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Commit | Line | Data |
---|---|---|
5321200c | 1 | from ccxt import AuthenticationError, ExchangeError, NotSupported, RequestTimeout, InvalidNonce |
774c099c | 2 | import ccxt_wrapper as ccxt |
f86ee140 | 3 | import time |
30700830 | 4 | import dbs |
f86ee140 | 5 | from store import * |
aca4d437 | 6 | from cachetools.func import ttl_cache |
1f117ac7 | 7 | from datetime import datetime |
e7d7c0e5 | 8 | import datetime |
337c8286 | 9 | from retry import retry |
1f117ac7 | 10 | import portfolio |
4c51aa71 | 11 | |
f86ee140 IB |
12 | class Market: |
13 | debug = False | |
14 | ccxt = None | |
15 | report = None | |
16 | trades = None | |
17 | balances = None | |
ecba1113 | 18 | |
35667b31 | 19 | def __init__(self, ccxt_instance, args, **kwargs): |
07fa7a4b IB |
20 | self.args = args |
21 | self.debug = args.debug | |
f86ee140 IB |
22 | self.ccxt = ccxt_instance |
23 | self.ccxt._market = self | |
07fa7a4b | 24 | self.report = ReportStore(self, verbose_print=(not args.quiet)) |
f86ee140 IB |
25 | self.trades = TradeStore(self) |
26 | self.balances = BalanceStore(self) | |
1f117ac7 IB |
27 | self.processor = Processor(self) |
28 | ||
30700830 | 29 | for key in ["user_id", "market_id"]: |
35667b31 | 30 | setattr(self, key, kwargs.get(key, None)) |
f86ee140 | 31 | |
e7d7c0e5 | 32 | self.report.log_market(self.args) |
90d7423e | 33 | |
f86ee140 | 34 | @classmethod |
35667b31 | 35 | def from_config(cls, config, args, **kwargs): |
1f117ac7 | 36 | config["apiKey"] = config.pop("key", None) |
d24bb10c | 37 | |
f86ee140 IB |
38 | ccxt_instance = ccxt.poloniexE(config) |
39 | ||
35667b31 | 40 | return cls(ccxt_instance, args, **kwargs) |
1f117ac7 IB |
41 | |
42 | def store_report(self): | |
9bde69bf | 43 | self.report.merge(Portfolio.report) |
e7d7c0e5 | 44 | date = datetime.datetime.now() |
a42d6cc8 | 45 | if self.args.report_path is not None: |
b4e0ba0b | 46 | self.store_file_report(date) |
30700830 | 47 | if dbs.psql_connected() and self.args.report_db: |
b4e0ba0b | 48 | self.store_database_report(date) |
30700830 | 49 | if dbs.redis_connected() and self.args.report_redis: |
1593c7a9 | 50 | self.store_redis_report(date) |
b4e0ba0b IB |
51 | |
52 | def store_file_report(self, date): | |
1f117ac7 | 53 | try: |
a42d6cc8 | 54 | report_file = "{}/{}_{}".format(self.args.report_path, date.isoformat(), self.user_id) |
b4e0ba0b IB |
55 | with open(report_file + ".json", "w") as f: |
56 | f.write(self.report.to_json()) | |
57 | with open(report_file + ".log", "w") as f: | |
58 | f.write("\n".join(map(lambda x: x[1], self.report.print_logs))) | |
1f117ac7 IB |
59 | except Exception as e: |
60 | print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) | |
61 | ||
b4e0ba0b IB |
62 | def store_database_report(self, date): |
63 | try: | |
64 | report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;' | |
65 | line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);' | |
30700830 | 66 | cursor = dbs.psql.cursor() |
b4e0ba0b IB |
67 | cursor.execute(report_query, (date, self.market_id, self.debug)) |
68 | report_id = cursor.fetchone()[0] | |
69 | for date, type_, payload in self.report.to_json_array(): | |
70 | cursor.execute(line_query, (date, report_id, type_, payload)) | |
71 | ||
30700830 | 72 | dbs.psql.commit() |
