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1 | import time | |
2 | import requests | |
3 | import portfolio | |
4 | import simplejson as json | |
5 | from decimal import Decimal as D, ROUND_DOWN | |
6 | import datetime | |
7 | import inspect | |
8 | from json import JSONDecodeError | |
9 | from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError | |
10 | ||
11 | __all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"] | |
12 | ||
13 | class ReportStore: | |
14 | def __init__(self, market, verbose_print=True, no_http_dup=False): | |
15 | self.market = market | |
16 | self.verbose_print = verbose_print | |
17 | ||
18 | self.print_logs = [] | |
19 | self.logs = [] | |
20 | self.redis_status = [] | |
21 | ||
22 | self.no_http_dup = no_http_dup | |
23 | self.last_http = None | |
24 | ||
25 | def merge(self, other_report): | |
26 | self.logs += other_report.logs | |
27 | self.logs.sort(key=lambda x: x["date"]) | |
28 | ||
29 | self.print_logs += other_report.print_logs | |
30 | self.print_logs.sort(key=lambda x: x[0]) | |
31 | ||
32 | def print_log(self, message): | |
33 | now = datetime.datetime.now() | |
34 | message = "{:%Y-%m-%d %H:%M:%S}: {}".format(now, str(message)) | |
35 | self.print_logs.append([now, message]) | |
36 | if self.verbose_print: | |
37 | print(message) | |
38 | ||
39 | def add_log(self, hash_): | |
40 | hash_["date"] = datetime.datetime.now() | |
41 | if self.market is not None: | |
42 | hash_["user_id"] = self.market.user_id | |
43 | hash_["market_id"] = self.market.market_id | |
44 | else: | |
45 | hash_["user_id"] = None | |
46 | hash_["market_id"] = None | |
47 | self.logs.append(hash_) | |
48 | return hash_ | |
49 | ||
50 | def add_redis_status(self, hash_): | |
51 | self.redis_status.append(hash_) | |
52 | return hash_ | |
53 | ||
54 | @staticmethod | |
55 | def default_json_serial(obj): | |
56 | if isinstance(obj, (datetime.datetime, datetime.date)): | |
57 | return obj.isoformat() | |
58 | return str(obj) | |
59 | ||
60 | def to_json(self): | |
61 | return json.dumps(self.logs, default=self.default_json_serial, indent=" ") | |
62 | ||
63 | def to_json_array(self): | |
64 | for log in (x.copy() for x in self.logs): | |
65 | yield ( | |
66 | log.pop("date"), | |
67 | log.pop("type"), | |
68 | json.dumps(log, default=self.default_json_serial, indent=" ") | |
69 | ) | |
70 | ||
71 | def to_json_redis(self): | |
72 | for log in (x.copy() for x in self.redis_status): | |
73 | yield ( | |
74 | log.pop("type"), | |
75 | json.dumps(log, default=self.default_json_serial) | |
76 | ) | |
77 | ||
78 | def set_verbose(self, verbose_print): | |
79 | self.verbose_print = verbose_print | |
80 | ||
81 | def log_stage(self, stage, **kwargs): | |
82 | def as_json(element): | |
83 | if callable(element): | |
84 | return inspect.getsource(element).strip() | |
85 | elif hasattr(element, "as_json"): | |
86 | return element.as_json() | |
87 | else: | |
88 | return element | |
89 | ||
90 | args = { k: as_json(v) for k, v in kwargs.items() } | |
91 | args_str = ["{}={}".format(k, v) for k, v in args.items()] | |
92 | self.print_log("-" * (len(stage) + 8)) | |
93 | self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str))) | |
94 | ||
95 | self.add_log({ | |
96 | "type": "stage", | |
97 | "stage": stage, | |
98 | "args": args, | |
99 | }) | |
100 | ||
101 | def log_balances(self, tag=None): | |
102 | self.print_log("[Balance]") | |
103 | for currency, balance in self.market.balances.all.items(): | |
104 | self.print_log("\t{}".format(balance)) | |
105 | ||
106 | log = { | |
107 | "type": "balance", | |
108 | "tag": tag, | |
109 | "balances": self.market.balances.as_json() | |
110 | } | |
111 | ||
112 | self.add_log(log.copy()) | |
113 | self.add_redis_status(log) | |
114 | ||
115 | def log_tickers(self, amounts, other_currency, | |
116 | compute_value, type): | |
117 | values = {} | |
118 | rates = {} | |
119 | if callable(compute_value): | |
120 | compute_value = inspect.getsource(compute_value).strip() | |
121 | ||
