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Commit | Line | Data |
---|---|---|
ada1b5f1 | 1 | from datetime import datetime |
f70bb858 | 2 | from retry import retry |
7f3e7d27 IB |
3 | from decimal import Decimal as D, ROUND_DOWN |
4 | from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout | |
80cdd672 | 5 | |
6ca5a1ec IB |
6 | class Computation: |
7 | computations = { | |
8 | "default": lambda x, y: x[y], | |
9 | "average": lambda x, y: x["average"], | |
10 | "bid": lambda x, y: x["bid"], | |
11 | "ask": lambda x, y: x["ask"], | |
12 | } | |
13 | ||
14 | @classmethod | |
15 | def compute_value(cls, ticker, action, compute_value="default"): | |
16 | if action == "buy": | |
17 | action = "ask" | |
18 | if action == "sell": | |
19 | action = "bid" | |
20 | if isinstance(compute_value, str): | |
21 | compute_value = cls.computations[compute_value] | |
22 | return compute_value(ticker, action) | |
23 | ||
dd359bc0 | 24 | class Amount: |
c2644ba8 | 25 | def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): |
dd359bc0 | 26 | self.currency = currency |
5ab23e1c | 27 | self.value = D(value) |
dd359bc0 IB |
28 | self.linked_to = linked_to |
29 | self.ticker = ticker | |
c2644ba8 | 30 | self.rate = rate |
dd359bc0 | 31 | |
c2644ba8 | 32 | def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): |
dd359bc0 IB |
33 | if other_currency == self.currency: |
34 | return self | |
c2644ba8 IB |
35 | if rate is not None: |
36 | return Amount( | |
37 | other_currency, | |
38 | self.value * rate, | |
39 | linked_to=self, | |
40 | rate=rate) | |
f86ee140 | 41 | asset_ticker = market.get_ticker(self.currency, other_currency) |
dd359bc0 | 42 | if asset_ticker is not None: |
6ca5a1ec | 43 | rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) |
dd359bc0 IB |
44 | return Amount( |
45 | other_currency, | |
c2644ba8 | 46 | self.value * rate, |
dd359bc0 | 47 | linked_to=self, |
c2644ba8 IB |
48 | ticker=asset_ticker, |
49 | rate=rate) | |
dd359bc0 IB |
50 | else: |
51 | raise Exception("This asset is not available in the chosen market") | |
52 | ||
3d0247f9 IB |
53 | def as_json(self): |
54 | return { | |
55 | "currency": self.currency, | |
56 | "value": round(self).value.normalize(), | |
57 | } | |
58 | ||
350ed24d IB |
59 | def __round__(self, n=8): |
60 | return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) | |
61 | ||
dd359bc0 | 62 | def __abs__(self): |
5ab23e1c | 63 | return Amount(self.currency, abs(self.value)) |
dd359bc0 IB |
64 | |
65 | def __add__(self, other): | |
f320eb8a IB |
66 | if other == 0: |
67 | return self | |
5ab23e1c | 68 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 69 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 70 | return Amount(self.currency, self.value + other.value) |
dd359bc0 IB |
71 | |
72 | def __radd__(self, other): | |
73 | if other == 0: | |
74 | return self | |
75 | else: | |
76 | return self.__add__(other) | |
77 | ||
78 | def __sub__(self, other): | |
c51687d2 IB |
79 | if other == 0: |
80 | return self | |
5ab23e1c | 81 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 82 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 83 | return Amount(self.currency, self.value - other.value) |
dd359bc0 | 84 | |
f320eb8a IB |
85 | def __rsub__(self, other): |
86 | if other == 0: | |
87 | return -self | |
88 | else: | |
89 | return -self.__sub__(other) | |
90 | ||
dd359bc0 | 91 | def __mul__(self, value): |
77f8a378 | 92 | if not isinstance(value, (int, float, D)): |
dd359bc0 | 93 | raise TypeError("Amount may only be multiplied by numbers") |
