]>
Commit | Line | Data |
---|---|---|
6ca5a1ec IB |
1 | import time |
2 | from ccxt import ExchangeError | |
3 | from store import * | |
4 | ||
5 | def move_balances(market, debug=False): | |
6 | needed_in_margin = {} | |
3d0247f9 IB |
7 | moving_to_margin = {} |
8 | ||
0c79fad3 IB |
9 | for currency in BalanceStore.all: |
10 | if BalanceStore.all[currency].margin_free != 0: | |
11 | needed_in_margin[currency] = 0 | |
6ca5a1ec | 12 | for trade in TradeStore.all: |
0c79fad3 IB |
13 | if trade.value_to.currency not in needed_in_margin: |
14 | needed_in_margin[trade.value_to.currency] = 0 | |
6ca5a1ec | 15 | if trade.trade_type == "short": |
6ca5a1ec IB |
16 | needed_in_margin[trade.value_to.currency] += abs(trade.value_to) |
17 | for currency, needed in needed_in_margin.items(): | |
18 | current_balance = BalanceStore.all[currency].margin_free | |
3d0247f9 IB |
19 | moving_to_margin[currency] = (needed - current_balance) |
20 | delta = moving_to_margin[currency].value | |
21 | if debug: | |
22 | ReportStore.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency])) | |
23 | continue | |
6ca5a1ec | 24 | if delta > 0: |
3d0247f9 | 25 | market.transfer_balance(currency, delta, "exchange", "margin") |
6ca5a1ec | 26 | elif delta < 0: |
3d0247f9 IB |
27 | market.transfer_balance(currency, -delta, "margin", "exchange") |
28 | ReportStore.log_move_balances(needed_in_margin, moving_to_margin, debug) | |
6ca5a1ec IB |
29 | |
30 | BalanceStore.fetch_balances(market) | |
31 | ||
32 | ticker_cache = {} | |
33 | ticker_cache_timestamp = time.time() | |
34 | def get_ticker(c1, c2, market, refresh=False): | |
35 | global ticker_cache, ticker_cache_timestamp | |
36 | def invert(ticker): | |
37 | return { | |
38 | "inverted": True, | |
39 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
40 | "original": ticker, | |
41 | } | |
42 | def augment_ticker(ticker): | |
43 | ticker.update({ | |
44 | "inverted": False, | |
45 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
46 | }) | |
47 | ||
48 | if time.time() - ticker_cache_timestamp > 5: | |
49 | ticker_cache = {} | |
50 | ticker_cache_timestamp = time.time() | |
51 | elif not refresh: | |
52 | if (c1, c2, market.__class__) in ticker_cache: | |
53 | return ticker_cache[(c1, c2, market.__class__)] | |
54 | if (c2, c1, market.__class__) in ticker_cache: | |
55 | return invert(ticker_cache[(c2, c1, market.__class__)]) | |
56 | ||
57 | try: | |
58 | ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) | |
59 | augment_ticker(ticker_cache[(c1, c2, market.__class__)]) | |
60 | except ExchangeError: | |
61 | try: | |
62 | ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) | |
63 | augment_ticker(ticker_cache[(c2, c1, market.__class__)]) | |
64 | except ExchangeError: | |
65 | ticker_cache[(c1, c2, market.__class__)] = None | |
66 | return get_ticker(c1, c2, market) | |
67 | ||
68 | fees_cache = {} | |
69 | def fetch_fees(market): | |
70 | global fees_cache | |
71 | if market.__class__ not in fees_cache: | |
72 | fees_cache[market.__class__] = market.fetch_fees() | |
73 | return fees_cache[market.__class__] | |
74 | ||
e246023e | 75 | def prepare_trades(market, base_currency="BTC", liquidity="medium", compute_value="average", debug=False): |
3d0247f9 | 76 | ReportStore.log_stage("prepare_trades") |
6ca5a1ec IB |
77 | values_in_base = BalanceStore.in_currency(base_currency, market, compute_value=compute_value) |
78 | total_base_value = sum(values_in_base.values()) | |
e246023e | 79 | new_repartition = BalanceStore.dispatch_assets(total_base_value, liquidity=liquidity) |
6ca5a1ec IB |
80 | # Recompute it in case we have new currencies |
81 | values_in_base = BalanceStore.in_currency(base_currency, market, compute_value=compute_value) | |
82 | TradeStore.compute_trades(values_in_base, new_repartition, market=market, debug=debug) | |
83 | ||
e246023e | 84 | def update_trades(market, base_currency="BTC", liquidity="medium", compute_value="average", only=None, debug=False): |
3d0247f9 | 85 | ReportStore.log_stage("update_trades") |
6ca5a1ec IB |
86 | values_in_base = BalanceStore.in_currency(base_currency, market, compute_value=compute_value) |
87 | total_base_value = sum(values_in_base.values()) | |
e246023e | 88 | new_repartition = BalanceStore.dispatch_assets(total_base_value, liquidity=liquidity) |
6ca5a1ec IB |
89 | TradeStore.compute_trades(values_in_base, new_repartition, only=only, market=market, debug=debug) |
90 | ||
91 | def prepare_trades_to_sell_all(market, base_currency="BTC", compute_value="average", debug=False): | |
3d0247f9 | 92 | ReportStore.log_stage("prepare_trades_to_sell_all") |
6ca5a1ec IB |
93 | values_in_base = BalanceStore.in_currency(base_currency, market, compute_value=compute_value) |
94 | total_base_value = sum(values_in_base.values()) | |
95 | new_repartition = BalanceStore.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") }) | |
