import re | |
d8e233ac IB |
6 | from requests.exceptions import RequestException |
7 | from ssl import SSLError | |
774c099c IB |
8 | |
9 | def _cw_exchange_sum(self, *args): | |
10 | return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))]) | |
11 | Exchange.sum = _cw_exchange_sum | |
12 | ||
2308a1c4 | 13 | class poloniexE(poloniex): |
c7c1e0b2 IB |
14 | RETRIABLE_CALLS = [ |
15 | re.compile(r"^return"), | |
16 | re.compile(r"^cancel"), | |
17 | re.compile(r"^closeMarginPosition$"), | |
18 | re.compile(r"^getMarginPosition$"), | |
19 | ] | |
20 | ||
21 | def request(self, path, api='public', method='GET', params={}, headers=None, body=None): | |
22 | """ | |
23 | Wrapped to allow retry of non-posting requests" | |
24 | """ | |
25 | ||
b03f2a30 | 26 | origin_request = super().request |
c7c1e0b2 IB |
27 | kwargs = { |
28 | "api": api, | |
29 | "method": method, | |
30 | "params": params, | |
31 | "headers": headers, | |
32 | "body": body | |
33 | } | |
34 | ||
35 | retriable = any(re.match(call, path) for call in self.RETRIABLE_CALLS) | |
36 | if api == "public" or method == "GET" or retriable: | |
37 | return retry_call(origin_request, fargs=[path], fkwargs=kwargs, | |
b47d7b54 | 38 | tries=10, delay=1, exceptions=(RequestTimeout, InvalidNonce)) |
c7c1e0b2 IB |
39 | else: |
40 | return origin_request(path, **kwargs) | |
41 | ||
445b4a77 | 42 | def __init__(self, *args, **kwargs): |
b03f2a30 | 43 | super().__init__(*args, **kwargs) |
445b4a77 IB |
44 | |
45 | # For requests logging | |
46 | self.session.origin_request = self.session.request | |
47 | self.session._parent = self | |
48 | ||
49 | def request_wrap(self, *args, **kwargs): | |
e7d7c0e5 IB |
50 | kwargs["headers"]["X-market-id"] = str(self._parent._market.market_id) |
51 | kwargs["headers"]["X-user-id"] = str(self._parent._market.user_id) | |
d8e233ac IB |
52 | try: |
53 | r = self.origin_request(*args, **kwargs) | |
54 | self._parent._market.report.log_http_request(args[0], | |
55 | args[1], kwargs["data"], kwargs["headers"], r) | |
56 | return r | |
57 | except (SSLError, RequestException) as e: | |
58 | self._parent._market.report.log_http_request(args[0], | |
59 | args[1], kwargs["data"], kwargs["headers"], e) | |
60 | raise e | |
61 | ||
445b4a77 IB |
62 | self.session.request = request_wrap.__get__(self.session, |
63 | self.session.__class__) | |
64 | ||
9f1408a3 IB |
65 | @staticmethod |
66 | def nanoseconds(): | |
67 | return int(time.time() * 1000000000) | |
68 | ||
2308a1c4 IB |
69 | def fetch_margin_balance(self): |
70 | """ | |
71 | portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"}) | |
72 | See DASH/BTC positions | |
aca4d437 | 73 | {'amount': '-0.10000000', -> DASH empruntés (à rendre) |
2308a1c4 | 74 | 'basePrice': '0.06818560', -> à ce prix là (0.06828800 demandé * (1-0.15%)) |
aca4d437 | 75 | 'lendingFees': '0.00000000', -> ce que je dois à mon créditeur en intérêts |
2308a1c4 IB |
76 | 'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin) |
77 | 'pl': '-0.00000371', -> plus-value latente si je rachète tout de suite (négatif = perdu) | |
aca4d437 IB |
78 | 'total': '0.00681856', -> valeur totale empruntée en BTC (au moment de l'échange) |
79 | = amount * basePrice à erreur d'arrondi près | |
2308a1c4 IB |
80 | 'type': 'short'} |
81 | """ | |
82 | positions = self.privatePostGetMarginPosition({"currencyPair": "all"}) | |
