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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 | |
ef8fa5e5 | 18 | options = None |
ecba1113 | 19 | |
35667b31 | 20 | def __init__(self, ccxt_instance, args, **kwargs): |
07fa7a4b IB |
21 | self.args = args |
22 | self.debug = args.debug | |
f86ee140 IB |
23 | self.ccxt = ccxt_instance |
24 | self.ccxt._market = self | |
07fa7a4b | 25 | self.report = ReportStore(self, verbose_print=(not args.quiet)) |
f86ee140 IB |
26 | self.trades = TradeStore(self) |
27 | self.balances = BalanceStore(self) | |
1f117ac7 IB |
28 | self.processor = Processor(self) |
29 | ||
ef8fa5e5 | 30 | self.options = kwargs.get("options", {}) |
30700830 | 31 | for key in ["user_id", "market_id"]: |
35667b31 | 32 | setattr(self, key, kwargs.get(key, None)) |
f86ee140 | 33 | |
e7d7c0e5 | 34 | self.report.log_market(self.args) |
90d7423e | 35 | |
f86ee140 | 36 | @classmethod |
35667b31 | 37 | def from_config(cls, config, args, **kwargs): |
1f117ac7 | 38 | config["apiKey"] = config.pop("key", None) |
d24bb10c | 39 | |
f86ee140 IB |
40 | ccxt_instance = ccxt.poloniexE(config) |
41 | ||
35667b31 | 42 | return cls(ccxt_instance, args, **kwargs) |
1f117ac7 IB |
43 | |
44 | def store_report(self): | |
9bde69bf | 45 | self.report.merge(Portfolio.report) |
e7d7c0e5 | 46 | date = datetime.datetime.now() |
a42d6cc8 | 47 | if self.args.report_path is not None: |
b4e0ba0b | 48 | self.store_file_report(date) |
30700830 | 49 | if dbs.psql_connected() and self.args.report_db: |
b4e0ba0b | 50 | self.store_database_report(date) |
30700830 | 51 | if dbs.redis_connected() and self.args.report_redis: |
1593c7a9 | 52 | self.store_redis_report(date) |
b4e0ba0b IB |
53 | |
54 | def store_file_report(self, date): | |
1f117ac7 | 55 | try: |
a42d6cc8 | 56 | report_file = "{}/{}_{}".format(self.args.report_path, date.isoformat(), self.user_id) |
b4e0ba0b IB |
57 | with open(report_file + ".json", "w") as f: |
58 | f.write(self.report.to_json()) | |
59 | with open(report_file + ".log", "w") as f: | |
60 | f.write("\n".join(map(lambda x: x[1], self.report.print_logs))) | |
1f117ac7 IB |
61 | except Exception as e: |
62 | print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) | |
63 | ||
b4e0ba0b IB |
64 | def store_database_report(self, date): |
65 | try: | |
66 | report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;' | |
67 | line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);' | |
30700830 | 68 | cursor = dbs.psql.cursor() |
b4e0ba0b IB |
69 | cursor.execute(report_query, (date, self.market_id, self.debug)) |
70 | report_id = cursor.fetchone()[0] | |
71 | for date, type_, payload in self.report.to_json_array(): | |
72 | cursor.execute(line_query, (date, report_id, type_, payload)) | |
73 | ||
30700830 | 74 | dbs.psql.commit() |
b4e0ba0b | 75 | cursor.close() |
b4e0ba0b IB |
76 | except Exception as e: |
77 | print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e)) | |
78 | ||
1593c7a9 IB |
79 | def store_redis_report(self, date): |
80 | try: | |
1593c7a9 IB |
81 | for type_, log in self.report.to_json_redis(): |
82 | key = "/cryptoportfolio/{}/{}/{}".format(self.market_id, date.isoformat(), type_) | |
30700830 | 83 | dbs.redis.set(key, log, ex=31*24*60*60) |
1593c7a9 | 84 | key = "/cryptoportfolio/{}/latest/{}".format(self.market_id, type_) |
