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1 | import ccxt | |
2 | import time | |
3 | from decimal import Decimal as D | |
4 | # Put your poloniex api key in market.py | |
5 | from market import market | |
6 | ||
7 | # FIXME: Améliorer le bid/ask | |
8 | # FIXME: J'essayais d'utiliser plus de bitcoins que j'en avais à disposition | |
9 | # FIXME: better compute moves to avoid rounding errors | |
10 | ||
11 | class Portfolio: | |
12 | URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" | |
13 | liquidities = {} | |
14 | data = None | |
15 | ||
16 | @classmethod | |
17 | def repartition_pertenthousand(cls, liquidity="medium"): | |
18 | cls.parse_cryptoportfolio() | |
19 | liquidities = cls.liquidities[liquidity] | |
20 | last_date = sorted(liquidities.keys())[-1] | |
21 | return liquidities[last_date] | |
22 | ||
23 | @classmethod | |
24 | def get_cryptoportfolio(cls): | |
25 | import json | |
26 | import urllib3 | |
27 | urllib3.disable_warnings() | |
28 | http = urllib3.PoolManager() | |
29 | ||
30 | try: | |
31 | r = http.request("GET", cls.URL) | |
32 | except Exception: | |
33 | return | |
34 | try: | |
35 | cls.data = json.loads(r.data, | |
36 | parse_int=D, | |
37 | parse_float=D) | |
38 | except json.JSONDecodeError: | |
39 | cls.data = None | |
40 | ||
41 | @classmethod | |
42 | def parse_cryptoportfolio(cls): | |
43 | if cls.data is None: | |
44 | cls.get_cryptoportfolio() | |
45 | ||
46 | def filter_weights(weight_hash): | |
47 | if weight_hash[1] == 0: | |
48 | return False | |
49 | if weight_hash[0] == "_row": | |
50 | return False | |
51 | return True | |
52 | ||
53 | def clean_weights(i): | |
54 | def clean_weights_(h): | |
55 | if type(h[1][i]) == str: | |
56 | return [h[0], h[1][i]] | |
57 | else: | |
58 | return [h[0], int(h[1][i] * 10000)] | |
59 | return clean_weights_ | |
60 | ||
61 | def parse_weights(portfolio_hash): | |
62 | # FIXME: we'll need shorts at some point | |
63 | assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"])) | |
64 | weights_hash = portfolio_hash["weights"] | |
65 | weights = {} | |
66 | for i in range(len(weights_hash["_row"])): | |
67 | weights[weights_hash["_row"][i]] = dict(filter( | |
68 | filter_weights, | |
69 | map(clean_weights(i), weights_hash.items()))) | |
70 | return weights | |
71 | ||
72 | high_liquidity = parse_weights(cls.data["portfolio_1"]) | |
73 | medium_liquidity = parse_weights(cls.data["portfolio_2"]) | |
74 | ||
75 | cls.liquidities = { | |
76 | "medium": medium_liquidity, | |
77 | "high": high_liquidity, | |
78 | } | |
79 | ||
80 | class Amount: | |
81 | MAX_DIGITS = 18 | |
82 | ||
83 | def __init__(self, currency, value, linked_to=None, ticker=None): | |
84 | self.currency = currency | |
85 | self.value = D(value) | |
86 | self.linked_to = linked_to | |
87 | self.ticker = ticker | |
88 | ||
89 | self.ticker_cache = {} | |
90 | self.ticker_cache_timestamp = time.time() | |
91 | ||
92 | def in_currency(self, other_currency, market, action="average"): | |
93 | if other_currency == self.currency: | |
94 | return self | |
95 | asset_ticker = Trade.get_ticker(self.currency, other_currency, market) | |
96 | if asset_ticker is not None: | |
97 | return Amount( | |
98 | other_currency, | |
99 | self.value * asset_ticker[action], | |
100 | linked_to=self, | |
101 | ticker=asset_ticker) | |
102 | else: | |
103 | raise Exception("This asset is not available in the chosen market") | |
104 | ||
105 | def __abs__(self): | |
106 | return Amount(self.currency, abs(self.value)) | |
107 | ||
108 | def __add__(self, other): | |
109 | if other.currency != self.currency and other.value * self.value != 0: | |
110 | raise Exception("Summing amounts must be done with same currencies") | |
111 | return Amount(self.currency, self.value + other.value) | |
112 | ||
113 | def __radd__(self, other): | |
114 | if other == 0: | |
