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Commit | Line | Data |
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ada1b5f1 IB |
1 | import time |
2 | import requests | |
6ca5a1ec | 3 | import portfolio |
3d0247f9 IB |
4 | import simplejson as json |
5 | from decimal import Decimal as D, ROUND_DOWN | |
e7d7c0e5 | 6 | import datetime |
aca4d437 | 7 | import inspect |
ada1b5f1 IB |
8 | from json import JSONDecodeError |
9 | from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError | |
6ca5a1ec | 10 | |
ada1b5f1 | 11 | __all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"] |
3d0247f9 IB |
12 | |
13 | class ReportStore: | |
e7d7c0e5 | 14 | def __init__(self, market, verbose_print=True, no_http_dup=False): |
f86ee140 IB |
15 | self.market = market |
16 | self.verbose_print = verbose_print | |
3d0247f9 | 17 | |
718e3e91 | 18 | self.print_logs = [] |
f86ee140 IB |
19 | self.logs = [] |
20 | ||
e7d7c0e5 IB |
21 | self.no_http_dup = no_http_dup |
22 | self.last_http = None | |
23 | ||
9bde69bf IB |
24 | def merge(self, other_report): |
25 | self.logs += other_report.logs | |
26 | self.logs.sort(key=lambda x: x["date"]) | |
27 | ||
718e3e91 IB |
28 | self.print_logs += other_report.print_logs |
29 | self.print_logs.sort(key=lambda x: x[0]) | |
30 | ||
f86ee140 | 31 | def print_log(self, message): |
e7d7c0e5 | 32 | now = datetime.datetime.now() |
718e3e91 IB |
33 | message = "{:%Y-%m-%d %H:%M:%S}: {}".format(now, str(message)) |
34 | self.print_logs.append([now, message]) | |
f86ee140 | 35 | if self.verbose_print: |
3d0247f9 IB |
36 | print(message) |
37 | ||
f86ee140 | 38 | def add_log(self, hash_): |
e7d7c0e5 IB |
39 | hash_["date"] = datetime.datetime.now() |
40 | if self.market is not None: | |
41 | hash_["user_id"] = self.market.user_id | |
42 | hash_["market_id"] = self.market.market_id | |
43 | else: | |
44 | hash_["user_id"] = None | |
45 | hash_["market_id"] = None | |
f86ee140 | 46 | self.logs.append(hash_) |
e7d7c0e5 | 47 | return hash_ |
3d0247f9 | 48 | |
b4e0ba0b IB |
49 | @staticmethod |
50 | def default_json_serial(obj): | |
e7d7c0e5 | 51 | if isinstance(obj, (datetime.datetime, datetime.date)): |
b4e0ba0b IB |
52 | return obj.isoformat() |
53 | return str(obj) | |
54 | ||
f86ee140 | 55 | def to_json(self): |
b4e0ba0b IB |
56 | return json.dumps(self.logs, default=self.default_json_serial, indent=" ") |
57 | ||
58 | def to_json_array(self): | |
59 | for log in (x.copy() for x in self.logs): | |
60 | yield ( | |
61 | log.pop("date"), | |
62 | log.pop("type"), | |
63 | json.dumps(log, default=self.default_json_serial, indent=" ") | |
64 | ) | |
3d0247f9 | 65 | |
f86ee140 IB |
66 | def set_verbose(self, verbose_print): |
67 | self.verbose_print = verbose_print | |
3d0247f9 | 68 | |
7bd830a8 IB |
69 | def log_stage(self, stage, **kwargs): |
70 | def as_json(element): | |
71 | if callable(element): | |
72 | return inspect.getsource(element).strip() | |
73 | elif hasattr(element, "as_json"): | |
74 | return element.as_json() | |
75 | else: | |
76 | return element | |
77 | ||
78 | args = { k: as_json(v) for k, v in kwargs.items() } | |
79 | args_str = ["{}={}".format(k, v) for k, v in args.items()] | |
f86ee140 | 80 | self.print_log("-" * (len(stage) + 8)) |
7bd830a8 | 81 | self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str))) |
3d0247f9 | 82 | |
f86ee140 | 83 | self.add_log({ |
3d0247f9 IB |
84 | "type": "stage", |
85 | "stage": stage, | |
7bd830a8 | 86 | "args": args, |
3d0247f9 IB |
87 | }) |
88 | ||
f86ee140 IB |
89 | def log_balances(self, tag=None): |
90 | self.print_log("[Balance]") | |
91 | for currency, balance in self.market.balances.all.items(): | |
