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1 | from ccxt import * | |
2 | import decimal | |
3 | import time | |
4 | from retry.api import retry_call | |
5 | import re | |
6 | ||
7 | def _cw_exchange_sum(self, *args): | |
8 | return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))]) | |
9 | Exchange.sum = _cw_exchange_sum | |
10 | ||
11 | class poloniexE(poloniex): | |
12 | RETRIABLE_CALLS = [ | |
13 | re.compile(r"^return"), | |
14 | re.compile(r"^cancel"), | |
15 | re.compile(r"^closeMarginPosition$"), | |
16 | re.compile(r"^getMarginPosition$"), | |
17 | ] | |
18 | ||
19 | def request(self, path, api='public', method='GET', params={}, headers=None, body=None): | |
20 | """ | |
21 | Wrapped to allow retry of non-posting requests" | |
22 | """ | |
23 | ||
24 | origin_request = super(poloniexE, self).request | |
25 | kwargs = { | |
26 | "api": api, | |
27 | "method": method, | |
28 | "params": params, | |
29 | "headers": headers, | |
30 | "body": body | |
31 | } | |
32 | ||
33 | retriable = any(re.match(call, path) for call in self.RETRIABLE_CALLS) | |
34 | if api == "public" or method == "GET" or retriable: | |
35 | return retry_call(origin_request, fargs=[path], fkwargs=kwargs, | |
36 | tries=10, delay=1, exceptions=(RequestTimeout,)) | |
37 | else: | |
38 | return origin_request(path, **kwargs) | |
39 | ||
40 | def __init__(self, *args, **kwargs): | |
41 | super(poloniexE, self).__init__(*args, **kwargs) | |
42 | ||
43 | # For requests logging | |
44 | self.session.origin_request = self.session.request | |
45 | self.session._parent = self | |
46 | ||
47 | def request_wrap(self, *args, **kwargs): | |
48 | r = self.origin_request(*args, **kwargs) | |
49 | self._parent._market.report.log_http_request(args[0], | |
50 | args[1], kwargs["data"], kwargs["headers"], r) | |
51 | return r | |
52 | self.session.request = request_wrap.__get__(self.session, | |
53 | self.session.__class__) | |
54 | ||
55 | @staticmethod | |
56 | def nanoseconds(): | |
57 | return int(time.time() * 1000000000) | |
58 | ||
59 | def fetch_margin_balance(self): | |
60 | """ | |
61 | portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"}) | |
62 | See DASH/BTC positions | |
63 | {'amount': '-0.10000000', -> DASH empruntés (à rendre) | |
64 | 'basePrice': '0.06818560', -> à ce prix là (0.06828800 demandé * (1-0.15%)) | |
65 | 'lendingFees': '0.00000000', -> ce que je dois à mon créditeur en intérêts | |
66 | 'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin) | |
67 | 'pl': '-0.00000371', -> plus-value latente si je rachète tout de suite (négatif = perdu) | |
68 | 'total': '0.00681856', -> valeur totale empruntée en BTC (au moment de l'échange) | |
69 | = amount * basePrice à erreur d'arrondi près | |
70 | 'type': 'short'} | |
71 | """ | |
72 | positions = self.privatePostGetMarginPosition({"currencyPair": "all"}) | |
73 | parsed = {} | |
74 | for symbol, position in positions.items(): | |
75 | if position["type"] == "none": | |
76 | continue | |
77 | base_currency, currency = symbol.split("_") | |
78 | parsed[currency] = { | |
79 | "amount": decimal.Decimal(position["amount"]), | |
80 | "borrowedPrice": decimal.Decimal(position["basePrice"]), | |
81 | "lendingFees": decimal.Decimal(position["lendingFees"]), | |
82 | "pl": decimal.Decimal(position["pl"]), | |
83 | "liquidationPrice": decimal.Decimal(position["liquidationPrice"]), | |
84 | "type": position["type"], | |
85 | "total": decimal.Decimal(position["total"]), | |
86 | "baseCurrency": base_currency, | |
87 | } | |
88 | return parsed | |
89 | ||
90 | def fetch_balance_per_type(self): | |
91 | balances = self.privatePostReturnAvailableAccountBalances() | |
92 | result = {'info': balances} | |
93 | for key, balance in balances.items(): | |
94 | result[key] = {} | |
95 | for currency, amount in balance.items(): | |
96 | result.setdefault(currency, {}) | |
97 | result[currency][key] = decimal.Decimal(amount) | |
98 | result[key][currency] = decimal.Decimal(amount) | |
99 | return result | |