115 | return self | |
116 | else: | |
117 | return self.__add__(other) | |
118 | ||
119 | def __sub__(self, other): | |
120 | if other.currency != self.currency and other.value * self.value != 0: | |
121 | raise Exception("Summing amounts must be done with same currencies") | |
122 | return Amount(self.currency, self.value - other.value) | |
123 | ||
124 | def __mul__(self, value): | |
125 | if type(value) != int and type(value) != float and type(value) != D: | |
126 | raise TypeError("Amount may only be multiplied by numbers") | |
127 | return Amount(self.currency, self.value * value) | |
128 | ||
129 | def __rmul__(self, value): | |
130 | return self.__mul__(value) | |
131 | ||
132 | def __floordiv__(self, value): | |
133 | if type(value) != int and type(value) != float and type(value) != D: | |
134 | raise TypeError("Amount may only be multiplied by integers") | |
135 | return Amount(self.currency, self.value / value) | |
136 | ||
137 | def __truediv__(self, value): | |
138 | return self.__floordiv__(value) | |
139 | ||
140 | def __lt__(self, other): | |
141 | if self.currency != other.currency: | |
142 | raise Exception("Comparing amounts must be done with same currencies") | |
143 | return self.value < other.value | |
144 | ||
145 | def __eq__(self, other): | |
146 | if other == 0: | |
147 | return self.value == 0 | |
148 | if self.currency != other.currency: | |
149 | raise Exception("Comparing amounts must be done with same currencies") | |
150 | return self.value == other.value | |
151 | ||
152 | def __str__(self): | |
153 | if self.linked_to is None: | |
154 | return "{:.8f} {}".format(self.value, self.currency) | |
155 | else: | |
156 | return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) | |
157 | ||
158 | def __repr__(self): | |
159 | if self.linked_to is None: | |
160 | return "Amount({:.8f} {})".format(self.value, self.currency) | |
161 | else: | |
162 | return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) | |
163 | ||
164 | class Balance: | |
165 | known_balances = {} | |
166 | ||
167 | def __init__(self, currency, total_value, free_value, used_value): | |
168 | self.currency = currency | |
169 | self.total = Amount(currency, total_value) | |
170 | self.free = Amount(currency, free_value) | |
171 | self.used = Amount(currency, used_value) | |
172 | ||
173 | @classmethod | |
174 | def from_hash(cls, currency, hash_): | |
175 | return cls(currency, hash_["total"], hash_["free"], hash_["used"]) | |
176 | ||
177 | @classmethod | |
178 | def in_currency(cls, other_currency, market, action="average", type="total"): | |
179 | amounts = {} | |
180 | for currency in cls.known_balances: | |
181 | balance = cls.known_balances[currency] | |
182 | other_currency_amount = getattr(balance, type)\ | |
183 | .in_currency(other_currency, market, action=action) | |
184 | amounts[currency] = other_currency_amount | |
185 | return amounts | |
186 | ||
187 | @classmethod | |
188 | def currencies(cls): | |
189 | return cls.known_balances.keys() | |
190 | ||
191 | @classmethod | |
192 | def _fill_balances(cls, hash_): | |
193 | for key in hash_: | |
194 | if key in ["info", "free", "used", "total"]: | |
195 | continue | |
196 | if hash_[key]["total"] > 0: | |
197 | cls.known_balances[key] = cls.from_hash(key, hash_[key]) | |
198 | ||
199 | @classmethod | |
200 | def fetch_balances(cls, market): | |
201 | cls._fill_balances(market.fetch_balance()) | |
202 | return cls.known_balances | |
203 | ||
204 | @classmethod | |
205 | def dispatch_assets(cls, amount): | |
206 | repartition_pertenthousand = Portfolio.repartition_pertenthousand() | |
207 | sum_pertenthousand = sum([v for k, v in repartition_pertenthousand.items()]) | |
208 | amounts = {} | |
209 | for currency, ptt in repartition_pertenthousand.items(): | |
210 | amounts[currency] = ptt * amount / sum_pertenthousand | |
