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Commit | Line | Data |
---|---|---|
dd359bc0 | 1 | import time |
9f54fd9a | 2 | from datetime import datetime, timedelta |
350ed24d | 3 | from decimal import Decimal as D, ROUND_DOWN |
80cdd672 | 4 | from json import JSONDecodeError |
3d0247f9 | 5 | from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError |
f70bb858 IB |
6 | from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder |
7 | from retry import retry | |
80cdd672 IB |
8 | import requests |
9 | ||
10 | # FIXME: correctly handle web call timeouts | |
11 | ||
dd359bc0 IB |
12 | class Portfolio: |
13 | URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" | |
14 | liquidities = {} | |
15 | data = None | |
9f54fd9a | 16 | last_date = None |
dd359bc0 IB |
17 | |
18 | @classmethod | |
f86ee140 IB |
19 | def wait_for_recent(cls, market, delta=4): |
20 | cls.repartition(market, refetch=True) | |
9f54fd9a IB |
21 | while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta): |
22 | time.sleep(30) | |
f86ee140 IB |
23 | market.report.print_log("Attempt to fetch up-to-date cryptoportfolio") |
24 | cls.repartition(market, refetch=True) | |
9f54fd9a IB |
25 | |
26 | @classmethod | |
f86ee140 IB |
27 | def repartition(cls, market, liquidity="medium", refetch=False): |
28 | cls.parse_cryptoportfolio(market, refetch=refetch) | |
dd359bc0 | 29 | liquidities = cls.liquidities[liquidity] |
c11e4274 | 30 | return liquidities[cls.last_date] |
dd359bc0 IB |
31 | |
32 | @classmethod | |
f86ee140 | 33 | def get_cryptoportfolio(cls, market): |
183a53e3 | 34 | try: |
80cdd672 | 35 | r = requests.get(cls.URL) |
f86ee140 | 36 | market.report.log_http_request(r.request.method, |
3d0247f9 IB |
37 | r.request.url, r.request.body, r.request.headers, r) |
38 | except Exception as e: | |
f86ee140 | 39 | market.report.log_error("get_cryptoportfolio", exception=e) |
80cdd672 | 40 | return |
183a53e3 | 41 | try: |
80cdd672 | 42 | cls.data = r.json(parse_int=D, parse_float=D) |
3d0247f9 | 43 | except (JSONDecodeError, SimpleJSONDecodeError): |
183a53e3 | 44 | cls.data = None |
dd359bc0 IB |
45 | |
46 | @classmethod | |
f86ee140 | 47 | def parse_cryptoportfolio(cls, market, refetch=False): |
9f54fd9a | 48 | if refetch or cls.data is None: |
f86ee140 | 49 | cls.get_cryptoportfolio(market) |
dd359bc0 IB |
50 | |
51 | def filter_weights(weight_hash): | |
350ed24d | 52 | if weight_hash[1][0] == 0: |
dd359bc0 IB |
53 | return False |
54 | if weight_hash[0] == "_row": | |
55 | return False | |
56 | return True | |
57 | ||
58 | def clean_weights(i): | |
59 | def clean_weights_(h): | |
350ed24d IB |
60 | if h[0].endswith("s"): |
61 | return [h[0][0:-1], (h[1][i], "short")] | |
dd359bc0 | 62 | else: |
350ed24d | 63 | return [h[0], (h[1][i], "long")] |
dd359bc0 IB |
64 | return clean_weights_ |
65 | ||
66 | def parse_weights(portfolio_hash): | |
dd359bc0 IB |
67 | weights_hash = portfolio_hash["weights"] |
68 | weights = {} | |
69 | for i in range(len(weights_hash["_row"])): | |
9f54fd9a IB |
70 | date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d") |
71 | weights[date] = dict(filter( | |
dd359bc0 IB |
72 | filter_weights, |
73 | map(clean_weights(i), weights_hash.items()))) | |
74 | return weights | |
75 | ||
76 | high_liquidity = parse_weights(cls.data["portfolio_1"]) | |
77 | medium_liquidity = parse_weights(cls.data["portfolio_2"]) | |
78 | ||
79 | cls.liquidities = { | |
80 | "medium": medium_liquidity, | |
81 | "high": high_liquidity, | |