92 | self.print_log("\t{}".format(balance)) | |
3d0247f9 | 93 | |
f86ee140 | 94 | self.add_log({ |
3d0247f9 | 95 | "type": "balance", |
18167a3c | 96 | "tag": tag, |
f86ee140 | 97 | "balances": self.market.balances.as_json() |
3d0247f9 IB |
98 | }) |
99 | ||
f86ee140 | 100 | def log_tickers(self, amounts, other_currency, |
3d0247f9 IB |
101 | compute_value, type): |
102 | values = {} | |
103 | rates = {} | |
aca4d437 IB |
104 | if callable(compute_value): |
105 | compute_value = inspect.getsource(compute_value).strip() | |
106 | ||
3d0247f9 IB |
107 | for currency, amount in amounts.items(): |
108 | values[currency] = amount.as_json()["value"] | |
109 | rates[currency] = amount.rate | |
f86ee140 | 110 | self.add_log({ |
3d0247f9 IB |
111 | "type": "tickers", |
112 | "compute_value": compute_value, | |
113 | "balance_type": type, | |
114 | "currency": other_currency, | |
115 | "balances": values, | |
116 | "rates": rates, | |
117 | "total": sum(amounts.values()).as_json()["value"] | |
118 | }) | |
119 | ||
f86ee140 IB |
120 | def log_dispatch(self, amount, amounts, liquidity, repartition): |
121 | self.add_log({ | |
3d0247f9 IB |
122 | "type": "dispatch", |
123 | "liquidity": liquidity, | |
124 | "repartition_ratio": repartition, | |
125 | "total_amount": amount.as_json(), | |
126 | "repartition": { k: v.as_json()["value"] for k, v in amounts.items() } | |
127 | }) | |
128 | ||
f86ee140 | 129 | def log_trades(self, matching_and_trades, only): |
3d0247f9 IB |
130 | trades = [] |
131 | for matching, trade in matching_and_trades: | |
132 | trade_json = trade.as_json() | |
133 | trade_json["skipped"] = not matching | |
134 | trades.append(trade_json) | |
135 | ||
f86ee140 | 136 | self.add_log({ |
3d0247f9 IB |
137 | "type": "trades", |
138 | "only": only, | |
f86ee140 | 139 | "debug": self.market.debug, |
3d0247f9 IB |
140 | "trades": trades |
141 | }) | |
142 | ||
f86ee140 | 143 | def log_orders(self, orders, tick=None, only=None, compute_value=None): |
aca4d437 IB |
144 | if callable(compute_value): |
145 | compute_value = inspect.getsource(compute_value).strip() | |
f86ee140 IB |
146 | self.print_log("[Orders]") |
147 | self.market.trades.print_all_with_order(ind="\t") | |
148 | self.add_log({ | |
3d0247f9 IB |
149 | "type": "orders", |
150 | "only": only, | |
151 | "compute_value": compute_value, | |
152 | "tick": tick, | |
153 | "orders": [order.as_json() for order in orders if order is not None] | |
154 | }) | |
155 | ||
f86ee140 | 156 | def log_order(self, order, tick, finished=False, update=None, |
3d0247f9 | 157 | new_order=None, compute_value=None): |
aca4d437 IB |
158 | if callable(compute_value): |
159 | compute_value = inspect.getsource(compute_value).strip() | |
3d0247f9 | 160 | if finished: |
f86ee140 | 161 | self.print_log("[Order] Finished {}".format(order)) |
3d0247f9 | 162 | elif update == "waiting": |
f86ee140 | 163 | self.print_log("[Order] {}, tick {}, waiting".format(order, tick)) |
3d0247f9 | 164 | elif update == "adjusting": |
f86ee140 | 165 | self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) |
3d0247f9 | 166 | elif update == "market_fallback": |
f86ee140 | 167 | self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick)) |
3d0247f9 | 168 | elif update == "market_adjust": |
f86ee140 | 169 | self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) |
3d0247f9 | 170 | |
f86ee140 | 171 | self.add_log({ |
3d0247f9 IB |
172 | "type": "order", |
173 | "tick": tick, | |
174 | "update": update, | |
175 | "order": order.as_json(), | |
176 | "compute_value": compute_value, | |
177 | "new_order": new_order.as_json() if new_order is not None else None | |
