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Commit | Line | Data |
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dd359bc0 IB |
1 | import ccxt |
2 | import time | |
5ab23e1c | 3 | from decimal import Decimal as D |
dd359bc0 IB |
4 | # Put your poloniex api key in market.py |
5 | from market import market | |
6 | ||
a9950fd0 | 7 | debug = False |
dd359bc0 | 8 | |
dd359bc0 IB |
9 | class Portfolio: |
10 | URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" | |
11 | liquidities = {} | |
12 | data = None | |
13 | ||
14 | @classmethod | |
15 | def repartition_pertenthousand(cls, liquidity="medium"): | |
16 | cls.parse_cryptoportfolio() | |
17 | liquidities = cls.liquidities[liquidity] | |
18 | last_date = sorted(liquidities.keys())[-1] | |
19 | return liquidities[last_date] | |
20 | ||
21 | @classmethod | |
22 | def get_cryptoportfolio(cls): | |
23 | import json | |
24 | import urllib3 | |
25 | urllib3.disable_warnings() | |
26 | http = urllib3.PoolManager() | |
27 | ||
183a53e3 IB |
28 | try: |
29 | r = http.request("GET", cls.URL) | |
30 | except Exception: | |
31 | return | |
32 | try: | |
5ab23e1c IB |
33 | cls.data = json.loads(r.data, |
34 | parse_int=D, | |
35 | parse_float=D) | |
183a53e3 IB |
36 | except json.JSONDecodeError: |
37 | cls.data = None | |
dd359bc0 IB |
38 | |
39 | @classmethod | |
40 | def parse_cryptoportfolio(cls): | |
41 | if cls.data is None: | |
42 | cls.get_cryptoportfolio() | |
43 | ||
44 | def filter_weights(weight_hash): | |
45 | if weight_hash[1] == 0: | |
46 | return False | |
47 | if weight_hash[0] == "_row": | |
48 | return False | |
49 | return True | |
50 | ||
51 | def clean_weights(i): | |
52 | def clean_weights_(h): | |
53 | if type(h[1][i]) == str: | |
54 | return [h[0], h[1][i]] | |
55 | else: | |
56 | return [h[0], int(h[1][i] * 10000)] | |
57 | return clean_weights_ | |
58 | ||
59 | def parse_weights(portfolio_hash): | |
60 | # FIXME: we'll need shorts at some point | |
61 | assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"])) | |
62 | weights_hash = portfolio_hash["weights"] | |
63 | weights = {} | |
64 | for i in range(len(weights_hash["_row"])): | |
65 | weights[weights_hash["_row"][i]] = dict(filter( | |
66 | filter_weights, | |
67 | map(clean_weights(i), weights_hash.items()))) | |
68 | return weights | |
69 | ||
70 | high_liquidity = parse_weights(cls.data["portfolio_1"]) | |
71 | medium_liquidity = parse_weights(cls.data["portfolio_2"]) | |
72 | ||
73 | cls.liquidities = { | |
74 | "medium": medium_liquidity, | |
75 | "high": high_liquidity, | |
76 | } | |
77 | ||
78 | class Amount: | |
c2644ba8 | 79 | def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): |
dd359bc0 | 80 | self.currency = currency |
5ab23e1c | 81 | self.value = D(value) |
dd359bc0 IB |
82 | self.linked_to = linked_to |
83 | self.ticker = ticker | |
c2644ba8 | 84 | self.rate = rate |
dd359bc0 IB |
85 | |
86 | self.ticker_cache = {} | |
87 | self.ticker_cache_timestamp = time.time() | |
88 | ||
c2644ba8 | 89 | def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): |
dd359bc0 IB |
90 | if other_currency == self.currency: |
91 | return self | |
c2644ba8 IB |
92 | if rate is not None: |
93 | return Amount( | |
94 | other_currency, | |
95 | self.value * rate, | |
96 | linked_to=self, | |
97 | rate=rate) | |
cfab619d | 98 | asset_ticker = Trade.get_ticker(self.currency, other_currency, market) |
dd359bc0 | 99 | if asset_ticker is not None: |
c2644ba8 | 100 | rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value) |
dd359bc0 IB |
101 | return Amount( |
102 | other_currency, | |
c2644ba8 | 103 | self.value * rate, |
dd359bc0 | 104 | linked_to=self, |
c2644ba8 IB |
105 | ticker=asset_ticker, |
106 | rate=rate) | |
dd359bc0 IB |
107 | else: |
