]>
Commit | Line | Data |
---|---|---|
e7d7c0e5 | 1 | import datetime |
f70bb858 | 2 | from retry import retry |
7f3e7d27 | 3 | from decimal import Decimal as D, ROUND_DOWN |
b47d7b54 | 4 | from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce |
80cdd672 | 5 | |
6ca5a1ec | 6 | class Computation: |
51bc7cde IB |
7 | @staticmethod |
8 | def eat_several(market): | |
9 | return lambda x, y: market.ccxt.fetch_nth_order_book(x["symbol"], y, 15) | |
10 | ||
6ca5a1ec IB |
11 | computations = { |
12 | "default": lambda x, y: x[y], | |
13 | "average": lambda x, y: x["average"], | |
14 | "bid": lambda x, y: x["bid"], | |
15 | "ask": lambda x, y: x["ask"], | |
16 | } | |
17 | ||
18 | @classmethod | |
19 | def compute_value(cls, ticker, action, compute_value="default"): | |
20 | if action == "buy": | |
21 | action = "ask" | |
22 | if action == "sell": | |
23 | action = "bid" | |
24 | if isinstance(compute_value, str): | |
25 | compute_value = cls.computations[compute_value] | |
26 | return compute_value(ticker, action) | |
27 | ||
dd359bc0 | 28 | class Amount: |
c2644ba8 | 29 | def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): |
dd359bc0 | 30 | self.currency = currency |
5ab23e1c | 31 | self.value = D(value) |
dd359bc0 IB |
32 | self.linked_to = linked_to |
33 | self.ticker = ticker | |
c2644ba8 | 34 | self.rate = rate |
dd359bc0 | 35 | |
c2644ba8 | 36 | def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): |
dd359bc0 IB |
37 | if other_currency == self.currency: |
38 | return self | |
c2644ba8 IB |
39 | if rate is not None: |
40 | return Amount( | |
41 | other_currency, | |
42 | self.value * rate, | |
43 | linked_to=self, | |
44 | rate=rate) | |
f86ee140 | 45 | asset_ticker = market.get_ticker(self.currency, other_currency) |
dd359bc0 | 46 | if asset_ticker is not None: |
6ca5a1ec | 47 | rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) |
dd359bc0 IB |
48 | return Amount( |
49 | other_currency, | |
c2644ba8 | 50 | self.value * rate, |
dd359bc0 | 51 | linked_to=self, |
c2644ba8 IB |
52 | ticker=asset_ticker, |
53 | rate=rate) | |
dd359bc0 | 54 | else: |
512972fa | 55 | return Amount(other_currency, 0, linked_to=self, ticker=None, rate=0) |
dd359bc0 | 56 | |
3d0247f9 IB |
57 | def as_json(self): |
58 | return { | |
59 | "currency": self.currency, | |
60 | "value": round(self).value.normalize(), | |
61 | } | |
62 | ||
350ed24d IB |
63 | def __round__(self, n=8): |
64 | return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) | |
65 | ||
dd359bc0 | 66 | def __abs__(self): |
5ab23e1c | 67 | return Amount(self.currency, abs(self.value)) |
dd359bc0 IB |
68 | |
69 | def __add__(self, other): | |
f320eb8a IB |
70 | if other == 0: |
71 | return self | |
5ab23e1c | 72 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 73 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 74 | return Amount(self.currency, self.value + other.value) |
dd359bc0 IB |
75 | |
76 | def __radd__(self, other): | |
77 | if other == 0: | |
78 | return self | |
79 | else: | |
80 | return self.__add__(other) | |
81 | ||
82 | def __sub__(self, other): | |
c51687d2 IB |
83 | if other == 0: |
84 | return self | |
5ab23e1c | 85 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 86 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 87 | return Amount(self.currency, self.value - other.value) |
dd359bc0 | 88 | |
f320eb8a IB |
89 | def __rsub__(self, other): |
90 | if other == 0: | |
91 | return -self | |
92 | else: | |
93 | return -self.__sub__(other) | |
94 | ||
dd359bc0 | 95 | def __mul__(self, value): |
77f8a378 | 96 | if not isinstance(value, (int, float, D)): |
dd359bc0 | 97 | raise TypeError("Amount may only be multiplied by numbers") |
5ab23e1c | 98 | return Amount(self.currency, self.value * value) |
dd359bc0 IB |