5ab23e1c | 94 | return Amount(self.currency, self.value * value) |
dd359bc0 IB |
95 | |
96 | def __rmul__(self, value): | |
97 | return self.__mul__(value) | |
98 | ||
99 | def __floordiv__(self, value): | |
77f8a378 | 100 | if not isinstance(value, (int, float, D)): |
1aa7d4fa | 101 | raise TypeError("Amount may only be divided by numbers") |
5ab23e1c | 102 | return Amount(self.currency, self.value / value) |
dd359bc0 IB |
103 | |
104 | def __truediv__(self, value): | |
105 | return self.__floordiv__(value) | |
106 | ||
107 | def __lt__(self, other): | |
006a2084 IB |
108 | if other == 0: |
109 | return self.value < 0 | |
dd359bc0 IB |
110 | if self.currency != other.currency: |
111 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 112 | return self.value < other.value |
dd359bc0 | 113 | |
80cdd672 IB |
114 | def __le__(self, other): |
115 | return self == other or self < other | |
116 | ||
006a2084 IB |
117 | def __gt__(self, other): |
118 | return not self <= other | |
119 | ||
120 | def __ge__(self, other): | |
121 | return not self < other | |
122 | ||
dd359bc0 IB |
123 | def __eq__(self, other): |
124 | if other == 0: | |
5ab23e1c | 125 | return self.value == 0 |
dd359bc0 IB |
126 | if self.currency != other.currency: |
127 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 128 | return self.value == other.value |
dd359bc0 | 129 | |
006a2084 IB |
130 | def __ne__(self, other): |
131 | return not self == other | |
132 | ||
133 | def __neg__(self): | |
134 | return Amount(self.currency, - self.value) | |
135 | ||
dd359bc0 IB |
136 | def __str__(self): |
137 | if self.linked_to is None: | |
138 | return "{:.8f} {}".format(self.value, self.currency) | |
139 | else: | |
140 | return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) | |
141 | ||
142 | def __repr__(self): | |
143 | if self.linked_to is None: | |
144 | return "Amount({:.8f} {})".format(self.value, self.currency) | |
145 | else: | |
146 | return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) | |
147 | ||
148 | class Balance: | |
3d0247f9 | 149 | base_keys = ["total", "exchange_total", "exchange_used", |
aca4d437 IB |
150 | "exchange_free", "margin_total", "margin_in_position", |
151 | "margin_available", "margin_borrowed", "margin_pending_gain"] | |
dd359bc0 | 152 | |
006a2084 | 153 | def __init__(self, currency, hash_): |
dd359bc0 | 154 | self.currency = currency |
3d0247f9 | 155 | for key in self.base_keys: |
006a2084 IB |
156 | setattr(self, key, Amount(currency, hash_.get(key, 0))) |
157 | ||
80cdd672 | 158 | self.margin_position_type = hash_.get("margin_position_type") |
006a2084 | 159 | |
80cdd672 | 160 | if hash_.get("margin_borrowed_base_currency") is not None: |
006a2084 IB |
161 | base_currency = hash_["margin_borrowed_base_currency"] |
162 | for key in [ | |
163 | "margin_liquidation_price", | |
006a2084 | 164 | "margin_lending_fees", |
aca4d437 | 165 | "margin_pending_base_gain", |
006a2084 IB |
166 | "margin_borrowed_base_price" |
167 | ]: | |
c51687d2 | 168 | setattr(self, key, Amount(base_currency, hash_.get(key, 0))) |
f2da6589 | 169 | |
3d0247f9 IB |
170 | def as_json(self): |
171 | return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys)) | |
172 | ||
dd359bc0 | 173 | def __repr__(self): |
006a2084 IB |
174 | if self.exchange_total > 0: |
175 | if self.exchange_free > 0 and self.exchange_used > 0: | |
176 | exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) | |
177 | elif self.exchange_free > 0: | |
178 | exchange = " Exch: [✔{}]".format(str(self.exchange_free)) | |
179 | else: | |