108 | raise Exception("This asset is not available in the chosen market") | |
109 | ||
dd359bc0 | 110 | def __abs__(self): |
5ab23e1c | 111 | return Amount(self.currency, abs(self.value)) |
dd359bc0 IB |
112 | |
113 | def __add__(self, other): | |
5ab23e1c | 114 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 115 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 116 | return Amount(self.currency, self.value + other.value) |
dd359bc0 IB |
117 | |
118 | def __radd__(self, other): | |
119 | if other == 0: | |
120 | return self | |
121 | else: | |
122 | return self.__add__(other) | |
123 | ||
124 | def __sub__(self, other): | |
5ab23e1c | 125 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 126 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 127 | return Amount(self.currency, self.value - other.value) |
dd359bc0 IB |
128 | |
129 | def __mul__(self, value): | |
5ab23e1c | 130 | if type(value) != int and type(value) != float and type(value) != D: |
dd359bc0 | 131 | raise TypeError("Amount may only be multiplied by numbers") |
5ab23e1c | 132 | return Amount(self.currency, self.value * value) |
dd359bc0 IB |
133 | |
134 | def __rmul__(self, value): | |
135 | return self.__mul__(value) | |
136 | ||
137 | def __floordiv__(self, value): | |
5ab23e1c | 138 | if type(value) != int and type(value) != float and type(value) != D: |
dd359bc0 | 139 | raise TypeError("Amount may only be multiplied by integers") |
5ab23e1c | 140 | return Amount(self.currency, self.value / value) |
dd359bc0 IB |
141 | |
142 | def __truediv__(self, value): | |
143 | return self.__floordiv__(value) | |
144 | ||
145 | def __lt__(self, other): | |
146 | if self.currency != other.currency: | |
147 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 148 | return self.value < other.value |
dd359bc0 IB |
149 | |
150 | def __eq__(self, other): | |
151 | if other == 0: | |
5ab23e1c | 152 | return self.value == 0 |
dd359bc0 IB |
153 | if self.currency != other.currency: |
154 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 155 | return self.value == other.value |
dd359bc0 IB |
156 | |
157 | def __str__(self): | |
158 | if self.linked_to is None: | |
159 | return "{:.8f} {}".format(self.value, self.currency) | |
160 | else: | |
161 | return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) | |
162 | ||
163 | def __repr__(self): | |
164 | if self.linked_to is None: | |
165 | return "Amount({:.8f} {})".format(self.value, self.currency) | |
166 | else: | |
167 | return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) | |
168 | ||
169 | class Balance: | |
170 | known_balances = {} | |
dd359bc0 IB |
171 | |
172 | def __init__(self, currency, total_value, free_value, used_value): | |
173 | self.currency = currency | |
174 | self.total = Amount(currency, total_value) | |
175 | self.free = Amount(currency, free_value) | |
176 | self.used = Amount(currency, used_value) | |
177 | ||
f2da6589 IB |
178 | @classmethod |
179 | def from_hash(cls, currency, hash_): | |
180 | return cls(currency, hash_["total"], hash_["free"], hash_["used"]) | |
181 | ||
dd359bc0 | 182 | @classmethod |
deb8924c | 183 | def in_currency(cls, other_currency, market, compute_value="average", type="total"): |
dd359bc0 IB |
184 | amounts = {} |
185 | for currency in cls.known_balances: | |
186 | balance = cls.known_balances[currency] | |
187 | other_currency_amount = getattr(balance, type)\ | |
deb8924c | 188 | .in_currency(other_currency, market, compute_value=compute_value) |
dd359bc0 IB |
189 | amounts[currency] = other_currency_amount |
190 | return amounts | |
191 | ||
192 | @classmethod | |
193 | def currencies(cls): | |
194 | return cls.known_balances.keys() | |
195 | ||
dd359bc0 IB |
196 | @classmethod |
197 | def _fill_balances(cls, hash_): | |
198 | for key in hash_: | |
