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1 | from ccxt import ExchangeError, NotSupported, RequestTimeout, InvalidNonce | |
2 | import ccxt_wrapper as ccxt | |
3 | import time | |
4 | import psycopg2 | |
5 | from store import * | |
6 | from cachetools.func import ttl_cache | |
7 | from datetime import datetime | |
8 | import datetime | |
9 | from retry import retry | |
10 | import portfolio | |
11 | ||
12 | class Market: | |
13 | debug = False | |
14 | ccxt = None | |
15 | report = None | |
16 | trades = None | |
17 | balances = None | |
18 | ||
19 | def __init__(self, ccxt_instance, args, **kwargs): | |
20 | self.args = args | |
21 | self.debug = args.debug | |
22 | self.ccxt = ccxt_instance | |
23 | self.ccxt._market = self | |
24 | self.report = ReportStore(self, verbose_print=(not args.quiet)) | |
25 | self.trades = TradeStore(self) | |
26 | self.balances = BalanceStore(self) | |
27 | self.processor = Processor(self) | |
28 | ||
29 | for key in ["user_id", "market_id", "pg_config"]: | |
30 | setattr(self, key, kwargs.get(key, None)) | |
31 | ||
32 | self.report.log_market(self.args) | |
33 | ||
34 | @classmethod | |
35 | def from_config(cls, config, args, **kwargs): | |
36 | config["apiKey"] = config.pop("key", None) | |
37 | ||
38 | ccxt_instance = ccxt.poloniexE(config) | |
39 | ||
40 | return cls(ccxt_instance, args, **kwargs) | |
41 | ||
42 | def store_report(self): | |
43 | self.report.merge(Portfolio.report) | |
44 | date = datetime.datetime.now() | |
45 | if self.args.report_path is not None: | |
46 | self.store_file_report(date) | |
47 | if self.pg_config is not None and self.args.report_db: | |
48 | self.store_database_report(date) | |
49 | ||
50 | def store_file_report(self, date): | |
51 | try: | |
52 | report_file = "{}/{}_{}".format(self.args.report_path, date.isoformat(), self.user_id) | |
53 | with open(report_file + ".json", "w") as f: | |
54 | f.write(self.report.to_json()) | |
55 | with open(report_file + ".log", "w") as f: | |
56 | f.write("\n".join(map(lambda x: x[1], self.report.print_logs))) | |
57 | except Exception as e: | |
58 | print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) | |
59 | ||
60 | def store_database_report(self, date): | |
61 | try: | |
62 | report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;' | |
63 | line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);' | |
64 | connection = psycopg2.connect(**self.pg_config) | |
65 | cursor = connection.cursor() | |
66 | cursor.execute(report_query, (date, self.market_id, self.debug)) | |
67 | report_id = cursor.fetchone()[0] | |
68 | for date, type_, payload in self.report.to_json_array(): | |
69 | cursor.execute(line_query, (date, report_id, type_, payload)) | |
70 | ||
71 | connection.commit() | |
72 | cursor.close() | |
73 | connection.close() | |
74 | except Exception as e: | |
75 | print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e)) | |
76 | ||
77 | def process(self, actions, before=False, after=False): | |
78 | try: | |
79 | for action in actions: | |
80 | if bool(before) is bool(after): | |
81 | self.processor.process(action, steps="all") | |
82 | elif before: | |
83 | self.processor.process(action, steps="before") | |
84 | elif after: | |
85 | self.processor.process(action, steps="after") | |
86 | except Exception as e: | |
87 | self.report.log_error("market_process", exception=e) | |
88 | finally: | |
89 | self.store_report() | |
90 | ||
91 | @retry((RequestTimeout, InvalidNonce), tries=5) | |
92 | def move_balances(self): | |
93 | needed_in_margin = {} | |
94 | moving_to_margin = {} | |
95 | ||
96 | for currency, balance in self.balances.all.items(): | |
97 | needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain | |
98 | for trade in self.trades.pending: | |
99 | needed_in_margin.setdefault(trade.base_currency, 0) | |