99 | |
100 | def __rmul__(self, value): | |
101 | return self.__mul__(value) | |
102 | ||
103 | def __floordiv__(self, value): | |
77f8a378 | 104 | if not isinstance(value, (int, float, D)): |
1aa7d4fa | 105 | raise TypeError("Amount may only be divided by numbers") |
5ab23e1c | 106 | return Amount(self.currency, self.value / value) |
dd359bc0 IB |
107 | |
108 | def __truediv__(self, value): | |
109 | return self.__floordiv__(value) | |
110 | ||
111 | def __lt__(self, other): | |
006a2084 IB |
112 | if other == 0: |
113 | return self.value < 0 | |
dd359bc0 IB |
114 | if self.currency != other.currency: |
115 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 116 | return self.value < other.value |
dd359bc0 | 117 | |
80cdd672 IB |
118 | def __le__(self, other): |
119 | return self == other or self < other | |
120 | ||
006a2084 IB |
121 | def __gt__(self, other): |
122 | return not self <= other | |
123 | ||
124 | def __ge__(self, other): | |
125 | return not self < other | |
126 | ||
dd359bc0 IB |
127 | def __eq__(self, other): |
128 | if other == 0: | |
5ab23e1c | 129 | return self.value == 0 |
dd359bc0 IB |
130 | if self.currency != other.currency: |
131 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 132 | return self.value == other.value |
dd359bc0 | 133 | |
006a2084 IB |
134 | def __ne__(self, other): |
135 | return not self == other | |
136 | ||
137 | def __neg__(self): | |
138 | return Amount(self.currency, - self.value) | |
139 | ||
dd359bc0 IB |
140 | def __str__(self): |
141 | if self.linked_to is None: | |
142 | return "{:.8f} {}".format(self.value, self.currency) | |
143 | else: | |
144 | return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) | |
145 | ||
146 | def __repr__(self): | |
147 | if self.linked_to is None: | |
148 | return "Amount({:.8f} {})".format(self.value, self.currency) | |
149 | else: | |
150 | return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) | |
151 | ||
152 | class Balance: | |
3d0247f9 | 153 | base_keys = ["total", "exchange_total", "exchange_used", |
aca4d437 IB |
154 | "exchange_free", "margin_total", "margin_in_position", |
155 | "margin_available", "margin_borrowed", "margin_pending_gain"] | |
dd359bc0 | 156 | |
006a2084 | 157 | def __init__(self, currency, hash_): |
dd359bc0 | 158 | self.currency = currency |
3d0247f9 | 159 | for key in self.base_keys: |
006a2084 IB |
160 | setattr(self, key, Amount(currency, hash_.get(key, 0))) |
161 | ||
80cdd672 | 162 | self.margin_position_type = hash_.get("margin_position_type") |
006a2084 | 163 | |
80cdd672 | 164 | if hash_.get("margin_borrowed_base_currency") is not None: |
006a2084 IB |
165 | base_currency = hash_["margin_borrowed_base_currency"] |
166 | for key in [ | |
167 | "margin_liquidation_price", | |
006a2084 | 168 | "margin_lending_fees", |
aca4d437 | 169 | "margin_pending_base_gain", |
006a2084 IB |
170 | "margin_borrowed_base_price" |
171 | ]: | |
c51687d2 | 172 | setattr(self, key, Amount(base_currency, hash_.get(key, 0))) |
f2da6589 | 173 | |
3d0247f9 IB |
174 | def as_json(self): |
175 | return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys)) | |
176 | ||
dd359bc0 | 177 | def __repr__(self): |
006a2084 IB |
178 | if self.exchange_total > 0: |
179 | if self.exchange_free > 0 and self.exchange_used > 0: | |
180 | exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) | |
181 | elif self.exchange_free > 0: | |
182 | exchange = " Exch: [✔{}]".format(str(self.exchange_free)) | |
183 | else: | |
184 | exchange = " Exch: [❌{}]".format(str(self.exchange_used)) | |
185 | else: | |
186 | exchange = "" | |
187 | ||
188 | if self.margin_total > 0: | |
aca4d437 IB |
189 | if self.margin_available != 0 and self.margin_in_position != 0: |
190 | margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total)) | |
