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Commit | Line | Data |
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aca4d437 | 1 | from ccxt import ExchangeError, NotSupported |
774c099c | 2 | import ccxt_wrapper as ccxt |
f86ee140 IB |
3 | import time |
4 | from store import * | |
aca4d437 | 5 | from cachetools.func import ttl_cache |
1f117ac7 IB |
6 | from datetime import datetime |
7 | import portfolio | |
4c51aa71 | 8 | |
f86ee140 IB |
9 | class Market: |
10 | debug = False | |
11 | ccxt = None | |
12 | report = None | |
13 | trades = None | |
14 | balances = None | |
ecba1113 | 15 | |
07fa7a4b IB |
16 | def __init__(self, ccxt_instance, args, user_id=None, report_path=None): |
17 | self.args = args | |
18 | self.debug = args.debug | |
f86ee140 IB |
19 | self.ccxt = ccxt_instance |
20 | self.ccxt._market = self | |
07fa7a4b | 21 | self.report = ReportStore(self, verbose_print=(not args.quiet)) |
f86ee140 IB |
22 | self.trades = TradeStore(self) |
23 | self.balances = BalanceStore(self) | |
1f117ac7 IB |
24 | self.processor = Processor(self) |
25 | ||
26 | self.user_id = user_id | |
27 | self.report_path = report_path | |
f86ee140 IB |
28 | |
29 | @classmethod | |
07fa7a4b | 30 | def from_config(cls, config, args, user_id=None, report_path=None): |
1f117ac7 | 31 | config["apiKey"] = config.pop("key", None) |
d24bb10c | 32 | |
f86ee140 IB |
33 | ccxt_instance = ccxt.poloniexE(config) |
34 | ||
35 | # For requests logging | |
36 | ccxt_instance.session.origin_request = ccxt_instance.session.request | |
37 | ccxt_instance.session._parent = ccxt_instance | |
38 | ||
39 | def request_wrap(self, *args, **kwargs): | |
40 | r = self.origin_request(*args, **kwargs) | |
41 | self._parent._market.report.log_http_request(args[0], | |
42 | args[1], kwargs["data"], kwargs["headers"], r) | |
43 | return r | |
44 | ccxt_instance.session.request = request_wrap.__get__(ccxt_instance.session, | |
45 | ccxt_instance.session.__class__) | |
46 | ||
07fa7a4b | 47 | return cls(ccxt_instance, args, user_id=user_id, report_path=report_path) |
1f117ac7 IB |
48 | |
49 | def store_report(self): | |
9bde69bf | 50 | self.report.merge(Portfolio.report) |
1f117ac7 IB |
51 | try: |
52 | if self.report_path is not None: | |
718e3e91 IB |
53 | report_file = "{}/{}_{}".format(self.report_path, datetime.now().isoformat(), self.user_id) |
54 | with open(report_file + ".json", "w") as f: | |
1f117ac7 | 55 | f.write(self.report.to_json()) |
718e3e91 IB |
56 | with open(report_file + ".log", "w") as f: |
57 | f.write("\n".join(map(lambda x: x[1], self.report.print_logs))) | |
1f117ac7 IB |
58 | except Exception as e: |
59 | print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) | |
60 | ||
61 | def process(self, actions, before=False, after=False): | |
62 | try: | |
63 | if len(actions or []) == 0: | |
64 | if before: | |
65 | self.processor.process("sell_all", steps="before") | |
66 | if after: | |
67 | self.processor.process("sell_all", steps="after") | |
68 | else: | |
69 | for action in actions: | |
70 | if hasattr(self, action): | |
71 | getattr(self, action)() | |
72 | else: | |
73 | self.report.log_error("market_process", message="Unknown action {}".format(action)) | |
74 | except Exception as e: | |
75 | self.report.log_error("market_process", exception=e) | |
76 | finally: | |
77 | self.store_report() | |
f86ee140 IB |
78 | |
79 | def move_balances(self): | |
80 | needed_in_margin = {} | |
81 | moving_to_margin = {} | |
82 | ||
aca4d437 IB |
83 | for currency, balance in self.balances.all.items(): |
84 | needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain | |
85 | for trade in self.trades.pending: | |
86 | needed_in_margin.setdefault(trade.base_currency, 0) | |