180 | exchange = " Exch: [❌{}]".format(str(self.exchange_used)) | |
181 | else: | |
182 | exchange = "" | |
183 | ||
184 | if self.margin_total > 0: | |
aca4d437 IB |
185 | if self.margin_available != 0 and self.margin_in_position != 0: |
186 | margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total)) | |
187 | elif self.margin_available != 0: | |
188 | margin = " Margin: [✔{}]".format(str(self.margin_available)) | |
006a2084 | 189 | else: |
aca4d437 | 190 | margin = " Margin: [❌{}]".format(str(self.margin_in_position)) |
006a2084 IB |
191 | elif self.margin_total < 0: |
192 | margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), | |
193 | str(self.margin_borrowed_base_price), | |
194 | str(self.margin_lending_fees)) | |
195 | else: | |
196 | margin = "" | |
197 | ||
198 | if self.margin_total != 0 and self.exchange_total != 0: | |
199 | total = " Total: [{}]".format(str(self.total)) | |
200 | else: | |
201 | total = "" | |
202 | ||
203 | return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" | |
dd359bc0 IB |
204 | |
205 | class Trade: | |
f86ee140 | 206 | def __init__(self, value_from, value_to, currency, market): |
dd359bc0 IB |
207 | # We have value_from of currency, and want to finish with value_to of |
208 | # that currency. value_* may not be in currency's terms | |
209 | self.currency = currency | |
210 | self.value_from = value_from | |
211 | self.value_to = value_to | |
212 | self.orders = [] | |
089d5d9d | 213 | self.market = market |
17598517 | 214 | self.closed = False |
186f7d81 | 215 | self.inverted = None |
aca4d437 | 216 | assert self.value_from.value * self.value_to.value >= 0 |
dd359bc0 | 217 | assert self.value_from.currency == self.value_to.currency |
006a2084 IB |
218 | if self.value_from != 0: |
219 | assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency | |
220 | elif self.value_from.linked_to is None: | |
221 | self.value_from.linked_to = Amount(self.currency, 0) | |
dd359bc0 IB |
222 | self.base_currency = self.value_from.currency |
223 | ||
aca4d437 IB |
224 | @property |
225 | def delta(self): | |
226 | return self.value_to - self.value_from | |
227 | ||
dd359bc0 IB |
228 | @property |
229 | def action(self): | |
230 | if self.value_from == self.value_to: | |
231 | return None | |
232 | if self.base_currency == self.currency: | |
233 | return None | |
234 | ||
5a72ded7 | 235 | if abs(self.value_from) < abs(self.value_to): |
006a2084 | 236 | return "acquire" |
dd359bc0 | 237 | else: |
006a2084 | 238 | return "dispose" |
dd359bc0 | 239 | |
186f7d81 IB |
240 | def order_action(self): |
241 | if (self.value_from < self.value_to) != self.inverted: | |
350ed24d | 242 | return "buy" |
dd359bc0 | 243 | else: |
350ed24d | 244 | return "sell" |
dd359bc0 | 245 | |
006a2084 IB |
246 | @property |
247 | def trade_type(self): | |
248 | if self.value_from + self.value_to < 0: | |
249 | return "short" | |
250 | else: | |
251 | return "long" | |
252 | ||
17598517 IB |
253 | @property |
254 | def pending(self): | |
255 | return not (self.is_fullfiled or self.closed) | |
256 | ||
257 | def close(self): | |
f9226903 IB |
258 | for order in self.orders: |
259 | order.cancel() | |
17598517 IB |
260 | self.closed = True |
261 | ||
aca4d437 IB |
262 | @property |
263 | def is_fullfiled(self): | |
186f7d81 | 264 | return abs(self.filled_amount(in_base_currency=(not self.inverted))) >= abs(self.delta) |
aca4d437 | 265 | |
1aa7d4fa | 266 | def filled_amount(self, in_base_currency=False): |
80cdd672 IB |
267 | filled_amount = 0 |
268 | for order in self.orders: | |