82 | } | |
9f54fd9a | 83 | cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys())) |
dd359bc0 | 84 | |
6ca5a1ec IB |
85 | class Computation: |
86 | computations = { | |
87 | "default": lambda x, y: x[y], | |
88 | "average": lambda x, y: x["average"], | |
89 | "bid": lambda x, y: x["bid"], | |
90 | "ask": lambda x, y: x["ask"], | |
91 | } | |
92 | ||
93 | @classmethod | |
94 | def compute_value(cls, ticker, action, compute_value="default"): | |
95 | if action == "buy": | |
96 | action = "ask" | |
97 | if action == "sell": | |
98 | action = "bid" | |
99 | if isinstance(compute_value, str): | |
100 | compute_value = cls.computations[compute_value] | |
101 | return compute_value(ticker, action) | |
102 | ||
dd359bc0 | 103 | class Amount: |
c2644ba8 | 104 | def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): |
dd359bc0 | 105 | self.currency = currency |
5ab23e1c | 106 | self.value = D(value) |
dd359bc0 IB |
107 | self.linked_to = linked_to |
108 | self.ticker = ticker | |
c2644ba8 | 109 | self.rate = rate |
dd359bc0 | 110 | |
c2644ba8 | 111 | def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): |
dd359bc0 IB |
112 | if other_currency == self.currency: |
113 | return self | |
c2644ba8 IB |
114 | if rate is not None: |
115 | return Amount( | |
116 | other_currency, | |
117 | self.value * rate, | |
118 | linked_to=self, | |
119 | rate=rate) | |
f86ee140 | 120 | asset_ticker = market.get_ticker(self.currency, other_currency) |
dd359bc0 | 121 | if asset_ticker is not None: |
6ca5a1ec | 122 | rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) |
dd359bc0 IB |
123 | return Amount( |
124 | other_currency, | |
c2644ba8 | 125 | self.value * rate, |
dd359bc0 | 126 | linked_to=self, |
c2644ba8 IB |
127 | ticker=asset_ticker, |
128 | rate=rate) | |
dd359bc0 IB |
129 | else: |
130 | raise Exception("This asset is not available in the chosen market") | |
131 | ||
3d0247f9 IB |
132 | def as_json(self): |
133 | return { | |
134 | "currency": self.currency, | |
135 | "value": round(self).value.normalize(), | |
136 | } | |
137 | ||
350ed24d IB |
138 | def __round__(self, n=8): |
139 | return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) | |
140 | ||
dd359bc0 | 141 | def __abs__(self): |
5ab23e1c | 142 | return Amount(self.currency, abs(self.value)) |
dd359bc0 IB |
143 | |
144 | def __add__(self, other): | |
f320eb8a IB |
145 | if other == 0: |
146 | return self | |
5ab23e1c | 147 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 148 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 149 | return Amount(self.currency, self.value + other.value) |
dd359bc0 IB |
150 | |
151 | def __radd__(self, other): | |
152 | if other == 0: | |
153 | return self | |
154 | else: | |
155 | return self.__add__(other) | |
156 | ||
157 | def __sub__(self, other): | |
c51687d2 IB |
158 | if other == 0: |
159 | return self | |
5ab23e1c | 160 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 161 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 162 | return Amount(self.currency, self.value - other.value) |
dd359bc0 | 163 | |
f320eb8a IB |
164 | def __rsub__(self, other): |
165 | if other == 0: | |
166 | return -self | |
167 | else: | |
168 | return -self.__sub__(other) | |
169 | ||
dd359bc0 | 170 | def __mul__(self, value): |
77f8a378 | 171 | if not isinstance(value, (int, float, D)): |
dd359bc0 | 172 | raise TypeError("Amount may only be multiplied by numbers") |
5ab23e1c | 173 | return Amount(self.currency, self.value * value) |
dd359bc0 IB |