100 | if trade.trade_type == "short": | |
101 | needed_in_margin[trade.base_currency] -= trade.delta | |
102 | for currency, needed in needed_in_margin.items(): | |
103 | current_balance = self.balances.all[currency].margin_available | |
104 | moving_to_margin[currency] = (needed - current_balance) | |
105 | delta = moving_to_margin[currency].value | |
106 | action = "Moving {} from exchange to margin".format(moving_to_margin[currency]) | |
107 | ||
108 | if self.debug and delta != 0: | |
109 | self.report.log_debug_action(action) | |
110 | continue | |
111 | try: | |
112 | if delta > 0: | |
113 | self.ccxt.transfer_balance(currency, delta, "exchange", "margin") | |
114 | elif delta < 0: | |
115 | self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") | |
116 | except (RequestTimeout, InvalidNonce) as e: | |
117 | self.report.log_error(action, message="Retrying", exception=e) | |
118 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
119 | self.balances.fetch_balances() | |
120 | raise e | |
121 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
122 | ||
123 | self.balances.fetch_balances() | |
124 | ||
125 | @ttl_cache(ttl=3600) | |
126 | def fetch_fees(self): | |
127 | return self.ccxt.fetch_fees() | |
128 | ||
129 | @ttl_cache(maxsize=20, ttl=5) | |
130 | def get_tickers(self, refresh=False): | |
131 | try: | |
132 | return self.ccxt.fetch_tickers() | |
133 | except NotSupported: | |
134 | return None | |
135 | ||
136 | @ttl_cache(maxsize=20, ttl=5) | |
137 | def get_ticker(self, c1, c2, refresh=False): | |
138 | def invert(ticker): | |
139 | return { | |
140 | "inverted": True, | |
141 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
142 | "original": ticker, | |
143 | } | |
144 | def augment_ticker(ticker): | |
145 | ticker.update({ | |
146 | "inverted": False, | |
147 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
148 | }) | |
149 | return ticker | |
150 | ||
151 | tickers = self.get_tickers() | |
152 | if tickers is None: | |
153 | try: | |
154 | ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) | |
155 | except ExchangeError: | |
156 | try: | |
157 | ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) | |
158 | except ExchangeError: | |
159 | ticker = None | |
160 | else: | |
161 | if "{}/{}".format(c1, c2) in tickers: | |
162 | ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) | |
163 | elif "{}/{}".format(c2, c1) in tickers: | |
164 | ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) | |
165 | else: | |
166 | ticker = None | |
167 | return ticker | |
168 | ||
169 | def follow_orders(self, sleep=None): | |
170 | if sleep is None: | |
171 | sleep = 7 if self.debug else 30 | |
172 | if self.debug: | |
173 | self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
174 | tick = 0 | |
175 | self.report.log_stage("follow_orders_begin") | |
176 | while len(self.trades.all_orders(state="open")) > 0: | |
177 | time.sleep(sleep) | |
178 | tick += 1 | |
179 | open_orders = self.trades.all_orders(state="open") | |
180 | self.report.log_stage("follow_orders_tick_{}".format(tick)) | |
181 | self.report.log_orders(open_orders, tick=tick) | |
182 | for order in open_orders: | |
183 | status = order.get_status() | |
184 | if status != "open": | |
185 | self.report.log_order(order, tick, finished=True) | |
186 | else: | |
187 | order.trade.update_order(order, tick) | |
188 | if status == "error_disappeared": | |
189 | self.report.log_error("follow_orders", | |
190 | message="{} disappeared, recreating it".format(order)) | |
191 | order.trade.prepare_order( | |
192 | compute_value=order.trade.tick_actions_recreate(tick)) | |
193 | ||
194 | self.report.log_stage("follow_orders_end") | |
195 | ||
196 | def prepare_trades(self, base_currency="BTC", liquidity="medium", | |
