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Commit | Line | Data |
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b47d7b54 | 1 | from ccxt import ExchangeError, NotSupported, RequestTimeout, InvalidNonce |
774c099c | 2 | import ccxt_wrapper as ccxt |
f86ee140 | 3 | import time |
b4e0ba0b | 4 | import psycopg2 |
f86ee140 | 5 | from store import * |
aca4d437 | 6 | from cachetools.func import ttl_cache |
1f117ac7 | 7 | from datetime import datetime |
337c8286 | 8 | from retry import retry |
1f117ac7 | 9 | import portfolio |
4c51aa71 | 10 | |
f86ee140 IB |
11 | class Market: |
12 | debug = False | |
13 | ccxt = None | |
14 | report = None | |
15 | trades = None | |
16 | balances = None | |
ecba1113 | 17 | |
35667b31 | 18 | def __init__(self, ccxt_instance, args, **kwargs): |
07fa7a4b IB |
19 | self.args = args |
20 | self.debug = args.debug | |
f86ee140 IB |
21 | self.ccxt = ccxt_instance |
22 | self.ccxt._market = self | |
07fa7a4b | 23 | self.report = ReportStore(self, verbose_print=(not args.quiet)) |
f86ee140 IB |
24 | self.trades = TradeStore(self) |
25 | self.balances = BalanceStore(self) | |
1f117ac7 IB |
26 | self.processor = Processor(self) |
27 | ||
35667b31 IB |
28 | for key in ["user_id", "market_id", "report_path", "pg_config"]: |
29 | setattr(self, key, kwargs.get(key, None)) | |
f86ee140 IB |
30 | |
31 | @classmethod | |
35667b31 | 32 | def from_config(cls, config, args, **kwargs): |
1f117ac7 | 33 | config["apiKey"] = config.pop("key", None) |
d24bb10c | 34 | |
f86ee140 IB |
35 | ccxt_instance = ccxt.poloniexE(config) |
36 | ||
35667b31 | 37 | return cls(ccxt_instance, args, **kwargs) |
1f117ac7 IB |
38 | |
39 | def store_report(self): | |
9bde69bf | 40 | self.report.merge(Portfolio.report) |
b4e0ba0b IB |
41 | date = datetime.now() |
42 | if self.report_path is not None: | |
43 | self.store_file_report(date) | |
44 | if self.pg_config is not None: | |
45 | self.store_database_report(date) | |
46 | ||
47 | def store_file_report(self, date): | |
1f117ac7 | 48 | try: |
b4e0ba0b IB |
49 | report_file = "{}/{}_{}".format(self.report_path, date.isoformat(), self.user_id) |
50 | with open(report_file + ".json", "w") as f: | |
51 | f.write(self.report.to_json()) | |
52 | with open(report_file + ".log", "w") as f: | |
53 | f.write("\n".join(map(lambda x: x[1], self.report.print_logs))) | |
1f117ac7 IB |
54 | except Exception as e: |
55 | print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) | |
56 | ||
b4e0ba0b IB |
57 | def store_database_report(self, date): |
58 | try: | |
59 | report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;' | |
60 | line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);' | |
61 | connection = psycopg2.connect(**self.pg_config) | |
62 | cursor = connection.cursor() | |
63 | cursor.execute(report_query, (date, self.market_id, self.debug)) | |
64 | report_id = cursor.fetchone()[0] | |
65 | for date, type_, payload in self.report.to_json_array(): | |
66 | cursor.execute(line_query, (date, report_id, type_, payload)) | |
67 | ||
68 | connection.commit() | |
69 | cursor.close() | |
70 | connection.close() | |
71 | except Exception as e: | |
72 | print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e)) | |
73 | ||
1f117ac7 IB |
74 | def process(self, actions, before=False, after=False): |
75 | try: | |
76 | if len(actions or []) == 0: | |
77 | if before: | |
78 | self.processor.process("sell_all", steps="before") | |
79 | if after: | |
80 | self.processor.process("sell_all", steps="after") | |
81 | else: | |
82 | for action in actions: | |
83 | if hasattr(self, action): | |
84 | getattr(self, action)() | |
85 | else: | |
86 | self.report.log_error("market_process", message="Unknown action {}".format(action)) | |
87 | except Exception as e: | |
88 | self.report.log_error("market_process", exception=e) | |
89 | finally: | |
90 | self.store_report() | |
f86ee140 | 91 | |
b47d7b54 | 92 | @retry((RequestTimeout, InvalidNonce), tries=5) |