174 | |
175 | def __rmul__(self, value): | |
176 | return self.__mul__(value) | |
177 | ||
178 | def __floordiv__(self, value): | |
77f8a378 | 179 | if not isinstance(value, (int, float, D)): |
1aa7d4fa | 180 | raise TypeError("Amount may only be divided by numbers") |
5ab23e1c | 181 | return Amount(self.currency, self.value / value) |
dd359bc0 IB |
182 | |
183 | def __truediv__(self, value): | |
184 | return self.__floordiv__(value) | |
185 | ||
186 | def __lt__(self, other): | |
006a2084 IB |
187 | if other == 0: |
188 | return self.value < 0 | |
dd359bc0 IB |
189 | if self.currency != other.currency: |
190 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 191 | return self.value < other.value |
dd359bc0 | 192 | |
80cdd672 IB |
193 | def __le__(self, other): |
194 | return self == other or self < other | |
195 | ||
006a2084 IB |
196 | def __gt__(self, other): |
197 | return not self <= other | |
198 | ||
199 | def __ge__(self, other): | |
200 | return not self < other | |
201 | ||
dd359bc0 IB |
202 | def __eq__(self, other): |
203 | if other == 0: | |
5ab23e1c | 204 | return self.value == 0 |
dd359bc0 IB |
205 | if self.currency != other.currency: |
206 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 207 | return self.value == other.value |
dd359bc0 | 208 | |
006a2084 IB |
209 | def __ne__(self, other): |
210 | return not self == other | |
211 | ||
212 | def __neg__(self): | |
213 | return Amount(self.currency, - self.value) | |
214 | ||
dd359bc0 IB |
215 | def __str__(self): |
216 | if self.linked_to is None: | |
217 | return "{:.8f} {}".format(self.value, self.currency) | |
218 | else: | |
219 | return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) | |
220 | ||
221 | def __repr__(self): | |
222 | if self.linked_to is None: | |
223 | return "Amount({:.8f} {})".format(self.value, self.currency) | |
224 | else: | |
225 | return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) | |
226 | ||
227 | class Balance: | |
3d0247f9 IB |
228 | base_keys = ["total", "exchange_total", "exchange_used", |
229 | "exchange_free", "margin_total", "margin_borrowed", | |
230 | "margin_free"] | |
dd359bc0 | 231 | |
006a2084 | 232 | def __init__(self, currency, hash_): |
dd359bc0 | 233 | self.currency = currency |
3d0247f9 | 234 | for key in self.base_keys: |
006a2084 IB |
235 | setattr(self, key, Amount(currency, hash_.get(key, 0))) |
236 | ||
80cdd672 | 237 | self.margin_position_type = hash_.get("margin_position_type") |
006a2084 | 238 | |
80cdd672 | 239 | if hash_.get("margin_borrowed_base_currency") is not None: |
006a2084 IB |
240 | base_currency = hash_["margin_borrowed_base_currency"] |
241 | for key in [ | |
242 | "margin_liquidation_price", | |
243 | "margin_pending_gain", | |
244 | "margin_lending_fees", | |
245 | "margin_borrowed_base_price" | |
246 | ]: | |
c51687d2 | 247 | setattr(self, key, Amount(base_currency, hash_.get(key, 0))) |
f2da6589 | 248 | |
3d0247f9 IB |
249 | def as_json(self): |
250 | return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys)) | |
251 | ||
dd359bc0 | 252 | def __repr__(self): |
006a2084 IB |
253 | if self.exchange_total > 0: |
254 | if self.exchange_free > 0 and self.exchange_used > 0: | |
255 | exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) | |
256 | elif self.exchange_free > 0: | |
257 | exchange = " Exch: [✔{}]".format(str(self.exchange_free)) | |
258 | else: | |
259 | exchange = " Exch: [❌{}]".format(str(self.exchange_used)) | |
260 | else: | |
261 | exchange = "" | |
