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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 | try: | |
50 | if self.report_path is not None: | |
51 | report_file = "{}/{}_{}.json".format(self.report_path, datetime.now().isoformat(), self.user_id) | |
52 | with open(report_file, "w") as f: | |
53 | f.write(self.report.to_json()) | |
54 | except Exception as e: | |
55 | print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) | |
56 | ||
57 | def process(self, actions, before=False, after=False): | |
58 | try: | |
59 | if len(actions or []) == 0: | |
60 | if before: | |
61 | self.processor.process("sell_all", steps="before") | |
62 | if after: | |
63 | self.processor.process("sell_all", steps="after") | |
64 | else: | |
65 | for action in actions: | |
66 | if hasattr(self, action): | |
67 | getattr(self, action)() | |
68 | else: | |
69 | self.report.log_error("market_process", message="Unknown action {}".format(action)) | |
70 | except Exception as e: | |
71 | self.report.log_error("market_process", exception=e) | |
72 | finally: | |
73 | self.store_report() | |
74 | ||
75 | def move_balances(self): | |
76 | needed_in_margin = {} | |
77 | moving_to_margin = {} | |
78 | ||
79 | for currency, balance in self.balances.all.items(): | |
80 | needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain | |
81 | for trade in self.trades.pending: | |
82 | needed_in_margin.setdefault(trade.base_currency, 0) | |
83 | if trade.trade_type == "short": | |
84 | needed_in_margin[trade.base_currency] -= trade.delta | |
85 | for currency, needed in needed_in_margin.items(): | |
86 | current_balance = self.balances.all[currency].margin_available | |
87 | moving_to_margin[currency] = (needed - current_balance) | |
88 | delta = moving_to_margin[currency].value | |
89 | if self.debug and delta != 0: | |
90 | self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency])) | |
91 | continue | |
92 | if delta > 0: | |
93 | self.ccxt.transfer_balance(currency, delta, "exchange", "margin") | |
94 | elif delta < 0: | |
95 | self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") | |
96 | self.report.log_move_balances(needed_in_margin, moving_to_margin) | |
97 | ||
98 | self.balances.fetch_balances() | |
99 | ||
100 | @ttl_cache(ttl=3600) | |
101 | def fetch_fees(self): | |
102 | return self.ccxt.fetch_fees() | |
103 | ||
104 | @ttl_cache(maxsize=20, ttl=5) | |
105 | def get_tickers(self, refresh=False): | |
106 | try: | |
107 | return self.ccxt.fetch_tickers() | |
108 | except NotSupported: | |
109 | return None | |
110 | ||
111 | @ttl_cache(maxsize=20, ttl=5) | |
112 | def get_ticker(self, c1, c2, refresh=False): | |
113 | def invert(ticker): | |
114 | return { | |
115 | "inverted": True, | |
116 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
117 | "original": ticker, | |
118 | } | |
119 | def augment_ticker(ticker): | |
120 | ticker.update({ | |
121 | "inverted": False, | |
122 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
123 | }) | |
124 | return ticker | |
125 | ||
126 | tickers = self.get_tickers() | |
127 | if tickers is None: | |
128 | try: | |
129 | ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) | |
130 | except ExchangeError: | |
131 | try: | |
132 | ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) | |
133 | except ExchangeError: | |
134 | ticker = None | |
135 | else: | |
136 | if "{}/{}".format(c1, c2) in tickers: | |
137 | ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) | |
138 | elif "{}/{}".format(c2, c1) in tickers: | |
139 | ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) | |
140 | else: | |
141 | ticker = None | |
142 | return ticker | |
143 | ||
144 | def follow_orders(self, sleep=None): | |
145 | if sleep is None: | |
146 | sleep = 7 if self.debug else 30 | |
147 | if self.debug: | |
148 | self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) | |