30700830 | 85 | dbs.redis.set(key, log) |
17fd3f75 | 86 | key = "/cryptoportfolio/{}/latest/date".format(self.market_id) |
30700830 | 87 | dbs.redis.set(key, date.isoformat()) |
1593c7a9 IB |
88 | except Exception as e: |
89 | print("impossible to store report to redis: {}; {}".format(e.__class__.__name__, e)) | |
90 | ||
1f117ac7 IB |
91 | def process(self, actions, before=False, after=False): |
92 | try: | |
5321200c | 93 | self.ccxt.check_required_credentials() |
ceb7fc4c IB |
94 | for action in actions: |
95 | if bool(before) is bool(after): | |
44518535 | 96 | self.processor.process(action, steps="all", options=self.options) |
ceb7fc4c | 97 | elif before: |
44518535 | 98 | self.processor.process(action, steps="before", options=self.options) |
ceb7fc4c | 99 | elif after: |
44518535 | 100 | self.processor.process(action, steps="after", options=self.options) |
5321200c IB |
101 | except AuthenticationError: |
102 | self.report.log_error("market_authentication", message="Impossible to authenticate to market") | |
1f117ac7 | 103 | except Exception as e: |
4ae84fb7 IB |
104 | import traceback |
105 | self.report.log_error("market_process", exception=e, message=traceback.format_exc()) | |
1f117ac7 IB |
106 | finally: |
107 | self.store_report() | |
f86ee140 | 108 | |
b47d7b54 | 109 | @retry((RequestTimeout, InvalidNonce), tries=5) |
f86ee140 IB |
110 | def move_balances(self): |
111 | needed_in_margin = {} | |
112 | moving_to_margin = {} | |
113 | ||
aca4d437 IB |
114 | for currency, balance in self.balances.all.items(): |
115 | needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain | |
116 | for trade in self.trades.pending: | |
117 | needed_in_margin.setdefault(trade.base_currency, 0) | |
f86ee140 | 118 | if trade.trade_type == "short": |
aca4d437 | 119 | needed_in_margin[trade.base_currency] -= trade.delta |
f86ee140 | 120 | for currency, needed in needed_in_margin.items(): |
aca4d437 | 121 | current_balance = self.balances.all[currency].margin_available |
f86ee140 IB |
122 | moving_to_margin[currency] = (needed - current_balance) |
123 | delta = moving_to_margin[currency].value | |
337c8286 IB |
124 | action = "Moving {} from exchange to margin".format(moving_to_margin[currency]) |
125 | ||
aca4d437 | 126 | if self.debug and delta != 0: |
337c8286 | 127 | self.report.log_debug_action(action) |
f86ee140 | 128 | continue |
337c8286 IB |
129 | try: |
130 | if delta > 0: | |
131 | self.ccxt.transfer_balance(currency, delta, "exchange", "margin") | |
132 | elif delta < 0: | |
133 | self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") | |
b47d7b54 | 134 | except (RequestTimeout, InvalidNonce) as e: |
337c8286 IB |
135 | self.report.log_error(action, message="Retrying", exception=e) |
136 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
137 | self.balances.fetch_balances() | |
138 | raise e | |
f86ee140 IB |
139 | self.report.log_move_balances(needed_in_margin, moving_to_margin) |
140 | ||
141 | self.balances.fetch_balances() | |
142 | ||
aca4d437 | 143 | @ttl_cache(ttl=3600) |
f86ee140 | 144 | def fetch_fees(self): |
aca4d437 IB |
145 | return self.ccxt.fetch_fees() |
146 | ||
147 | @ttl_cache(maxsize=20, ttl=5) | |
148 | def get_tickers(self, refresh=False): | |
149 | try: | |