211 | if currency not in cls.known_balances: | |
212 | cls.known_balances[currency] = cls(currency, 0, 0, 0) | |
213 | return amounts | |
214 | ||
215 | @classmethod | |
216 | def prepare_trades(cls, market, base_currency="BTC"): | |
217 | cls.fetch_balances(market) | |
218 | values_in_base = cls.in_currency(base_currency, market) | |
219 | total_base_value = sum(values_in_base.values()) | |
220 | new_repartition = cls.dispatch_assets(total_base_value) | |
221 | Trade.compute_trades(values_in_base, new_repartition, market=market) | |
222 | ||
223 | def __repr__(self): | |
224 | return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) | |
225 | ||
226 | class Trade: | |
227 | trades = {} | |
228 | ||
229 | def __init__(self, value_from, value_to, currency, market=None): | |
230 | # We have value_from of currency, and want to finish with value_to of | |
231 | # that currency. value_* may not be in currency's terms | |
232 | self.currency = currency | |
233 | self.value_from = value_from | |
234 | self.value_to = value_to | |
235 | self.orders = [] | |
236 | self.market = market | |
237 | assert self.value_from.currency == self.value_to.currency | |
238 | assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency | |
239 | self.base_currency = self.value_from.currency | |
240 | ||
241 | fees_cache = {} | |
242 | @classmethod | |
243 | def fetch_fees(cls, market): | |
244 | if market.__class__ not in cls.fees_cache: | |
245 | cls.fees_cache[market.__class__] = market.fetch_fees() | |
246 | return cls.fees_cache[market.__class__] | |
247 | ||
248 | ticker_cache = {} | |
249 | ticker_cache_timestamp = time.time() | |
250 | @classmethod | |
251 | def get_ticker(cls, c1, c2, market, refresh=False): | |
252 | def invert(ticker): | |
253 | return { | |
254 | "inverted": True, | |
255 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
256 | "original": ticker, | |
257 | } | |
258 | def augment_ticker(ticker): | |
259 | ticker.update({ | |
260 | "inverted": False, | |
261 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
262 | }) | |
263 | ||
264 | if time.time() - cls.ticker_cache_timestamp > 5: | |
265 | cls.ticker_cache = {} | |
266 | cls.ticker_cache_timestamp = time.time() | |
267 | elif not refresh: | |
268 | if (c1, c2, market.__class__) in cls.ticker_cache: | |
269 | return cls.ticker_cache[(c1, c2, market.__class__)] | |
270 | if (c2, c1, market.__class__) in cls.ticker_cache: | |
271 | return invert(cls.ticker_cache[(c2, c1, market.__class__)]) | |
272 | ||
273 | try: | |
274 | cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) | |
275 | augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) | |
276 | except ccxt.ExchangeError: | |
277 | try: | |
278 | cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) | |
279 | augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)]) | |
280 | except ccxt.ExchangeError: | |
281 | cls.ticker_cache[(c1, c2, market.__class__)] = None | |
282 | return cls.get_ticker(c1, c2, market) | |
283 | ||
284 | @classmethod | |
285 | def compute_trades(cls, values_in_base, new_repartition, market=None): | |
286 | base_currency = sum(values_in_base.values()).currency | |
287 | for currency in Balance.currencies(): | |
288 | if currency == base_currency: | |
289 | continue | |
290 | cls.trades[currency] = cls( | |
291 | values_in_base.get(currency, Amount(base_currency, 0)), | |
292 | new_repartition.get(currency, Amount(base_currency, 0)), | |
293 | currency, | |
294 | market=market | |
295 | ) | |
296 | cls.trades[currency].prepare_order() | |
297 | return cls.trades | |
298 | ||
299 | @property | |
300 | def action(self): | |
301 | if self.value_from == self.value_to: | |
302 | return None | |
303 | if self.base_currency == self.currency: | |
304 | return None | |
305 | ||
306 | if self.value_from < self.value_to: | |
307 | return "buy" | |
308 | else: | |
