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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 |
1593c7a9 | 5 | import redis |
f86ee140 | 6 | from store import * |
aca4d437 | 7 | from cachetools.func import ttl_cache |
1f117ac7 | 8 | from datetime import datetime |
e7d7c0e5 | 9 | import datetime |
337c8286 | 10 | from retry import retry |
1f117ac7 | 11 | import portfolio |
4c51aa71 | 12 | |
f86ee140 IB |
13 | class Market: |
14 | debug = False | |
15 | ccxt = None | |
16 | report = None | |
17 | trades = None | |
18 | balances = 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 | ||
1593c7a9 | 30 | for key in ["user_id", "market_id", "pg_config", "redis_config"]: |
35667b31 | 31 | setattr(self, key, kwargs.get(key, None)) |
f86ee140 | 32 | |
e7d7c0e5 | 33 | self.report.log_market(self.args) |
90d7423e | 34 | |
f86ee140 | 35 | @classmethod |
35667b31 | 36 | def from_config(cls, config, args, **kwargs): |
1f117ac7 | 37 | config["apiKey"] = config.pop("key", None) |
d24bb10c | 38 | |
f86ee140 IB |
39 | ccxt_instance = ccxt.poloniexE(config) |
40 | ||
35667b31 | 41 | return cls(ccxt_instance, args, **kwargs) |
1f117ac7 IB |
42 | |
43 | def store_report(self): | |
9bde69bf | 44 | self.report.merge(Portfolio.report) |
e7d7c0e5 | 45 | date = datetime.datetime.now() |
a42d6cc8 | 46 | if self.args.report_path is not None: |
b4e0ba0b | 47 | self.store_file_report(date) |
a42d6cc8 | 48 | if self.pg_config is not None and self.args.report_db: |
b4e0ba0b | 49 | self.store_database_report(date) |
1593c7a9 IB |
50 | if self.redis_config is not None and self.args.report_redis: |
51 | self.store_redis_report(date) | |
b4e0ba0b IB |
52 | |
53 | def store_file_report(self, date): | |
1f117ac7 | 54 | try: |
a42d6cc8 | 55 | report_file = "{}/{}_{}".format(self.args.report_path, date.isoformat(), self.user_id) |
b4e0ba0b IB |
56 | with open(report_file + ".json", "w") as f: |
57 | f.write(self.report.to_json()) | |
58 | with open(report_file + ".log", "w") as f: | |
59 | f.write("\n".join(map(lambda x: x[1], self.report.print_logs))) | |
1f117ac7 IB |
60 | except Exception as e: |
61 | print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) | |
62 | ||
b4e0ba0b IB |
63 | def store_database_report(self, date): |
64 | try: | |
65 | report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;' | |
66 | line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);' | |
67 | connection = psycopg2.connect(**self.pg_config) | |
68 | cursor = connection.cursor() | |
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 | ||
74 | connection.commit() | |
75 | cursor.close() | |
76 | connection.close() | |
77 | except Exception as e: | |
78 | print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e)) | |
79 | ||
1593c7a9 IB |
80 | def store_redis_report(self, date): |
81 | try: | |
82 | conn = redis.Redis(**self.redis_config) | |
83 | for type_, log in self.report.to_json_redis(): | |
84 | key = "/cryptoportfolio/{}/{}/{}".format(self.market_id, date.isoformat(), type_) | |
85 | conn.set(key, log, ex=31*24*60*60) | |
86 | key = "/cryptoportfolio/{}/latest/{}".format(self.market_id, type_) | |
87 | conn.set(key, log) | |
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: | |
ceb7fc4c IB |
93 | for action in actions: |
94 | if bool(before) is bool(after): | |
95 | self.processor.process(action, steps="all") | |
96 | elif before: | |
97 | self.processor.process(action, steps="before") | |
98 | elif after: | |
99 | self.processor.process(action, steps="after") | |
1f117ac7 IB |
100 | except Exception as e: |
101 | self.report.log_error("market_process", exception=e) | |
102 | finally: | |
103 | self.store_report() | |
f86ee140 | 104 | |
b47d7b54 | 105 | @retry((RequestTimeout, InvalidNonce), tries=5) |
f86ee140 IB |
106 | def move_balances(self): |
107 | needed_in_margin = {} | |
108 | moving_to_margin = {} | |
109 | ||
aca4d437 IB |
110 | for currency, balance in self.balances.all.items(): |
111 | needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain | |
112 | for trade in self.trades.pending: | |