191 | elif self.margin_available != 0: | |
192 | margin = " Margin: [✔{}]".format(str(self.margin_available)) | |
006a2084 | 193 | else: |
aca4d437 | 194 | margin = " Margin: [❌{}]".format(str(self.margin_in_position)) |
006a2084 IB |
195 | elif self.margin_total < 0: |
196 | margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), | |
197 | str(self.margin_borrowed_base_price), | |
198 | str(self.margin_lending_fees)) | |
199 | else: | |
200 | margin = "" | |
201 | ||
202 | if self.margin_total != 0 and self.exchange_total != 0: | |
203 | total = " Total: [{}]".format(str(self.total)) | |
204 | else: | |
205 | total = "" | |
206 | ||
207 | return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" | |
dd359bc0 IB |
208 | |
209 | class Trade: | |
f86ee140 | 210 | def __init__(self, value_from, value_to, currency, market): |
dd359bc0 IB |
211 | # We have value_from of currency, and want to finish with value_to of |
212 | # that currency. value_* may not be in currency's terms | |
213 | self.currency = currency | |
214 | self.value_from = value_from | |
215 | self.value_to = value_to | |
216 | self.orders = [] | |
089d5d9d | 217 | self.market = market |
17598517 | 218 | self.closed = False |
186f7d81 | 219 | self.inverted = None |
aca4d437 | 220 | assert self.value_from.value * self.value_to.value >= 0 |
dd359bc0 | 221 | assert self.value_from.currency == self.value_to.currency |
006a2084 IB |
222 | if self.value_from != 0: |
223 | assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency | |
224 | elif self.value_from.linked_to is None: | |
225 | self.value_from.linked_to = Amount(self.currency, 0) | |
dd359bc0 IB |
226 | self.base_currency = self.value_from.currency |
227 | ||
aca4d437 IB |
228 | @property |
229 | def delta(self): | |
230 | return self.value_to - self.value_from | |
231 | ||
dd359bc0 IB |
232 | @property |
233 | def action(self): | |
234 | if self.value_from == self.value_to: | |
235 | return None | |
236 | if self.base_currency == self.currency: | |
237 | return None | |
238 | ||
5a72ded7 | 239 | if abs(self.value_from) < abs(self.value_to): |
006a2084 | 240 | return "acquire" |
dd359bc0 | 241 | else: |
006a2084 | 242 | return "dispose" |
dd359bc0 | 243 | |
186f7d81 IB |
244 | def order_action(self): |
245 | if (self.value_from < self.value_to) != self.inverted: | |
350ed24d | 246 | return "buy" |
dd359bc0 | 247 | else: |
350ed24d | 248 | return "sell" |
dd359bc0 | 249 | |
006a2084 IB |
250 | @property |
251 | def trade_type(self): | |
252 | if self.value_from + self.value_to < 0: | |
253 | return "short" | |
254 | else: | |
255 | return "long" | |
256 | ||
17598517 IB |
257 | @property |
258 | def pending(self): | |
259 | return not (self.is_fullfiled or self.closed) | |
260 | ||
261 | def close(self): | |
f9226903 IB |
262 | for order in self.orders: |
263 | order.cancel() | |
17598517 IB |
264 | self.closed = True |
265 | ||
aca4d437 IB |
266 | @property |
267 | def is_fullfiled(self): | |
4ae84fb7 | 268 | return abs(self.filled_amount(in_base_currency=(not self.inverted), refetch=True)) >= abs(self.delta) |
aca4d437 | 269 | |
4ae84fb7 | 270 | def filled_amount(self, in_base_currency=False, refetch=False): |
80cdd672 IB |
271 | filled_amount = 0 |
272 | for order in self.orders: | |
4ae84fb7 | 273 | filled_amount += order.filled_amount(in_base_currency=in_base_currency, refetch=refetch) |
80cdd672 IB |
274 | return filled_amount |
275 | ||
7ba831c5 IB |
276 | tick_actions = { |
277 | 0: ["waiting", None], | |
278 | 1: ["waiting", None], | |
279 | 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2], | |
280 | 3: ["waiting", None], | |
281 | 4: ["waiting", None], | |
282 | 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3], | |
283 | 6: ["waiting", None], | |