150 | return self.ccxt.fetch_tickers() | |
151 | except NotSupported: | |
152 | return None | |
f86ee140 | 153 | |
aca4d437 | 154 | @ttl_cache(maxsize=20, ttl=5) |
f86ee140 IB |
155 | def get_ticker(self, c1, c2, refresh=False): |
156 | def invert(ticker): | |
157 | return { | |
158 | "inverted": True, | |
159 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
160 | "original": ticker, | |
161 | } | |
162 | def augment_ticker(ticker): | |
163 | ticker.update({ | |
164 | "inverted": False, | |
165 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
166 | }) | |
7192b2e1 | 167 | return ticker |
f86ee140 | 168 | |
aca4d437 IB |
169 | tickers = self.get_tickers() |
170 | if tickers is None: | |
f86ee140 | 171 | try: |
7192b2e1 | 172 | ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) |
f86ee140 | 173 | except ExchangeError: |
aca4d437 | 174 | try: |
7192b2e1 | 175 | ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) |
aca4d437 IB |
176 | except ExchangeError: |
177 | ticker = None | |
178 | else: | |
179 | if "{}/{}".format(c1, c2) in tickers: | |
7192b2e1 | 180 | ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) |
aca4d437 | 181 | elif "{}/{}".format(c2, c1) in tickers: |
7192b2e1 | 182 | ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) |
aca4d437 IB |
183 | else: |
184 | ticker = None | |
185 | return ticker | |
f86ee140 IB |
186 | |
187 | def follow_orders(self, sleep=None): | |
188 | if sleep is None: | |
189 | sleep = 7 if self.debug else 30 | |
190 | if self.debug: | |
191 | self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
192 | tick = 0 | |
193 | self.report.log_stage("follow_orders_begin") | |
194 | while len(self.trades.all_orders(state="open")) > 0: | |
195 | time.sleep(sleep) | |
196 | tick += 1 | |
197 | open_orders = self.trades.all_orders(state="open") | |
198 | self.report.log_stage("follow_orders_tick_{}".format(tick)) | |
199 | self.report.log_orders(open_orders, tick=tick) | |
200 | for order in open_orders: | |
7ba831c5 IB |
201 | status = order.get_status() |
202 | if status != "open": | |
f86ee140 IB |
203 | self.report.log_order(order, tick, finished=True) |
204 | else: | |
205 | order.trade.update_order(order, tick) | |
7ba831c5 IB |
206 | if status == "error_disappeared": |
207 | self.report.log_error("follow_orders", | |
208 | message="{} disappeared, recreating it".format(order)) | |
af928d32 | 209 | new_order = order.trade.prepare_order( |
7ba831c5 | 210 | compute_value=order.trade.tick_actions_recreate(tick)) |
84c9fe33 IB |
211 | if new_order is not None: |
212 | new_order.run() | |
213 | self.report.log_order(order, tick, new_order=new_order) | |
7ba831c5 | 214 | |
f86ee140 IB |
215 | self.report.log_stage("follow_orders_end") |
216 | ||
9db7d156 | 217 | def prepare_trades(self, base_currency="BTC", liquidity="medium", |
96959cea IB |
218 | compute_value="average", repartition=None, only=None, |
219 | available_balance_only=False): | |
9db7d156 | 220 | |
7bd830a8 IB |
221 | self.report.log_stage("prepare_trades", |
222 | base_currency=base_currency, liquidity=liquidity, | |
9db7d156 | 223 | compute_value=compute_value, only=only, |
96959cea | 224 | repartition=repartition, available_balance_only=available_balance_only) |
f86ee140 | 225 | |
96959cea | 226 | if available_balance_only: |
3d6f74ee IB |