122 | for currency, amount in amounts.items(): | |
123 | values[currency] = amount.as_json()["value"] | |
124 | rates[currency] = amount.rate | |
125 | log = { | |
126 | "type": "tickers", | |
127 | "compute_value": compute_value, | |
128 | "balance_type": type, | |
129 | "currency": other_currency, | |
130 | "balances": values, | |
131 | "rates": rates, | |
132 | "total": sum(amounts.values()).as_json()["value"] | |
133 | } | |
134 | ||
135 | self.add_log(log.copy()) | |
136 | self.add_redis_status(log) | |
137 | ||
138 | def log_dispatch(self, amount, amounts, liquidity, repartition): | |
139 | self.add_log({ | |
140 | "type": "dispatch", | |
141 | "liquidity": liquidity, | |
142 | "repartition_ratio": repartition, | |
143 | "total_amount": amount.as_json(), | |
144 | "repartition": { k: v.as_json()["value"] for k, v in amounts.items() } | |
145 | }) | |
146 | ||
147 | def log_trades(self, matching_and_trades, only): | |
148 | trades = [] | |
149 | for matching, trade in matching_and_trades: | |
150 | trade_json = trade.as_json() | |
151 | trade_json["skipped"] = not matching | |
152 | trades.append(trade_json) | |
153 | ||
154 | self.add_log({ | |
155 | "type": "trades", | |
156 | "only": only, | |
157 | "debug": self.market.debug, | |
158 | "trades": trades | |
159 | }) | |
160 | ||
161 | def log_orders(self, orders, tick=None, only=None, compute_value=None): | |
162 | if callable(compute_value): | |
163 | compute_value = inspect.getsource(compute_value).strip() | |
164 | self.print_log("[Orders]") | |
165 | self.market.trades.print_all_with_order(ind="\t") | |
166 | self.add_log({ | |
167 | "type": "orders", | |
168 | "only": only, | |
169 | "compute_value": compute_value, | |
170 | "tick": tick, | |
171 | "orders": [order.as_json() for order in orders if order is not None] | |
172 | }) | |
173 | ||
174 | def log_order(self, order, tick, finished=False, update=None, | |
175 | new_order=None, compute_value=None): | |
176 | if callable(compute_value): | |
177 | compute_value = inspect.getsource(compute_value).strip() | |
178 | if finished: | |
179 | self.print_log("[Order] Finished {}".format(order)) | |
180 | elif update == "waiting": | |
181 | self.print_log("[Order] {}, tick {}, waiting".format(order, tick)) | |
182 | elif update == "adjusting": | |
183 | self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) | |
184 | elif update == "market_fallback": | |
185 | self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick)) | |
186 | elif update == "market_adjust": | |
187 | self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) | |
188 | ||
189 | self.add_log({ | |
190 | "type": "order", | |
191 | "tick": tick, | |
192 | "update": update, | |
193 | "order": order.as_json(), | |
194 | "compute_value": compute_value, | |
195 | "new_order": new_order.as_json() if new_order is not None else None | |
196 | }) | |
197 | ||
198 | def log_move_balances(self, needed, moving): | |
199 | self.add_log({ | |
200 | "type": "move_balances", | |
201 | "debug": self.market.debug, | |
202 | "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() }, | |
203 | "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() }, | |
204 | }) | |
205 | ||
206 | def log_http_request(self, method, url, body, headers, response): | |
207 | if isinstance(response, Exception): | |
208 | self.add_log({ | |
209 | "type": "http_request", | |
210 | "method": method, | |
211 | "url": url, | |
212 | "body": body, | |
213 | "headers": headers, | |
214 | "status": -1, | |
215 | "response": None, | |
216 | "error": response.__class__.__name__, | |
217 | "error_message": str(response), | |
218 | }) | |
219 | self.last_http = None | |
220 | elif self.no_http_dup and \ | |
221 | self.last_http is not None and \ | |
222 | self.last_http["url"] == url and \ | |
223 | self.last_http["method"] == method and \ | |
224 | self.last_http["response"] == response.text: | |
225 | self.add_log({ | |
226 | "type": "http_request", | |
227 | "method": method, | |
228 | "url": url, | |