f86ee140 IB |
93 | def move_balances(self): |
94 | needed_in_margin = {} | |
95 | moving_to_margin = {} | |
96 | ||
aca4d437 IB |
97 | for currency, balance in self.balances.all.items(): |
98 | needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain | |
99 | for trade in self.trades.pending: | |
100 | needed_in_margin.setdefault(trade.base_currency, 0) | |
f86ee140 | 101 | if trade.trade_type == "short": |
aca4d437 | 102 | needed_in_margin[trade.base_currency] -= trade.delta |
f86ee140 | 103 | for currency, needed in needed_in_margin.items(): |
aca4d437 | 104 | current_balance = self.balances.all[currency].margin_available |
f86ee140 IB |
105 | moving_to_margin[currency] = (needed - current_balance) |
106 | delta = moving_to_margin[currency].value | |
337c8286 IB |
107 | action = "Moving {} from exchange to margin".format(moving_to_margin[currency]) |
108 | ||
aca4d437 | 109 | if self.debug and delta != 0: |
337c8286 | 110 | self.report.log_debug_action(action) |
f86ee140 | 111 | continue |
337c8286 IB |
112 | try: |
113 | if delta > 0: | |
114 | self.ccxt.transfer_balance(currency, delta, "exchange", "margin") | |
115 | elif delta < 0: | |
116 | self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") | |
b47d7b54 | 117 | except (RequestTimeout, InvalidNonce) as e: |
337c8286 IB |
118 | self.report.log_error(action, message="Retrying", exception=e) |
119 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
120 | self.balances.fetch_balances() | |
121 | raise e | |
f86ee140 IB |
122 | self.report.log_move_balances(needed_in_margin, moving_to_margin) |
123 | ||
124 | self.balances.fetch_balances() | |
125 | ||
aca4d437 | 126 | @ttl_cache(ttl=3600) |
f86ee140 | 127 | def fetch_fees(self): |
aca4d437 IB |
128 | return self.ccxt.fetch_fees() |
129 | ||
130 | @ttl_cache(maxsize=20, ttl=5) | |
131 | def get_tickers(self, refresh=False): | |
132 | try: | |
133 | return self.ccxt.fetch_tickers() | |
134 | except NotSupported: | |
135 | return None | |
f86ee140 | 136 | |
aca4d437 | 137 | @ttl_cache(maxsize=20, ttl=5) |
f86ee140 IB |
138 | def get_ticker(self, c1, c2, refresh=False): |
139 | def invert(ticker): | |
140 | return { | |
141 | "inverted": True, | |
142 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
143 | "original": ticker, | |
144 | } | |
145 | def augment_ticker(ticker): | |
146 | ticker.update({ | |
147 | "inverted": False, | |
148 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
149 | }) | |
7192b2e1 | 150 | return ticker |
f86ee140 | 151 | |
aca4d437 IB |
152 | tickers = self.get_tickers() |
153 | if tickers is None: | |
f86ee140 | 154 | try: |
7192b2e1 | 155 | ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) |
f86ee140 | 156 | except ExchangeError: |
aca4d437 | 157 | try: |
7192b2e1 | 158 | ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) |
aca4d437 IB |
159 | except ExchangeError: |
160 | ticker = None | |
161 | else: | |
162 | if "{}/{}".format(c1, c2) in tickers: | |
7192b2e1 | 163 | ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) |
aca4d437 | 164 | elif "{}/{}".format(c2, c1) in tickers: |
7192b2e1 | 165 | ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) |
aca4d437 IB |
166 | else: |
167 | ticker = None | |
168 | return ticker | |
f86ee140 IB |
169 | |
170 | def follow_orders(self, sleep=None): | |
171 | if sleep is None: | |
172 | sleep = 7 if self.debug else 30 | |
173 | if self.debug: | |
174 | self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
175 | tick = 0 | |
176 | self.report.log_stage("follow_orders_begin") | |
177 | while len(self.trades.all_orders(state="open")) > 0: | |
178 | time.sleep(sleep) | |
179 | tick += 1 | |
180 | open_orders = self.trades.all_orders(state="open") | |
181 | self.report.log_stage("follow_orders_tick_{}".format(tick)) | |
182 | self.report.log_orders(open_orders, tick=tick) | |
183 | for order in open_orders: | |
184 | if order.get_status() != "open": | |
185 | self.report.log_order(order, tick, finished=True) | |