227 | repartition, total_base_value, values_in_base = self.balances.available_balances_for_repartition( |
228 | base_currency=base_currency, liquidity=liquidity, | |
229 | repartition=repartition, compute_value=compute_value) | |
96959cea | 230 | else: |
3d6f74ee IB |
231 | values_in_base = self.balances.in_currency(base_currency, |
232 | compute_value=compute_value) | |
96959cea | 233 | total_base_value = sum(values_in_base.values()) |
9db7d156 IB |
234 | new_repartition = self.balances.dispatch_assets(total_base_value, |
235 | liquidity=liquidity, repartition=repartition) | |
96959cea IB |
236 | if available_balance_only: |
237 | for currency, amount in values_in_base.items(): | |
3d6f74ee IB |
238 | if currency != base_currency and currency not in new_repartition: |
239 | new_repartition[currency] = amount | |
96959cea | 240 | |
9db7d156 | 241 | self.trades.compute_trades(values_in_base, new_repartition, only=only) |
2308a1c4 | 242 | |
ceb7fc4c | 243 | def print_tickers(self, base_currency="BTC"): |
1f117ac7 IB |
244 | if base_currency is not None: |
245 | self.report.print_log("total:") | |
246 | self.report.print_log(sum(self.balances.in_currency(base_currency).values())) | |
247 | ||
248 | class Processor: | |
249 | scenarios = { | |
81d1db51 IB |
250 | "wait_for_cryptoportfolio": [ |
251 | { | |
252 | "name": "wait", | |
253 | "number": 1, | |
254 | "before": False, | |
255 | "after": True, | |
256 | "wait_for_recent": {}, | |
257 | }, | |
258 | ], | |
ceb7fc4c IB |
259 | "print_balances": [ |
260 | { | |
261 | "name": "print_balances", | |
262 | "number": 1, | |
3a15ffc7 IB |
263 | "fetch_balances_begin": { |
264 | "log_tickers": True, | |
265 | "add_usdt": True, | |
266 | "add_portfolio": True | |
267 | }, | |
ceb7fc4c IB |
268 | "print_tickers": { "base_currency": "BTC" }, |
269 | } | |
270 | ], | |
81d1db51 IB |
271 | "print_orders": [ |
272 | { | |
273 | "name": "wait", | |
274 | "number": 1, | |
ceb7fc4c IB |
275 | "before": True, |
276 | "after": False, | |
81d1db51 IB |
277 | "wait_for_recent": {}, |
278 | }, | |
279 | { | |
280 | "name": "make_orders", | |
281 | "number": 2, | |
282 | "before": False, | |
283 | "after": True, | |
bb127bc8 | 284 | "fetch_balances_begin": {}, |
81d1db51 IB |
285 | "prepare_trades": { "compute_value": "average" }, |
286 | "prepare_orders": { "compute_value": "average" }, | |
287 | }, | |
288 | ], | |
1f117ac7 IB |
289 | "sell_needed": [ |
290 | { | |
bb127bc8 | 291 | "name": "print_balances", |
1f117ac7 | 292 | "number": 0, |
bb127bc8 IB |
293 | "before": True, |
294 | "after": False, | |
295 | "fetch_balances_begin": { | |
296 | "checkpoint": "end", | |
297 | "log_tickers": True, | |
3a15ffc7 | 298 | "add_usdt": True, |
bb127bc8 IB |
299 | "add_portfolio": True |
300 | }, | |
301 | }, | |
302 | { | |
303 | "name": "wait", | |
304 | "number": 1, | |
1f117ac7 IB |
305 | "before": False, |
306 | "after": True, | |
307 | "wait_for_recent": {}, | |
308 | }, | |
309 | { | |
310 | "name": "sell", | |
bb127bc8 | 311 | "number": 2, |
1f117ac7 IB |
312 | "before": False, |
313 | "after": True, | |
bb127bc8 IB |
314 | "fetch_balances_begin": {}, |
315 | "fetch_balances_end": {}, | |
1f117ac7 IB |
316 | "prepare_trades": {}, |
317 | "prepare_orders": { "only": "dispose", "compute_value": "average" }, | |