229 | "body": body, | |
230 | "headers": headers, | |
231 | "status": response.status_code, | |
232 | "duration": response.elapsed.total_seconds(), | |
233 | "response": None, | |
234 | "response_same_as": self.last_http["date"] | |
235 | }) | |
236 | else: | |
237 | self.last_http = self.add_log({ | |
238 | "type": "http_request", | |
239 | "method": method, | |
240 | "url": url, | |
241 | "body": body, | |
242 | "headers": headers, | |
243 | "status": response.status_code, | |
244 | "duration": response.elapsed.total_seconds(), | |
245 | "response": response.text, | |
246 | "response_same_as": None, | |
247 | }) | |
248 | ||
249 | def log_error(self, action, message=None, exception=None): | |
250 | self.print_log("[Error] {}".format(action)) | |
251 | if exception is not None: | |
252 | self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception))) | |
253 | if message is not None: | |
254 | self.print_log("\t{}".format(message)) | |
255 | ||
256 | self.add_log({ | |
257 | "type": "error", | |
258 | "action": action, | |
259 | "exception_class": exception.__class__.__name__ if exception is not None else None, | |
260 | "exception_message": str(exception) if exception is not None else None, | |
261 | "message": message, | |
262 | }) | |
263 | ||
264 | def log_debug_action(self, action): | |
265 | self.print_log("[Debug] {}".format(action)) | |
266 | ||
267 | self.add_log({ | |
268 | "type": "debug_action", | |
269 | "action": action, | |
270 | }) | |
271 | ||
272 | def log_market(self, args): | |
273 | self.add_log({ | |
274 | "type": "market", | |
275 | "commit": "$Format:%H$", | |
276 | "args": vars(args), | |
277 | }) | |
278 | ||
279 | class BalanceStore: | |
280 | def __init__(self, market): | |
281 | self.market = market | |
282 | self.all = {} | |
283 | ||
284 | def currencies(self): | |
285 | return self.all.keys() | |
286 | ||
287 | def in_currency(self, other_currency, compute_value="average", type="total"): | |
288 | amounts = {} | |
289 | for currency, balance in self.all.items(): | |
290 | other_currency_amount = getattr(balance, type)\ | |
291 | .in_currency(other_currency, self.market, compute_value=compute_value) | |
292 | amounts[currency] = other_currency_amount | |
293 | self.market.report.log_tickers(amounts, other_currency, | |
294 | compute_value, type) | |
295 | return amounts | |
296 | ||
297 | def fetch_balances(self, tag=None): | |
298 | all_balances = self.market.ccxt.fetch_all_balances() | |
299 | for currency, balance in all_balances.items(): | |
300 | if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \ | |
301 | currency in self.all: | |
302 | self.all[currency] = portfolio.Balance(currency, balance) | |
303 | self.market.report.log_balances(tag=tag) | |
304 | ||
305 | def dispatch_assets(self, amount, liquidity="medium", repartition=None): | |
306 | if repartition is None: | |
307 | repartition = Portfolio.repartition(liquidity=liquidity) | |
308 | sum_ratio = sum([v[0] for k, v in repartition.items()]) | |
309 | amounts = {} | |
310 | for currency, (ptt, trade_type) in repartition.items(): | |
311 | amounts[currency] = ptt * amount / sum_ratio | |
312 | if trade_type == "short": | |
313 | amounts[currency] = - amounts[currency] | |
314 | self.all.setdefault(currency, portfolio.Balance(currency, {})) | |
315 | self.market.report.log_dispatch(amount, amounts, liquidity, repartition) | |
316 | return amounts | |
317 | ||
318 | def as_json(self): | |
319 | return { k: v.as_json() for k, v in self.all.items() } | |
320 | ||
321 | class TradeStore: | |
322 | def __init__(self, market): | |
323 | self.market = market | |
324 | self.all = [] | |
325 | ||
326 | @property | |
327 | def pending(self): | |
328 | return list(filter(lambda t: t.pending, self.all)) | |
329 | ||
330 | def compute_trades(self, values_in_base, new_repartition, only=None): | |
331 | computed_trades = [] | |
332 | base_currency = sum(values_in_base.values()).currency | |
333 | for currency in self.market.balances.currencies(): | |