197 | compute_value="average", repartition=None, only=None): | |
198 | ||
199 | self.report.log_stage("prepare_trades", | |
200 | base_currency=base_currency, liquidity=liquidity, | |
201 | compute_value=compute_value, only=only, | |
202 | repartition=repartition) | |
203 | ||
204 | values_in_base = self.balances.in_currency(base_currency, | |
205 | compute_value=compute_value) | |
206 | total_base_value = sum(values_in_base.values()) | |
207 | new_repartition = self.balances.dispatch_assets(total_base_value, | |
208 | liquidity=liquidity, repartition=repartition) | |
209 | self.trades.compute_trades(values_in_base, new_repartition, only=only) | |
210 | ||
211 | def print_tickers(self, base_currency="BTC"): | |
212 | if base_currency is not None: | |
213 | self.report.print_log("total:") | |
214 | self.report.print_log(sum(self.balances.in_currency(base_currency).values())) | |
215 | ||
216 | class Processor: | |
217 | scenarios = { | |
218 | "wait_for_cryptoportfolio": [ | |
219 | { | |
220 | "name": "wait", | |
221 | "number": 1, | |
222 | "before": False, | |
223 | "after": True, | |
224 | "wait_for_recent": {}, | |
225 | }, | |
226 | ], | |
227 | "print_balances": [ | |
228 | { | |
229 | "name": "print_balances", | |
230 | "number": 1, | |
231 | "fetch_balances": ["begin"], | |
232 | "print_tickers": { "base_currency": "BTC" }, | |
233 | } | |
234 | ], | |
235 | "print_orders": [ | |
236 | { | |
237 | "name": "wait", | |
238 | "number": 1, | |
239 | "before": True, | |
240 | "after": False, | |
241 | "wait_for_recent": {}, | |
242 | }, | |
243 | { | |
244 | "name": "make_orders", | |
245 | "number": 2, | |
246 | "before": False, | |
247 | "after": True, | |
248 | "fetch_balances": ["begin"], | |
249 | "prepare_trades": { "compute_value": "average" }, | |
250 | "prepare_orders": { "compute_value": "average" }, | |
251 | }, | |
252 | ], | |
253 | "sell_needed": [ | |
254 | { | |
255 | "name": "wait", | |
256 | "number": 0, | |
257 | "before": False, | |
258 | "after": True, | |
259 | "wait_for_recent": {}, | |
260 | }, | |
261 | { | |
262 | "name": "sell", | |
263 | "number": 1, | |
264 | "before": False, | |
265 | "after": True, | |
266 | "fetch_balances": ["begin", "end"], | |
267 | "prepare_trades": {}, | |
268 | "prepare_orders": { "only": "dispose", "compute_value": "average" }, | |
269 | "run_orders": {}, | |
270 | "follow_orders": {}, | |
271 | "close_trades": {}, | |
272 | }, | |
273 | { | |
274 | "name": "buy", | |
275 | "number": 2, | |
276 | "before": False, | |
277 | "after": True, | |
278 | "fetch_balances": ["begin", "end"], | |
279 | "prepare_trades": { "only": "acquire" }, | |
280 | "prepare_orders": { "only": "acquire", "compute_value": "average" }, | |
281 | "move_balances": {}, | |
282 | "run_orders": {}, | |
283 | "follow_orders": {}, | |
284 | "close_trades": {}, | |
285 | }, | |
286 | ], | |
287 | "sell_all": [ | |
288 | { | |
289 | "name": "all_sell", | |
290 | "number": 1, | |
291 | "before": True, | |
292 | "after": False, | |
293 | "fetch_balances": ["begin", "end"], | |
294 | "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, | |
295 | "prepare_orders": { "compute_value": "average" }, | |
296 | "run_orders": {}, | |
297 | "follow_orders": {}, | |
298 | "close_trades": {}, | |
299 | }, | |
300 | { | |
301 | "name": "wait", | |
302 | "number": 2, | |
303 | "before": False, | |
304 | "after": True, | |
305 | "wait_for_recent": {}, | |
306 | }, | |
307 | { | |
308 | "name": "all_buy", | |
309 | "number": 3, | |
310 | "before": False, | |
311 | "after": True, | |
312 | "fetch_balances": ["begin", "end"], | |
313 | "prepare_trades": {}, | |
314 | "prepare_orders": { "compute_value": "average" }, | |
315 | "move_balances": {}, | |
316 | "run_orders": {}, | |
317 | "follow_orders": {}, | |
318 | "close_trades": {}, | |
319 | }, | |
320 | ] | |