284 | 7: ["market_fallback", "default"], | |
285 | } | |
aca4d437 | 286 | |
7ba831c5 IB |
287 | def tick_actions_recreate(self, tick, default="average"): |
288 | return ([default] + \ | |
289 | [ y[1] for x, y in self.tick_actions.items() if x <= tick and y[1] is not None ])[-1] | |
290 | ||
291 | def update_order(self, order, tick): | |
292 | if tick in self.tick_actions: | |
293 | update, compute_value = self.tick_actions[tick] | |
aca4d437 | 294 | elif tick % 3 == 1: |
51bc7cde IB |
295 | if tick < 20: |
296 | update = "market_adjust" | |
297 | compute_value = "default" | |
298 | else: | |
299 | update = "market_adjust_eat" | |
300 | compute_value = Computation.eat_several(self.market) | |
aca4d437 | 301 | else: |
3d0247f9 IB |
302 | update = "waiting" |
303 | compute_value = None | |
aca4d437 IB |
304 | |
305 | if compute_value is not None: | |
306 | order.cancel() | |
307 | new_order = self.prepare_order(compute_value=compute_value) | |
308 | else: | |
309 | new_order = None | |
3d0247f9 | 310 | |
f86ee140 | 311 | self.market.report.log_order(order, tick, update=update, |
3d0247f9 | 312 | compute_value=compute_value, new_order=new_order) |
80cdd672 IB |
313 | |
314 | if new_order is not None: | |
80cdd672 | 315 | new_order.run() |
f86ee140 | 316 | self.market.report.log_order(order, tick, new_order=new_order) |
80cdd672 | 317 | |
2033e7fe | 318 | def prepare_order(self, close_if_possible=None, compute_value="default"): |
dd359bc0 | 319 | if self.action is None: |
5a72ded7 | 320 | return None |
f86ee140 | 321 | ticker = self.market.get_ticker(self.currency, self.base_currency) |
18de421e IB |
322 | if ticker is None: |
323 | self.market.report.log_error("prepare_order", | |
324 | message="Unknown ticker {}/{}".format(self.currency, self.base_currency)) | |
325 | return None | |
186f7d81 IB |
326 | self.inverted = ticker["inverted"] |
327 | if self.inverted: | |
f2097d71 | 328 | ticker = ticker["original"] |
186f7d81 | 329 | rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value) |
f2097d71 | 330 | |
aca4d437 | 331 | delta_in_base = abs(self.delta) |
c11e4274 | 332 | # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) |
dd359bc0 | 333 | |
186f7d81 | 334 | if not self.inverted: |
1aa7d4fa | 335 | base_currency = self.base_currency |
350ed24d | 336 | # BTC |
006a2084 | 337 | if self.action == "dispose": |
1aa7d4fa IB |
338 | filled = self.filled_amount(in_base_currency=False) |
339 | delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
340 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC | |
341 | # worth of it, computed first with rate 10 FOO = 1 BTC. | |
342 | # -> I "sell" "90" FOO at proposed rate "rate". | |
343 | ||
344 | delta = delta - filled | |
345 | # I already sold 60 FOO, 30 left | |
f2097d71 | 346 | else: |
1aa7d4fa IB |
347 | filled = self.filled_amount(in_base_currency=True) |
348 | delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate) | |
349 | # I want to buy 9 BTC worth of FOO, computed with rate | |
350 | # 10 FOO = 1 BTC | |
351 | # -> I "buy" "9 / rate" FOO at proposed rate "rate" | |
352 | ||
353 | # I already bought 3 / rate FOO, 6 / rate left | |
dd359bc0 | 354 | else: |
1aa7d4fa | 355 | base_currency = self.currency |
c11e4274 | 356 | # FOO |
1aa7d4fa IB |
357 | if self.action == "dispose": |
358 | filled = self.filled_amount(in_base_currency=True) | |
359 | # Base is FOO | |
360 | ||
361 | delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
362 | - filled).in_currency(self.base_currency, self.market, rate=1/rate) | |
363 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it | |
364 | # computed at rate 1 Foo = 0.01 BTC | |
365 | # Computation says I should sell it at 125 FOO / BTC | |
366 | # -> delta_in_base = 9 BTC | |