334 | if currency == base_currency: | |
335 | continue | |
336 | value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0)) | |
337 | value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0)) | |
338 | ||
339 | if value_from.value * value_to.value < 0: | |
340 | computed_trades.append(self.trade_if_matching( | |
341 | value_from, portfolio.Amount(base_currency, 0), | |
342 | currency, only=only)) | |
343 | computed_trades.append(self.trade_if_matching( | |
344 | portfolio.Amount(base_currency, 0), value_to, | |
345 | currency, only=only)) | |
346 | else: | |
347 | computed_trades.append(self.trade_if_matching( | |
348 | value_from, value_to, | |
349 | currency, only=only)) | |
350 | for matching, trade in computed_trades: | |
351 | if matching: | |
352 | self.all.append(trade) | |
353 | self.market.report.log_trades(computed_trades, only) | |
354 | ||
355 | def trade_if_matching(self, value_from, value_to, currency, | |
356 | only=None): | |
357 | trade = portfolio.Trade(value_from, value_to, currency, | |
358 | self.market) | |
359 | matching = only is None or trade.action == only | |
360 | return [matching, trade] | |
361 | ||
362 | def prepare_orders(self, only=None, compute_value="default"): | |
363 | orders = [] | |
364 | for trade in self.pending: | |
365 | if only is None or trade.action == only: | |
366 | orders.append(trade.prepare_order(compute_value=compute_value)) | |
367 | self.market.report.log_orders(orders, only, compute_value) | |
368 | ||
369 | def close_trades(self): | |
370 | for trade in self.all: | |
371 | trade.close() | |
372 | ||
373 | def print_all_with_order(self, ind=""): | |
374 | for trade in self.all: | |
375 | trade.print_with_order(ind=ind) | |
376 | ||
377 | def run_orders(self): | |
378 | orders = self.all_orders(state="pending") | |
379 | for order in orders: | |
380 | order.run() | |
381 | self.market.report.log_stage("run_orders") | |
382 | self.market.report.log_orders(orders) | |
383 | ||
384 | def all_orders(self, state=None): | |
385 | all_orders = sum(map(lambda v: v.orders, self.all), []) | |
386 | if state is None: | |
387 | return all_orders | |
388 | else: | |
389 | return list(filter(lambda o: o.status == state, all_orders)) | |
390 | ||
391 | def update_all_orders_status(self): | |
392 | for order in self.all_orders(state="open"): | |
393 | order.get_status() | |
394 | ||
395 | class NoopLock: | |
396 | def __enter__(self, *args): | |
397 | pass | |
398 | def __exit__(self, *args): | |
399 | pass | |
400 | ||
401 | class LockedVar: | |
402 | def __init__(self, value): | |
403 | self.lock = NoopLock() | |
404 | self.val = value | |
405 | ||
406 | def start_lock(self): | |
407 | import threading | |
408 | self.lock = threading.Lock() | |
409 | ||
410 | def set(self, value): | |
411 | with self.lock: | |
412 | self.val = value | |
413 | ||
414 | def get(self, key=None): | |
415 | with self.lock: | |
416 | if key is not None and isinstance(self.val, dict): | |
417 | return self.val.get(key) | |
418 | else: | |
419 | return self.val | |
420 | ||
421 | def __getattr__(self, key): | |
422 | with self.lock: | |
423 | return getattr(self.val, key) | |
424 | ||
425 | class Portfolio: | |
426 | URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" | |
427 | data = LockedVar(None) | |
428 | liquidities = LockedVar({}) | |
429 | last_date = LockedVar(None) | |
430 | report = LockedVar(ReportStore(None, no_http_dup=True)) | |
431 | worker = None | |
432 | worker_tag = "" | |
433 | worker_started = False | |
434 | worker_notify = None | |
435 | callback = None | |
436 | ||
437 | @classmethod | |
438 | def start_worker(cls, poll=30): | |
439 | import threading | |
440 | ||
441 | cls.worker = threading.Thread(name="portfolio", daemon=True, | |
442 | target=cls.wait_for_notification, kwargs={"poll": poll}) | |
443 | cls.worker_notify = threading.Event() | |
444 | cls.callback = threading.Event() | |
445 | ||
446 | cls.last_date.start_lock() | |
447 | cls.liquidities.start_lock() | |
448 | cls.report.start_lock() | |