1aa7d4fa | 269 | filled_amount += order.filled_amount(in_base_currency=in_base_currency) |
80cdd672 IB |
270 | return filled_amount |
271 | ||
272 | def update_order(self, order, tick): | |
aca4d437 IB |
273 | actions = { |
274 | 0: ["waiting", None], | |
275 | 1: ["waiting", None], | |
276 | 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2], | |
277 | 3: ["waiting", None], | |
278 | 4: ["waiting", None], | |
279 | 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3], | |
280 | 6: ["waiting", None], | |
281 | 7: ["market_fallback", "default"], | |
282 | } | |
283 | ||
284 | if tick in actions: | |
285 | update, compute_value = actions[tick] | |
286 | elif tick % 3 == 1: | |
287 | update = "market_adjust" | |
288 | compute_value = "default" | |
289 | else: | |
3d0247f9 IB |
290 | update = "waiting" |
291 | compute_value = None | |
aca4d437 IB |
292 | |
293 | if compute_value is not None: | |
294 | order.cancel() | |
295 | new_order = self.prepare_order(compute_value=compute_value) | |
296 | else: | |
297 | new_order = None | |
3d0247f9 | 298 | |
f86ee140 | 299 | self.market.report.log_order(order, tick, update=update, |
3d0247f9 | 300 | compute_value=compute_value, new_order=new_order) |
80cdd672 IB |
301 | |
302 | if new_order is not None: | |
80cdd672 | 303 | new_order.run() |
f86ee140 | 304 | self.market.report.log_order(order, tick, new_order=new_order) |
80cdd672 | 305 | |
2033e7fe | 306 | def prepare_order(self, close_if_possible=None, compute_value="default"): |
dd359bc0 | 307 | if self.action is None: |
5a72ded7 | 308 | return None |
f86ee140 | 309 | ticker = self.market.get_ticker(self.currency, self.base_currency) |
186f7d81 IB |
310 | self.inverted = ticker["inverted"] |
311 | if self.inverted: | |
f2097d71 | 312 | ticker = ticker["original"] |
186f7d81 | 313 | rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value) |
f2097d71 | 314 | |
97922ff1 IB |
315 | # FIXME: Dust amount should be removed from there if they werent |
316 | # honored in other sales | |
aca4d437 | 317 | delta_in_base = abs(self.delta) |
c11e4274 | 318 | # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) |
dd359bc0 | 319 | |
186f7d81 | 320 | if not self.inverted: |
1aa7d4fa | 321 | base_currency = self.base_currency |
350ed24d | 322 | # BTC |
006a2084 | 323 | if self.action == "dispose": |
1aa7d4fa IB |
324 | filled = self.filled_amount(in_base_currency=False) |
325 | delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
326 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC | |
327 | # worth of it, computed first with rate 10 FOO = 1 BTC. | |
328 | # -> I "sell" "90" FOO at proposed rate "rate". | |
329 | ||
330 | delta = delta - filled | |
331 | # I already sold 60 FOO, 30 left | |
f2097d71 | 332 | else: |
1aa7d4fa IB |
333 | filled = self.filled_amount(in_base_currency=True) |
334 | delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate) | |
335 | # I want to buy 9 BTC worth of FOO, computed with rate | |
336 | # 10 FOO = 1 BTC | |
337 | # -> I "buy" "9 / rate" FOO at proposed rate "rate" | |
338 | ||
339 | # I already bought 3 / rate FOO, 6 / rate left | |
dd359bc0 | 340 | else: |
1aa7d4fa | 341 | base_currency = self.currency |
c11e4274 | 342 | # FOO |
1aa7d4fa IB |
343 | if self.action == "dispose": |
344 | filled = self.filled_amount(in_base_currency=True) | |
345 | # Base is FOO | |
346 | ||
347 | delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
348 | - filled).in_currency(self.base_currency, self.market, rate=1/rate) | |
349 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it | |