262 | ||
263 | if self.margin_total > 0: | |
264 | if self.margin_free != 0 and self.margin_borrowed != 0: | |
265 | margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total)) | |
266 | elif self.margin_free != 0: | |
267 | margin = " Margin: [✔{}]".format(str(self.margin_free)) | |
268 | else: | |
269 | margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed)) | |
270 | elif self.margin_total < 0: | |
271 | margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), | |
272 | str(self.margin_borrowed_base_price), | |
273 | str(self.margin_lending_fees)) | |
274 | else: | |
275 | margin = "" | |
276 | ||
277 | if self.margin_total != 0 and self.exchange_total != 0: | |
278 | total = " Total: [{}]".format(str(self.total)) | |
279 | else: | |
280 | total = "" | |
281 | ||
282 | return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" | |
dd359bc0 IB |
283 | |
284 | class Trade: | |
f86ee140 | 285 | def __init__(self, value_from, value_to, currency, market): |
dd359bc0 IB |
286 | # We have value_from of currency, and want to finish with value_to of |
287 | # that currency. value_* may not be in currency's terms | |
288 | self.currency = currency | |
289 | self.value_from = value_from | |
290 | self.value_to = value_to | |
291 | self.orders = [] | |
089d5d9d | 292 | self.market = market |
dd359bc0 | 293 | assert self.value_from.currency == self.value_to.currency |
006a2084 IB |
294 | if self.value_from != 0: |
295 | assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency | |
296 | elif self.value_from.linked_to is None: | |
297 | self.value_from.linked_to = Amount(self.currency, 0) | |
dd359bc0 IB |
298 | self.base_currency = self.value_from.currency |
299 | ||
dd359bc0 IB |
300 | @property |
301 | def action(self): | |
302 | if self.value_from == self.value_to: | |
303 | return None | |
304 | if self.base_currency == self.currency: | |
305 | return None | |
306 | ||
5a72ded7 | 307 | if abs(self.value_from) < abs(self.value_to): |
006a2084 | 308 | return "acquire" |
dd359bc0 | 309 | else: |
006a2084 | 310 | return "dispose" |
dd359bc0 | 311 | |
cfab619d | 312 | def order_action(self, inverted): |
006a2084 | 313 | if (self.value_from < self.value_to) != inverted: |
350ed24d | 314 | return "buy" |
dd359bc0 | 315 | else: |
350ed24d | 316 | return "sell" |
dd359bc0 | 317 | |
006a2084 IB |
318 | @property |
319 | def trade_type(self): | |
320 | if self.value_from + self.value_to < 0: | |
321 | return "short" | |
322 | else: | |
323 | return "long" | |
324 | ||
1aa7d4fa | 325 | def filled_amount(self, in_base_currency=False): |
80cdd672 IB |
326 | filled_amount = 0 |
327 | for order in self.orders: | |
1aa7d4fa | 328 | filled_amount += order.filled_amount(in_base_currency=in_base_currency) |
80cdd672 IB |
329 | return filled_amount |
330 | ||
331 | def update_order(self, order, tick): | |
332 | new_order = None | |
333 | if tick in [0, 1, 3, 4, 6]: | |
3d0247f9 IB |
334 | update = "waiting" |
335 | compute_value = None | |
80cdd672 | 336 | elif tick == 2: |
3d0247f9 IB |
337 | update = "adjusting" |
338 | compute_value = 'lambda x, y: (x[y] + x["average"]) / 2' | |
5a72ded7 | 339 | new_order = self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2) |
80cdd672 | 340 | elif tick ==5: |
3d0247f9 IB |
341 | update = "adjusting" |
342 | compute_value = 'lambda x, y: (x[y]*2 + x["average"]) / 3' | |
5a72ded7 | 343 | new_order = self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3) |
80cdd672 | 344 | elif tick >= 7: |