96 | TradeStore.compute_trades(values_in_base, new_repartition, market=market, debug=debug) | |
97 | ||
3d0247f9 | 98 | def follow_orders(sleep=None): |
6ca5a1ec IB |
99 | if sleep is None: |
100 | sleep = 7 if TradeStore.debug else 30 | |
3d0247f9 IB |
101 | if TradeStore.debug: |
102 | ReportStore.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
6ca5a1ec | 103 | tick = 0 |
3d0247f9 | 104 | ReportStore.log_stage("follow_orders_begin") |
6ca5a1ec IB |
105 | while len(TradeStore.all_orders(state="open")) > 0: |
106 | time.sleep(sleep) | |
107 | tick += 1 | |
3d0247f9 IB |
108 | open_orders = TradeStore.all_orders(state="open") |
109 | ReportStore.log_stage("follow_orders_tick_{}".format(tick)) | |
110 | ReportStore.log_orders(open_orders, tick=tick) | |
111 | for order in open_orders: | |
6ca5a1ec | 112 | if order.get_status() != "open": |
3d0247f9 | 113 | ReportStore.log_order(order, tick, finished=True) |
6ca5a1ec IB |
114 | else: |
115 | order.trade.update_order(order, tick) | |
3d0247f9 | 116 | ReportStore.log_stage("follow_orders_end") |
6ca5a1ec IB |
117 | |
118 | def print_orders(market, base_currency="BTC"): | |
3d0247f9 | 119 | ReportStore.log_stage("print_orders") |
18167a3c | 120 | BalanceStore.fetch_balances(market, tag="print_orders") |
2f0939e1 | 121 | prepare_trades(market, base_currency=base_currency, compute_value="average", debug=True) |
6ca5a1ec | 122 | TradeStore.prepare_orders(compute_value="average") |
6ca5a1ec | 123 | |
97922ff1 IB |
124 | def print_balances(market, base_currency="BTC"): |
125 | BalanceStore.fetch_balances(market) | |
97922ff1 | 126 | if base_currency is not None: |
3d0247f9 IB |
127 | ReportStore.print_log("total:") |
128 | ReportStore.print_log(sum(BalanceStore.in_currency(base_currency, market).values())) | |
97922ff1 | 129 | |
e246023e | 130 | def process_sell_needed__1_sell(market, liquidity="medium", base_currency="BTC", debug=False): |
3d0247f9 | 131 | ReportStore.log_stage("process_sell_needed__1_sell_begin") |
18167a3c | 132 | BalanceStore.fetch_balances(market, tag="process_sell_needed__1_sell_begin") |
e246023e | 133 | prepare_trades(market, liquidity=liquidity, base_currency=base_currency, debug=debug) |
5a72ded7 | 134 | TradeStore.prepare_orders(compute_value="average", only="dispose") |
5a72ded7 IB |
135 | TradeStore.run_orders() |
136 | follow_orders() | |
18167a3c | 137 | BalanceStore.fetch_balances(market, tag="process_sell_needed__1_sell_end") |
3d0247f9 | 138 | ReportStore.log_stage("process_sell_needed__1_sell_end") |
5a72ded7 | 139 | |
e246023e | 140 | def process_sell_needed__2_buy(market, liquidity="medium", base_currency="BTC", debug=False): |
3d0247f9 | 141 | ReportStore.log_stage("process_sell_needed__2_buy_begin") |
18167a3c | 142 | BalanceStore.fetch_balances(market, tag="process_sell_needed__2_buy_begin") |
e246023e | 143 | update_trades(market, base_currency=base_currency, liquidity=liquidity, debug=debug, only="acquire") |
5a72ded7 | 144 | TradeStore.prepare_orders(compute_value="average", only="acquire") |
5a72ded7 IB |
145 | move_balances(market, debug=debug) |
146 | TradeStore.run_orders() | |
147 | follow_orders() | |
18167a3c | 148 | BalanceStore.fetch_balances(market, tag="process_sell_needed__2_buy_end") |
3d0247f9 | 149 | ReportStore.log_stage("process_sell_needed__2_buy_end") |
6ca5a1ec | 150 | |
e246023e | 151 | def process_sell_all__1_all_sell(market, base_currency="BTC", debug=False, liquidity="medium"): |
3d0247f9 | 152 | ReportStore.log_stage("process_sell_all__1_all_sell_begin") |
18167a3c | 153 | BalanceStore.fetch_balances(market, tag="process_sell_all__1_all_sell_begin") |
5a72ded7 | 154 | prepare_trades_to_sell_all(market, base_currency=base_currency, debug=debug) |
6ca5a1ec | 155 | TradeStore.prepare_orders(compute_value="average") |
6ca5a1ec IB |
156 | TradeStore.run_orders() |
157 | follow_orders() | |
18167a3c | 158 | BalanceStore.fetch_balances(market, tag="process_sell_all__1_all_sell_end") |
3d0247f9 | 159 | ReportStore.log_stage("process_sell_all__1_all_sell_end") |
6ca5a1ec | 160 | |
e246023e | 161 | def process_sell_all__2_all_buy(market, base_currency="BTC", debug=False, liquidity="medium"): |
3d0247f9 | 162 | ReportStore.log_stage("process_sell_all__2_all_buy_begin") |
18167a3c | 163 | BalanceStore.fetch_balances(market, tag="process_sell_all__2_all_buy_begin") |
e246023e IB |
164 | prepare_trades(market, liquidity=liquidity, base_currency=base_currency, debug=debug) |
165 | TradeStore.prepare_orders(compute_value="average") | |
6ca5a1ec IB |
166 | move_balances(market, debug=debug) |
167 | TradeStore.run_orders() | |
168 | follow_orders() | |
18167a3c | 169 | BalanceStore.fetch_balances(market, tag="process_sell_all__2_all_buy_end") |
3d0247f9 | 170 | ReportStore.log_stage("process_sell_all__2_all_buy_end") |
6ca5a1ec IB |
171 | |
172 |