199 | if key in ["info", "free", "used", "total"]: | |
200 | continue | |
a9950fd0 | 201 | if hash_[key]["total"] > 0 or key in cls.known_balances: |
dd359bc0 IB |
202 | cls.known_balances[key] = cls.from_hash(key, hash_[key]) |
203 | ||
204 | @classmethod | |
205 | def fetch_balances(cls, market): | |
206 | cls._fill_balances(market.fetch_balance()) | |
207 | return cls.known_balances | |
208 | ||
209 | @classmethod | |
210 | def dispatch_assets(cls, amount): | |
211 | repartition_pertenthousand = Portfolio.repartition_pertenthousand() | |
212 | sum_pertenthousand = sum([v for k, v in repartition_pertenthousand.items()]) | |
213 | amounts = {} | |
214 | for currency, ptt in repartition_pertenthousand.items(): | |
215 | amounts[currency] = ptt * amount / sum_pertenthousand | |
216 | if currency not in cls.known_balances: | |
217 | cls.known_balances[currency] = cls(currency, 0, 0, 0) | |
218 | return amounts | |
219 | ||
220 | @classmethod | |
a9950fd0 | 221 | def prepare_trades(cls, market, base_currency="BTC", compute_value="average"): |
dd359bc0 | 222 | cls.fetch_balances(market) |
a9950fd0 | 223 | values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) |
dd359bc0 IB |
224 | total_base_value = sum(values_in_base.values()) |
225 | new_repartition = cls.dispatch_assets(total_base_value) | |
deb8924c | 226 | # Recompute it in case we have new currencies |
a9950fd0 IB |
227 | values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) |
228 | Trade.compute_trades(values_in_base, new_repartition, market=market) | |
229 | ||
230 | @classmethod | |
231 | def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None): | |
232 | cls.fetch_balances(market) | |
233 | values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) | |
234 | total_base_value = sum(values_in_base.values()) | |
235 | new_repartition = cls.dispatch_assets(total_base_value) | |
236 | Trade.compute_trades(values_in_base, new_repartition, only=only, market=market) | |
dd359bc0 | 237 | |
dd359bc0 IB |
238 | def __repr__(self): |
239 | return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) | |
240 | ||
deb8924c | 241 | class Computation: |
deb8924c IB |
242 | computations = { |
243 | "default": lambda x, y: x[y], | |
deb8924c IB |
244 | "average": lambda x, y: x["average"], |
245 | "bid": lambda x, y: x["bid"], | |
246 | "ask": lambda x, y: x["ask"], | |
247 | } | |
248 | ||
249 | ||
dd359bc0 IB |
250 | class Trade: |
251 | trades = {} | |
252 | ||
253 | def __init__(self, value_from, value_to, currency, market=None): | |
254 | # We have value_from of currency, and want to finish with value_to of | |
255 | # that currency. value_* may not be in currency's terms | |
256 | self.currency = currency | |
257 | self.value_from = value_from | |
258 | self.value_to = value_to | |
259 | self.orders = [] | |
089d5d9d | 260 | self.market = market |
dd359bc0 IB |
261 | assert self.value_from.currency == self.value_to.currency |
262 | assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency | |
263 | self.base_currency = self.value_from.currency | |
264 | ||
cfab619d IB |
265 | fees_cache = {} |
266 | @classmethod | |
267 | def fetch_fees(cls, market): | |
268 | if market.__class__ not in cls.fees_cache: | |
269 | cls.fees_cache[market.__class__] = market.fetch_fees() | |
270 | return cls.fees_cache[market.__class__] | |
271 | ||
272 | ticker_cache = {} | |
273 | ticker_cache_timestamp = time.time() | |
274 | @classmethod | |
275 | def get_ticker(cls, c1, c2, market, refresh=False): | |
276 | def invert(ticker): | |
277 | return { | |
278 | "inverted": True, | |
5ab23e1c | 279 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, |
cfab619d IB |
280 | "original": ticker, |
281 | } | |
282 | def augment_ticker(ticker): | |
283 | ticker.update({ | |
284 | "inverted": False, | |