350 | # computed at rate 1 Foo = 0.01 BTC | |
351 | # Computation says I should sell it at 125 FOO / BTC | |
352 | # -> delta_in_base = 9 BTC | |
353 | # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC | |
354 | # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market | |
355 | ||
356 | # I already bought 300/125 BTC, only 600/125 left | |
357 | else: | |
358 | filled = self.filled_amount(in_base_currency=False) | |
359 | # Base is FOO | |
360 | ||
361 | delta = delta_in_base | |
362 | # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it | |
363 | # At rate 100 Foo / BTC | |
364 | # Computation says I should buy it at 125 FOO / BTC | |
365 | # -> delta_in_base = 9 BTC | |
366 | # Action: "sell" "9 BTC" at rate "125" "FOO" on market | |
367 | ||
368 | delta = delta - filled | |
369 | # I already sold 4 BTC, only 5 left | |
dd359bc0 | 370 | |
2033e7fe IB |
371 | if close_if_possible is None: |
372 | close_if_possible = (self.value_to == 0) | |
006a2084 | 373 | |
1aa7d4fa | 374 | if delta <= 0: |
f86ee140 | 375 | self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) |
5a72ded7 | 376 | return None |
80cdd672 | 377 | |
186f7d81 | 378 | order = Order(self.order_action(), |
1aa7d4fa | 379 | delta, rate, base_currency, self.trade_type, |
5a72ded7 IB |
380 | self.market, self, close_if_possible=close_if_possible) |
381 | self.orders.append(order) | |
382 | return order | |
dd359bc0 | 383 | |
3d0247f9 IB |
384 | def as_json(self): |
385 | return { | |
386 | "action": self.action, | |
387 | "from": self.value_from.as_json()["value"], | |
388 | "to": self.value_to.as_json()["value"], | |
389 | "currency": self.currency, | |
390 | "base_currency": self.base_currency, | |
391 | } | |
392 | ||
dd359bc0 | 393 | def __repr__(self): |
f9226903 IB |
394 | if self.closed and not self.is_fullfiled: |
395 | closed = " ❌" | |
396 | elif self.is_fullfiled: | |
397 | closed = " ✔" | |
398 | else: | |
399 | closed = "" | |
400 | ||
401 | return "Trade({} -> {} in {}, {}{})".format( | |
dd359bc0 IB |
402 | self.value_from, |
403 | self.value_to, | |
404 | self.currency, | |
f9226903 IB |
405 | self.action, |
406 | closed) | |
dd359bc0 | 407 | |
3d0247f9 | 408 | def print_with_order(self, ind=""): |
f86ee140 | 409 | self.market.report.print_log("{}{}".format(ind, self)) |
272b3cfb | 410 | for order in self.orders: |
f86ee140 | 411 | self.market.report.print_log("{}\t{}".format(ind, order)) |
c31df868 | 412 | for mouvement in order.mouvements: |
f86ee140 | 413 | self.market.report.print_log("{}\t\t{}".format(ind, mouvement)) |
dd359bc0 | 414 | |
7f3e7d27 IB |
415 | class RetryException(Exception): |
416 | pass | |
417 | ||
272b3cfb | 418 | class Order: |
006a2084 | 419 | def __init__(self, action, amount, rate, base_currency, trade_type, market, |
80cdd672 | 420 | trade, close_if_possible=False): |
dd359bc0 IB |
421 | self.action = action |
422 | self.amount = amount | |
423 | self.rate = rate | |
424 | self.base_currency = base_currency | |
a9950fd0 | 425 | self.market = market |
350ed24d | 426 | self.trade_type = trade_type |
80cdd672 IB |
427 | self.results = [] |
428 | self.mouvements = [] | |
a9950fd0 | 429 | self.status = "pending" |
80cdd672 | 430 | self.trade = trade |
006a2084 | 431 | self.close_if_possible = close_if_possible |
5a72ded7 | 432 | self.id = None |
f70bb858 | 433 | self.tries = 0 |
7f3e7d27 | 434 | self.start_date = None |
dd359bc0 | 435 | |
3d0247f9 IB |
436 | def as_json(self): |
437 | return { | |
438 | "action": self.action, | |
439 | "trade_type": self.trade_type, | |