367 | # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC | |
368 | # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market | |
369 | ||
370 | # I already bought 300/125 BTC, only 600/125 left | |
371 | else: | |
372 | filled = self.filled_amount(in_base_currency=False) | |
373 | # Base is FOO | |
374 | ||
375 | delta = delta_in_base | |
376 | # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it | |
377 | # At rate 100 Foo / BTC | |
378 | # Computation says I should buy it at 125 FOO / BTC | |
379 | # -> delta_in_base = 9 BTC | |
380 | # Action: "sell" "9 BTC" at rate "125" "FOO" on market | |
381 | ||
382 | delta = delta - filled | |
383 | # I already sold 4 BTC, only 5 left | |
dd359bc0 | 384 | |
2033e7fe IB |
385 | if close_if_possible is None: |
386 | close_if_possible = (self.value_to == 0) | |
006a2084 | 387 | |
1aa7d4fa | 388 | if delta <= 0: |
f86ee140 | 389 | self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) |
5a72ded7 | 390 | return None |
80cdd672 | 391 | |
186f7d81 | 392 | order = Order(self.order_action(), |
1aa7d4fa | 393 | delta, rate, base_currency, self.trade_type, |
5a72ded7 IB |
394 | self.market, self, close_if_possible=close_if_possible) |
395 | self.orders.append(order) | |
396 | return order | |
dd359bc0 | 397 | |
3d0247f9 IB |
398 | def as_json(self): |
399 | return { | |
400 | "action": self.action, | |
401 | "from": self.value_from.as_json()["value"], | |
402 | "to": self.value_to.as_json()["value"], | |
403 | "currency": self.currency, | |
404 | "base_currency": self.base_currency, | |
405 | } | |
406 | ||
dd359bc0 | 407 | def __repr__(self): |
f9226903 IB |
408 | if self.closed and not self.is_fullfiled: |
409 | closed = " ❌" | |
410 | elif self.is_fullfiled: | |
411 | closed = " ✔" | |
412 | else: | |
413 | closed = "" | |
414 | ||
415 | return "Trade({} -> {} in {}, {}{})".format( | |
dd359bc0 IB |
416 | self.value_from, |
417 | self.value_to, | |
418 | self.currency, | |
f9226903 IB |
419 | self.action, |
420 | closed) | |
dd359bc0 | 421 | |
3d0247f9 | 422 | def print_with_order(self, ind=""): |
f86ee140 | 423 | self.market.report.print_log("{}{}".format(ind, self)) |
272b3cfb | 424 | for order in self.orders: |
f86ee140 | 425 | self.market.report.print_log("{}\t{}".format(ind, order)) |
c31df868 | 426 | for mouvement in order.mouvements: |
f86ee140 | 427 | self.market.report.print_log("{}\t\t{}".format(ind, mouvement)) |
dd359bc0 | 428 | |
7f3e7d27 IB |
429 | class RetryException(Exception): |
430 | pass | |
431 | ||
272b3cfb | 432 | class Order: |
006a2084 | 433 | def __init__(self, action, amount, rate, base_currency, trade_type, market, |
80cdd672 | 434 | trade, close_if_possible=False): |
dd359bc0 IB |
435 | self.action = action |
436 | self.amount = amount | |
437 | self.rate = rate | |
438 | self.base_currency = base_currency | |
a9950fd0 | 439 | self.market = market |
350ed24d | 440 | self.trade_type = trade_type |
80cdd672 IB |
441 | self.results = [] |
442 | self.mouvements = [] | |
a9950fd0 | 443 | self.status = "pending" |
80cdd672 | 444 | self.trade = trade |
006a2084 | 445 | self.close_if_possible = close_if_possible |
5a72ded7 | 446 | self.id = None |
f70bb858 | 447 | self.tries = 0 |
7f3e7d27 | 448 | self.start_date = None |
dd359bc0 | 449 | |
3d0247f9 IB |
450 | def as_json(self): |
451 | return { | |
452 | "action": self.action, | |
453 | "trade_type": self.trade_type, | |
454 | "amount": self.amount.as_json()["value"], | |
455 | "currency": self.amount.as_json()["currency"], | |
456 | "base_currency": self.base_currency, | |
457 | "rate": self.rate, | |
458 | "status": self.status, | |
459 | "close_if_possible": self.close_if_possible, | |
460 | "id": self.id, | |
461 | "mouvements": list(map(lambda x: x.as_json(), self.mouvements)) | |
462 | } | |