285 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
286 | }) | |
287 | ||
288 | if time.time() - cls.ticker_cache_timestamp > 5: | |
289 | cls.ticker_cache = {} | |
290 | cls.ticker_cache_timestamp = time.time() | |
291 | elif not refresh: | |
292 | if (c1, c2, market.__class__) in cls.ticker_cache: | |
293 | return cls.ticker_cache[(c1, c2, market.__class__)] | |
294 | if (c2, c1, market.__class__) in cls.ticker_cache: | |
295 | return invert(cls.ticker_cache[(c2, c1, market.__class__)]) | |
296 | ||
297 | try: | |
298 | cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) | |
299 | augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) | |
300 | except ccxt.ExchangeError: | |
301 | try: | |
302 | cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) | |
303 | augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)]) | |
304 | except ccxt.ExchangeError: | |
305 | cls.ticker_cache[(c1, c2, market.__class__)] = None | |
306 | return cls.get_ticker(c1, c2, market) | |
307 | ||
dd359bc0 | 308 | @classmethod |
a9950fd0 | 309 | def compute_trades(cls, values_in_base, new_repartition, only=None, market=None): |
dd359bc0 IB |
310 | base_currency = sum(values_in_base.values()).currency |
311 | for currency in Balance.currencies(): | |
312 | if currency == base_currency: | |
313 | continue | |
a9950fd0 | 314 | trade = cls( |
dd359bc0 IB |
315 | values_in_base.get(currency, Amount(base_currency, 0)), |
316 | new_repartition.get(currency, Amount(base_currency, 0)), | |
317 | currency, | |
318 | market=market | |
319 | ) | |
a9950fd0 IB |
320 | if only is None or trade.action == only: |
321 | cls.trades[currency] = trade | |
dd359bc0 IB |
322 | return cls.trades |
323 | ||
a9950fd0 IB |
324 | @classmethod |
325 | def prepare_orders(cls, only=None, compute_value="default"): | |
326 | for currency, trade in cls.trades.items(): | |
327 | if only is None or trade.action == only: | |
328 | trade.prepare_order(compute_value=compute_value) | |
329 | ||
dd359bc0 IB |
330 | @property |
331 | def action(self): | |
332 | if self.value_from == self.value_to: | |
333 | return None | |
334 | if self.base_currency == self.currency: | |
335 | return None | |
336 | ||
337 | if self.value_from < self.value_to: | |
338 | return "buy" | |
339 | else: | |
340 | return "sell" | |
341 | ||
cfab619d | 342 | def order_action(self, inverted): |
dd359bc0 IB |
343 | if self.value_from < self.value_to: |
344 | return "ask" if not inverted else "bid" | |
345 | else: | |
346 | return "bid" if not inverted else "ask" | |
347 | ||
deb8924c | 348 | def prepare_order(self, compute_value="default"): |
dd359bc0 IB |
349 | if self.action is None: |
350 | return | |
351 | ticker = self.value_from.ticker | |
352 | inverted = ticker["inverted"] | |
353 | ||
354 | if not inverted: | |
355 | value_from = self.value_from.linked_to | |
c2644ba8 | 356 | value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate) |
dd359bc0 IB |
357 | delta = abs(value_to - value_from) |
358 | currency = self.base_currency | |
359 | else: | |
cfab619d | 360 | ticker = ticker["original"] |
dd359bc0 IB |
361 | delta = abs(self.value_to - self.value_from) |
362 | currency = self.currency | |
363 | ||
deb8924c | 364 | rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) |
dd359bc0 | 365 | |
a9950fd0 | 366 | self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market)) |
dd359bc0 | 367 | |
deb8924c IB |
368 | @classmethod |
369 | def compute_value(cls, ticker, action, compute_value="default"): | |
370 | if type(compute_value) == str: | |
371 | compute_value = Computation.computations[compute_value] | |
372 | return compute_value(ticker, action) | |
373 | ||
dd359bc0 | 374 | @classmethod |
a9950fd0 IB |
375 | def all_orders(cls, state=None): |