80cdd672 | 345 | if (tick - 7) % 3 == 0: |
5a72ded7 | 346 | new_order = self.prepare_order(compute_value="default") |
3d0247f9 IB |
347 | update = "market_adjust" |
348 | compute_value = "default" | |
349 | else: | |
350 | update = "waiting" | |
351 | compute_value = None | |
352 | if tick == 7: | |
353 | update = "market_fallback" | |
354 | ||
f86ee140 | 355 | self.market.report.log_order(order, tick, update=update, |
3d0247f9 | 356 | compute_value=compute_value, new_order=new_order) |
80cdd672 IB |
357 | |
358 | if new_order is not None: | |
359 | order.cancel() | |
360 | new_order.run() | |
f86ee140 | 361 | self.market.report.log_order(order, tick, new_order=new_order) |
80cdd672 | 362 | |
2033e7fe | 363 | def prepare_order(self, close_if_possible=None, compute_value="default"): |
dd359bc0 | 364 | if self.action is None: |
5a72ded7 | 365 | return None |
f86ee140 | 366 | ticker = self.market.get_ticker(self.currency, self.base_currency) |
dd359bc0 | 367 | inverted = ticker["inverted"] |
f2097d71 IB |
368 | if inverted: |
369 | ticker = ticker["original"] | |
6ca5a1ec | 370 | rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) |
f2097d71 | 371 | |
c31df868 | 372 | #TODO: store when the order is considered filled |
97922ff1 IB |
373 | # FIXME: Dust amount should be removed from there if they werent |
374 | # honored in other sales | |
f2097d71 | 375 | delta_in_base = abs(self.value_from - self.value_to) |
c11e4274 | 376 | # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) |
dd359bc0 IB |
377 | |
378 | if not inverted: | |
1aa7d4fa | 379 | base_currency = self.base_currency |
350ed24d | 380 | # BTC |
006a2084 | 381 | if self.action == "dispose": |
1aa7d4fa IB |
382 | filled = self.filled_amount(in_base_currency=False) |
383 | delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
384 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC | |
385 | # worth of it, computed first with rate 10 FOO = 1 BTC. | |
386 | # -> I "sell" "90" FOO at proposed rate "rate". | |
387 | ||
388 | delta = delta - filled | |
389 | # I already sold 60 FOO, 30 left | |
f2097d71 | 390 | else: |
1aa7d4fa IB |
391 | filled = self.filled_amount(in_base_currency=True) |
392 | delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate) | |
393 | # I want to buy 9 BTC worth of FOO, computed with rate | |
394 | # 10 FOO = 1 BTC | |
395 | # -> I "buy" "9 / rate" FOO at proposed rate "rate" | |
396 | ||
397 | # I already bought 3 / rate FOO, 6 / rate left | |
dd359bc0 | 398 | else: |
1aa7d4fa | 399 | base_currency = self.currency |
c11e4274 | 400 | # FOO |
1aa7d4fa IB |
401 | if self.action == "dispose": |
402 | filled = self.filled_amount(in_base_currency=True) | |
403 | # Base is FOO | |
404 | ||
405 | delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
406 | - filled).in_currency(self.base_currency, self.market, rate=1/rate) | |
407 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it | |
408 | # computed at rate 1 Foo = 0.01 BTC | |
409 | # Computation says I should sell it at 125 FOO / BTC | |
410 | # -> delta_in_base = 9 BTC | |
411 | # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC | |
412 | # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market | |
413 | ||
414 | # I already bought 300/125 BTC, only 600/125 left | |
415 | else: | |
416 | filled = self.filled_amount(in_base_currency=False) | |
417 | # Base is FOO | |
418 | ||
419 | delta = delta_in_base | |
420 | # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it | |