440 | "amount": self.amount.as_json()["value"], | |
441 | "currency": self.amount.as_json()["currency"], | |
442 | "base_currency": self.base_currency, | |
443 | "rate": self.rate, | |
444 | "status": self.status, | |
445 | "close_if_possible": self.close_if_possible, | |
446 | "id": self.id, | |
447 | "mouvements": list(map(lambda x: x.as_json(), self.mouvements)) | |
448 | } | |
449 | ||
dd359bc0 | 450 | def __repr__(self): |
006a2084 | 451 | return "Order({} {} {} at {} {} [{}]{})".format( |
dd359bc0 | 452 | self.action, |
350ed24d | 453 | self.trade_type, |
dd359bc0 IB |
454 | self.amount, |
455 | self.rate, | |
456 | self.base_currency, | |
006a2084 IB |
457 | self.status, |
458 | " ✂" if self.close_if_possible else "", | |
dd359bc0 IB |
459 | ) |
460 | ||
350ed24d IB |
461 | @property |
462 | def account(self): | |
463 | if self.trade_type == "long": | |
464 | return "exchange" | |
465 | else: | |
466 | return "margin" | |
467 | ||
5a72ded7 IB |
468 | @property |
469 | def open(self): | |
470 | return self.status == "open" | |
471 | ||
a9950fd0 IB |
472 | @property |
473 | def pending(self): | |
474 | return self.status == "pending" | |
475 | ||
476 | @property | |
477 | def finished(self): | |
d8deb0e9 | 478 | return self.status.startswith("closed") or self.status == "canceled" or self.status == "error" |
a9950fd0 | 479 | |
7f3e7d27 | 480 | @retry((InsufficientFunds, RetryException)) |
80cdd672 | 481 | def run(self): |
f70bb858 | 482 | self.tries += 1 |
dd359bc0 | 483 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) |
f86ee140 | 484 | amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value |
dd359bc0 | 485 | |
7f3e7d27 | 486 | action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) |
f86ee140 | 487 | if self.market.debug: |
7f3e7d27 | 488 | self.market.report.log_debug_action(action) |
80cdd672 | 489 | self.results.append({"debug": True, "id": -1}) |
dd359bc0 | 490 | else: |
7f3e7d27 | 491 | self.start_date = datetime.now() |
dd359bc0 | 492 | try: |
f86ee140 | 493 | self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) |
f70bb858 | 494 | except InvalidOrder: |
df9e4e7f IB |
495 | # Impossible to honor the order (dust amount) |
496 | self.status = "closed" | |
497 | self.mark_finished_order() | |
498 | return | |
7f3e7d27 IB |
499 | except RequestTimeout as e: |
500 | if not self.retrieve_order(): | |
501 | if self.tries < 5: | |
502 | self.market.report.log_error(action, message="Retrying after timeout", exception=e) | |
503 | # We make a specific call in case retrieve_order | |
504 | # would raise itself | |
505 | raise RetryException | |
506 | else: | |
507 | self.market.report.log_error(action, message="Giving up {} after timeouts".format(self), exception=e) | |
508 | self.status = "error" | |
509 | return | |
510 | else: | |
511 | self.market.report.log_error(action, message="Timeout, found the order") | |
f70bb858 IB |
512 | except InsufficientFunds as e: |
513 | if self.tries < 5: | |
514 | self.market.report.log_error(action, message="Retrying with reduced amount", exception=e) | |
515 | self.amount = self.amount * D("0.99") | |
516 | raise e | |
517 | else: | |
518 | self.market.report.log_error(action, message="Giving up {}".format(self), exception=e) | |
519 | self.status = "error" | |
520 | return | |
fd8afa51 IB |
521 | except Exception as e: |
522 | self.status = "error" | |
f86ee140 | 523 | self.market.report.log_error(action, exception=e) |
5a72ded7 IB |
524 | return |
525 | self.id = self.results[0]["id"] | |
526 | self.status = "open" | |
dd359bc0 | 527 | |
