1 from ccxt
import ExchangeError
, NotSupported
2 import ccxt_wrapper
as ccxt
5 from cachetools
.func
import ttl_cache
6 from datetime
import datetime
16 def __init__(self
, ccxt_instance
, debug
=False, user_id
=None, report_path
=None):
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
)
25 self
.user_id
= user_id
26 self
.report_path
= report_path
29 def from_config(cls
, config
, debug
=False, user_id
=None, report_path
=None):
30 config
["apiKey"] = config
.pop("key", None)
32 ccxt_instance
= ccxt
.poloniexE(config
)
34 # For requests logging
35 ccxt_instance
.session
.origin_request
= ccxt_instance
.session
.request
36 ccxt_instance
.session
._parent
= ccxt_instance
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
)
43 ccxt_instance
.session
.request
= request_wrap
.__get
__(ccxt_instance
.session
,
44 ccxt_instance
.session
.__class
__)
46 return cls(ccxt_instance
, debug
=debug
, user_id
=user_id
, report_path
=report_path
)
48 def store_report(self
):
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
))
57 def process(self
, actions
, before
=False, after
=False):
59 if len(actions
or []) == 0:
61 self
.processor
.process("sell_all", steps
="before")
63 self
.processor
.process("sell_all", steps
="after")
65 for action
in actions
:
66 if hasattr(self
, action
):
67 getattr(self
, action
)()
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
)
75 def move_balances(self
):
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
]))
93 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
95 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
96 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
98 self
.balances
.fetch_balances()
101 def fetch_fees(self
):
102 return self
.ccxt
.fetch_fees()
104 @ttl_cache(maxsize
=20, ttl
=5)
105 def get_tickers(self
, refresh
=False):
107 return self
.ccxt
.fetch_tickers()
111 @ttl_cache(maxsize
=20, ttl
=5)
112 def get_ticker(self
, c1
, c2
, refresh
=False):
116 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
119 def augment_ticker(ticker
):
122 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
126 tickers
= self
.get_tickers()
129 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
130 except ExchangeError
:
132 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
133 except ExchangeError
:
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
)]))
144 def follow_orders(self
, sleep
=None):
146 sleep
= 7 if self
.debug
else 30
148 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
150 self
.report
.log_stage("follow_orders_begin")
151 while len(self
.trades
.all_orders(state
="open")) > 0:
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)
161 order
.trade
.update_order(order
, tick
)
162 self
.report
.log_stage("follow_orders_end")
164 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium",
165 compute_value
="average", repartition
=None, only
=None):
167 self
.report
.log_stage("prepare_trades",
168 base_currency
=base_currency
, liquidity
=liquidity
,
169 compute_value
=compute_value
, only
=only
,
170 repartition
=repartition
)
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
)
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")
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()))
201 "wait_for_recent": {},
208 "fetch_balances": ["begin", "end"],
209 "prepare_trades": {},
210 "prepare_orders": { "only": "dispose", "compute_value": "average" }
,
220 "fetch_balances": ["begin", "end"],
221 "prepare_trades": { "only": "acquire" }
,
222 "prepare_orders": { "only": "acquire", "compute_value": "average" }
,
235 "fetch_balances": ["begin", "end"],
236 "prepare_trades": { "repartition": { "base_currency": (1, "long") }
},
237 "prepare_orders": { "compute_value": "average" }
,
247 "wait_for_recent": {},
254 "fetch_balances": ["begin", "end"],
255 "prepare_trades": {},
256 "prepare_orders": { "compute_value": "average" }
,
266 "wait_for_recent", "prepare_trades", "prepare_orders",
267 "move_balances", "run_orders", "follow_orders",
270 def __init__(self
, market
):
273 def select_steps(self
, scenario
, step
):
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
))
283 raise TypeError("Unknown step {}".format(step
))
285 def process(self
, scenario_name
, steps
="all", **kwargs
):
286 scenario
= self
.scenarios
[scenario_name
]
289 if type(steps
) == str or type(steps
) == int:
290 selected_steps
+= self
.select_steps(scenario
, steps
)
293 selected_steps
+= self
.select_steps(scenario
, step
)
294 for step
in selected_steps
:
295 self
.process_step(scenario_name
, step
, kwargs
)
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
))
303 for action
in self
.ordered_actions
:
305 self
.run_action(action
, step
[action
], kwargs
)
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
))
311 def method_arguments(self
, action
):
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
329 signature
= inspect
.getfullargspec(method
)
330 defaults
= signature
.defaults
or []
331 kwargs
= signature
.args
[-len(defaults
):]
333 return [method
, kwargs
]
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
}
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")
345 def run_action(self
, action
, default_args
, kwargs
):
346 method
, args
= self
.parse_args(action
, default_args
, kwargs
)
348 if action
== "wait_for_recent":
349 method(self
.market
, **args
)