100 | ||
101 | def fetch_all_balances(self): | |
102 | exchange_balances = self.fetch_balance() | |
103 | margin_balances = self.fetch_margin_balance() | |
104 | balances_per_type = self.fetch_balance_per_type() | |
105 | ||
106 | all_balances = {} | |
107 | in_positions = {} | |
108 | pending_pl = {} | |
109 | ||
110 | for currency, exchange_balance in exchange_balances.items(): | |
111 | if currency in ["info", "free", "used", "total"]: | |
112 | continue | |
113 | ||
114 | margin_balance = margin_balances.get(currency, {}) | |
115 | balance_per_type = balances_per_type.get(currency, {}) | |
116 | ||
117 | all_balances[currency] = { | |
118 | "total": exchange_balance["total"] + margin_balance.get("amount", 0), | |
119 | "exchange_used": exchange_balance["used"], | |
120 | "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0), | |
121 | "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0), | |
122 | # Disponible sur le compte margin | |
123 | "margin_available": balance_per_type.get("margin", 0), | |
124 | # Bloqué en position | |
125 | "margin_in_position": 0, | |
126 | # Emprunté | |
127 | "margin_borrowed": -margin_balance.get("amount", 0), | |
128 | # Total | |
129 | "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0), | |
130 | "margin_pending_gain": 0, | |
131 | "margin_lending_fees": margin_balance.get("lendingFees", 0), | |
132 | "margin_pending_base_gain": margin_balance.get("pl", 0), | |
133 | "margin_position_type": margin_balance.get("type", None), | |
134 | "margin_liquidation_price": margin_balance.get("liquidationPrice", 0), | |
135 | "margin_borrowed_base_price": margin_balance.get("total", 0), | |
136 | "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None), | |
137 | } | |
138 | if len(margin_balance) > 0: | |
139 | in_positions.setdefault(margin_balance["baseCurrency"], 0) | |
140 | in_positions[margin_balance["baseCurrency"]] += margin_balance["total"] | |
141 | ||
142 | pending_pl.setdefault(margin_balance["baseCurrency"], 0) | |
143 | pending_pl[margin_balance["baseCurrency"]] += margin_balance["pl"] | |
144 | ||
145 | # J’emprunte 0.12062983 que je revends à 0.06003598 BTC/DASH, soit 0.00724213 BTC. | |
146 | # Sur ces 0.00724213 BTC je récupère 0.00724213*(1-0.0015) = 0.00723127 BTC | |
147 | # | |
148 | # -> ordertrades ne tient pas compte des fees | |
149 | # amount = montant vendu (un seul mouvement) | |
150 | # rate = à ce taux | |
151 | # total = total en BTC (pour ce mouvement) | |
152 | # -> marginposition: | |
153 | # amount = ce que je dois rendre | |
154 | # basePrice = prix de vente en tenant compte des fees | |
155 | # (amount * basePrice = la quantité de BTC que j’ai effectivement | |
156 | # reçue à erreur d’arrondi près, utiliser plutôt "total") | |
157 | # total = la quantité de BTC que j’ai reçue | |
158 | # pl = plus value actuelle si je rachetais tout de suite | |
159 | # -> marginaccountsummary: | |
160 | # currentMargin = La marge actuelle (= netValue/totalBorrowedValue) | |
161 | # totalValue = BTC actuellement en margin (déposé) | |
162 | # totalBorrowedValue = sum (amount * ticker[lowestAsk]) | |
163 | # pl = sum(pl) | |
164 | # netValue = BTC actuellement en margin (déposé) + pl | |
165 | # Exemple: | |
166 | # In [38]: m.ccxt.private_post_returnordertrades({"orderNumber": "XXXXXXXXXXXX"}) | |
167 | # Out[38]: | |
168 | # [{'amount': '0.11882982', | |
169 | # 'currencyPair': 'BTC_DASH', | |
170 | # 'date': '2018-02-26 22:48:35', | |
171 | # 'fee': '0.00150000', | |
172 | # 'globalTradeID': 348891380, | |
173 | # 'rate': '0.06003598', | |
174 | # 'total': '0.00713406', | |
175 | # 'tradeID': 9634443, | |
176 | # 'type': 'sell'}, | |
177 | # {'amount': '0.00180000', | |
178 | # 'currencyPair': 'BTC_DASH', | |
179 | # 'date': '2018-02-26 22:48:30', | |
180 | # 'fee': '0.00150000', | |
181 | # 'globalTradeID': 348891375, | |
182 | # 'rate': '0.06003598', | |
183 | # 'total': '0.00010806', | |
184 | # 'tradeID': 9634442, | |
185 | # 'type': 'sell'}] | |
186 | # | |