186 | else: | |
187 | order.trade.update_order(order, tick) | |
188 | self.report.log_stage("follow_orders_end") | |
189 | ||
9db7d156 IB |
190 | def prepare_trades(self, base_currency="BTC", liquidity="medium", |
191 | compute_value="average", repartition=None, only=None): | |
192 | ||
7bd830a8 IB |
193 | self.report.log_stage("prepare_trades", |
194 | base_currency=base_currency, liquidity=liquidity, | |
9db7d156 IB |
195 | compute_value=compute_value, only=only, |
196 | repartition=repartition) | |
f86ee140 | 197 | |
9db7d156 IB |
198 | values_in_base = self.balances.in_currency(base_currency, |
199 | compute_value=compute_value) | |
f86ee140 | 200 | total_base_value = sum(values_in_base.values()) |
9db7d156 IB |
201 | new_repartition = self.balances.dispatch_assets(total_base_value, |
202 | liquidity=liquidity, repartition=repartition) | |
203 | self.trades.compute_trades(values_in_base, new_repartition, only=only) | |
2308a1c4 | 204 | |
1f117ac7 IB |
205 | # Helpers |
206 | def print_orders(self, base_currency="BTC"): | |
207 | self.report.log_stage("print_orders") | |
208 | self.balances.fetch_balances(tag="print_orders") | |
209 | self.prepare_trades(base_currency=base_currency, compute_value="average") | |
210 | self.trades.prepare_orders(compute_value="average") | |
211 | ||
212 | def print_balances(self, base_currency="BTC"): | |
213 | self.report.log_stage("print_balances") | |
214 | self.balances.fetch_balances() | |
215 | if base_currency is not None: | |
216 | self.report.print_log("total:") | |
217 | self.report.print_log(sum(self.balances.in_currency(base_currency).values())) | |
218 | ||
219 | class Processor: | |
220 | scenarios = { | |
81d1db51 IB |
221 | "wait_for_cryptoportfolio": [ |
222 | { | |
223 | "name": "wait", | |
224 | "number": 1, | |
225 | "before": False, | |
226 | "after": True, | |
227 | "wait_for_recent": {}, | |
228 | }, | |
229 | ], | |
230 | "print_orders": [ | |
231 | { | |
232 | "name": "wait", | |
233 | "number": 1, | |
234 | "before": False, | |
235 | "after": True, | |
236 | "wait_for_recent": {}, | |
237 | }, | |
238 | { | |
239 | "name": "make_orders", | |
240 | "number": 2, | |
241 | "before": False, | |
242 | "after": True, | |
243 | "fetch_balances": ["begin"], | |
244 | "prepare_trades": { "compute_value": "average" }, | |
245 | "prepare_orders": { "compute_value": "average" }, | |
246 | }, | |
247 | ], | |
1f117ac7 IB |
248 | "sell_needed": [ |
249 | { | |
250 | "name": "wait", | |
251 | "number": 0, | |
252 | "before": False, | |
253 | "after": True, | |
254 | "wait_for_recent": {}, | |
255 | }, | |
256 | { | |
257 | "name": "sell", | |
258 | "number": 1, | |
259 | "before": False, | |
260 | "after": True, | |
261 | "fetch_balances": ["begin", "end"], | |
262 | "prepare_trades": {}, | |
263 | "prepare_orders": { "only": "dispose", "compute_value": "average" }, | |
264 | "run_orders": {}, | |
265 | "follow_orders": {}, | |
266 | "close_trades": {}, | |
267 | }, | |
268 | { | |
269 | "name": "buy", | |
270 | "number": 2, | |
271 | "before": False, | |
272 | "after": True, | |
273 | "fetch_balances": ["begin", "end"], | |
274 | "prepare_trades": { "only": "acquire" }, | |
275 | "prepare_orders": { "only": "acquire", "compute_value": "average" }, | |
276 | "move_balances": {}, | |
277 | "run_orders": {}, | |
278 | "follow_orders": {}, | |
279 | "close_trades": {}, | |
280 | }, | |
281 | ], | |
282 | "sell_all": [ | |
283 | { | |
284 | "name": "all_sell", | |
285 | "number": 1, | |
286 | "before": True, | |
287 | "after": False, | |
288 | "fetch_balances": ["begin", "end"], | |
289 | "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, | |
290 | "prepare_orders": { "compute_value": "average" }, | |
291 | "run_orders": {}, | |
292 | "follow_orders": {}, | |
293 | "close_trades": {}, | |
294 | }, | |
295 | { | |
296 | "name": "wait", | |
297 | "number": 2, | |
298 | "before": False, | |
299 | "after": True, | |