318 | "run_orders": {}, | |
319 | "follow_orders": {}, | |
320 | "close_trades": {}, | |
321 | }, | |
322 | { | |
323 | "name": "buy", | |
bb127bc8 | 324 | "number": 3, |
1f117ac7 IB |
325 | "before": False, |
326 | "after": True, | |
bb127bc8 IB |
327 | "fetch_balances_begin": {}, |
328 | "fetch_balances_end": { | |
329 | "checkpoint": "begin", | |
3a15ffc7 | 330 | "add_usdt": True, |
bb127bc8 IB |
331 | "log_tickers": True |
332 | }, | |
96959cea | 333 | "prepare_trades": { "only": "acquire", "available_balance_only": True }, |
1f117ac7 IB |
334 | "prepare_orders": { "only": "acquire", "compute_value": "average" }, |
335 | "move_balances": {}, | |
336 | "run_orders": {}, | |
337 | "follow_orders": {}, | |
338 | "close_trades": {}, | |
339 | }, | |
340 | ], | |
341 | "sell_all": [ | |
342 | { | |
343 | "name": "all_sell", | |
344 | "number": 1, | |
345 | "before": True, | |
346 | "after": False, | |
bb127bc8 IB |
347 | "fetch_balances_begin": { |
348 | "checkpoint": "end", | |
349 | "log_tickers": True, | |
3a15ffc7 | 350 | "add_usdt": True, |
bb127bc8 IB |
351 | "add_portfolio": True |
352 | }, | |
353 | "fetch_balances_end": {}, | |
1f117ac7 IB |
354 | "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, |
355 | "prepare_orders": { "compute_value": "average" }, | |
356 | "run_orders": {}, | |
357 | "follow_orders": {}, | |
358 | "close_trades": {}, | |
359 | }, | |
360 | { | |
361 | "name": "wait", | |
362 | "number": 2, | |
363 | "before": False, | |
364 | "after": True, | |
365 | "wait_for_recent": {}, | |
366 | }, | |
367 | { | |
368 | "name": "all_buy", | |
369 | "number": 3, | |
370 | "before": False, | |
371 | "after": True, | |
bb127bc8 IB |
372 | "fetch_balances_begin": {}, |
373 | "fetch_balances_end": { | |
374 | "checkpoint": "begin", | |
3a15ffc7 | 375 | "add_usdt": True, |
bb127bc8 IB |
376 | "log_tickers": True |
377 | }, | |
96959cea | 378 | "prepare_trades": { "available_balance_only": True }, |
1f117ac7 IB |
379 | "prepare_orders": { "compute_value": "average" }, |
380 | "move_balances": {}, | |
381 | "run_orders": {}, | |
382 | "follow_orders": {}, | |
383 | "close_trades": {}, | |
384 | }, | |
385 | ] | |
386 | } | |
387 | ||
388 | ordered_actions = [ | |
389 | "wait_for_recent", "prepare_trades", "prepare_orders", | |
390 | "move_balances", "run_orders", "follow_orders", | |
ceb7fc4c | 391 | "close_trades", "print_tickers"] |
1f117ac7 IB |
392 | |
393 | def __init__(self, market): | |
394 | self.market = market | |
395 | ||
396 | def select_steps(self, scenario, step): | |
397 | if step == "all": | |
398 | return scenario | |
399 | elif step == "before" or step == "after": | |
ceb7fc4c | 400 | return list(filter(lambda x: x.get(step, False), scenario)) |
1f117ac7 IB |
401 | elif type(step) == int: |
402 | return [scenario[step-1]] | |
403 | elif type(step) == str: | |
404 | return list(filter(lambda x: x["name"] == step, scenario)) | |
405 | else: | |
406 | raise TypeError("Unknown step {}".format(step)) | |
407 | ||
ceb7fc4c IB |
408 | def can_process(self, scenario_name): |
409 | return scenario_name in self.scenarios | |
410 | ||
44518535 | 411 | def process(self, scenario_name, steps="all", options={}): |
ceb7fc4c IB |
412 | if not self.can_process(scenario_name): |