449 | ||
450 | cls.worker_tag = "[Worker] " | |
451 | cls.worker_started = True | |
452 | cls.worker.start() | |
453 | ||
454 | @classmethod | |
455 | def is_worker_thread(cls): | |
456 | if cls.worker is None: | |
457 | return False | |
458 | else: | |
459 | import threading | |
460 | return cls.worker == threading.current_thread() | |
461 | ||
462 | @classmethod | |
463 | def wait_for_notification(cls, poll=30): | |
464 | if not cls.is_worker_thread(): | |
465 | raise RuntimeError("This method needs to be ran with the worker") | |
466 | while cls.worker_started: | |
467 | cls.worker_notify.wait() | |
468 | if cls.worker_started: | |
469 | cls.worker_notify.clear() | |
470 | cls.report.print_log("[Worker] Fetching cryptoportfolio") | |
471 | cls.get_cryptoportfolio(refetch=True) | |
472 | cls.callback.set() | |
473 | time.sleep(poll) | |
474 | ||
475 | @classmethod | |
476 | def stop_worker(cls): | |
477 | cls.worker_started = False | |
478 | cls.worker_notify.set() | |
479 | ||
480 | @classmethod | |
481 | def notify_and_wait(cls): | |
482 | cls.callback.clear() | |
483 | cls.worker_notify.set() | |
484 | cls.callback.wait() | |
485 | ||
486 | @classmethod | |
487 | def wait_for_recent(cls, delta=4, poll=30): | |
488 | cls.get_cryptoportfolio() | |
489 | while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta): | |
490 | if cls.worker is None: | |
491 | time.sleep(poll) | |
492 | cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio") | |
493 | cls.get_cryptoportfolio(refetch=True) | |
494 | ||
495 | @classmethod | |
496 | def repartition(cls, liquidity="medium"): | |
497 | cls.get_cryptoportfolio() | |
498 | liquidities = cls.liquidities.get(liquidity) | |
499 | return liquidities[cls.last_date.get()] | |
500 | ||
501 | @classmethod | |
502 | def get_cryptoportfolio(cls, refetch=False): | |
503 | if cls.data.get() is not None and not refetch: | |
504 | return | |
505 | if cls.worker is not None and not cls.is_worker_thread(): | |
506 | cls.notify_and_wait() | |
507 | return | |
508 | try: | |
509 | r = requests.get(cls.URL) | |
510 | cls.report.log_http_request(r.request.method, | |
511 | r.request.url, r.request.body, r.request.headers, r) | |
512 | except Exception as e: | |
513 | cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e) | |
514 | return | |
515 | try: | |
516 | cls.data.set(r.json(parse_int=D, parse_float=D)) | |
517 | cls.parse_cryptoportfolio() | |
518 | except (JSONDecodeError, SimpleJSONDecodeError): | |
519 | cls.data.set(None) | |
520 | cls.last_date.set(None) | |
521 | cls.liquidities.set({}) | |
522 | ||
523 | @classmethod | |
524 | def parse_cryptoportfolio(cls): | |
525 | def filter_weights(weight_hash): | |
526 | if weight_hash[1][0] == 0: | |
527 | return False | |
528 | if weight_hash[0] == "_row": | |
529 | return False | |
530 | return True | |
531 | ||
532 | def clean_weights(i): | |
533 | def clean_weights_(h): | |
534 | if h[0].endswith("s"): | |
535 | return [h[0][0:-1], (h[1][i], "short")] | |
536 | else: | |
537 | return [h[0], (h[1][i], "long")] | |
538 | return clean_weights_ | |
539 | ||
540 | def parse_weights(portfolio_hash): | |
541 | if "weights" not in portfolio_hash: | |
542 | return {} | |
543 | weights_hash = portfolio_hash["weights"] | |
544 | weights = {} | |
545 | for i in range(len(weights_hash["_row"])): | |
546 | date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d") | |
547 | weights[date] = dict(filter( | |
548 | filter_weights, | |
549 | map(clean_weights(i), weights_hash.items()))) | |
550 | return weights | |
551 | ||
552 | high_liquidity = parse_weights(cls.data.get("portfolio_1")) | |
553 | medium_liquidity = parse_weights(cls.data.get("portfolio_2")) | |
554 | ||
555 | cls.liquidities.set({ | |
556 | "medium": medium_liquidity, | |
557 | "high": high_liquidity, | |
558 | }) | |
559 | cls.last_date.set(max( | |
560 | max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)), | |
561 | max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1)) | |
562 | )) | |
563 |