178 | }) | |
179 | ||
f86ee140 IB |
180 | def log_move_balances(self, needed, moving): |
181 | self.add_log({ | |
3d0247f9 | 182 | "type": "move_balances", |
f86ee140 | 183 | "debug": self.market.debug, |
3d0247f9 IB |
184 | "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() }, |
185 | "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() }, | |
186 | }) | |
187 | ||
f86ee140 | 188 | def log_http_request(self, method, url, body, headers, response): |
d8e233ac IB |
189 | if isinstance(response, Exception): |
190 | self.add_log({ | |
191 | "type": "http_request", | |
192 | "method": method, | |
193 | "url": url, | |
194 | "body": body, | |
195 | "headers": headers, | |
196 | "status": -1, | |
197 | "response": None, | |
198 | "error": response.__class__.__name__, | |
199 | "error_message": str(response), | |
200 | }) | |
e7d7c0e5 IB |
201 | self.last_http = None |
202 | elif self.no_http_dup and \ | |
203 | self.last_http is not None and \ | |
204 | self.last_http["url"] == url and \ | |
205 | self.last_http["method"] == method and \ | |
206 | self.last_http["response"] == response.text: | |
d8e233ac IB |
207 | self.add_log({ |
208 | "type": "http_request", | |
209 | "method": method, | |
210 | "url": url, | |
211 | "body": body, | |
212 | "headers": headers, | |
213 | "status": response.status_code, | |
e7d7c0e5 IB |
214 | "response": None, |
215 | "response_same_as": self.last_http["date"] | |
216 | }) | |
217 | else: | |
218 | self.last_http = self.add_log({ | |
219 | "type": "http_request", | |
220 | "method": method, | |
221 | "url": url, | |
222 | "body": body, | |
223 | "headers": headers, | |
224 | "status": response.status_code, | |
225 | "response": response.text, | |
226 | "response_same_as": None, | |
d8e233ac | 227 | }) |
3d0247f9 | 228 | |
f86ee140 IB |
229 | def log_error(self, action, message=None, exception=None): |
230 | self.print_log("[Error] {}".format(action)) | |
3d0247f9 | 231 | if exception is not None: |
f86ee140 | 232 | self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception))) |
3d0247f9 | 233 | if message is not None: |
f86ee140 | 234 | self.print_log("\t{}".format(message)) |
3d0247f9 | 235 | |
f86ee140 | 236 | self.add_log({ |
3d0247f9 IB |
237 | "type": "error", |
238 | "action": action, | |
239 | "exception_class": exception.__class__.__name__ if exception is not None else None, | |
240 | "exception_message": str(exception) if exception is not None else None, | |
241 | "message": message, | |
242 | }) | |
243 | ||
f86ee140 IB |
244 | def log_debug_action(self, action): |
245 | self.print_log("[Debug] {}".format(action)) | |
3d0247f9 | 246 | |
f86ee140 | 247 | self.add_log({ |
3d0247f9 IB |
248 | "type": "debug_action", |
249 | "action": action, | |
250 | }) | |
6ca5a1ec | 251 | |
e7d7c0e5 | 252 | def log_market(self, args): |
90d7423e IB |
253 | self.add_log({ |
254 | "type": "market", | |
255 | "commit": "$Format:%H$", | |
256 | "args": vars(args), | |
90d7423e IB |
257 | }) |
258 | ||
6ca5a1ec | 259 | class BalanceStore: |
f86ee140 IB |
260 | def __init__(self, market): |
261 | self.market = market | |
262 | self.all = {} | |
6ca5a1ec | 263 | |
f86ee140 IB |
264 | def currencies(self): |
265 | return self.all.keys() | |
6ca5a1ec | 266 | |
f86ee140 | 267 | def in_currency(self, other_currency, compute_value="average", type="total"): |
6ca5a1ec | 268 | amounts = {} |
f86ee140 | 269 | for currency, balance in self.all.items(): |
6ca5a1ec | 270 | other_currency_amount = getattr(balance, type)\ |
f86ee140 | 271 | .in_currency(other_currency, self.market, compute_value=compute_value) |
6ca5a1ec | 272 | amounts[currency] = other_currency_amount |