187 | # In [51]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"}) | |
188 | # Out[51]: | |
189 | # {'amount': '-0.12062982', | |
190 | # 'basePrice': '0.05994587', | |
191 | # 'lendingFees': '0.00000000', | |
192 | # 'liquidationPrice': '0.15531479', | |
193 | # 'pl': '0.00000122', | |
194 | # 'total': '0.00723126', | |
195 | # 'type': 'short'} | |
196 | # In [52]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_BTS"}) | |
197 | # Out[52]: | |
198 | # {'amount': '-332.97159188', | |
199 | # 'basePrice': '0.00002171', | |
200 | # 'lendingFees': '0.00000000', | |
201 | # 'liquidationPrice': '0.00005543', | |
202 | # 'pl': '0.00029548', | |
203 | # 'total': '0.00723127', | |
204 | # 'type': 'short'} | |
205 | # | |
206 | # In [53]: m.ccxt.privatePostReturnMarginAccountSummary() | |
207 | # Out[53]: | |
208 | # {'currentMargin': '1.04341991', | |
209 | # 'lendingFees': '0.00000000', | |
210 | # 'netValue': '0.01478093', | |
211 | # 'pl': '0.00029666', | |
212 | # 'totalBorrowedValue': '0.01416585', | |
213 | # 'totalValue': '0.01448427'} | |
214 | ||
215 | for currency, in_position in in_positions.items(): | |
216 | all_balances[currency]["total"] += in_position | |
217 | all_balances[currency]["margin_in_position"] += in_position | |
218 | all_balances[currency]["margin_total"] += in_position | |
219 | ||
220 | for currency, pl in pending_pl.items(): | |
221 | all_balances[currency]["margin_pending_gain"] += pl | |
222 | ||
223 | return all_balances | |
224 | ||
225 | def create_exchange_order(self, symbol, type, side, amount, price=None, params={}): | |
226 | return super(poloniexE, self).create_order(symbol, type, side, amount, price=price, params=params) | |
227 | ||
228 | def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}): | |
229 | if type == 'market': | |
230 | raise ExchangeError(self.id + ' allows limit orders only') | |
231 | self.load_markets() | |
232 | method = 'privatePostMargin' + self.capitalize(side) | |
233 | market = self.market(symbol) | |
234 | price = float(price) | |
235 | amount = float(amount) | |
236 | if lending_rate is not None: | |
237 | params = self.extend({"lendingRate": lending_rate}, params) | |
238 | response = getattr(self, method)(self.extend({ | |
239 | 'currencyPair': market['id'], | |
240 | 'rate': self.price_to_precision(symbol, price), | |
241 | 'amount': self.amount_to_precision(symbol, amount), | |
242 | }, params)) | |
243 | timestamp = self.milliseconds() | |
244 | order = self.parse_order(self.extend({ | |
245 | 'timestamp': timestamp, | |
246 | 'status': 'open', | |
247 | 'type': type, | |
248 | 'side': side, | |
249 | 'price': price, | |
250 | 'amount': amount, | |
251 | }, response), market) | |
252 | id = order['id'] | |
253 | self.orders[id] = order | |
254 | return self.extend({'info': response}, order) | |
255 | ||
256 | def order_precision(self, symbol): | |
257 | return 8 | |
258 | ||
259 | def transfer_balance(self, currency, amount, from_account, to_account): | |
260 | result = self.privatePostTransferBalance({ | |
261 | "currency": currency, | |
262 | "amount": amount, | |
263 | "fromAccount": from_account, | |
264 | "toAccount": to_account, | |
265 | "confirmed": 1}) | |
266 | return result["success"] == 1 | |
267 | ||
268 | def close_margin_position(self, currency, base_currency): | |
269 | """ | |
270 | closeMarginPosition({"currencyPair": "BTC_DASH"}) | |
271 | fermer la position au prix du marché | |
272 | """ | |
273 | symbol = "{}_{}".format(base_currency, currency) | |
274 | self.privatePostCloseMarginPosition({"currencyPair": symbol}) | |
275 | ||
276 | def tradable_balances(self): | |
277 | """ | |
278 | portfolio.market.privatePostReturnTradableBalances() | |
279 | Returns tradable balances in margin | |
280 | 'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'}, | |
281 | Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte) | |
282 | 'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'}, | |
283 | Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM | |
