1 from ccxt
import ExchangeError
, NotSupported
, RequestTimeout
, InvalidNonce
2 import ccxt_wrapper
as ccxt
6 from cachetools
.func
import ttl_cache
7 from datetime
import datetime
8 from retry
import retry
18 def __init__(self
, ccxt_instance
, args
, **kwargs
):
20 self
.debug
= args
.debug
21 self
.ccxt
= ccxt_instance
22 self
.ccxt
._market
= self
23 self
.report
= ReportStore(self
, verbose_print
=(not args
.quiet
))
24 self
.trades
= TradeStore(self
)
25 self
.balances
= BalanceStore(self
)
26 self
.processor
= Processor(self
)
28 for key
in ["user_id", "market_id", "report_path", "pg_config"]:
29 setattr(self
, key
, kwargs
.get(key
, None))
32 def from_config(cls
, config
, args
, **kwargs
):
33 config
["apiKey"] = config
.pop("key", None)
35 ccxt_instance
= ccxt
.poloniexE(config
)
37 return cls(ccxt_instance
, args
, **kwargs
)
39 def store_report(self
):
40 self
.report
.merge(Portfolio
.report
)
42 if self
.report_path
is not None:
43 self
.store_file_report(date
)
44 if self
.pg_config
is not None:
45 self
.store_database_report(date
)
47 def store_file_report(self
, date
):
49 report_file
= "{}/{}_{}".format(self
.report_path
, date
.isoformat(), self
.user_id
)
50 with open(report_file
+ ".json", "w") as f
:
51 f
.write(self
.report
.to_json())
52 with open(report_file
+ ".log", "w") as f
:
53 f
.write("\n".join(map(lambda x
: x
[1], self
.report
.print_logs
)))
54 except Exception as e
:
55 print("impossible to store report file: {}; {}".format(e
.__class
__.__name
__, e
))
57 def store_database_report(self
, date
):
59 report_query
= 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
60 line_query
= 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
61 connection
= psycopg2
.connect(**self
.pg_config
)
62 cursor
= connection
.cursor()
63 cursor
.execute(report_query
, (date
, self
.market_id
, self
.debug
))
64 report_id
= cursor
.fetchone()[0]
65 for date
, type_
, payload
in self
.report
.to_json_array():
66 cursor
.execute(line_query
, (date
, report_id
, type_
, payload
))
71 except Exception as e
:
72 print("impossible to store report to database: {}; {}".format(e
.__class
__.__name
__, e
))
74 def process(self
, actions
, before
=False, after
=False):
76 if len(actions
or []) == 0:
78 self
.processor
.process("sell_all", steps
="before")
80 self
.processor
.process("sell_all", steps
="after")
82 for action
in actions
:
83 if hasattr(self
, action
):
84 getattr(self
, action
)()
86 self
.report
.log_error("market_process", message
="Unknown action {}".format(action
))
87 except Exception as e
:
88 self
.report
.log_error("market_process", exception
=e
)
92 @retry((RequestTimeout
, InvalidNonce
), tries
=5)
93 def move_balances(self
):
97 for currency
, balance
in self
.balances
.all
.items():
98 needed_in_margin
[currency
] = balance
.margin_in_position
- balance
.margin_pending_gain
99 for trade
in self
.trades
.pending
:
100 needed_in_margin
.setdefault(trade
.base_currency
, 0)
101 if trade
.trade_type
== "short":
102 needed_in_margin
[trade
.base_currency
] -= trade
.delta
103 for currency
, needed
in needed_in_margin
.items():
104 current_balance
= self
.balances
.all
[currency
].margin_available
105 moving_to_margin
[currency
] = (needed
- current_balance
)
106 delta
= moving_to_margin
[currency
].value
107 action
= "Moving {} from exchange to margin".format(moving_to_margin
[currency
])
109 if self
.debug
and delta
!= 0:
110 self
.report
.log_debug_action(action
)
114 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
116 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
117 except (RequestTimeout
, InvalidNonce
) as e
:
118 self
.report
.log_error(action
, message
="Retrying", exception
=e
)
119 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
120 self
.balances
.fetch_balances()
122 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
124 self
.balances
.fetch_balances()
127 def fetch_fees(self
):
128 return self
.ccxt
.fetch_fees()
130 @ttl_cache(maxsize
=20, ttl
=5)
131 def get_tickers(self
, refresh
=False):
133 return self
.ccxt
.fetch_tickers()
137 @ttl_cache(maxsize
=20, ttl
=5)
138 def get_ticker(self
, c1
, c2
, refresh
=False):
142 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
145 def augment_ticker(ticker
):
148 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
152 tickers
= self
.get_tickers()
155 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
156 except ExchangeError
:
158 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
159 except ExchangeError
:
162 if "{}/{}".format(c1
, c2
) in tickers
:
163 ticker
= augment_ticker(tickers
["{}/{}".format(c1
, c2
)])
164 elif "{}/{}".format(c2
, c1
) in tickers
:
165 ticker
= invert(augment_ticker(tickers
["{}/{}".format(c2
, c1
)]))
170 def follow_orders(self
, sleep
=None):
172 sleep
= 7 if self
.debug
else 30
174 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
176 self
.report
.log_stage("follow_orders_begin")
177 while len(self
.trades
.all_orders(state
="open")) > 0:
180 open_orders
= self
.trades
.all_orders(state
="open")
181 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
182 self
.report
.log_orders(open_orders
, tick
=tick
)
183 for order