f86ee140 | 87 | if trade.trade_type == "short": |
aca4d437 | 88 | needed_in_margin[trade.base_currency] -= trade.delta |
f86ee140 | 89 | for currency, needed in needed_in_margin.items(): |
aca4d437 | 90 | current_balance = self.balances.all[currency].margin_available |
f86ee140 IB |
91 | moving_to_margin[currency] = (needed - current_balance) |
92 | delta = moving_to_margin[currency].value | |
aca4d437 | 93 | if self.debug and delta != 0: |
f86ee140 IB |
94 | self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency])) |
95 | continue | |
96 | if delta > 0: | |
97 | self.ccxt.transfer_balance(currency, delta, "exchange", "margin") | |
98 | elif delta < 0: | |
99 | self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") | |
100 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
101 | ||
102 | self.balances.fetch_balances() | |
103 | ||
aca4d437 | 104 | @ttl_cache(ttl=3600) |
f86ee140 | 105 | def fetch_fees(self): |
aca4d437 IB |
106 | return self.ccxt.fetch_fees() |
107 | ||
108 | @ttl_cache(maxsize=20, ttl=5) | |
109 | def get_tickers(self, refresh=False): | |
110 | try: | |
111 | return self.ccxt.fetch_tickers() | |
112 | except NotSupported: | |
113 | return None | |
f86ee140 | 114 | |
aca4d437 | 115 | @ttl_cache(maxsize=20, ttl=5) |
f86ee140 IB |
116 | def get_ticker(self, c1, c2, refresh=False): |
117 | def invert(ticker): | |
118 | return { | |
119 | "inverted": True, | |
120 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
121 | "original": ticker, | |
122 | } | |
123 | def augment_ticker(ticker): | |
124 | ticker.update({ | |
125 | "inverted": False, | |
126 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
127 | }) | |
7192b2e1 | 128 | return ticker |
f86ee140 | 129 | |
aca4d437 IB |
130 | tickers = self.get_tickers() |
131 | if tickers is None: | |
f86ee140 | 132 | try: |
7192b2e1 | 133 | ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) |
f86ee140 | 134 | except ExchangeError: |
aca4d437 | 135 | try: |
7192b2e1 | 136 | ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) |
aca4d437 IB |
137 | except ExchangeError: |
138 | ticker = None | |
139 | else: | |
140 | if "{}/{}".format(c1, c2) in tickers: | |
7192b2e1 | 141 | ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) |
aca4d437 | 142 | elif "{}/{}".format(c2, c1) in tickers: |
7192b2e1 | 143 | ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) |
aca4d437 IB |
144 | else: |
145 | ticker = None | |
146 | return ticker | |
f86ee140 IB |
147 | |
148 | def follow_orders(self, sleep=None): | |
149 | if sleep is None: | |
150 | sleep = 7 if self.debug else 30 | |
151 | if self.debug: | |
152 | self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
153 | tick = 0 | |
154 | self.report.log_stage("follow_orders_begin") | |
155 | while len(self.trades.all_orders(state="open")) > 0: | |
156 | time.sleep(sleep) | |
157 | tick += 1 | |
158 | open_orders = self.trades.all_orders(state="open") | |
159 | self.report.log_stage("follow_orders_tick_{}".format(tick)) | |
160 | self.report.log_orders(open_orders, tick=tick) | |
161 | for order in open_orders: | |
162 | if order.get_status() != "open": | |
163 | self.report.log_order(order, tick, finished=True) | |
164 | else: | |
165 | order.trade.update_order(order, tick) | |
166 | self.report.log_stage("follow_orders_end") | |
167 | ||
9db7d156 IB |
168 | def prepare_trades(self, base_currency="BTC", liquidity="medium", |
169 | compute_value="average", repartition=None, only=None): | |
170 | ||
7bd830a8 IB |
171 | self.report.log_stage("prepare_trades", |
172 | base_currency=base_currency, liquidity=liquidity, | |
9db7d156 IB |
173 | compute_value=compute_value, only=only, |