284 | """ | |
285 | ||
286 | tradable_balances = self.privatePostReturnTradableBalances() | |
287 | for symbol, balances in tradable_balances.items(): | |
288 | for currency, balance in balances.items(): | |
289 | balances[currency] = decimal.Decimal(balance) | |
290 | return tradable_balances | |
291 | ||
292 | def margin_summary(self): | |
293 | """ | |
294 | portfolio.market.privatePostReturnMarginAccountSummary() | |
295 | Returns current informations for margin | |
296 | {'currentMargin': '1.49680968', -> marge (ne doit pas descendre sous 20% / 0.2) | |
297 | = netValue / totalBorrowedValue | |
298 | 'lendingFees': '0.00000000', -> fees totaux | |
299 | 'netValue': '0.01008254', -> balance + plus-value | |
300 | 'pl': '0.00008254', -> plus value latente (somme des positions) | |
301 | 'totalBorrowedValue': '0.00673602', -> valeur empruntée convertie en BTC. | |
302 | (= sum(amount * ticker[lowerAsk]) pour amount dans marginposition) | |
303 | 'totalValue': '0.01000000'} -> balance (collateral déposé en margin) | |
304 | """ | |
305 | summary = self.privatePostReturnMarginAccountSummary() | |
306 | ||
307 | return { | |
308 | "current_margin": decimal.Decimal(summary["currentMargin"]), | |
309 | "lending_fees": decimal.Decimal(summary["lendingFees"]), | |
310 | "gains": decimal.Decimal(summary["pl"]), | |
311 | "total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]), | |
312 | "total": decimal.Decimal(summary["totalValue"]), | |
313 | } | |
314 | ||
315 | def nonce(self): | |
316 | """ | |
317 | Wrapped to allow nonce with other libraries | |
318 | """ | |
319 | return self.nanoseconds() | |
320 | ||
321 | def fetch_balance(self, params={}): | |
322 | """ | |
323 | Wrapped to get decimals | |
324 | """ | |
325 | self.load_markets() | |
326 | balances = self.privatePostReturnCompleteBalances(self.extend({ | |
327 | 'account': 'all', | |
328 | }, params)) | |
329 | result = {'info': balances} | |
330 | currencies = list(balances.keys()) | |
331 | for c in range(0, len(currencies)): | |
332 | id = currencies[c] | |
333 | balance = balances[id] | |
334 | currency = self.common_currency_code(id) | |
335 | account = { | |
336 | 'free': decimal.Decimal(balance['available']), | |
337 | 'used': decimal.Decimal(balance['onOrders']), | |
338 | 'total': decimal.Decimal(0.0), | |
339 | } | |
340 | account['total'] = self.sum(account['free'], account['used']) | |
341 | result[currency] = account | |
342 | return self.parse_balance(result) | |
343 | ||
344 | def parse_ticker(self, ticker, market=None): | |
345 | """ | |
346 | Wrapped to get decimals | |
347 | """ | |
348 | timestamp = self.milliseconds() | |
349 | symbol = None | |
350 | if market: | |
351 | symbol = market['symbol'] | |
352 | return { | |
353 | 'symbol': symbol, | |
354 | 'timestamp': timestamp, | |
355 | 'datetime': self.iso8601(timestamp), | |
356 | 'high': decimal.Decimal(ticker['high24hr']), | |
357 | 'low': decimal.Decimal(ticker['low24hr']), | |
358 | 'bid': decimal.Decimal(ticker['highestBid']), | |
359 | 'ask': decimal.Decimal(ticker['lowestAsk']), | |
360 | 'vwap': None, | |
361 | 'open': None, | |
362 | 'close': None, | |
363 | 'first': None, | |
364 | 'last': decimal.Decimal(ticker['last']), | |
365 | 'change': decimal.Decimal(ticker['percentChange']), | |
366 | 'percentage': None, | |
367 | 'average': None, | |
368 | 'baseVolume': decimal.Decimal(ticker['quoteVolume']), | |
369 | 'quoteVolume': decimal.Decimal(ticker['baseVolume']), | |
370 | 'info': ticker, | |
371 | } | |
372 | ||
373 | def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}): | |
374 | """ | |
375 | Wrapped to handle margin and exchange accounts | |
376 | """ | |
377 | if account == "exchange": | |
378 | return self.create_exchange_order(symbol, type, side, amount, price=price, params=params) | |
379 | elif account == "margin": | |
380 | return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params) | |
381 | else: | |
382 | raise NotImplementedError | |
383 | ||
384 |