421 | # At rate 100 Foo / BTC | |
422 | # Computation says I should buy it at 125 FOO / BTC | |
423 | # -> delta_in_base = 9 BTC | |
424 | # Action: "sell" "9 BTC" at rate "125" "FOO" on market | |
425 | ||
426 | delta = delta - filled | |
427 | # I already sold 4 BTC, only 5 left | |
dd359bc0 | 428 | |
2033e7fe IB |
429 | if close_if_possible is None: |
430 | close_if_possible = (self.value_to == 0) | |
006a2084 | 431 | |
1aa7d4fa | 432 | if delta <= 0: |
f86ee140 | 433 | self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) |
5a72ded7 | 434 | return None |
80cdd672 | 435 | |
5a72ded7 | 436 | order = Order(self.order_action(inverted), |
1aa7d4fa | 437 | delta, rate, base_currency, self.trade_type, |
5a72ded7 IB |
438 | self.market, self, close_if_possible=close_if_possible) |
439 | self.orders.append(order) | |
440 | return order | |
dd359bc0 | 441 | |
3d0247f9 IB |
442 | def as_json(self): |
443 | return { | |
444 | "action": self.action, | |
445 | "from": self.value_from.as_json()["value"], | |
446 | "to": self.value_to.as_json()["value"], | |
447 | "currency": self.currency, | |
448 | "base_currency": self.base_currency, | |
449 | } | |
450 | ||
dd359bc0 | 451 | def __repr__(self): |
006a2084 | 452 | return "Trade({} -> {} in {}, {})".format( |
dd359bc0 IB |
453 | self.value_from, |
454 | self.value_to, | |
455 | self.currency, | |
006a2084 | 456 | self.action) |
dd359bc0 | 457 | |
3d0247f9 | 458 | def print_with_order(self, ind=""): |
f86ee140 | 459 | self.market.report.print_log("{}{}".format(ind, self)) |
272b3cfb | 460 | for order in self.orders: |
f86ee140 | 461 | self.market.report.print_log("{}\t{}".format(ind, order)) |
c31df868 | 462 | for mouvement in order.mouvements: |
f86ee140 | 463 | self.market.report.print_log("{}\t\t{}".format(ind, mouvement)) |
dd359bc0 | 464 | |
272b3cfb | 465 | class Order: |
006a2084 | 466 | def __init__(self, action, amount, rate, base_currency, trade_type, market, |
80cdd672 | 467 | trade, close_if_possible=False): |
dd359bc0 IB |
468 | self.action = action |
469 | self.amount = amount | |
470 | self.rate = rate | |
471 | self.base_currency = base_currency | |
a9950fd0 | 472 | self.market = market |
350ed24d | 473 | self.trade_type = trade_type |
80cdd672 IB |
474 | self.results = [] |
475 | self.mouvements = [] | |
a9950fd0 | 476 | self.status = "pending" |
80cdd672 | 477 | self.trade = trade |
006a2084 | 478 | self.close_if_possible = close_if_possible |
5a72ded7 IB |
479 | self.id = None |
480 | self.fetch_cache_timestamp = None | |
f70bb858 | 481 | self.tries = 0 |
dd359bc0 | 482 | |
3d0247f9 IB |
483 | def as_json(self): |
484 | return { | |
485 | "action": self.action, | |
486 | "trade_type": self.trade_type, | |
487 | "amount": self.amount.as_json()["value"], | |
488 | "currency": self.amount.as_json()["currency"], | |
489 | "base_currency": self.base_currency, | |
490 | "rate": self.rate, | |
491 | "status": self.status, | |
492 | "close_if_possible": self.close_if_possible, | |
493 | "id": self.id, | |
494 | "mouvements": list(map(lambda x: x.as_json(), self.mouvements)) | |
495 | } | |
496 | ||
dd359bc0 | 497 | def __repr__(self): |
006a2084 | 498 | return "Order({} {} {} at {} {} [{}]{})".format( |
dd359bc0 | 499 | self.action, |
350ed24d | 500 | self.trade_type, |
dd359bc0 IB |
501 | self.amount, |
502 | self.rate, | |
503 | self.base_currency, | |
006a2084 IB |
504 | self.status, |
505 | " ✂" if self.close_if_possible else "", | |
dd359bc0 IB |
506 | ) |
507 | ||
350ed24d IB |
508 | @property |