174 | repartition=repartition) | |
f86ee140 | 175 | |
9db7d156 IB |
176 | values_in_base = self.balances.in_currency(base_currency, |
177 | compute_value=compute_value) | |
f86ee140 | 178 | total_base_value = sum(values_in_base.values()) |
9db7d156 IB |
179 | new_repartition = self.balances.dispatch_assets(total_base_value, |
180 | liquidity=liquidity, repartition=repartition) | |
181 | self.trades.compute_trades(values_in_base, new_repartition, only=only) | |
2308a1c4 | 182 | |
1f117ac7 IB |
183 | # Helpers |
184 | def print_orders(self, base_currency="BTC"): | |
185 | self.report.log_stage("print_orders") | |
186 | self.balances.fetch_balances(tag="print_orders") | |
187 | self.prepare_trades(base_currency=base_currency, compute_value="average") | |
188 | self.trades.prepare_orders(compute_value="average") | |
189 | ||
190 | def print_balances(self, base_currency="BTC"): | |
191 | self.report.log_stage("print_balances") | |
192 | self.balances.fetch_balances() | |
193 | if base_currency is not None: | |
194 | self.report.print_log("total:") | |
195 | self.report.print_log(sum(self.balances.in_currency(base_currency).values())) | |
196 | ||
197 | class Processor: | |
198 | scenarios = { | |
81d1db51 IB |
199 | "wait_for_cryptoportfolio": [ |
200 | { | |
201 | "name": "wait", | |
202 | "number": 1, | |
203 | "before": False, | |
204 | "after": True, | |
205 | "wait_for_recent": {}, | |
206 | }, | |
207 | ], | |
208 | "print_orders": [ | |
209 | { | |
210 | "name": "wait", | |
211 | "number": 1, | |
212 | "before": False, | |
213 | "after": True, | |
214 | "wait_for_recent": {}, | |
215 | }, | |
216 | { | |
217 | "name": "make_orders", | |
218 | "number": 2, | |
219 | "before": False, | |
220 | "after": True, | |
221 | "fetch_balances": ["begin"], | |
222 | "prepare_trades": { "compute_value": "average" }, | |
223 | "prepare_orders": { "compute_value": "average" }, | |
224 | }, | |
225 | ], | |
1f117ac7 IB |
226 | "sell_needed": [ |
227 | { | |
228 | "name": "wait", | |
229 | "number": 0, | |
230 | "before": False, | |
231 | "after": True, | |
232 | "wait_for_recent": {}, | |
233 | }, | |
234 | { | |
235 | "name": "sell", | |
236 | "number": 1, | |
237 | "before": False, | |
238 | "after": True, | |
239 | "fetch_balances": ["begin", "end"], | |
240 | "prepare_trades": {}, | |
241 | "prepare_orders": { "only": "dispose", "compute_value": "average" }, | |
242 | "run_orders": {}, | |
243 | "follow_orders": {}, | |
244 | "close_trades": {}, | |
245 | }, | |
246 | { | |
247 | "name": "buy", | |
248 | "number": 2, | |
249 | "before": False, | |
250 | "after": True, | |
251 | "fetch_balances": ["begin", "end"], | |
252 | "prepare_trades": { "only": "acquire" }, | |
253 | "prepare_orders": { "only": "acquire", "compute_value": "average" }, | |
254 | "move_balances": {}, | |
255 | "run_orders": {}, | |
256 | "follow_orders": {}, | |
257 | "close_trades": {}, | |
258 | }, | |
259 | ], | |
260 | "sell_all": [ | |
261 | { | |
262 | "name": "all_sell", | |
263 | "number": 1, | |
264 | "before": True, | |
265 | "after": False, | |
266 | "fetch_balances": ["begin", "end"], | |
267 | "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, | |
268 | "prepare_orders": { "compute_value": "average" }, | |
269 | "run_orders": {}, | |
270 | "follow_orders": {}, | |
271 | "close_trades": {}, | |
272 | }, | |
273 | { | |
274 | "name": "wait", | |
275 | "number": 2, | |
276 | "before": False, | |
277 | "after": True, | |
278 | "wait_for_recent": {}, | |
279 | }, | |
280 | { | |
281 | "name": "all_buy", | |
282 | "number": 3, | |
283 | "before": False, | |
284 | "after": True, | |
285 | "fetch_balances": ["begin", "end"], | |
286 | "prepare_trades": {}, | |