321 | } | |
322 | ||
323 | ordered_actions = [ | |
324 | "wait_for_recent", "prepare_trades", "prepare_orders", | |
325 | "move_balances", "run_orders", "follow_orders", | |
326 | "close_trades", "print_tickers"] | |
327 | ||
328 | def __init__(self, market): | |
329 | self.market = market | |
330 | ||
331 | def select_steps(self, scenario, step): | |
332 | if step == "all": | |
333 | return scenario | |
334 | elif step == "before" or step == "after": | |
335 | return list(filter(lambda x: x.get(step, False), scenario)) | |
336 | elif type(step) == int: | |
337 | return [scenario[step-1]] | |
338 | elif type(step) == str: | |
339 | return list(filter(lambda x: x["name"] == step, scenario)) | |
340 | else: | |
341 | raise TypeError("Unknown step {}".format(step)) | |
342 | ||
343 | def can_process(self, scenario_name): | |
344 | return scenario_name in self.scenarios | |
345 | ||
346 | def process(self, scenario_name, steps="all", **kwargs): | |
347 | if not self.can_process(scenario_name): | |
348 | raise TypeError("Unknown scenario {}".format(scenario_name)) | |
349 | scenario = self.scenarios[scenario_name] | |
350 | selected_steps = [] | |
351 | ||
352 | if type(steps) == str or type(steps) == int: | |
353 | selected_steps += self.select_steps(scenario, steps) | |
354 | else: | |
355 | for step in steps: | |
356 | selected_steps += self.select_steps(scenario, step) | |
357 | for step in selected_steps: | |
358 | self.process_step(scenario_name, step, kwargs) | |
359 | ||
360 | def process_step(self, scenario_name, step, kwargs): | |
361 | process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) | |
362 | self.market.report.log_stage("{}_begin".format(process_name)) | |
363 | if "begin" in step.get("fetch_balances", []): | |
364 | self.market.balances.fetch_balances(tag="{}_begin".format(process_name)) | |
365 | ||
366 | for action in self.ordered_actions: | |
367 | if action in step: | |
368 | self.run_action(action, step[action], kwargs) | |
369 | ||
370 | if "end" in step.get("fetch_balances", []): | |
371 | self.market.balances.fetch_balances(tag="{}_end".format(process_name)) | |
372 | self.market.report.log_stage("{}_end".format(process_name)) | |
373 | ||
374 | def method_arguments(self, action): | |
375 | import inspect | |
376 | ||
377 | if action == "wait_for_recent": | |
378 | method = Portfolio.wait_for_recent | |
379 | elif action == "prepare_trades": | |
380 | method = self.market.prepare_trades | |
381 | elif action == "prepare_orders": | |
382 | method = self.market.trades.prepare_orders | |
383 | elif action == "move_balances": | |
384 | method = self.market.move_balances | |
385 | elif action == "run_orders": | |
386 | method = self.market.trades.run_orders | |
387 | elif action == "follow_orders": | |
388 | method = self.market.follow_orders | |
389 | elif action == "close_trades": | |
390 | method = self.market.trades.close_trades | |
391 | elif action == "print_tickers": | |
392 | method = self.market.print_tickers | |
393 | ||
394 | signature = inspect.getfullargspec(method) | |
395 | defaults = signature.defaults or [] | |
396 | kwargs = signature.args[-len(defaults):] | |
397 | ||
398 | return [method, kwargs] | |
399 | ||
400 | def parse_args(self, action, default_args, kwargs): | |
401 | method, allowed_arguments = self.method_arguments(action) | |
402 | args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments } | |
403 | ||
404 | if "repartition" in args and "base_currency" in args["repartition"]: | |
405 | r = args["repartition"] | |
406 | r[args.get("base_currency", "BTC")] = r.pop("base_currency") | |
407 | ||
408 | return method, args | |
409 | ||
410 | def run_action(self, action, default_args, kwargs): | |
411 | method, args = self.parse_args(action, default_args, kwargs) | |
412 | ||
413 | method(**args) |