b4e0ba0b | 73 | cursor.close() |
b4e0ba0b IB |
74 | except Exception as e: |
75 | print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e)) | |
76 | ||
1593c7a9 IB |
77 | def store_redis_report(self, date): |
78 | try: | |
1593c7a9 IB |
79 | for type_, log in self.report.to_json_redis(): |
80 | key = "/cryptoportfolio/{}/{}/{}".format(self.market_id, date.isoformat(), type_) | |
30700830 | 81 | dbs.redis.set(key, log, ex=31*24*60*60) |
1593c7a9 | 82 | key = "/cryptoportfolio/{}/latest/{}".format(self.market_id, type_) |
30700830 | 83 | dbs.redis.set(key, log) |
17fd3f75 | 84 | key = "/cryptoportfolio/{}/latest/date".format(self.market_id) |
30700830 | 85 | dbs.redis.set(key, date.isoformat()) |
1593c7a9 IB |
86 | except Exception as e: |
87 | print("impossible to store report to redis: {}; {}".format(e.__class__.__name__, e)) | |
88 | ||
1f117ac7 IB |
89 | def process(self, actions, before=False, after=False): |
90 | try: | |
5321200c | 91 | self.ccxt.check_required_credentials() |
ceb7fc4c IB |
92 | for action in actions: |
93 | if bool(before) is bool(after): | |
94 | self.processor.process(action, steps="all") | |
95 | elif before: | |
96 | self.processor.process(action, steps="before") | |
97 | elif after: | |
98 | self.processor.process(action, steps="after") | |
5321200c IB |
99 | except AuthenticationError: |
100 | self.report.log_error("market_authentication", message="Impossible to authenticate to market") | |
1f117ac7 | 101 | except Exception as e: |
4ae84fb7 IB |
102 | import traceback |
103 | self.report.log_error("market_process", exception=e, message=traceback.format_exc()) | |
1f117ac7 IB |
104 | finally: |
105 | self.store_report() | |
f86ee140 | 106 | |
b47d7b54 | 107 | @retry((RequestTimeout, InvalidNonce), tries=5) |
f86ee140 IB |
108 | def move_balances(self): |
109 | needed_in_margin = {} | |
110 | moving_to_margin = {} | |
111 | ||
aca4d437 IB |
112 | for currency, balance in self.balances.all.items(): |
113 | needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain | |
114 | for trade in self.trades.pending: | |
115 | needed_in_margin.setdefault(trade.base_currency, 0) | |
f86ee140 | 116 | if trade.trade_type == "short": |
aca4d437 | 117 | needed_in_margin[trade.base_currency] -= trade.delta |
f86ee140 | 118 | for currency, needed in needed_in_margin.items(): |
aca4d437 | 119 | current_balance = self.balances.all[currency].margin_available |
f86ee140 IB |
120 | moving_to_margin[currency] = (needed - current_balance) |
121 | delta = moving_to_margin[currency].value | |
337c8286 IB |
122 | action = "Moving {} from exchange to margin".format(moving_to_margin[currency]) |
123 | ||
aca4d437 | 124 | if self.debug and delta != 0: |
337c8286 | 125 | self.report.log_debug_action(action) |
f86ee140 | 126 | continue |
337c8286 IB |
127 | try: |
128 | if delta > 0: | |
129 | self.ccxt.transfer_balance(currency, delta, "exchange", "margin") | |
130 | elif delta < 0: | |
131 | self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") | |
b47d7b54 | 132 | except (RequestTimeout, InvalidNonce) as e: |
337c8286 IB |
133 | self.report.log_error(action, message="Retrying", exception=e) |
134 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
135 | self.balances.fetch_balances() | |
136 | raise e | |
f86ee140 IB |