113 | needed_in_margin.setdefault(trade.base_currency, 0) | |
f86ee140 | 114 | if trade.trade_type == "short": |
aca4d437 | 115 | needed_in_margin[trade.base_currency] -= trade.delta |
f86ee140 | 116 | for currency, needed in needed_in_margin.items(): |
aca4d437 | 117 | current_balance = self.balances.all[currency].margin_available |
f86ee140 IB |
118 | moving_to_margin[currency] = (needed - current_balance) |
119 | delta = moving_to_margin[currency].value | |
337c8286 IB |
120 | action = "Moving {} from exchange to margin".format(moving_to_margin[currency]) |
121 | ||
aca4d437 | 122 | if self.debug and delta != 0: |
337c8286 | 123 | self.report.log_debug_action(action) |
f86ee140 | 124 | continue |
337c8286 IB |
125 | try: |
126 | if delta > 0: | |
127 | self.ccxt.transfer_balance(currency, delta, "exchange", "margin") | |
128 | elif delta < 0: | |
129 | self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") | |
b47d7b54 | 130 | except (RequestTimeout, InvalidNonce) as e: |
337c8286 IB |
131 | self.report.log_error(action, message="Retrying", exception=e) |
132 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
133 | self.balances.fetch_balances() | |
134 | raise e | |
f86ee140 IB |
135 | self.report.log_move_balances(needed_in_margin, moving_to_margin) |
136 | ||
137 | self.balances.fetch_balances() | |
138 | ||
aca4d437 | 139 | @ttl_cache(ttl=3600) |
f86ee140 | 140 | def fetch_fees(self): |
aca4d437 IB |
141 | return self.ccxt.fetch_fees() |
142 | ||
143 | @ttl_cache(maxsize=20, ttl=5) | |
144 | def get_tickers(self, refresh=False): | |
145 | try: | |
146 | return self.ccxt.fetch_tickers() | |
147 | except NotSupported: | |
148 | return None | |
f86ee140 | 149 | |
aca4d437 | 150 | @ttl_cache(maxsize=20, ttl=5) |
f86ee140 IB |
151 | def get_ticker(self, c1, c2, refresh=False): |
152 | def invert(ticker): | |
153 | return { | |
154 | "inverted": True, | |
155 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
156 | "original": ticker, | |
157 | } | |
158 | def augment_ticker(ticker): | |
159 | ticker.update({ | |
160 | "inverted": False, | |
161 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
162 | }) | |
7192b2e1 | 163 | return ticker |
f86ee140 | 164 | |
aca4d437 IB |
165 | tickers = self.get_tickers() |
166 | if tickers is None: | |
f86ee140 | 167 | try: |
7192b2e1 | 168 | ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) |
f86ee140 | 169 | except ExchangeError: |
aca4d437 | 170 | try: |
7192b2e1 | 171 | ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) |
aca4d437 IB |
172 | except ExchangeError: |
173 | ticker = None | |
174 | else: | |
175 | if "{}/{}".format(c1, c2) in tickers: | |
7192b2e1 | 176 | ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) |
aca4d437 | 177 | elif "{}/{}".format(c2, c1) in tickers: |
7192b2e1 | 178 | ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) |
aca4d437 IB |
179 | else: |
180 | ticker = None | |
181 | return ticker | |
f86ee140 IB |
182 | |
183 | def follow_orders(self, sleep=None): | |
184 | if sleep is None: | |
185 | sleep = 7 if self.debug else 30 | |
186 | if self.debug: | |
187 | self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
188 | tick = 0 | |
189 | self.report.log_stage("follow_orders_begin") | |
190 | while len(self.trades.all_orders(state="open")) > 0: | |
191 | time.sleep(sleep) | |
192 | tick += 1 | |
193 | open_orders = self.trades.all_orders(state="open") | |
194 | self.report.log_stage("follow_orders_tick_{}".format(tick)) | |
195 | self.report.log_orders(open_orders, tick=tick) | |
196 | for order in open_orders: | |
7ba831c5 IB |
197 | status = order.get_status() |
198 | if status != "open": | |
f86ee140 IB |
199 | self.report.log_order(order, tick, finished=True) |
200 | else: | |
201 | order.trade.update_order(order, tick) | |
7ba831c5 IB |
202 | if status == "error_disappeared": |
203 | self.report.log_error("follow_orders", | |
204 | message="{} disappeared, recreating it".format(order)) | |
205 | order.trade.prepare_order( | |
206 | compute_value=order.trade.tick_actions_recreate(tick)) | |