309 | return "sell" | |
310 | ||
311 | def order_action(self, inverted): | |
312 | if self.value_from < self.value_to: | |
313 | return "ask" if not inverted else "bid" | |
314 | else: | |
315 | return "bid" if not inverted else "ask" | |
316 | ||
317 | def prepare_order(self): | |
318 | if self.action is None: | |
319 | return | |
320 | ticker = self.value_from.ticker | |
321 | inverted = ticker["inverted"] | |
322 | ||
323 | if not inverted: | |
324 | value_from = self.value_from.linked_to | |
325 | value_to = self.value_to.in_currency(self.currency, self.market) | |
326 | delta = abs(value_to - value_from) | |
327 | currency = self.base_currency | |
328 | else: | |
329 | ticker = ticker["original"] | |
330 | delta = abs(self.value_to - self.value_from) | |
331 | currency = self.currency | |
332 | ||
333 | rate = ticker[self.order_action(inverted)] | |
334 | ||
335 | self.orders.append(Order(self.order_action(inverted), delta, rate, currency)) | |
336 | ||
337 | @classmethod | |
338 | def all_orders(cls): | |
339 | return sum(map(lambda v: v.orders, cls.trades.values()), []) | |
340 | ||
341 | @classmethod | |
342 | def follow_orders(cls, market): | |
343 | orders = cls.all_orders() | |
344 | finished_orders = [] | |
345 | while len(orders) != len(finished_orders): | |
346 | time.sleep(30) | |
347 | for order in orders: | |
348 | if order in finished_orders: | |
349 | continue | |
350 | if order.get_status(market) != "open": | |
351 | finished_orders.append(order) | |
352 | print("finished {}".format(order)) | |
353 | print("All orders finished") | |
354 | ||
355 | def __repr__(self): | |
356 | return "Trade({} -> {} in {}, {})".format( | |
357 | self.value_from, | |
358 | self.value_to, | |
359 | self.currency, | |
360 | self.action) | |
361 | ||
362 | class Order: | |
363 | DEBUG = True | |
364 | ||
365 | def __init__(self, action, amount, rate, base_currency): | |
366 | self.action = action | |
367 | self.amount = amount | |
368 | self.rate = rate | |
369 | self.base_currency = base_currency | |
370 | self.result = None | |
371 | self.status = "not run" | |
372 | ||
373 | def __repr__(self): | |
374 | return "Order({} {} at {} {} [{}])".format( | |
375 | self.action, | |
376 | self.amount, | |
377 | self.rate, | |
378 | self.base_currency, | |
379 | self.status | |
380 | ) | |
381 | ||
382 | def run(self, market): | |
383 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) | |
384 | amount = self.amount.value | |
385 | ||
386 | if self.DEBUG: | |
387 | print("market.create_order('{}', 'limit', '{}', {}, price={})".format( | |
388 | symbol, self.action, amount, self.rate)) | |
389 | else: | |
390 | try: | |
391 | self.result = market.create_order(symbol, 'limit', self.action, amount, price=self.rate) | |
392 | self.status = "open" | |
393 | except Exception: | |
394 | pass | |
395 | ||
396 | def get_status(self, market): | |
397 | # other states are "closed" and "canceled" | |
398 | if self.status == "open": | |
399 | result = market.fetch_order(self.result['id']) | |
400 | self.status = result["status"] | |
401 | return self.status | |
402 | ||
403 | def print_orders(market, base_currency="BTC"): | |
404 | Balance.prepare_trades(market, base_currency=base_currency) | |
405 | for currency, balance in Balance.known_balances.items(): | |
406 | print(balance) | |
407 | for currency, trade in Trade.trades.items(): | |
408 | print(trade) | |
409 | for order in trade.orders: | |
410 | print("\t", order, sep="") | |
411 | ||
412 | def make_orders(market, base_currency="BTC"): | |
413 | Balance.prepare_trades(market, base_currency=base_currency) | |
414 | for currency, trade in Trade.trades.items(): | |
415 | print(trade) | |
416 | for order in trade.orders: | |
417 | print("\t", order, sep="") | |
418 | order.run(market) | |
419 | ||
420 | if __name__ == '__main__': | |
421 | print_orders(market) |