a9950fd0 | 528 | def get_status(self): |
f86ee140 IB |
529 | if self.market.debug: |
530 | self.market.report.log_debug_action("Getting {} status".format(self)) | |
80cdd672 | 531 | return self.status |
dd359bc0 | 532 | # other states are "closed" and "canceled" |
5a72ded7 | 533 | if not self.finished: |
80cdd672 | 534 | self.fetch() |
dd359bc0 IB |
535 | return self.status |
536 | ||
80cdd672 | 537 | def mark_finished_order(self): |
d8deb0e9 | 538 | if self.status.startswith("closed") and self.market.debug: |
f86ee140 | 539 | self.market.report.log_debug_action("Mark {} as finished".format(self)) |
80cdd672 | 540 | return |
d8deb0e9 | 541 | if self.status.startswith("closed"): |
006a2084 | 542 | if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: |
f86ee140 | 543 | self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency) |
006a2084 | 544 | |
aca4d437 | 545 | def fetch(self): |
f86ee140 IB |
546 | if self.market.debug: |
547 | self.market.report.log_debug_action("Fetching {}".format(self)) | |
3d0247f9 | 548 | return |
aca4d437 | 549 | try: |
f9226903 | 550 | result = self.market.ccxt.fetch_order(self.id) |
aca4d437 IB |
551 | self.results.append(result) |
552 | self.status = result["status"] | |
553 | # Time at which the order started | |
554 | self.timestamp = result["datetime"] | |
555 | except OrderNotCached: | |
556 | self.status = "closed_unknown" | |
5a72ded7 | 557 | |
80cdd672 IB |
558 | self.fetch_mouvements() |
559 | ||
d8deb0e9 | 560 | self.mark_finished_order() |
80cdd672 IB |
561 | # FIXME: consider open order with dust remaining as closed |
562 | ||
80cdd672 | 563 | def dust_amount_remaining(self): |
5a72ded7 | 564 | return self.remaining_amount() < Amount(self.amount.currency, D("0.001")) |
80cdd672 | 565 | |
80cdd672 | 566 | def remaining_amount(self): |
1aa7d4fa | 567 | return self.amount - self.filled_amount() |
80cdd672 | 568 | |
1aa7d4fa | 569 | def filled_amount(self, in_base_currency=False): |
80cdd672 IB |
570 | if self.status == "open": |
571 | self.fetch() | |
1aa7d4fa | 572 | filled_amount = 0 |
80cdd672 | 573 | for mouvement in self.mouvements: |
1aa7d4fa IB |
574 | if in_base_currency: |
575 | filled_amount += mouvement.total_in_base | |
576 | else: | |
577 | filled_amount += mouvement.total | |
80cdd672 IB |
578 | return filled_amount |
579 | ||
580 | def fetch_mouvements(self): | |
df9e4e7f | 581 | try: |
f86ee140 | 582 | mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id}) |
df9e4e7f IB |
583 | except ExchangeError: |
584 | mouvements = [] | |
80cdd672 IB |
585 | self.mouvements = [] |
586 | ||
587 | for mouvement_hash in mouvements: | |
588 | self.mouvements.append(Mouvement(self.amount.currency, | |
589 | self.base_currency, mouvement_hash)) | |
006a2084 | 590 | |
272b3cfb | 591 | def cancel(self): |
f86ee140 IB |
592 | if self.market.debug: |
593 | self.market.report.log_debug_action("Mark {} as cancelled".format(self)) | |
80cdd672 IB |
594 | self.status = "canceled" |
595 | return | |
f9226903 IB |
596 | if self.open and self.id is not None: |
597 | try: | |
598 | self.market.ccxt.cancel_order(self.id) | |
599 | except OrderNotFound as e: # Closed inbetween | |
600 | self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e) | |
601 | self.fetch() | |
80cdd672 | 602 | |
7f3e7d27 IB |
603 | def retrieve_order(self): |
604 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) | |
605 | amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value | |
606 | start_timestamp = self.start_date.timestamp() - 5 | |
607 | ||