376 | all_orders = sum(map(lambda v: v.orders, cls.trades.values()), []) | |
377 | if state is None: | |
378 | return all_orders | |
379 | else: | |
380 | return list(filter(lambda o: o.status == state, all_orders)) | |
381 | ||
382 | @classmethod | |
383 | def run_orders(cls): | |
384 | for order in cls.all_orders(state="pending"): | |
385 | order.run() | |
dd359bc0 IB |
386 | |
387 | @classmethod | |
a9950fd0 | 388 | def follow_orders(cls, verbose=True, sleep=30): |
dd359bc0 IB |
389 | orders = cls.all_orders() |
390 | finished_orders = [] | |
391 | while len(orders) != len(finished_orders): | |
a9950fd0 | 392 | time.sleep(sleep) |
dd359bc0 IB |
393 | for order in orders: |
394 | if order in finished_orders: | |
395 | continue | |
a9950fd0 | 396 | if order.get_status() != "open": |
dd359bc0 | 397 | finished_orders.append(order) |
a9950fd0 IB |
398 | if verbose: |
399 | print("finished {}".format(order)) | |
400 | if verbose: | |
401 | print("All orders finished") | |
dd359bc0 IB |
402 | |
403 | def __repr__(self): | |
404 | return "Trade({} -> {} in {}, {})".format( | |
405 | self.value_from, | |
406 | self.value_to, | |
407 | self.currency, | |
408 | self.action) | |
409 | ||
410 | class Order: | |
a9950fd0 | 411 | DEBUG = debug |
dd359bc0 | 412 | |
a9950fd0 | 413 | def __init__(self, action, amount, rate, base_currency, market): |
dd359bc0 IB |
414 | self.action = action |
415 | self.amount = amount | |
416 | self.rate = rate | |
417 | self.base_currency = base_currency | |
a9950fd0 | 418 | self.market = market |
dd359bc0 | 419 | self.result = None |
a9950fd0 | 420 | self.status = "pending" |
dd359bc0 IB |
421 | |
422 | def __repr__(self): | |
423 | return "Order({} {} at {} {} [{}])".format( | |
424 | self.action, | |
425 | self.amount, | |
426 | self.rate, | |
427 | self.base_currency, | |
428 | self.status | |
429 | ) | |
430 | ||
a9950fd0 IB |
431 | @property |
432 | def pending(self): | |
433 | return self.status == "pending" | |
434 | ||
435 | @property | |
436 | def finished(self): | |
437 | return self.status == "closed" or self.status == "canceled" | |
438 | ||
439 | def run(self): | |
dd359bc0 IB |
440 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) |
441 | amount = self.amount.value | |
442 | ||
443 | if self.DEBUG: | |
444 | print("market.create_order('{}', 'limit', '{}', {}, price={})".format( | |
445 | symbol, self.action, amount, self.rate)) | |
446 | else: | |
447 | try: | |
a9950fd0 | 448 | self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate) |
dd359bc0 IB |
449 | self.status = "open" |
450 | except Exception: | |
451 | pass | |
452 | ||
a9950fd0 | 453 | def get_status(self): |
dd359bc0 IB |
454 | # other states are "closed" and "canceled" |
455 | if self.status == "open": | |
a9950fd0 | 456 | result = self.market.fetch_order(self.result['id']) |
dd359bc0 IB |
457 | self.status = result["status"] |
458 | return self.status | |
459 | ||
dd359bc0 | 460 | def print_orders(market, base_currency="BTC"): |
deb8924c | 461 | Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") |
a9950fd0 | 462 | Trade.prepare_orders(compute_value="average") |
5ab23e1c IB |
463 | for currency, balance in Balance.known_balances.items(): |
464 | print(balance) | |
dd359bc0 IB |
465 | for currency, trade in Trade.trades.items(): |
466 | print(trade) | |
467 | for order in trade.orders: | |
468 | print("\t", order, sep="") | |
469 | ||
470 | def make_orders(market, base_currency="BTC"): | |
471 | Balance.prepare_trades(market, base_currency=base_currency) | |
472 | for currency, trade in Trade.trades.items(): | |
473 | print(trade) | |
474 | for order in trade.orders: | |
475 | print("\t", order, sep="") | |
a9950fd0 | 476 | order.run() |
dd359bc0 IB |
477 | |
478 | if __name__ == '__main__': | |
479 | print_orders(market) |