137 | self.report.log_move_balances(needed_in_margin, moving_to_margin) |
138 | ||
139 | self.balances.fetch_balances() | |
140 | ||
aca4d437 | 141 | @ttl_cache(ttl=3600) |
f86ee140 | 142 | def fetch_fees(self): |
aca4d437 IB |
143 | return self.ccxt.fetch_fees() |
144 | ||
145 | @ttl_cache(maxsize=20, ttl=5) | |
146 | def get_tickers(self, refresh=False): | |
147 | try: | |
148 | return self.ccxt.fetch_tickers() | |
149 | except NotSupported: | |
150 | return None | |
f86ee140 | 151 | |
aca4d437 | 152 | @ttl_cache(maxsize=20, ttl=5) |
f86ee140 IB |
153 | def get_ticker(self, c1, c2, refresh=False): |
154 | def invert(ticker): | |
155 | return { | |
156 | "inverted": True, | |
157 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
158 | "original": ticker, | |
159 | } | |
160 | def augment_ticker(ticker): | |
161 | ticker.update({ | |
162 | "inverted": False, | |
163 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
164 | }) | |
7192b2e1 | 165 | return ticker |
f86ee140 | 166 | |
aca4d437 IB |
167 | tickers = self.get_tickers() |
168 | if tickers is None: | |
f86ee140 | 169 | try: |
7192b2e1 | 170 | ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) |
f86ee140 | 171 | except ExchangeError: |
aca4d437 | 172 | try: |
7192b2e1 | 173 | ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) |
aca4d437 IB |
174 | except ExchangeError: |
175 | ticker = None | |
176 | else: | |
177 | if "{}/{}".format(c1, c2) in tickers: | |
7192b2e1 | 178 | ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) |
aca4d437 | 179 | elif "{}/{}".format(c2, c1) in tickers: |
7192b2e1 | 180 | ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) |
aca4d437 IB |
181 | else: |
182 | ticker = None | |
183 | return ticker | |
f86ee140 IB |
184 | |
185 | def follow_orders(self, sleep=None): | |
186 | if sleep is None: | |
187 | sleep = 7 if self.debug else 30 | |
188 | if self.debug: | |
189 | self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
190 | tick = 0 | |
191 | self.report.log_stage("follow_orders_begin") | |
192 | while len(self.trades.all_orders(state="open")) > 0: | |
193 | time.sleep(sleep) | |
194 | tick += 1 | |
195 | open_orders = self.trades.all_orders(state="open") | |
196 | self.report.log_stage("follow_orders_tick_{}".format(tick)) | |
197 | self.report.log_orders(open_orders, tick=tick) | |
198 | for order in open_orders: | |
7ba831c5 IB |
199 | status = order.get_status() |
200 | if status != "open": | |
f86ee140 IB |
201 | self.report.log_order(order, tick, finished=True) |
202 | else: | |
203 | order.trade.update_order(order, tick) | |
7ba831c5 IB |
204 | if status == "error_disappeared": |
205 | self.report.log_error("follow_orders", | |
206 | message="{} disappeared, recreating it".format(order)) | |
af928d32 | 207 | new_order = order.trade.prepare_order( |
7ba831c5 | 208 | compute_value=order.trade.tick_actions_recreate(tick)) |
84c9fe33 IB |
209 | if new_order is not None: |
210 | new_order.run() | |
211 | self.report.log_order(order, tick, new_order=new_order) | |
7ba831c5 | 212 | |
f86ee140 IB |
213 | self.report.log_stage("follow_orders_end") |
214 | ||
9db7d156 | 215 | def prepare_trades(self, base_currency="BTC", liquidity="medium", |
96959cea IB |
216 | compute_value="average", repartition=None, only=None, |
217 | available_balance_only=False): | |
9db7d156 | 218 | |