608 | similar_open_orders = self.market.ccxt.fetch_orders(symbol=symbol, since=start_timestamp) | |
609 | for order in similar_open_orders: | |
610 | if (order["info"]["margin"] == 1 and self.account == "exchange") or\ | |
611 | (order["info"]["margin"] != 1 and self.account == "margin"): | |
612 | i_m_tested = True # coverage bug ?! | |
613 | continue | |
614 | if order["info"]["side"] != self.action: | |
615 | continue | |
616 | amount_diff = round( | |
617 | abs(D(order["info"]["startingAmount"]) - amount), | |
618 | self.market.ccxt.order_precision(symbol)) | |
619 | rate_diff = round( | |
620 | abs(D(order["info"]["rate"]) - self.rate), | |
621 | self.market.ccxt.order_precision(symbol)) | |
622 | if amount_diff != 0 or rate_diff != 0: | |
623 | continue | |
624 | self.results.append({"id": order["id"]}) | |
625 | return True | |
626 | ||
627 | similar_trades = self.market.ccxt.fetch_my_trades(symbol=symbol, since=start_timestamp) | |
628 | # FIXME: use set instead of sorted(list(...)) | |
629 | for order_id in sorted(list(map(lambda x: x["order"], similar_trades))): | |
630 | trades = list(filter(lambda x: x["order"] == order_id, similar_trades)) | |
631 | if any(x["timestamp"] < start_timestamp for x in trades): | |
632 | continue | |
633 | if any(x["side"] != self.action for x in trades): | |
634 | continue | |
635 | if any(x["info"]["category"] == "exchange" and self.account == "margin" for x in trades) or\ | |
636 | any(x["info"]["category"] == "marginTrade" and self.account == "exchange" for x in trades): | |
637 | continue | |
638 | trade_sum = sum(D(x["info"]["amount"]) for x in trades) | |
639 | amount_diff = round(abs(trade_sum - amount), | |
640 | self.market.ccxt.order_precision(symbol)) | |
641 | if amount_diff != 0: | |
642 | continue | |
643 | if (self.action == "sell" and any(D(x["info"]["rate"]) < self.rate for x in trades)) or\ | |
644 | (self.action == "buy" and any(D(x["info"]["rate"]) > self.rate for x in trades)): | |
645 | continue | |
646 | self.results.append({"id": order_id}) | |
647 | return True | |
648 | ||
649 | return False | |
650 | ||
80cdd672 IB |
651 | class Mouvement: |
652 | def __init__(self, currency, base_currency, hash_): | |
653 | self.currency = currency | |
654 | self.base_currency = base_currency | |
df9e4e7f IB |
655 | self.id = hash_.get("tradeID") |
656 | self.action = hash_.get("type") | |
657 | self.fee_rate = D(hash_.get("fee", -1)) | |
658 | try: | |
659 | self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') | |
660 | except ValueError: | |
661 | self.date = None | |
662 | self.rate = D(hash_.get("rate", 0)) | |
663 | self.total = Amount(currency, hash_.get("amount", 0)) | |
80cdd672 | 664 | # rate * total = total_in_base |
df9e4e7f | 665 | self.total_in_base = Amount(base_currency, hash_.get("total", 0)) |
272b3cfb | 666 | |
3d0247f9 IB |
667 | def as_json(self): |
668 | return { | |
669 | "fee_rate": self.fee_rate, | |
670 | "date": self.date, | |
671 | "action": self.action, | |
672 | "total": self.total.value, | |
673 | "currency": self.currency, | |
674 | "total_in_base": self.total_in_base.value, | |
675 | "base_currency": self.base_currency | |
676 | } | |
677 | ||
c31df868 IB |
678 | def __repr__(self): |
679 | if self.fee_rate > 0: | |
680 | fee_rate = " fee: {}%".format(self.fee_rate * 100) | |
681 | else: | |
682 | fee_rate = "" | |
683 | if self.date is None: | |
684 | date = "No date" | |
685 | else: | |
686 | date = self.date | |
687 | return "Mouvement({} ; {} {} ({}){})".format( | |
688 | date, self.action, self.total, self.total_in_base, | |
689 | fee_rate) | |
690 |