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