f86ee140 | 273 | self.market.report.log_tickers(amounts, other_currency, |
3d0247f9 | 274 | compute_value, type) |
6ca5a1ec IB |
275 | return amounts |
276 | ||
f86ee140 IB |
277 | def fetch_balances(self, tag=None): |
278 | all_balances = self.market.ccxt.fetch_all_balances() | |
6ca5a1ec IB |
279 | for currency, balance in all_balances.items(): |
280 | if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \ | |
f86ee140 IB |
281 | currency in self.all: |
282 | self.all[currency] = portfolio.Balance(currency, balance) | |
283 | self.market.report.log_balances(tag=tag) | |
6ca5a1ec | 284 | |
f86ee140 | 285 | def dispatch_assets(self, amount, liquidity="medium", repartition=None): |
6ca5a1ec | 286 | if repartition is None: |
ada1b5f1 | 287 | repartition = Portfolio.repartition(liquidity=liquidity) |
6ca5a1ec IB |
288 | sum_ratio = sum([v[0] for k, v in repartition.items()]) |
289 | amounts = {} | |
290 | for currency, (ptt, trade_type) in repartition.items(): | |
291 | amounts[currency] = ptt * amount / sum_ratio | |
292 | if trade_type == "short": | |
293 | amounts[currency] = - amounts[currency] | |
aca4d437 | 294 | self.all.setdefault(currency, portfolio.Balance(currency, {})) |
f86ee140 | 295 | self.market.report.log_dispatch(amount, amounts, liquidity, repartition) |
6ca5a1ec IB |
296 | return amounts |
297 | ||
f86ee140 IB |
298 | def as_json(self): |
299 | return { k: v.as_json() for k, v in self.all.items() } | |
3d0247f9 | 300 | |
6ca5a1ec | 301 | class TradeStore: |
f86ee140 IB |
302 | def __init__(self, market): |
303 | self.market = market | |
304 | self.all = [] | |
6ca5a1ec | 305 | |
aca4d437 IB |
306 | @property |
307 | def pending(self): | |
17598517 | 308 | return list(filter(lambda t: t.pending, self.all)) |
aca4d437 | 309 | |
f86ee140 | 310 | def compute_trades(self, values_in_base, new_repartition, only=None): |
3d0247f9 | 311 | computed_trades = [] |
6ca5a1ec | 312 | base_currency = sum(values_in_base.values()).currency |
f86ee140 | 313 | for currency in self.market.balances.currencies(): |
6ca5a1ec IB |
314 | if currency == base_currency: |
315 | continue | |
316 | value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0)) | |
317 | value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0)) | |
1aa7d4fa | 318 | |
6ca5a1ec | 319 | if value_from.value * value_to.value < 0: |
f86ee140 | 320 | computed_trades.append(self.trade_if_matching( |
1aa7d4fa | 321 | value_from, portfolio.Amount(base_currency, 0), |
f86ee140 IB |
322 | currency, only=only)) |
323 | computed_trades.append(self.trade_if_matching( | |
1aa7d4fa | 324 | portfolio.Amount(base_currency, 0), value_to, |
f86ee140 | 325 | currency, only=only)) |
6ca5a1ec | 326 | else: |
f86ee140 | 327 | computed_trades.append(self.trade_if_matching( |
3d0247f9 | 328 | value_from, value_to, |
f86ee140 | 329 | currency, only=only)) |
3d0247f9 IB |
330 | for matching, trade in computed_trades: |
331 | if matching: | |
f86ee140 IB |
332 | self.all.append(trade) |
333 | self.market.report.log_trades(computed_trades, only) | |
1aa7d4fa | 334 | |
f86ee140 IB |
335 | def trade_if_matching(self, value_from, value_to, currency, |
336 | only=None): | |
1aa7d4fa | 337 | trade = portfolio.Trade(value_from, value_to, currency, |
f86ee140 | 338 | self.market) |
3d0247f9 IB |
339 | matching = only is None or trade.action == only |
340 | return [matching, trade] | |
6ca5a1ec | 341 | |
f86ee140 | 342 | def prepare_orders(self, only=None, compute_value="default"): |
3d0247f9 | 343 | orders = [] |
aca4d437 | 344 | for trade in self.pending: |
6ca5a1ec | 345 | if only is None or trade.action == only: |