207 | ||
f86ee140 IB |
208 | self.report.log_stage("follow_orders_end") |
209 | ||
9db7d156 IB |
210 | def prepare_trades(self, base_currency="BTC", liquidity="medium", |
211 | compute_value="average", repartition=None, only=None): | |
212 | ||
7bd830a8 IB |
213 | self.report.log_stage("prepare_trades", |
214 | base_currency=base_currency, liquidity=liquidity, | |
9db7d156 IB |
215 | compute_value=compute_value, only=only, |
216 | repartition=repartition) | |
f86ee140 | 217 | |
9db7d156 IB |
218 | values_in_base = self.balances.in_currency(base_currency, |
219 | compute_value=compute_value) | |
f86ee140 | 220 | total_base_value = sum(values_in_base.values()) |
9db7d156 IB |
221 | new_repartition = self.balances.dispatch_assets(total_base_value, |
222 | liquidity=liquidity, repartition=repartition) | |
223 | self.trades.compute_trades(values_in_base, new_repartition, only=only) | |
2308a1c4 | 224 | |
ceb7fc4c | 225 | def print_tickers(self, base_currency="BTC"): |
1f117ac7 IB |
226 | if base_currency is not None: |
227 | self.report.print_log("total:") | |
228 | self.report.print_log(sum(self.balances.in_currency(base_currency).values())) | |
229 | ||
230 | class Processor: | |
231 | scenarios = { | |
81d1db51 IB |
232 | "wait_for_cryptoportfolio": [ |
233 | { | |
234 | "name": "wait", | |
235 | "number": 1, | |
236 | "before": False, | |
237 | "after": True, | |
238 | "wait_for_recent": {}, | |
239 | }, | |
240 | ], | |
ceb7fc4c IB |
241 | "print_balances": [ |
242 | { | |
243 | "name": "print_balances", | |
244 | "number": 1, | |
245 | "fetch_balances": ["begin"], | |
246 | "print_tickers": { "base_currency": "BTC" }, | |
247 | } | |
248 | ], | |
81d1db51 IB |
249 | "print_orders": [ |
250 | { | |
251 | "name": "wait", | |
252 | "number": 1, | |
ceb7fc4c IB |
253 | "before": True, |
254 | "after": False, | |
81d1db51 IB |
255 | "wait_for_recent": {}, |
256 | }, | |
257 | { | |
258 | "name": "make_orders", | |
259 | "number": 2, | |
260 | "before": False, | |
261 | "after": True, | |
262 | "fetch_balances": ["begin"], | |
263 | "prepare_trades": { "compute_value": "average" }, | |
264 | "prepare_orders": { "compute_value": "average" }, | |
265 | }, | |
266 | ], | |
1f117ac7 IB |
267 | "sell_needed": [ |
268 | { | |
269 | "name": "wait", | |
270 | "number": 0, | |
271 | "before": False, | |
272 | "after": True, | |
273 | "wait_for_recent": {}, | |
274 | }, | |
275 | { | |
276 | "name": "sell", | |
277 | "number": 1, | |
278 | "before": False, | |
279 | "after": True, | |
280 | "fetch_balances": ["begin", "end"], | |
281 | "prepare_trades": {}, | |
282 | "prepare_orders": { "only": "dispose", "compute_value": "average" }, | |
283 | "run_orders": {}, | |
284 | "follow_orders": {}, | |
285 | "close_trades": {}, | |
286 | }, | |
287 | { | |
288 | "name": "buy", | |
289 | "number": 2, | |
290 | "before": False, | |
291 | "after": True, | |
292 | "fetch_balances": ["begin", "end"], | |
293 | "prepare_trades": { "only": "acquire" }, | |
294 | "prepare_orders": { "only": "acquire", "compute_value": "average" }, | |
295 | "move_balances": {}, | |
296 | "run_orders": {}, | |
297 | "follow_orders": {}, | |
298 | "close_trades": {}, | |
299 | }, | |
300 | ], | |
301 | "sell_all": [ | |
302 | { | |
303 | "name": "all_sell", | |
304 | "number": 1, | |
305 | "before": True, | |
306 | "after": False, | |
307 | "fetch_balances": ["begin", "end"], | |
308 | "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, | |
309 | "prepare_orders": { "compute_value": "average" }, | |
310 | "run_orders": {}, | |
311 | "follow_orders": {}, | |
312 | "close_trades": {}, | |
313 | }, | |
314 | { | |
315 | "name": "wait", | |
316 | "number": 2, | |
317 | "before": False, | |
318 | "after": True, | |
319 | "wait_for_recent": {}, | |
320 | }, | |
321 | { | |
322 | "name": "all_buy", | |
323 | "number": 3, | |
324 | "before": False, | |
325 | "after": True, | |
326 | "fetch_balances": ["begin", "end"], | |
327 | "prepare_trades": {}, | |
328 | "prepare_orders": { "compute_value": "average" }, | |
329 | "move_balances": {}, | |