463 | ||
dd359bc0 | 464 | def __repr__(self): |
006a2084 | 465 | return "Order({} {} {} at {} {} [{}]{})".format( |
dd359bc0 | 466 | self.action, |
350ed24d | 467 | self.trade_type, |
dd359bc0 IB |
468 | self.amount, |
469 | self.rate, | |
470 | self.base_currency, | |
006a2084 IB |
471 | self.status, |
472 | " ✂" if self.close_if_possible else "", | |
dd359bc0 IB |
473 | ) |
474 | ||
350ed24d IB |
475 | @property |
476 | def account(self): | |
477 | if self.trade_type == "long": | |
478 | return "exchange" | |
479 | else: | |
480 | return "margin" | |
481 | ||
5a72ded7 IB |
482 | @property |
483 | def open(self): | |
484 | return self.status == "open" | |
485 | ||
a9950fd0 IB |
486 | @property |
487 | def pending(self): | |
488 | return self.status == "pending" | |
489 | ||
490 | @property | |
491 | def finished(self): | |
d8deb0e9 | 492 | return self.status.startswith("closed") or self.status == "canceled" or self.status == "error" |
a9950fd0 | 493 | |
b47d7b54 | 494 | @retry((InsufficientFunds, RetryException, InvalidNonce)) |
80cdd672 | 495 | def run(self): |
f70bb858 | 496 | self.tries += 1 |
dd359bc0 | 497 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) |
f86ee140 | 498 | amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value |
dd359bc0 | 499 | |
7f3e7d27 | 500 | action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) |
f86ee140 | 501 | if self.market.debug: |
7f3e7d27 | 502 | self.market.report.log_debug_action(action) |
80cdd672 | 503 | self.results.append({"debug": True, "id": -1}) |
dd359bc0 | 504 | else: |
e7d7c0e5 | 505 | self.start_date = datetime.datetime.now() |
dd359bc0 | 506 | try: |
f86ee140 | 507 | self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) |
f70bb858 | 508 | except InvalidOrder: |
df9e4e7f IB |
509 | # Impossible to honor the order (dust amount) |
510 | self.status = "closed" | |
511 | self.mark_finished_order() | |
512 | return | |
b47d7b54 IB |
513 | except InvalidNonce as e: |
514 | if self.tries < 5: | |
515 | self.market.report.log_error(action, message="Retrying after invalid nonce", exception=e) | |
516 | raise e | |
517 | else: | |
518 | self.market.report.log_error(action, message="Giving up {} after invalid nonce".format(self), exception=e) | |
519 | self.status = "error" | |
520 | return | |
7f3e7d27 IB |
521 | except RequestTimeout as e: |
522 | if not self.retrieve_order(): | |
523 | if self.tries < 5: | |
524 | self.market.report.log_error(action, message="Retrying after timeout", exception=e) | |
525 | # We make a specific call in case retrieve_order | |
526 | # would raise itself | |
527 | raise RetryException | |
528 | else: | |
529 | self.market.report.log_error(action, message="Giving up {} after timeouts".format(self), exception=e) | |
530 | self.status = "error" | |
531 | return | |
532 | else: | |
533 | self.market.report.log_error(action, message="Timeout, found the order") | |
f70bb858 IB |
534 | except InsufficientFunds as e: |
535 | if self.tries < 5: | |
536 | self.market.report.log_error(action, message="Retrying with reduced amount", exception=e) | |
537 | self.amount = self.amount * D("0.99") | |
538 | raise e | |
539 | else: | |
540 | self.market.report.log_error(action, message="Giving up {}".format(self), exception=e) | |
541 | self.status = "error" | |
542 | return | |
fd8afa51 IB |
543 | except Exception as e: |
544 | self.status = "error" | |
f86ee140 | 545 | self.market.report.log_error(action, exception=e) |
5a72ded7 IB |
546 | return |
547 | self.id = self.results[0]["id"] | |
548 | self.status = "open" | |
dd359bc0 | 549 | |
a9950fd0 | 550 | def get_status(self): |
f86ee140 IB |
551 | if self.market.debug: |
552 | self.market.report.log_debug_action("Getting {} status".format(self)) | |
80cdd672 | 553 | return self.status |