7bd830a8 IB |
219 | self.report.log_stage("prepare_trades", |
220 | base_currency=base_currency, liquidity=liquidity, | |
9db7d156 | 221 | compute_value=compute_value, only=only, |
96959cea | 222 | repartition=repartition, available_balance_only=available_balance_only) |
f86ee140 | 223 | |
96959cea | 224 | if available_balance_only: |
3d6f74ee IB |
225 | repartition, total_base_value, values_in_base = self.balances.available_balances_for_repartition( |
226 | base_currency=base_currency, liquidity=liquidity, | |
227 | repartition=repartition, compute_value=compute_value) | |
96959cea | 228 | else: |
3d6f74ee IB |
229 | values_in_base = self.balances.in_currency(base_currency, |
230 | compute_value=compute_value) | |
96959cea | 231 | total_base_value = sum(values_in_base.values()) |
9db7d156 IB |
232 | new_repartition = self.balances.dispatch_assets(total_base_value, |
233 | liquidity=liquidity, repartition=repartition) | |
96959cea IB |
234 | if available_balance_only: |
235 | for currency, amount in values_in_base.items(): | |
3d6f74ee IB |
236 | if currency != base_currency and currency not in new_repartition: |
237 | new_repartition[currency] = amount | |
96959cea | 238 | |
9db7d156 | 239 | self.trades.compute_trades(values_in_base, new_repartition, only=only) |
2308a1c4 | 240 | |
ceb7fc4c | 241 | def print_tickers(self, base_currency="BTC"): |
1f117ac7 IB |
242 | if base_currency is not None: |
243 | self.report.print_log("total:") | |
244 | self.report.print_log(sum(self.balances.in_currency(base_currency).values())) | |
245 | ||
246 | class Processor: | |
247 | scenarios = { | |
81d1db51 IB |
248 | "wait_for_cryptoportfolio": [ |
249 | { | |
250 | "name": "wait", | |
251 | "number": 1, | |
252 | "before": False, | |
253 | "after": True, | |
254 | "wait_for_recent": {}, | |
255 | }, | |
256 | ], | |
ceb7fc4c IB |
257 | "print_balances": [ |
258 | { | |
259 | "name": "print_balances", | |
260 | "number": 1, | |
3a15ffc7 IB |
261 | "fetch_balances_begin": { |
262 | "log_tickers": True, | |
263 | "add_usdt": True, | |
264 | "add_portfolio": True | |
265 | }, | |
ceb7fc4c IB |
266 | "print_tickers": { "base_currency": "BTC" }, |
267 | } | |
268 | ], | |
81d1db51 IB |
269 | "print_orders": [ |
270 | { | |
271 | "name": "wait", | |
272 | "number": 1, | |
ceb7fc4c IB |
273 | "before": True, |
274 | "after": False, | |
81d1db51 IB |
275 | "wait_for_recent": {}, |
276 | }, | |
277 | { | |
278 | "name": "make_orders", | |
279 | "number": 2, | |
280 | "before": False, | |
281 | "after": True, | |
bb127bc8 | 282 | "fetch_balances_begin": {}, |
81d1db51 IB |
283 | "prepare_trades": { "compute_value": "average" }, |
284 | "prepare_orders": { "compute_value": "average" }, | |
285 | }, | |
286 | ], | |
1f117ac7 IB |
287 | "sell_needed": [ |
288 | { | |
bb127bc8 | 289 | "name": "print_balances", |
1f117ac7 | 290 | "number": 0, |
bb127bc8 IB |
291 | "before": True, |
292 | "after": False, | |
293 | "fetch_balances_begin": { | |
294 | "checkpoint": "end", | |
295 | "log_tickers": True, | |
3a15ffc7 | 296 | "add_usdt": True, |
bb127bc8 IB |
297 | "add_portfolio": True |
298 | }, | |
299 | }, | |
300 | { | |
301 | "name": "wait", | |
302 | "number": 1, | |
1f117ac7 IB |
303 | "before": False, |
304 | "after": True, | |
305 | "wait_for_recent": {}, | |
306 | }, | |
307 | { | |