3d0247f9 | 346 | orders.append(trade.prepare_order(compute_value=compute_value)) |
f86ee140 | 347 | self.market.report.log_orders(orders, only, compute_value) |
6ca5a1ec | 348 | |
17598517 IB |
349 | def close_trades(self): |
350 | for trade in self.all: | |
351 | trade.close() | |
352 | ||
f86ee140 IB |
353 | def print_all_with_order(self, ind=""): |
354 | for trade in self.all: | |
3d0247f9 | 355 | trade.print_with_order(ind=ind) |
6ca5a1ec | 356 | |
f86ee140 IB |
357 | def run_orders(self): |
358 | orders = self.all_orders(state="pending") | |
3d0247f9 | 359 | for order in orders: |
6ca5a1ec | 360 | order.run() |
f86ee140 IB |
361 | self.market.report.log_stage("run_orders") |
362 | self.market.report.log_orders(orders) | |
6ca5a1ec | 363 | |
f86ee140 IB |
364 | def all_orders(self, state=None): |
365 | all_orders = sum(map(lambda v: v.orders, self.all), []) | |
6ca5a1ec IB |
366 | if state is None: |
367 | return all_orders | |
368 | else: | |
369 | return list(filter(lambda o: o.status == state, all_orders)) | |
370 | ||
f86ee140 IB |
371 | def update_all_orders_status(self): |
372 | for order in self.all_orders(state="open"): | |
6ca5a1ec IB |
373 | order.get_status() |
374 | ||
dc1ca9a3 IB |
375 | class NoopLock: |
376 | def __enter__(self, *args): | |
377 | pass | |
378 | def __exit__(self, *args): | |
379 | pass | |
380 | ||
381 | class LockedVar: | |
382 | def __init__(self, value): | |
383 | self.lock = NoopLock() | |
384 | self.val = value | |
385 | ||
386 | def start_lock(self): | |
387 | import threading | |
388 | self.lock = threading.Lock() | |
389 | ||
390 | def set(self, value): | |
391 | with self.lock: | |
392 | self.val = value | |
393 | ||
394 | def get(self, key=None): | |
395 | with self.lock: | |
396 | if key is not None and isinstance(self.val, dict): | |
397 | return self.val.get(key) | |
398 | else: | |
399 | return self.val | |
400 | ||
401 | def __getattr__(self, key): | |
402 | with self.lock: | |
403 | return getattr(self.val, key) | |
404 | ||
ada1b5f1 IB |
405 | class Portfolio: |
406 | URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" | |
dc1ca9a3 IB |
407 | data = LockedVar(None) |
408 | liquidities = LockedVar({}) | |
409 | last_date = LockedVar(None) | |
e7d7c0e5 | 410 | report = LockedVar(ReportStore(None, no_http_dup=True)) |
dc1ca9a3 | 411 | worker = None |
a0dcf4e0 | 412 | worker_tag = "" |
dc1ca9a3 IB |
413 | worker_started = False |
414 | worker_notify = None | |
415 | callback = None | |
416 | ||
417 | @classmethod | |
418 | def start_worker(cls, poll=30): | |
419 | import threading | |
420 | ||
421 | cls.worker = threading.Thread(name="portfolio", daemon=True, | |
422 | target=cls.wait_for_notification, kwargs={"poll": poll}) | |
423 | cls.worker_notify = threading.Event() | |
424 | cls.callback = threading.Event() | |
425 | ||
426 | cls.last_date.start_lock() | |
427 | cls.liquidities.start_lock() | |
428 | cls.report.start_lock() | |
429 | ||
a0dcf4e0 | 430 | cls.worker_tag = "[Worker] " |
dc1ca9a3 IB |
431 | cls.worker_started = True |
432 | cls.worker.start() | |
433 | ||
434 | @classmethod | |
435 | def is_worker_thread(cls): | |
436 | if cls.worker is None: | |
437 | return False | |
438 | else: | |
439 | import threading | |
440 | return cls.worker == threading.current_thread() | |
441 | ||
442 | @classmethod | |
443 | def wait_for_notification(cls, poll=30): | |
444 | if not cls.is_worker_thread(): | |
445 | raise RuntimeError("This method needs to be ran with the worker") | |
446 | while cls.worker_started: | |
447 | cls.worker_notify.wait() | |
e7d7c0e5 IB |
448 | if cls.worker_started: |
449 | cls.worker_notify.clear() | |