413 | raise TypeError("Unknown scenario {}".format(scenario_name)) | |
1f117ac7 IB |
414 | scenario = self.scenarios[scenario_name] |
415 | selected_steps = [] | |
416 | ||
417 | if type(steps) == str or type(steps) == int: | |
418 | selected_steps += self.select_steps(scenario, steps) | |
419 | else: | |
420 | for step in steps: | |
421 | selected_steps += self.select_steps(scenario, step) | |
422 | for step in selected_steps: | |
44518535 | 423 | self.process_step(scenario_name, step, options) |
1f117ac7 | 424 | |
44518535 | 425 | def process_step(self, scenario_name, step, options): |
1f117ac7 IB |
426 | process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) |
427 | self.market.report.log_stage("{}_begin".format(process_name)) | |
9b697863 | 428 | |
bb127bc8 | 429 | if "fetch_balances_begin" in step: |
8e648fd5 IB |
430 | self.run_action("fetch_balances", step["fetch_balances_begin"], |
431 | dict(options, tag="{}_begin".format(process_name))) | |
1f117ac7 IB |
432 | |
433 | for action in self.ordered_actions: | |
434 | if action in step: | |
44518535 | 435 | self.run_action(action, step[action], options) |
1f117ac7 | 436 | |
bb127bc8 | 437 | if "fetch_balances_end" in step: |
8e648fd5 IB |
438 | self.run_action("fetch_balances", step["fetch_balances_end"], |
439 | dict(options, tag="{}_end".format(process_name))) | |
bb127bc8 | 440 | |
1f117ac7 IB |
441 | self.market.report.log_stage("{}_end".format(process_name)) |
442 | ||
443 | def method_arguments(self, action): | |
444 | import inspect | |
445 | ||
446 | if action == "wait_for_recent": | |
ada1b5f1 | 447 | method = Portfolio.wait_for_recent |
1f117ac7 IB |
448 | elif action == "prepare_trades": |
449 | method = self.market.prepare_trades | |
450 | elif action == "prepare_orders": | |
451 | method = self.market.trades.prepare_orders | |
452 | elif action == "move_balances": | |
453 | method = self.market.move_balances | |
454 | elif action == "run_orders": | |
455 | method = self.market.trades.run_orders | |
456 | elif action == "follow_orders": | |
457 | method = self.market.follow_orders | |
458 | elif action == "close_trades": | |
459 | method = self.market.trades.close_trades | |
ceb7fc4c IB |
460 | elif action == "print_tickers": |
461 | method = self.market.print_tickers | |
8e648fd5 IB |
462 | elif action == "fetch_balances": |
463 | method = self.market.balances.fetch_balances | |
1f117ac7 IB |
464 | |
465 | signature = inspect.getfullargspec(method) | |
466 | defaults = signature.defaults or [] | |
467 | kwargs = signature.args[-len(defaults):] | |
468 | ||
469 | return [method, kwargs] | |
470 | ||
44518535 | 471 | def parse_args(self, action, default_args, options): |
1f117ac7 | 472 | method, allowed_arguments = self.method_arguments(action) |
44518535 | 473 | args = {k: v for k, v in {**default_args, **options}.items() if k in allowed_arguments } |
1f117ac7 IB |
474 | |
475 | if "repartition" in args and "base_currency" in args["repartition"]: | |
476 | r = args["repartition"] | |
477 | r[args.get("base_currency", "BTC")] = r.pop("base_currency") | |
478 | ||
479 | return method, args | |
480 | ||
44518535 IB |
481 | def run_action(self, action, default_args, options): |
482 | method, args = self.parse_args(action, default_args, options) | |
1f117ac7 | 483 | |
ada1b5f1 | 484 | method(**args) |