509 | def account(self): | |
510 | if self.trade_type == "long": | |
511 | return "exchange" | |
512 | else: | |
513 | return "margin" | |
514 | ||
5a72ded7 IB |
515 | @property |
516 | def open(self): | |
517 | return self.status == "open" | |
518 | ||
a9950fd0 IB |
519 | @property |
520 | def pending(self): | |
521 | return self.status == "pending" | |
522 | ||
523 | @property | |
524 | def finished(self): | |
fd8afa51 | 525 | return self.status == "closed" or self.status == "canceled" or self.status == "error" |
a9950fd0 | 526 | |
f70bb858 | 527 | @retry(InsufficientFunds) |
80cdd672 | 528 | def run(self): |
f70bb858 | 529 | self.tries += 1 |
dd359bc0 | 530 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) |
f86ee140 | 531 | amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value |
dd359bc0 | 532 | |
f86ee140 IB |
533 | if self.market.debug: |
534 | self.market.report.log_debug_action("market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( | |
ecba1113 | 535 | symbol, self.action, amount, self.rate, self.account)) |
80cdd672 | 536 | self.results.append({"debug": True, "id": -1}) |
dd359bc0 | 537 | else: |
f70bb858 | 538 | action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) |
dd359bc0 | 539 | try: |
f86ee140 | 540 | self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) |
f70bb858 | 541 | except InvalidOrder: |
df9e4e7f IB |
542 | # Impossible to honor the order (dust amount) |
543 | self.status = "closed" | |
544 | self.mark_finished_order() | |
545 | return | |
f70bb858 IB |
546 | except InsufficientFunds as e: |
547 | if self.tries < 5: | |
548 | self.market.report.log_error(action, message="Retrying with reduced amount", exception=e) | |
549 | self.amount = self.amount * D("0.99") | |
550 | raise e | |
551 | else: | |
552 | self.market.report.log_error(action, message="Giving up {}".format(self), exception=e) | |
553 | self.status = "error" | |
554 | return | |
fd8afa51 IB |
555 | except Exception as e: |
556 | self.status = "error" | |
f86ee140 | 557 | self.market.report.log_error(action, exception=e) |
5a72ded7 IB |
558 | return |
559 | self.id = self.results[0]["id"] | |
560 | self.status = "open" | |
dd359bc0 | 561 | |
a9950fd0 | 562 | def get_status(self): |
f86ee140 IB |
563 | if self.market.debug: |
564 | self.market.report.log_debug_action("Getting {} status".format(self)) | |
80cdd672 | 565 | return self.status |
dd359bc0 | 566 | # other states are "closed" and "canceled" |
5a72ded7 | 567 | if not self.finished: |
80cdd672 | 568 | self.fetch() |
5a72ded7 | 569 | if self.finished: |
80cdd672 | 570 | self.mark_finished_order() |
dd359bc0 IB |
571 | return self.status |
572 | ||
80cdd672 | 573 | def mark_finished_order(self): |
f86ee140 IB |
574 | if self.market.debug: |
575 | self.market.report.log_debug_action("Mark {} as finished".format(self)) | |
80cdd672 IB |
576 | return |
577 | if self.status == "closed": | |
006a2084 | 578 | if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: |
f86ee140 | 579 | self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency) |
006a2084 | 580 | |
80cdd672 | 581 | def fetch(self, force=False): |
f86ee140 IB |
582 | if self.market.debug: |
583 | self.market.report.log_debug_action("Fetching {}".format(self)) | |
3d0247f9 IB |
584 | return |
585 | if (not force and self.fetch_cache_timestamp is not None | |
80cdd672 IB |
586 | and time.time() - self.fetch_cache_timestamp < 10): |
587 | return | |
588 | self.fetch_cache_timestamp = time.time() | |