83 | parsed = {} | |
84 | for symbol, position in positions.items(): | |
85 | if position["type"] == "none": | |
86 | continue | |
87 | base_currency, currency = symbol.split("_") | |
88 | parsed[currency] = { | |
89 | "amount": decimal.Decimal(position["amount"]), | |
90 | "borrowedPrice": decimal.Decimal(position["basePrice"]), | |
91 | "lendingFees": decimal.Decimal(position["lendingFees"]), | |
92 | "pl": decimal.Decimal(position["pl"]), | |
93 | "liquidationPrice": decimal.Decimal(position["liquidationPrice"]), | |
94 | "type": position["type"], | |
95 | "total": decimal.Decimal(position["total"]), | |
96 | "baseCurrency": base_currency, | |
97 | } | |
98 | return parsed | |
99 | ||
100 | def fetch_balance_per_type(self): | |
101 | balances = self.privatePostReturnAvailableAccountBalances() | |
102 | result = {'info': balances} | |
103 | for key, balance in balances.items(): | |
104 | result[key] = {} | |
105 | for currency, amount in balance.items(): | |
aca4d437 | 106 | result.setdefault(currency, {}) |
2308a1c4 IB |
107 | result[currency][key] = decimal.Decimal(amount) |
108 | result[key][currency] = decimal.Decimal(amount) | |
109 | return result | |
110 | ||
111 | def fetch_all_balances(self): | |
112 | exchange_balances = self.fetch_balance() | |
113 | margin_balances = self.fetch_margin_balance() | |
114 | balances_per_type = self.fetch_balance_per_type() | |
115 | ||
116 | all_balances = {} | |
117 | in_positions = {} | |
aca4d437 | 118 | pending_pl = {} |
2308a1c4 IB |
119 | |
120 | for currency, exchange_balance in exchange_balances.items(): | |
121 | if currency in ["info", "free", "used", "total"]: | |
122 | continue | |
123 | ||
124 | margin_balance = margin_balances.get(currency, {}) | |
125 | balance_per_type = balances_per_type.get(currency, {}) | |
126 | ||
127 | all_balances[currency] = { | |
128 | "total": exchange_balance["total"] + margin_balance.get("amount", 0), | |
129 | "exchange_used": exchange_balance["used"], | |
130 | "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0), | |
131 | "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0), | |
aca4d437 IB |
132 | # Disponible sur le compte margin |
133 | "margin_available": balance_per_type.get("margin", 0), | |
134 | # Bloqué en position | |
135 | "margin_in_position": 0, | |
136 | # Emprunté | |
137 | "margin_borrowed": -margin_balance.get("amount", 0), | |
138 | # Total | |
2308a1c4 | 139 | "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0), |
aca4d437 | 140 | "margin_pending_gain": 0, |
2308a1c4 | 141 | "margin_lending_fees": margin_balance.get("lendingFees", 0), |
aca4d437 | 142 | "margin_pending_base_gain": margin_balance.get("pl", 0), |
2308a1c4 IB |
143 | "margin_position_type": margin_balance.get("type", None), |
144 | "margin_liquidation_price": margin_balance.get("liquidationPrice", 0), | |
145 | "margin_borrowed_base_price": margin_balance.get("total", 0), | |
146 | "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None), | |
774c099c | 147 | } |
2308a1c4 | 148 | if len(margin_balance) > 0: |
aca4d437 | 149 | in_positions.setdefault(margin_balance["baseCurrency"], 0) |
2308a1c4 IB |
150 | in_positions[margin_balance["baseCurrency"]] += margin_balance["total"] |
151 | ||
aca4d437 IB |
152 | pending_pl.setdefault(margin_balance["baseCurrency"], 0) |
153 | pending_pl[margin_balance["baseCurrency"]] += margin_balance["pl"] | |