287 | "prepare_orders": { "compute_value": "average" }, | |
288 | "move_balances": {}, | |
289 | "run_orders": {}, | |
290 | "follow_orders": {}, | |
291 | "close_trades": {}, | |
292 | }, | |
293 | ] | |
294 | } | |
295 | ||
296 | ordered_actions = [ | |
297 | "wait_for_recent", "prepare_trades", "prepare_orders", | |
298 | "move_balances", "run_orders", "follow_orders", | |
299 | "close_trades"] | |
300 | ||
301 | def __init__(self, market): | |
302 | self.market = market | |
303 | ||
304 | def select_steps(self, scenario, step): | |
305 | if step == "all": | |
306 | return scenario | |
307 | elif step == "before" or step == "after": | |
308 | return list(filter(lambda x: step in x and x[step], scenario)) | |
309 | elif type(step) == int: | |
310 | return [scenario[step-1]] | |
311 | elif type(step) == str: | |
312 | return list(filter(lambda x: x["name"] == step, scenario)) | |
313 | else: | |
314 | raise TypeError("Unknown step {}".format(step)) | |
315 | ||
316 | def process(self, scenario_name, steps="all", **kwargs): | |
317 | scenario = self.scenarios[scenario_name] | |
318 | selected_steps = [] | |
319 | ||
320 | if type(steps) == str or type(steps) == int: | |
321 | selected_steps += self.select_steps(scenario, steps) | |
322 | else: | |
323 | for step in steps: | |
324 | selected_steps += self.select_steps(scenario, step) | |
325 | for step in selected_steps: | |
326 | self.process_step(scenario_name, step, kwargs) | |
327 | ||
328 | def process_step(self, scenario_name, step, kwargs): | |
329 | process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) | |
330 | self.market.report.log_stage("{}_begin".format(process_name)) | |
331 | if "begin" in step.get("fetch_balances", []): | |
332 | self.market.balances.fetch_balances(tag="{}_begin".format(process_name)) | |
333 | ||
334 | for action in self.ordered_actions: | |
335 | if action in step: | |
336 | self.run_action(action, step[action], kwargs) | |
337 | ||
338 | if "end" in step.get("fetch_balances", []): | |
339 | self.market.balances.fetch_balances(tag="{}_end".format(process_name)) | |
340 | self.market.report.log_stage("{}_end".format(process_name)) | |
341 | ||
342 | def method_arguments(self, action): | |
343 | import inspect | |
344 | ||
345 | if action == "wait_for_recent": | |
ada1b5f1 | 346 | method = Portfolio.wait_for_recent |
1f117ac7 IB |
347 | elif action == "prepare_trades": |
348 | method = self.market.prepare_trades | |
349 | elif action == "prepare_orders": | |
350 | method = self.market.trades.prepare_orders | |
351 | elif action == "move_balances": | |
352 | method = self.market.move_balances | |
353 | elif action == "run_orders": | |
354 | method = self.market.trades.run_orders | |
355 | elif action == "follow_orders": | |
356 | method = self.market.follow_orders | |
357 | elif action == "close_trades": | |
358 | method = self.market.trades.close_trades | |
359 | ||
360 | signature = inspect.getfullargspec(method) | |
361 | defaults = signature.defaults or [] | |
362 | kwargs = signature.args[-len(defaults):] | |
363 | ||
364 | return [method, kwargs] | |
365 | ||
366 | def parse_args(self, action, default_args, kwargs): | |
367 | method, allowed_arguments = self.method_arguments(action) | |
368 | args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments } | |
369 | ||
370 | if "repartition" in args and "base_currency" in args["repartition"]: | |
371 | r = args["repartition"] | |
372 | r[args.get("base_currency", "BTC")] = r.pop("base_currency") | |
373 | ||
374 | return method, args | |
375 | ||
376 | def run_action(self, action, default_args, kwargs): | |
377 | method, args = self.parse_args(action, default_args, kwargs) | |
378 | ||
ada1b5f1 | 379 | method(**args) |