308 | "name": "sell", | |
bb127bc8 | 309 | "number": 2, |
1f117ac7 IB |
310 | "before": False, |
311 | "after": True, | |
bb127bc8 IB |
312 | "fetch_balances_begin": {}, |
313 | "fetch_balances_end": {}, | |
1f117ac7 IB |
314 | "prepare_trades": {}, |
315 | "prepare_orders": { "only": "dispose", "compute_value": "average" }, | |
316 | "run_orders": {}, | |
317 | "follow_orders": {}, | |
318 | "close_trades": {}, | |
319 | }, | |
320 | { | |
321 | "name": "buy", | |
bb127bc8 | 322 | "number": 3, |
1f117ac7 IB |
323 | "before": False, |
324 | "after": True, | |
bb127bc8 IB |
325 | "fetch_balances_begin": {}, |
326 | "fetch_balances_end": { | |
327 | "checkpoint": "begin", | |
3a15ffc7 | 328 | "add_usdt": True, |
bb127bc8 IB |
329 | "log_tickers": True |
330 | }, | |
96959cea | 331 | "prepare_trades": { "only": "acquire", "available_balance_only": True }, |
1f117ac7 IB |
332 | "prepare_orders": { "only": "acquire", "compute_value": "average" }, |
333 | "move_balances": {}, | |
334 | "run_orders": {}, | |
335 | "follow_orders": {}, | |
336 | "close_trades": {}, | |
337 | }, | |
338 | ], | |
339 | "sell_all": [ | |
340 | { | |
341 | "name": "all_sell", | |
342 | "number": 1, | |
343 | "before": True, | |
344 | "after": False, | |
bb127bc8 IB |
345 | "fetch_balances_begin": { |
346 | "checkpoint": "end", | |
347 | "log_tickers": True, | |
3a15ffc7 | 348 | "add_usdt": True, |
bb127bc8 IB |
349 | "add_portfolio": True |
350 | }, | |
351 | "fetch_balances_end": {}, | |
1f117ac7 IB |
352 | "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, |
353 | "prepare_orders": { "compute_value": "average" }, | |
354 | "run_orders": {}, | |
355 | "follow_orders": {}, | |
356 | "close_trades": {}, | |
357 | }, | |
358 | { | |
359 | "name": "wait", | |
360 | "number": 2, | |
361 | "before": False, | |
362 | "after": True, | |
363 | "wait_for_recent": {}, | |
364 | }, | |
365 | { | |
366 | "name": "all_buy", | |
367 | "number": 3, | |
368 | "before": False, | |
369 | "after": True, | |
bb127bc8 IB |
370 | "fetch_balances_begin": {}, |
371 | "fetch_balances_end": { | |
372 | "checkpoint": "begin", | |
3a15ffc7 | 373 | "add_usdt": True, |
bb127bc8 IB |
374 | "log_tickers": True |
375 | }, | |
96959cea | 376 | "prepare_trades": { "available_balance_only": True }, |
1f117ac7 IB |
377 | "prepare_orders": { "compute_value": "average" }, |
378 | "move_balances": {}, | |
379 | "run_orders": {}, | |
380 | "follow_orders": {}, | |
381 | "close_trades": {}, | |
382 | }, | |
383 | ] | |
384 | } | |
385 | ||
386 | ordered_actions = [ | |
387 | "wait_for_recent", "prepare_trades", "prepare_orders", | |
388 | "move_balances", "run_orders", "follow_orders", | |
ceb7fc4c | 389 | "close_trades", "print_tickers"] |
1f117ac7 IB |
390 | |
391 | def __init__(self, market): | |
392 | self.market = market | |
393 | ||
394 | def select_steps(self, scenario, step): | |
395 | if step == "all": | |
396 | return scenario | |
397 | elif step == "before" or step == "after": | |
ceb7fc4c | 398 | return list(filter(lambda x: x.get(step, False), scenario)) |
1f117ac7 IB |
399 | elif type(step) == int: |
400 | return [scenario[step-1]] | |
401 | elif type(step) == str: | |
402 | return list(filter(lambda x: x["name"] == step, scenario)) | |
403 | else: | |
404 | raise TypeError("Unknown step {}".format(step)) | |