154 | ||
155 | # J’emprunte 0.12062983 que je revends à 0.06003598 BTC/DASH, soit 0.00724213 BTC. | |
156 | # Sur ces 0.00724213 BTC je récupère 0.00724213*(1-0.0015) = 0.00723127 BTC | |
157 | # | |
158 | # -> ordertrades ne tient pas compte des fees | |
159 | # amount = montant vendu (un seul mouvement) | |
160 | # rate = à ce taux | |
161 | # total = total en BTC (pour ce mouvement) | |
162 | # -> marginposition: | |
163 | # amount = ce que je dois rendre | |
164 | # basePrice = prix de vente en tenant compte des fees | |
165 | # (amount * basePrice = la quantité de BTC que j’ai effectivement | |
166 | # reçue à erreur d’arrondi près, utiliser plutôt "total") | |
167 | # total = la quantité de BTC que j’ai reçue | |
168 | # pl = plus value actuelle si je rachetais tout de suite | |
169 | # -> marginaccountsummary: | |
170 | # currentMargin = La marge actuelle (= netValue/totalBorrowedValue) | |
171 | # totalValue = BTC actuellement en margin (déposé) | |
172 | # totalBorrowedValue = sum (amount * ticker[lowestAsk]) | |
173 | # pl = sum(pl) | |
174 | # netValue = BTC actuellement en margin (déposé) + pl | |
175 | # Exemple: | |
176 | # In [38]: m.ccxt.private_post_returnordertrades({"orderNumber": "XXXXXXXXXXXX"}) | |
177 | # Out[38]: | |
178 | # [{'amount': '0.11882982', | |
179 | # 'currencyPair': 'BTC_DASH', | |
180 | # 'date': '2018-02-26 22:48:35', | |
181 | # 'fee': '0.00150000', | |
182 | # 'globalTradeID': 348891380, | |
183 | # 'rate': '0.06003598', | |
184 | # 'total': '0.00713406', | |
185 | # 'tradeID': 9634443, | |
186 | # 'type': 'sell'}, | |
187 | # {'amount': '0.00180000', | |
188 | # 'currencyPair': 'BTC_DASH', | |
189 | # 'date': '2018-02-26 22:48:30', | |
190 | # 'fee': '0.00150000', | |
191 | # 'globalTradeID': 348891375, | |
192 | # 'rate': '0.06003598', | |
193 | # 'total': '0.00010806', | |
194 | # 'tradeID': 9634442, | |
195 | # 'type': 'sell'}] | |
196 | # | |
197 | # In [51]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"}) | |
198 | # Out[51]: | |
199 | # {'amount': '-0.12062982', | |
200 | # 'basePrice': '0.05994587', | |
201 | # 'lendingFees': '0.00000000', | |
202 | # 'liquidationPrice': '0.15531479', | |
203 | # 'pl': '0.00000122', | |
204 | # 'total': '0.00723126', | |
205 | # 'type': 'short'} | |
206 | # In [52]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_BTS"}) | |
207 | # Out[52]: | |
208 | # {'amount': '-332.97159188', | |
209 | # 'basePrice': '0.00002171', | |
210 | # 'lendingFees': '0.00000000', | |
211 | # 'liquidationPrice': '0.00005543', | |
212 | # 'pl': '0.00029548', | |
213 | # 'total': '0.00723127', | |
214 | # 'type': 'short'} | |
215 | # | |
216 | # In [53]: m.ccxt.privatePostReturnMarginAccountSummary() | |
217 | # Out[53]: | |
218 | # {'currentMargin': '1.04341991', | |
219 | # 'lendingFees': '0.00000000', | |
220 | # 'netValue': '0.01478093', | |
221 | # 'pl': '0.00029666', | |
222 | # 'totalBorrowedValue': '0.01416585', | |
223 | # 'totalValue': '0.01448427'} | |
224 | ||
2308a1c4 IB |
225 | for currency, in_position in in_positions.items(): |
226 | all_balances[currency]["total"] += in_position | |
aca4d437 | 227 | all_balances[currency]["margin_in_position"] += in_position |
2308a1c4 | 228 | all_balances[currency]["margin_total"] += in_position |
aca4d437 IB |
229 | |
230 | for currency, pl in pending_pl.items(): | |