589 | ||
2033e7fe | 590 | result = self.market.ccxt.fetch_order(self.id, symbol=self.amount.currency) |
5a72ded7 IB |
591 | self.results.append(result) |
592 | ||
006a2084 | 593 | self.status = result["status"] |
80cdd672 IB |
594 | # Time at which the order started |
595 | self.timestamp = result["datetime"] | |
596 | self.fetch_mouvements() | |
597 | ||
598 | # FIXME: consider open order with dust remaining as closed | |
599 | ||
80cdd672 | 600 | def dust_amount_remaining(self): |
5a72ded7 | 601 | return self.remaining_amount() < Amount(self.amount.currency, D("0.001")) |
80cdd672 | 602 | |
80cdd672 IB |
603 | def remaining_amount(self): |
604 | if self.status == "open": | |
605 | self.fetch() | |
1aa7d4fa | 606 | return self.amount - self.filled_amount() |
80cdd672 | 607 | |
1aa7d4fa | 608 | def filled_amount(self, in_base_currency=False): |
80cdd672 IB |
609 | if self.status == "open": |
610 | self.fetch() | |
1aa7d4fa | 611 | filled_amount = 0 |
80cdd672 | 612 | for mouvement in self.mouvements: |
1aa7d4fa IB |
613 | if in_base_currency: |
614 | filled_amount += mouvement.total_in_base | |
615 | else: | |
616 | filled_amount += mouvement.total | |
80cdd672 IB |
617 | return filled_amount |
618 | ||
619 | def fetch_mouvements(self): | |
df9e4e7f | 620 | try: |
f86ee140 | 621 | mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id}) |
df9e4e7f IB |
622 | except ExchangeError: |
623 | mouvements = [] | |
80cdd672 IB |
624 | self.mouvements = [] |
625 | ||
626 | for mouvement_hash in mouvements: | |
627 | self.mouvements.append(Mouvement(self.amount.currency, | |
628 | self.base_currency, mouvement_hash)) | |
006a2084 | 629 | |
272b3cfb | 630 | def cancel(self): |
f86ee140 IB |
631 | if self.market.debug: |
632 | self.market.report.log_debug_action("Mark {} as cancelled".format(self)) | |
80cdd672 IB |
633 | self.status = "canceled" |
634 | return | |
f86ee140 | 635 | self.market.ccxt.cancel_order(self.id) |
2033e7fe | 636 | self.fetch(force=True) |
80cdd672 IB |
637 | |
638 | class Mouvement: | |
639 | def __init__(self, currency, base_currency, hash_): | |
640 | self.currency = currency | |
641 | self.base_currency = base_currency | |
df9e4e7f IB |
642 | self.id = hash_.get("tradeID") |
643 | self.action = hash_.get("type") | |
644 | self.fee_rate = D(hash_.get("fee", -1)) | |
645 | try: | |
646 | self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') | |
647 | except ValueError: | |
648 | self.date = None | |
649 | self.rate = D(hash_.get("rate", 0)) | |
650 | self.total = Amount(currency, hash_.get("amount", 0)) | |
80cdd672 | 651 | # rate * total = total_in_base |
df9e4e7f | 652 | self.total_in_base = Amount(base_currency, hash_.get("total", 0)) |
272b3cfb | 653 | |
3d0247f9 IB |
654 | def as_json(self): |
655 | return { | |
656 | "fee_rate": self.fee_rate, | |
657 | "date": self.date, | |
658 | "action": self.action, | |
659 | "total": self.total.value, | |
660 | "currency": self.currency, | |
661 | "total_in_base": self.total_in_base.value, | |
662 | "base_currency": self.base_currency | |
663 | } | |
664 | ||
c31df868 IB |
665 | def __repr__(self): |
666 | if self.fee_rate > 0: | |
667 | fee_rate = " fee: {}%".format(self.fee_rate * 100) | |
668 | else: | |
669 | fee_rate = "" | |
670 | if self.date is None: | |
671 | date = "No date" | |
672 | else: | |
673 | date = self.date | |
674 | return "Mouvement({} ; {} {} ({}){})".format( | |
675 | date, self.action, self.total, self.total_in_base, | |
676 | fee_rate) | |
677 |