149 | tick = 0 | |
150 | self.report.log_stage("follow_orders_begin") | |
151 | while len(self.trades.all_orders(state="open")) > 0: | |
152 | time.sleep(sleep) | |
153 | tick += 1 | |
154 | open_orders = self.trades.all_orders(state="open") | |
155 | self.report.log_stage("follow_orders_tick_{}".format(tick)) | |
156 | self.report.log_orders(open_orders, tick=tick) | |
157 | for order in open_orders: | |
158 | if order.get_status() != "open": | |
159 | self.report.log_order(order, tick, finished=True) | |
160 | else: | |
161 | order.trade.update_order(order, tick) | |
162 | self.report.log_stage("follow_orders_end") | |
163 | ||
164 | def prepare_trades(self, base_currency="BTC", liquidity="medium", | |
165 | compute_value="average", repartition=None, only=None): | |
166 | ||
167 | self.report.log_stage("prepare_trades", | |
168 | base_currency=base_currency, liquidity=liquidity, | |
169 | compute_value=compute_value, only=only, | |
170 | repartition=repartition) | |
171 | ||
172 | values_in_base = self.balances.in_currency(base_currency, | |
173 | compute_value=compute_value) | |
174 | total_base_value = sum(values_in_base.values()) | |
175 | new_repartition = self.balances.dispatch_assets(total_base_value, | |
176 | liquidity=liquidity, repartition=repartition) | |
177 | self.trades.compute_trades(values_in_base, new_repartition, only=only) | |
178 | ||
179 | # Helpers | |
180 | def print_orders(self, base_currency="BTC"): | |
181 | self.report.log_stage("print_orders") | |
182 | self.balances.fetch_balances(tag="print_orders") | |
183 | self.prepare_trades(base_currency=base_currency, compute_value="average") | |
184 | self.trades.prepare_orders(compute_value="average") | |
185 | ||
186 | def print_balances(self, base_currency="BTC"): | |
187 | self.report.log_stage("print_balances") | |
188 | self.balances.fetch_balances() | |
189 | if base_currency is not None: | |
190 | self.report.print_log("total:") | |
191 | self.report.print_log(sum(self.balances.in_currency(base_currency).values())) | |
192 | ||
193 | class Processor: | |
194 | scenarios = { | |
195 | "sell_needed": [ | |
196 | { | |
197 | "name": "wait", | |
198 | "number": 0, | |
199 | "before": False, | |
200 | "after": True, | |
201 | "wait_for_recent": {}, | |
202 | }, | |
203 | { | |
204 | "name": "sell", | |
205 | "number": 1, | |
206 | "before": False, | |
207 | "after": True, | |
208 | "fetch_balances": ["begin", "end"], | |
209 | "prepare_trades": {}, | |
210 | "prepare_orders": { "only": "dispose", "compute_value": "average" }, | |
211 | "run_orders": {}, | |
212 | "follow_orders": {}, | |
213 | "close_trades": {}, | |
214 | }, | |
215 | { | |
216 | "name": "buy", | |
217 | "number": 2, | |
218 | "before": False, | |
219 | "after": True, | |
220 | "fetch_balances": ["begin", "end"], | |
221 | "prepare_trades": { "only": "acquire" }, | |
222 | "prepare_orders": { "only": "acquire", "compute_value": "average" }, | |
223 | "move_balances": {}, | |
224 | "run_orders": {}, | |
225 | "follow_orders": {}, | |
226 | "close_trades": {}, | |
227 | }, | |
228 | ], | |
229 | "sell_all": [ | |
230 | { | |
231 | "name": "all_sell", | |
232 | "number": 1, | |
233 | "before": True, | |
234 | "after": False, | |
235 | "fetch_balances": ["begin", "end"], | |
236 | "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, | |
237 | "prepare_orders": { "compute_value": "average" }, | |
238 | "run_orders": {}, | |
239 | "follow_orders": {}, | |
240 | "close_trades": {}, | |
241 | }, | |
242 | { | |
243 | "name": "wait", | |
244 | "number": 2, | |
245 | "before": False, | |
246 | "after": True, | |
247 | "wait_for_recent": {}, | |
248 | }, | |
249 | { | |
250 | "name": "all_buy", | |
251 | "number": 3, | |
252 | "before": False, | |
253 | "after": True, | |
254 | "fetch_balances": ["begin", "end"], | |