300 | "wait_for_recent": {}, | |
301 | }, | |
302 | { | |
303 | "name": "all_buy", | |
304 | "number": 3, | |
305 | "before": False, | |
306 | "after": True, | |
307 | "fetch_balances": ["begin", "end"], | |
308 | "prepare_trades": {}, | |
309 | "prepare_orders": { "compute_value": "average" }, | |
310 | "move_balances": {}, | |
311 | "run_orders": {}, | |
312 | "follow_orders": {}, | |
313 | "close_trades": {}, | |
314 | }, | |
315 | ] | |
316 | } | |
317 | ||
318 | ordered_actions = [ | |
319 | "wait_for_recent", "prepare_trades", "prepare_orders", | |
320 | "move_balances", "run_orders", "follow_orders", | |
321 | "close_trades"] | |
322 | ||
323 | def __init__(self, market): | |
324 | self.market = market | |
325 | ||
326 | def select_steps(self, scenario, step): | |
327 | if step == "all": | |
328 | return scenario | |
329 | elif step == "before" or step == "after": | |
330 | return list(filter(lambda x: step in x and x[step], scenario)) | |
331 | elif type(step) == int: | |
332 | return [scenario[step-1]] | |
333 | elif type(step) == str: | |
334 | return list(filter(lambda x: x["name"] == step, scenario)) | |
335 | else: | |
336 | raise TypeError("Unknown step {}".format(step)) | |
337 | ||
338 | def process(self, scenario_name, steps="all", **kwargs): | |
339 | scenario = self.scenarios[scenario_name] | |
340 | selected_steps = [] | |
341 | ||
342 | if type(steps) == str or type(steps) == int: | |
343 | selected_steps += self.select_steps(scenario, steps) | |
344 | else: | |
345 | for step in steps: | |
346 | selected_steps += self.select_steps(scenario, step) | |
347 | for step in selected_steps: | |
348 | self.process_step(scenario_name, step, kwargs) | |
349 | ||
350 | def process_step(self, scenario_name, step, kwargs): | |
351 | process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) | |
352 | self.market.report.log_stage("{}_begin".format(process_name)) | |
353 | if "begin" in step.get("fetch_balances", []): | |
354 | self.market.balances.fetch_balances(tag="{}_begin".format(process_name)) | |
355 | ||
356 | for action in self.ordered_actions: | |
357 | if action in step: | |
358 | self.run_action(action, step[action], kwargs) | |
359 | ||
360 | if "end" in step.get("fetch_balances", []): | |
361 | self.market.balances.fetch_balances(tag="{}_end".format(process_name)) | |
362 | self.market.report.log_stage("{}_end".format(process_name)) | |
363 | ||
364 | def method_arguments(self, action): | |
365 | import inspect | |
366 | ||
367 | if action == "wait_for_recent": | |
ada1b5f1 | 368 | method = Portfolio.wait_for_recent |
1f117ac7 IB |
369 | elif action == "prepare_trades": |
370 | method = self.market.prepare_trades | |
371 | elif action == "prepare_orders": | |
372 | method = self.market.trades.prepare_orders | |
373 | elif action == "move_balances": | |
374 | method = self.market.move_balances | |
375 | elif action == "run_orders": | |
376 | method = self.market.trades.run_orders | |
377 | elif action == "follow_orders": | |
378 | method = self.market.follow_orders | |
379 | elif action == "close_trades": | |
380 | method = self.market.trades.close_trades | |
381 | ||
382 | signature = inspect.getfullargspec(method) | |
383 | defaults = signature.defaults or [] | |
384 | kwargs = signature.args[-len(defaults):] | |
385 | ||
386 | return [method, kwargs] | |
387 | ||
388 | def parse_args(self, action, default_args, kwargs): | |
389 | method, allowed_arguments = self.method_arguments(action) | |
390 | args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments } | |
391 | ||
392 | if "repartition" in args and "base_currency" in args["repartition"]: | |
393 | r = args["repartition"] | |
394 | r[args.get("base_currency", "BTC")] = r.pop("base_currency") | |
395 | ||
396 | return method, args | |
397 | ||
398 | def run_action(self, action, default_args, kwargs): | |
399 | method, args = self.parse_args(action, default_args, kwargs) | |
400 | ||
ada1b5f1 | 401 | method(**args) |