330 | "run_orders": {}, | |
331 | "follow_orders": {}, | |
332 | "close_trades": {}, | |
333 | }, | |
334 | ] | |
335 | } | |
336 | ||
337 | ordered_actions = [ | |
338 | "wait_for_recent", "prepare_trades", "prepare_orders", | |
339 | "move_balances", "run_orders", "follow_orders", | |
ceb7fc4c | 340 | "close_trades", "print_tickers"] |
1f117ac7 IB |
341 | |
342 | def __init__(self, market): | |
343 | self.market = market | |
344 | ||
345 | def select_steps(self, scenario, step): | |
346 | if step == "all": | |
347 | return scenario | |
348 | elif step == "before" or step == "after": | |
ceb7fc4c | 349 | return list(filter(lambda x: x.get(step, False), scenario)) |
1f117ac7 IB |
350 | elif type(step) == int: |
351 | return [scenario[step-1]] | |
352 | elif type(step) == str: | |
353 | return list(filter(lambda x: x["name"] == step, scenario)) | |
354 | else: | |
355 | raise TypeError("Unknown step {}".format(step)) | |
356 | ||
ceb7fc4c IB |
357 | def can_process(self, scenario_name): |
358 | return scenario_name in self.scenarios | |
359 | ||
1f117ac7 | 360 | def process(self, scenario_name, steps="all", **kwargs): |
ceb7fc4c IB |
361 | if not self.can_process(scenario_name): |
362 | raise TypeError("Unknown scenario {}".format(scenario_name)) | |
1f117ac7 IB |
363 | scenario = self.scenarios[scenario_name] |
364 | selected_steps = [] | |
365 | ||
366 | if type(steps) == str or type(steps) == int: | |
367 | selected_steps += self.select_steps(scenario, steps) | |
368 | else: | |
369 | for step in steps: | |
370 | selected_steps += self.select_steps(scenario, step) | |
371 | for step in selected_steps: | |
372 | self.process_step(scenario_name, step, kwargs) | |
373 | ||
374 | def process_step(self, scenario_name, step, kwargs): | |
375 | process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) | |
376 | self.market.report.log_stage("{}_begin".format(process_name)) | |
377 | if "begin" in step.get("fetch_balances", []): | |
378 | self.market.balances.fetch_balances(tag="{}_begin".format(process_name)) | |
379 | ||
380 | for action in self.ordered_actions: | |
381 | if action in step: | |
382 | self.run_action(action, step[action], kwargs) | |
383 | ||
384 | if "end" in step.get("fetch_balances", []): | |
385 | self.market.balances.fetch_balances(tag="{}_end".format(process_name)) | |
386 | self.market.report.log_stage("{}_end".format(process_name)) | |
387 | ||
388 | def method_arguments(self, action): | |
389 | import inspect | |
390 | ||
391 | if action == "wait_for_recent": | |
ada1b5f1 | 392 | method = Portfolio.wait_for_recent |
1f117ac7 IB |
393 | elif action == "prepare_trades": |
394 | method = self.market.prepare_trades | |
395 | elif action == "prepare_orders": | |
396 | method = self.market.trades.prepare_orders | |
397 | elif action == "move_balances": | |
398 | method = self.market.move_balances | |
399 | elif action == "run_orders": | |
400 | method = self.market.trades.run_orders | |
401 | elif action == "follow_orders": | |
402 | method = self.market.follow_orders | |
403 | elif action == "close_trades": | |
404 | method = self.market.trades.close_trades | |
ceb7fc4c IB |
405 | elif action == "print_tickers": |
406 | method = self.market.print_tickers | |
1f117ac7 IB |
407 | |
408 | signature = inspect.getfullargspec(method) | |
409 | defaults = signature.defaults or [] | |
410 | kwargs = signature.args[-len(defaults):] | |
411 | ||
412 | return [method, kwargs] | |
413 | ||
414 | def parse_args(self, action, default_args, kwargs): | |
415 | method, allowed_arguments = self.method_arguments(action) | |
416 | args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments } | |
417 | ||
418 | if "repartition" in args and "base_currency" in args["repartition"]: | |
419 | r = args["repartition"] | |
420 | r[args.get("base_currency", "BTC")] = r.pop("base_currency") | |
421 | ||
422 | return method, args | |
423 | ||
424 | def run_action(self, action, default_args, kwargs): | |
425 | method, args = self.parse_args(action, default_args, kwargs) | |
426 | ||
ada1b5f1 | 427 | method(**args) |