dd359bc0 | 554 | # other states are "closed" and "canceled" |
5a72ded7 | 555 | if not self.finished: |
80cdd672 | 556 | self.fetch() |
dd359bc0 IB |
557 | return self.status |
558 | ||
7ba831c5 | 559 | def mark_disappeared_order(self): |
5542e9e3 | 560 | if self.status.startswith("closed") and \ |
7ba831c5 IB |
561 | len(self.mouvements) > 0 and \ |
562 | self.mouvements[-1].total_in_base == 0: | |
5542e9e3 | 563 | self.status = "error_disappeared" |
5542e9e3 | 564 | |
80cdd672 | 565 | def mark_finished_order(self): |
d8deb0e9 | 566 | if self.status.startswith("closed") and self.market.debug: |
f86ee140 | 567 | self.market.report.log_debug_action("Mark {} as finished".format(self)) |
80cdd672 | 568 | return |
d8deb0e9 | 569 | if self.status.startswith("closed"): |
006a2084 | 570 | if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: |
f86ee140 | 571 | self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency) |
006a2084 | 572 | |
aca4d437 | 573 | def fetch(self): |
f86ee140 IB |
574 | if self.market.debug: |
575 | self.market.report.log_debug_action("Fetching {}".format(self)) | |
3d0247f9 | 576 | return |
aca4d437 | 577 | try: |
f9226903 | 578 | result = self.market.ccxt.fetch_order(self.id) |
aca4d437 IB |
579 | self.results.append(result) |
580 | self.status = result["status"] | |
581 | # Time at which the order started | |
582 | self.timestamp = result["datetime"] | |
583 | except OrderNotCached: | |
584 | self.status = "closed_unknown" | |
5a72ded7 | 585 | |
80cdd672 IB |
586 | self.fetch_mouvements() |
587 | ||
7ba831c5 | 588 | self.mark_disappeared_order() |
1902674c | 589 | self.mark_dust_amount_remaining_order() |
d8deb0e9 | 590 | self.mark_finished_order() |
80cdd672 | 591 | |
1902674c | 592 | def mark_dust_amount_remaining_order(self): |
e24df7cf | 593 | if self.status == "open" and self.market.ccxt.is_dust_trade(self.remaining_amount().value, self.rate): |
1902674c | 594 | self.status = "closed_dust_remaining" |
80cdd672 | 595 | |
4ae84fb7 IB |
596 | def remaining_amount(self, refetch=False): |
597 | return self.amount - self.filled_amount(refetch=refetch) | |
80cdd672 | 598 | |
4ae84fb7 IB |
599 | def filled_amount(self, in_base_currency=False, refetch=False): |
600 | if refetch and self.status == "open": | |
80cdd672 | 601 | self.fetch() |
1aa7d4fa | 602 | filled_amount = 0 |
80cdd672 | 603 | for mouvement in self.mouvements: |
1aa7d4fa IB |
604 | if in_base_currency: |
605 | filled_amount += mouvement.total_in_base | |
606 | else: | |
607 | filled_amount += mouvement.total | |
80cdd672 IB |
608 | return filled_amount |
609 | ||
610 | def fetch_mouvements(self): | |
df9e4e7f | 611 | try: |
f86ee140 | 612 | mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id}) |
df9e4e7f IB |
613 | except ExchangeError: |
614 | mouvements = [] | |
80cdd672 IB |
615 | self.mouvements = [] |
616 | ||
617 | for mouvement_hash in mouvements: | |
618 | self.mouvements.append(Mouvement(self.amount.currency, | |
619 | self.base_currency, mouvement_hash)) | |
7ba831c5 | 620 | self.mouvements.sort(key= lambda x: x.date) |
006a2084 | 621 | |
272b3cfb | 622 | def cancel(self): |
f86ee140 IB |
623 | if self.market.debug: |
624 | self.market.report.log_debug_action("Mark {} as cancelled".format(self)) | |
80cdd672 IB |
625 | self.status = "canceled" |
626 | return | |
37b64a97 | 627 | if (self.status == "closed_dust_remaining" or self.open) and self.id is not None: |
f9226903 IB |
628 | try: |
629 | self.market.ccxt.cancel_order(self.id) | |
630 | except OrderNotFound as e: # Closed inbetween | |
631 | self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e) | |
632 | self.fetch() | |
80cdd672 | 633 | |
7f3e7d27 IB |
634 | def retrieve_order(self): |
635 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) | |