255 | "prepare_trades": {}, | |
256 | "prepare_orders": { "compute_value": "average" }, | |
257 | "move_balances": {}, | |
258 | "run_orders": {}, | |
259 | "follow_orders": {}, | |
260 | "close_trades": {}, | |
261 | }, | |
262 | ] | |
263 | } | |
264 | ||
265 | ordered_actions = [ | |
266 | "wait_for_recent", "prepare_trades", "prepare_orders", | |
267 | "move_balances", "run_orders", "follow_orders", | |
268 | "close_trades"] | |
269 | ||
270 | def __init__(self, market): | |
271 | self.market = market | |
272 | ||
273 | def select_steps(self, scenario, step): | |
274 | if step == "all": | |
275 | return scenario | |
276 | elif step == "before" or step == "after": | |
277 | return list(filter(lambda x: step in x and x[step], scenario)) | |
278 | elif type(step) == int: | |
279 | return [scenario[step-1]] | |
280 | elif type(step) == str: | |
281 | return list(filter(lambda x: x["name"] == step, scenario)) | |
282 | else: | |
283 | raise TypeError("Unknown step {}".format(step)) | |
284 | ||
285 | def process(self, scenario_name, steps="all", **kwargs): | |
286 | scenario = self.scenarios[scenario_name] | |
287 | selected_steps = [] | |
288 | ||
289 | if type(steps) == str or type(steps) == int: | |
290 | selected_steps += self.select_steps(scenario, steps) | |
291 | else: | |
292 | for step in steps: | |
293 | selected_steps += self.select_steps(scenario, step) | |
294 | for step in selected_steps: | |
295 | self.process_step(scenario_name, step, kwargs) | |
296 | ||
297 | def process_step(self, scenario_name, step, kwargs): | |
298 | process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) | |
299 | self.market.report.log_stage("{}_begin".format(process_name)) | |
300 | if "begin" in step.get("fetch_balances", []): | |
301 | self.market.balances.fetch_balances(tag="{}_begin".format(process_name)) | |
302 | ||
303 | for action in self.ordered_actions: | |
304 | if action in step: | |
305 | self.run_action(action, step[action], kwargs) | |
306 | ||
307 | if "end" in step.get("fetch_balances", []): | |
308 | self.market.balances.fetch_balances(tag="{}_end".format(process_name)) | |
309 | self.market.report.log_stage("{}_end".format(process_name)) | |
310 | ||
311 | def method_arguments(self, action): | |
312 | import inspect | |
313 | ||
314 | if action == "wait_for_recent": | |
315 | method = portfolio.Portfolio.wait_for_recent | |
316 | elif action == "prepare_trades": | |
317 | method = self.market.prepare_trades | |
318 | elif action == "prepare_orders": | |
319 | method = self.market.trades.prepare_orders | |
320 | elif action == "move_balances": | |
321 | method = self.market.move_balances | |
322 | elif action == "run_orders": | |
323 | method = self.market.trades.run_orders | |
324 | elif action == "follow_orders": | |
325 | method = self.market.follow_orders | |
326 | elif action == "close_trades": | |
327 | method = self.market.trades.close_trades | |
328 | ||
329 | signature = inspect.getfullargspec(method) | |
330 | defaults = signature.defaults or [] | |
331 | kwargs = signature.args[-len(defaults):] | |
332 | ||
333 | return [method, kwargs] | |
334 | ||
335 | def parse_args(self, action, default_args, kwargs): | |
336 | method, allowed_arguments = self.method_arguments(action) | |
337 | args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments } | |
338 | ||
339 | if "repartition" in args and "base_currency" in args["repartition"]: | |
340 | r = args["repartition"] | |
341 | r[args.get("base_currency", "BTC")] = r.pop("base_currency") | |
342 | ||
343 | return method, args | |
344 | ||
345 | def run_action(self, action, default_args, kwargs): | |
346 | method, args = self.parse_args(action, default_args, kwargs) | |
347 | ||
348 | if action == "wait_for_recent": | |
349 | method(self.market, **args) | |
350 | else: | |
351 | method(**args) | |
352 |