231 | all_balances[currency]["margin_pending_gain"] += pl | |
2308a1c4 IB |
232 | |
233 | return all_balances | |
234 | ||
3f415207 | 235 | def create_exchange_order(self, symbol, type, side, amount, price=None, params={}): |
b03f2a30 | 236 | return super().create_order(symbol, type, side, amount, price=price, params=params) |
2308a1c4 IB |
237 | |
238 | def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}): | |
239 | if type == 'market': | |
240 | raise ExchangeError(self.id + ' allows limit orders only') | |
241 | self.load_markets() | |
242 | method = 'privatePostMargin' + self.capitalize(side) | |
243 | market = self.market(symbol) | |
244 | price = float(price) | |
245 | amount = float(amount) | |
246 | if lending_rate is not None: | |
247 | params = self.extend({"lendingRate": lending_rate}, params) | |
248 | response = getattr(self, method)(self.extend({ | |
249 | 'currencyPair': market['id'], | |
250 | 'rate': self.price_to_precision(symbol, price), | |
251 | 'amount': self.amount_to_precision(symbol, amount), | |
252 | }, params)) | |
253 | timestamp = self.milliseconds() | |
254 | order = self.parse_order(self.extend({ | |
255 | 'timestamp': timestamp, | |
256 | 'status': 'open', | |
257 | 'type': type, | |
258 | 'side': side, | |
259 | 'price': price, | |
260 | 'amount': amount, | |
261 | }, response), market) | |
262 | id = order['id'] | |
263 | self.orders[id] = order | |
264 | return self.extend({'info': response}, order) | |
265 | ||
2308a1c4 IB |
266 | def order_precision(self, symbol): |
267 | return 8 | |
268 | ||
269 | def transfer_balance(self, currency, amount, from_account, to_account): | |
270 | result = self.privatePostTransferBalance({ | |
271 | "currency": currency, | |
272 | "amount": amount, | |
273 | "fromAccount": from_account, | |
274 | "toAccount": to_account, | |
275 | "confirmed": 1}) | |
276 | return result["success"] == 1 | |
277 | ||
278 | def close_margin_position(self, currency, base_currency): | |
279 | """ | |
280 | closeMarginPosition({"currencyPair": "BTC_DASH"}) | |
281 | fermer la position au prix du marché | |
282 | """ | |
283 | symbol = "{}_{}".format(base_currency, currency) | |
284 | self.privatePostCloseMarginPosition({"currencyPair": symbol}) | |
285 | ||
286 | def tradable_balances(self): | |
287 | """ | |
288 | portfolio.market.privatePostReturnTradableBalances() | |
289 | Returns tradable balances in margin | |
290 | 'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'}, | |
291 | Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte) | |
292 | 'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'}, | |
293 | Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM | |
294 | """ | |
295 | ||
296 | tradable_balances = self.privatePostReturnTradableBalances() | |
297 | for symbol, balances in tradable_balances.items(): | |
298 | for currency, balance in balances.items(): | |
299 | balances[currency] = decimal.Decimal(balance) | |
300 | return tradable_balances | |
301 | ||
302 | def margin_summary(self): | |
303 | """ | |
304 | portfolio.market.privatePostReturnMarginAccountSummary() | |
305 | Returns current informations for margin | |
306 | {'currentMargin': '1.49680968', -> marge (ne doit pas descendre sous 20% / 0.2) | |
307 | = netValue / totalBorrowedValue | |
308 | 'lendingFees': '0.00000000', -> fees totaux | |