405 | ||
ceb7fc4c IB |
406 | def can_process(self, scenario_name): |
407 | return scenario_name in self.scenarios | |
408 | ||
1f117ac7 | 409 | def process(self, scenario_name, steps="all", **kwargs): |
ceb7fc4c IB |
410 | if not self.can_process(scenario_name): |
411 | raise TypeError("Unknown scenario {}".format(scenario_name)) | |
1f117ac7 IB |
412 | scenario = self.scenarios[scenario_name] |
413 | selected_steps = [] | |
414 | ||
415 | if type(steps) == str or type(steps) == int: | |
416 | selected_steps += self.select_steps(scenario, steps) | |
417 | else: | |
418 | for step in steps: | |
419 | selected_steps += self.select_steps(scenario, step) | |
420 | for step in selected_steps: | |
421 | self.process_step(scenario_name, step, kwargs) | |
422 | ||
423 | def process_step(self, scenario_name, step, kwargs): | |
424 | process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) | |
425 | self.market.report.log_stage("{}_begin".format(process_name)) | |
9b697863 | 426 | |
bb127bc8 | 427 | if "fetch_balances_begin" in step: |
9b697863 | 428 | self.market.balances.fetch_balances(tag="{}_begin".format(process_name), |
bb127bc8 | 429 | **step["fetch_balances_begin"]) |
1f117ac7 IB |
430 | |
431 | for action in self.ordered_actions: | |
432 | if action in step: | |
433 | self.run_action(action, step[action], kwargs) | |
434 | ||
bb127bc8 | 435 | if "fetch_balances_end" in step: |
9b697863 | 436 | self.market.balances.fetch_balances(tag="{}_end".format(process_name), |
bb127bc8 IB |
437 | **step["fetch_balances_end"]) |
438 | ||
1f117ac7 IB |
439 | self.market.report.log_stage("{}_end".format(process_name)) |
440 | ||
441 | def method_arguments(self, action): | |
442 | import inspect | |
443 | ||
444 | if action == "wait_for_recent": | |
ada1b5f1 | 445 | method = Portfolio.wait_for_recent |
1f117ac7 IB |
446 | elif action == "prepare_trades": |
447 | method = self.market.prepare_trades | |
448 | elif action == "prepare_orders": | |
449 | method = self.market.trades.prepare_orders | |
450 | elif action == "move_balances": | |
451 | method = self.market.move_balances | |
452 | elif action == "run_orders": | |
453 | method = self.market.trades.run_orders | |
454 | elif action == "follow_orders": | |
455 | method = self.market.follow_orders | |
456 | elif action == "close_trades": | |
457 | method = self.market.trades.close_trades | |
ceb7fc4c IB |
458 | elif action == "print_tickers": |
459 | method = self.market.print_tickers | |
1f117ac7 IB |
460 | |
461 | signature = inspect.getfullargspec(method) | |
462 | defaults = signature.defaults or [] | |
463 | kwargs = signature.args[-len(defaults):] | |
464 | ||
465 | return [method, kwargs] | |
466 | ||
467 | def parse_args(self, action, default_args, kwargs): | |
468 | method, allowed_arguments = self.method_arguments(action) | |
469 | args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments } | |
470 | ||
471 | if "repartition" in args and "base_currency" in args["repartition"]: | |
472 | r = args["repartition"] | |
473 | r[args.get("base_currency", "BTC")] = r.pop("base_currency") | |
474 | ||
475 | return method, args | |
476 | ||
477 | def run_action(self, action, default_args, kwargs): | |
478 | method, args = self.parse_args(action, default_args, kwargs) | |
479 | ||
ada1b5f1 | 480 | method(**args) |