in open_orders
:
184 if order
.get_status() != "open":
185 self
.report
.log_order(order
, tick
, finished
=True)
187 order
.trade
.update_order(order
, tick
)
188 self
.report
.log_stage("follow_orders_end")
190 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium",
191 compute_value
="average", repartition
=None, only
=None):
193 self
.report
.log_stage("prepare_trades",
194 base_currency
=base_currency
, liquidity
=liquidity
,
195 compute_value
=compute_value
, only
=only
,
196 repartition
=repartition
)
198 values_in_base
= self
.balances
.in_currency(base_currency
,
199 compute_value
=compute_value
)
200 total_base_value
= sum(values_in_base
.values())
201 new_repartition
= self
.balances
.dispatch_assets(total_base_value
,
202 liquidity
=liquidity
, repartition
=repartition
)
203 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
206 def print_orders(self
, base_currency
="BTC"):
207 self
.report
.log_stage("print_orders")
208 self
.balances
.fetch_balances(tag
="print_orders")
209 self
.prepare_trades(base_currency
=base_currency
, compute_value
="average")
210 self
.trades
.prepare_orders(compute_value
="average")
212 def print_balances(self
, base_currency
="BTC"):
213 self
.report
.log_stage("print_balances")
214 self
.balances
.fetch_balances()
215 if base_currency
is not None:
216 self
.report
.print_log("total:")
217 self
.report
.print_log(sum(self
.balances
.in_currency(base_currency
).values()))
221 "wait_for_cryptoportfolio": [
227 "wait_for_recent": {},
236 "wait_for_recent": {},
239 "name": "make_orders",
243 "fetch_balances": ["begin"],
244 "prepare_trades": { "compute_value": "average" }
,
245 "prepare_orders": { "compute_value": "average" }
,
254 "wait_for_recent": {},
261 "fetch_balances": ["begin", "end"],
262 "prepare_trades": {},
263 "prepare_orders": { "only": "dispose", "compute_value": "average" }
,
273 "fetch_balances": ["begin", "end"],
274 "prepare_trades": { "only": "acquire" }
,
275 "prepare_orders": { "only": "acquire", "compute_value": "average" }
,
288 "fetch_balances": ["begin", "end"],
289 "prepare_trades": { "repartition": { "base_currency": (1, "long") }
},
290 "prepare_orders": { "compute_value": "average" }
,
300 "wait_for_recent": {},
307 "fetch_balances": ["begin", "end"],
308 "prepare_trades": {},
309 "prepare_orders": { "compute_value": "average" }
,
319 "wait_for_recent", "prepare_trades", "prepare_orders",
320 "move_balances", "run_orders", "follow_orders",
323 def __init__(self
, market
):
326 def select_steps(self
, scenario
, step
):
329 elif step
== "before" or step
== "after":
330 return list(filter(lambda x
: step
in x
and x
[step
], scenario
))
331 elif type(step
) == int:
332 return [scenario
[step
-1]]
333 elif type(step
) == str:
334 return list(filter(lambda x
: x
["name"] == step
, scenario
))
336 raise TypeError("Unknown step {}".format(step
))
338 def process(self
, scenario_name
, steps
="all", **kwargs
):
339 scenario
= self
.scenarios
[scenario_name
]
342 if type(steps
) == str or type(steps
) == int:
343 selected_steps
+= self
.select_steps(scenario
, steps
)
346 selected_steps
+= self
.select_steps(scenario
, step
)
347 for step
in selected_steps
:
348 self
.process_step(scenario_name
, step
, kwargs
)
350 def process_step(self
, scenario_name
, step
, kwargs
):
351 process_name
= "process_{}__{}_{}".format(scenario_name
, step
["number"], step
["name"])
352 self
.market
.report
.log_stage("{}_begin".format(process_name
))
353 if "begin" in step
.get("fetch_balances", []):
354 self
.market
.balances
.fetch_balances(tag
="{}_begin".format(process_name
))
356 for action
in self
.ordered_actions
:
358 self
.run_action(action
, step
[action
], kwargs
)
360 if "end" in step
.get("fetch_balances", []):
361 self
.market
.balances
.fetch_balances(tag
="{}_end".format(process_name
))
362 self
.market
.report
.log_stage("{}_end".format(process_name
))
364 def method_arguments(self
, action
):
367 if action
== "wait_for_recent":
368 method
= Portfolio
.wait_for_recent
369 elif action
== "prepare_trades":
370 method
= self
.market
.prepare_trades
371 elif action
== "prepare_orders":
372 method
= self
.market
.trades
.prepare_orders
373 elif action
== "move_balances":
374 method
= self
.market
.move_balances
375 elif action
== "run_orders":
376 method
= self
.market
.trades
.run_orders
377 elif action
== "follow_orders":
378 method
= self
.market
.follow_orders
379 elif action
== "close_trades":
380 method
= self
.market
.trades
.close_trades
382 signature
= inspect
.getfullargspec(method
)
383 defaults
= signature
.defaults
or []
384 kwargs
= signature
.args
[-len(defaults
):]
386 return [method
, kwargs
]
388 def parse_args(self
, action
, default_args
, kwargs
):
389 method
, allowed_arguments
= self
.method_arguments(action
)
390 args
= {k: v for k, v in {**default_args, **kwargs}
.items() if k
in allowed_arguments
}
392 if "repartition" in args
and "base_currency" in args
["repartition"]:
393 r
= args
["repartition"]
394 r
[args
.get("base_currency", "BTC")] = r
.pop("base_currency")
398 def run_action(self
, action
, default_args
, kwargs
):
399 method
, args
= self
.parse_args(action
, default_args
, kwargs
)