1 from ccxt
import ExchangeError
, NotSupported
2 import ccxt_wrapper
as ccxt
5 from cachetools
.func
import ttl_cache
14 def __init__(self
, ccxt_instance
, debug
=False):
16 self
.ccxt
= ccxt_instance
17 self
.ccxt
._market
= self
18 self
.report
= ReportStore(self
)
19 self
.trades
= TradeStore(self
)
20 self
.balances
= BalanceStore(self
)
23 def from_config(cls
, config
, debug
=False):
24 config
["apiKey"] = config
.pop("key")
26 ccxt_instance
= ccxt
.poloniexE(config
)
28 # For requests logging
29 ccxt_instance
.session
.origin_request
= ccxt_instance
.session
.request
30 ccxt_instance
.session
._parent
= ccxt_instance
32 def request_wrap(self
, *args
, **kwargs
):
33 r
= self
.origin_request(*args
, **kwargs
)
34 self
._parent
._market
.report
.log_http_request(args
[0],
35 args
[1], kwargs
["data"], kwargs
["headers"], r
)
37 ccxt_instance
.session
.request
= request_wrap
.__get
__(ccxt_instance
.session
,
38 ccxt_instance
.session
.__class
__)
40 return cls(ccxt_instance
, debug
=debug
)
42 def move_balances(self
):
46 for currency
, balance
in self
.balances
.all
.items():
47 needed_in_margin
[currency
] = balance
.margin_in_position
- balance
.margin_pending_gain
48 for trade
in self
.trades
.pending
:
49 needed_in_margin
.setdefault(trade
.base_currency
, 0)
50 if trade
.trade_type
== "short":
51 needed_in_margin
[trade
.base_currency
] -= trade
.delta
52 for currency
, needed
in needed_in_margin
.items():
53 current_balance
= self
.balances
.all
[currency
].margin_available
54 moving_to_margin
[currency
] = (needed
- current_balance
)
55 delta
= moving_to_margin
[currency
].value
56 if self
.debug
and delta
!= 0:
57 self
.report
.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin
[currency
]))
60 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
62 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
63 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
65 self
.balances
.fetch_balances()
69 return self
.ccxt
.fetch_fees()
71 @ttl_cache(maxsize
=20, ttl
=5)
72 def get_tickers(self
, refresh
=False):
74 return self
.ccxt
.fetch_tickers()
78 @ttl_cache(maxsize
=20, ttl
=5)
79 def get_ticker(self
, c1
, c2
, refresh
=False):
83 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
86 def augment_ticker(ticker
):
89 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
93 tickers
= self
.get_tickers()
96 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
99 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
100 except ExchangeError
:
103 if "{}/{}".format(c1
, c2
) in tickers
:
104 ticker
= augment_ticker(tickers
["{}/{}".format(c1
, c2
)])
105 elif "{}/{}".format(c2
, c1
) in tickers
:
106 ticker
= invert(augment_ticker(tickers
["{}/{}".format(c2
, c1
)]))
111 def follow_orders(self
, sleep
=None):
113 sleep
= 7 if self
.debug
else 30
115 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
117 self
.report
.log_stage("follow_orders_begin")
118 while len(self
.trades
.all_orders(state
="open")) > 0:
121 open_orders
= self
.trades
.all_orders(state
="open")
122 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
123 self
.report
.log_orders(open_orders
, tick
=tick
)
124 for order
in open_orders
:
125 if order
.get_status() != "open":
126 self
.report
.log_order(order
, tick
, finished
=True)
128 order
.trade
.update_order(order
, tick
)
129 self
.report
.log_stage("follow_orders_end")
131 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium", compute_value
="average"):
132 self
.report
.log_stage("prepare_trades")
133 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
134 total_base_value
= sum(values_in_base
.values())
135 new_repartition
= self
.balances
.dispatch_assets(total_base_value
, liquidity
=liquidity
)
136 # Recompute it in case we have new currencies
137 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
138 self
.trades
.compute_trades(values_in_base
, new_repartition
)
140 def update_trades(self
, base_currency
="BTC", liquidity
="medium", compute_value
="average", only
=None):
141 self
.report
.log_stage("update_trades")
142 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
143 total_base_value
= sum(values_in_base
.values())
144 new_repartition
= self
.balances
.dispatch_assets(total_base_value
, liquidity
=liquidity
)
145 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
147 def prepare_trades_to_sell_all(self
, base_currency
="BTC", compute_value
="average"):
148 self
.report
.log_stage("prepare_trades_to_sell_all")
149 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
150 total_base_value
= sum(values_in_base
.values())
151 new_repartition
= self
.balances
.dispatch_assets(total_base_value
, repartition
={ base_currency: (1, "long") }
)
152 self
.trades
.compute_trades(values_in_base
, new_repartition
)