a0dcf4e0 | 450 | cls.report.print_log("[Worker] Fetching cryptoportfolio") |
e7d7c0e5 IB |
451 | cls.get_cryptoportfolio(refetch=True) |
452 | cls.callback.set() | |
453 | time.sleep(poll) | |
454 | ||
455 | @classmethod | |
456 | def stop_worker(cls): | |
457 | cls.worker_started = False | |
458 | cls.worker_notify.set() | |
ada1b5f1 IB |
459 | |
460 | @classmethod | |
dc1ca9a3 IB |
461 | def notify_and_wait(cls): |
462 | cls.callback.clear() | |
463 | cls.worker_notify.set() | |
464 | cls.callback.wait() | |
465 | ||
466 | @classmethod | |
467 | def wait_for_recent(cls, delta=4, poll=30): | |
ada1b5f1 | 468 | cls.get_cryptoportfolio() |
e7d7c0e5 | 469 | while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta): |
dc1ca9a3 IB |
470 | if cls.worker is None: |
471 | time.sleep(poll) | |
472 | cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio") | |
ada1b5f1 IB |
473 | cls.get_cryptoportfolio(refetch=True) |
474 | ||
475 | @classmethod | |
476 | def repartition(cls, liquidity="medium"): | |
477 | cls.get_cryptoportfolio() | |
dc1ca9a3 IB |
478 | liquidities = cls.liquidities.get(liquidity) |
479 | return liquidities[cls.last_date.get()] | |
ada1b5f1 IB |
480 | |
481 | @classmethod | |
482 | def get_cryptoportfolio(cls, refetch=False): | |
dc1ca9a3 IB |
483 | if cls.data.get() is not None and not refetch: |
484 | return | |
485 | if cls.worker is not None and not cls.is_worker_thread(): | |
486 | cls.notify_and_wait() | |
ada1b5f1 IB |
487 | return |
488 | try: | |
489 | r = requests.get(cls.URL) | |
490 | cls.report.log_http_request(r.request.method, | |
491 | r.request.url, r.request.body, r.request.headers, r) | |
492 | except Exception as e: | |
a0dcf4e0 | 493 | cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e) |
ada1b5f1 IB |
494 | return |
495 | try: | |
dc1ca9a3 | 496 | cls.data.set(r.json(parse_int=D, parse_float=D)) |
ada1b5f1 IB |
497 | cls.parse_cryptoportfolio() |
498 | except (JSONDecodeError, SimpleJSONDecodeError): | |
dc1ca9a3 IB |
499 | cls.data.set(None) |
500 | cls.last_date.set(None) | |
501 | cls.liquidities.set({}) | |
ada1b5f1 IB |
502 | |
503 | @classmethod | |
504 | def parse_cryptoportfolio(cls): | |
505 | def filter_weights(weight_hash): | |
506 | if weight_hash[1][0] == 0: | |
507 | return False | |
508 | if weight_hash[0] == "_row": | |
509 | return False | |
510 | return True | |
511 | ||
512 | def clean_weights(i): | |
513 | def clean_weights_(h): | |
514 | if h[0].endswith("s"): | |
515 | return [h[0][0:-1], (h[1][i], "short")] | |
516 | else: | |
517 | return [h[0], (h[1][i], "long")] | |
518 | return clean_weights_ | |
519 | ||
520 | def parse_weights(portfolio_hash): | |
dc1ca9a3 IB |
521 | if "weights" not in portfolio_hash: |
522 | return {} | |
ada1b5f1 IB |
523 | weights_hash = portfolio_hash["weights"] |
524 | weights = {} | |
525 | for i in range(len(weights_hash["_row"])): | |
e7d7c0e5 | 526 | date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d") |
ada1b5f1 IB |
527 | weights[date] = dict(filter( |
528 | filter_weights, | |
529 | map(clean_weights(i), weights_hash.items()))) | |
530 | return weights | |
531 | ||
dc1ca9a3 IB |
532 | high_liquidity = parse_weights(cls.data.get("portfolio_1")) |
533 | medium_liquidity = parse_weights(cls.data.get("portfolio_2")) | |
ada1b5f1 | 534 | |
dc1ca9a3 IB |
535 | cls.liquidities.set({ |
536 | "medium": medium_liquidity, | |
537 | "high": high_liquidity, | |
538 | }) | |
539 | cls.last_date.set(max( | |
e7d7c0e5 IB |
540 | max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)), |
541 | max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1)) | |
dc1ca9a3 | 542 | )) |
ada1b5f1 | 543 |