309 | 'netValue': '0.01008254', -> balance + plus-value | |
310 | 'pl': '0.00008254', -> plus value latente (somme des positions) | |
aca4d437 IB |
311 | 'totalBorrowedValue': '0.00673602', -> valeur empruntée convertie en BTC. |
312 | (= sum(amount * ticker[lowerAsk]) pour amount dans marginposition) | |
313 | 'totalValue': '0.01000000'} -> balance (collateral déposé en margin) | |
2308a1c4 IB |
314 | """ |
315 | summary = self.privatePostReturnMarginAccountSummary() | |
316 | ||
317 | return { | |
318 | "current_margin": decimal.Decimal(summary["currentMargin"]), | |
319 | "lending_fees": decimal.Decimal(summary["lendingFees"]), | |
320 | "gains": decimal.Decimal(summary["pl"]), | |
321 | "total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]), | |
322 | "total": decimal.Decimal(summary["totalValue"]), | |
774c099c | 323 | } |
774c099c | 324 | |
3f415207 IB |
325 | def nonce(self): |
326 | """ | |
327 | Wrapped to allow nonce with other libraries | |
328 | """ | |
329 | return self.nanoseconds() | |
330 | ||
331 | def fetch_balance(self, params={}): | |
332 | """ | |
333 | Wrapped to get decimals | |
334 | """ | |
335 | self.load_markets() | |
336 | balances = self.privatePostReturnCompleteBalances(self.extend({ | |
337 | 'account': 'all', | |
338 | }, params)) | |
339 | result = {'info': balances} | |
340 | currencies = list(balances.keys()) | |
341 | for c in range(0, len(currencies)): | |
342 | id = currencies[c] | |
343 | balance = balances[id] | |
344 | currency = self.common_currency_code(id) | |
345 | account = { | |
346 | 'free': decimal.Decimal(balance['available']), | |
347 | 'used': decimal.Decimal(balance['onOrders']), | |
348 | 'total': decimal.Decimal(0.0), | |
349 | } | |
350 | account['total'] = self.sum(account['free'], account['used']) | |
351 | result[currency] = account | |
352 | return self.parse_balance(result) | |
353 | ||
354 | def parse_ticker(self, ticker, market=None): | |
355 | """ | |
356 | Wrapped to get decimals | |
357 | """ | |
358 | timestamp = self.milliseconds() | |
359 | symbol = None | |
360 | if market: | |
361 | symbol = market['symbol'] | |
362 | return { | |
363 | 'symbol': symbol, | |
364 | 'timestamp': timestamp, | |
365 | 'datetime': self.iso8601(timestamp), | |
366 | 'high': decimal.Decimal(ticker['high24hr']), | |
367 | 'low': decimal.Decimal(ticker['low24hr']), | |
368 | 'bid': decimal.Decimal(ticker['highestBid']), | |
369 | 'ask': decimal.Decimal(ticker['lowestAsk']), | |
370 | 'vwap': None, | |
371 | 'open': None, | |
372 | 'close': None, | |
373 | 'first': None, | |
374 | 'last': decimal.Decimal(ticker['last']), | |
375 | 'change': decimal.Decimal(ticker['percentChange']), | |
376 | 'percentage': None, | |
377 | 'average': None, | |
378 | 'baseVolume': decimal.Decimal(ticker['quoteVolume']), | |
379 | 'quoteVolume': decimal.Decimal(ticker['baseVolume']), | |
380 | 'info': ticker, | |
381 | } | |
382 | ||
383 | def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}): | |
384 | """ | |
385 | Wrapped to handle margin and exchange accounts | |
386 | """ | |
387 | if account == "exchange": | |
388 | return self.create_exchange_order(symbol, type, side, amount, price=price, params=params) | |
389 | elif account == "margin": | |
390 | return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params) | |
391 | else: | |
392 | raise NotImplementedError | |
393 | ||
394 |