636 | amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value | |
637 | start_timestamp = self.start_date.timestamp() - 5 | |
638 | ||
639 | similar_open_orders = self.market.ccxt.fetch_orders(symbol=symbol, since=start_timestamp) | |
640 | for order in similar_open_orders: | |
641 | if (order["info"]["margin"] == 1 and self.account == "exchange") or\ | |
642 | (order["info"]["margin"] != 1 and self.account == "margin"): | |
643 | i_m_tested = True # coverage bug ?! | |
644 | continue | |
645 | if order["info"]["side"] != self.action: | |
646 | continue | |
647 | amount_diff = round( | |
648 | abs(D(order["info"]["startingAmount"]) - amount), | |
649 | self.market.ccxt.order_precision(symbol)) | |
650 | rate_diff = round( | |
651 | abs(D(order["info"]["rate"]) - self.rate), | |
652 | self.market.ccxt.order_precision(symbol)) | |
653 | if amount_diff != 0 or rate_diff != 0: | |
654 | continue | |
655 | self.results.append({"id": order["id"]}) | |
656 | return True | |
657 | ||
658 | similar_trades = self.market.ccxt.fetch_my_trades(symbol=symbol, since=start_timestamp) | |
7f3e7d27 IB |
659 | for order_id in sorted(list(map(lambda x: x["order"], similar_trades))): |
660 | trades = list(filter(lambda x: x["order"] == order_id, similar_trades)) | |
661 | if any(x["timestamp"] < start_timestamp for x in trades): | |
662 | continue | |
663 | if any(x["side"] != self.action for x in trades): | |
664 | continue | |
665 | if any(x["info"]["category"] == "exchange" and self.account == "margin" for x in trades) or\ | |
666 | any(x["info"]["category"] == "marginTrade" and self.account == "exchange" for x in trades): | |
667 | continue | |
668 | trade_sum = sum(D(x["info"]["amount"]) for x in trades) | |
669 | amount_diff = round(abs(trade_sum - amount), | |
670 | self.market.ccxt.order_precision(symbol)) | |
671 | if amount_diff != 0: | |
672 | continue | |
673 | if (self.action == "sell" and any(D(x["info"]["rate"]) < self.rate for x in trades)) or\ | |
674 | (self.action == "buy" and any(D(x["info"]["rate"]) > self.rate for x in trades)): | |
675 | continue | |
676 | self.results.append({"id": order_id}) | |
677 | return True | |
678 | ||
679 | return False | |
680 | ||
80cdd672 IB |
681 | class Mouvement: |
682 | def __init__(self, currency, base_currency, hash_): | |
683 | self.currency = currency | |
684 | self.base_currency = base_currency | |
df9e4e7f IB |
685 | self.id = hash_.get("tradeID") |
686 | self.action = hash_.get("type") | |
687 | self.fee_rate = D(hash_.get("fee", -1)) | |
688 | try: | |
e7d7c0e5 | 689 | self.date = datetime.datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') |
df9e4e7f IB |
690 | except ValueError: |
691 | self.date = None | |
692 | self.rate = D(hash_.get("rate", 0)) | |
693 | self.total = Amount(currency, hash_.get("amount", 0)) | |
80cdd672 | 694 | # rate * total = total_in_base |
df9e4e7f | 695 | self.total_in_base = Amount(base_currency, hash_.get("total", 0)) |
272b3cfb | 696 | |
3d0247f9 IB |
697 | def as_json(self): |
698 | return { | |
699 | "fee_rate": self.fee_rate, | |
700 | "date": self.date, | |
701 | "action": self.action, | |
702 | "total": self.total.value, | |
703 | "currency": self.currency, | |
704 | "total_in_base": self.total_in_base.value, | |
705 | "base_currency": self.base_currency | |
706 | } | |
707 | ||
c31df868 IB |
708 | def __repr__(self): |
709 | if self.fee_rate > 0: | |
710 | fee_rate = " fee: {}%".format(self.fee_rate * 100) | |
711 | else: | |
712 | fee_rate = "" | |
713 | if self.date is None: | |
714 | date = "No date" | |
715 | else: | |
716 | date = self.date | |
717 | return "Mouvement({} ; {} {} ({}){})".format( | |
718 | date, self.action, self.total, self.total_in_base, | |
719 | fee_rate) | |
720 |