1 from ccxt
import ExchangeError
, NotSupported
, RequestTimeout
, InvalidNonce
2 import ccxt_wrapper
as ccxt
7 from cachetools
.func
import ttl_cache
8 from datetime
import datetime
10 from retry
import retry
20 def __init__(self
, ccxt_instance
, args
, **kwargs
):
22 self
.debug
= args
.debug
23 self
.ccxt
= ccxt_instance
24 self
.ccxt
._market
= self
25 self
.report
= ReportStore(self
, verbose_print
=(not args
.quiet
))
26 self
.trades
= TradeStore(self
)
27 self
.balances
= BalanceStore(self
)
28 self
.processor
= Processor(self
)
30 for key
in ["user_id", "market_id", "pg_config", "redis_config"]:
31 setattr(self
, key
, kwargs
.get(key
, None))
33 self
.report
.log_market(self
.args
)
36 def from_config(cls
, config
, args
, **kwargs
):
37 config
["apiKey"] = config
.pop("key", None)
39 ccxt_instance
= ccxt
.poloniexE(config
)
41 return cls(ccxt_instance
, args
, **kwargs
)
43 def store_report(self
):
44 self
.report
.merge(Portfolio
.report
)
45 date
= datetime
.datetime
.now()
46 if self
.args
.report_path
is not None:
47 self
.store_file_report(date
)
48 if self
.pg_config
is not None and self
.args
.report_db
:
49 self
.store_database_report(date
)
50 if self
.redis_config
is not None and self
.args
.report_redis
:
51 self
.store_redis_report(date
)
53 def store_file_report(self
, date
):
55 report_file
= "{}/{}_{}".format(self
.args
.report_path
, date
.isoformat(), self
.user_id
)
56 with open(report_file
+ ".json", "w") as f
:
57 f
.write(self
.report
.to_json())
58 with open(report_file
+ ".log", "w") as f
:
59 f
.write("\n".join(map(lambda x
: x
[1], self
.report
.print_logs
)))
60 except Exception as e
:
61 print("impossible to store report file: {}; {}".format(e
.__class
__.__name
__, e
))
63 def store_database_report(self
, date
):
65 report_query
= 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
66 line_query
= 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
67 connection
= psycopg2
.connect(**self
.pg_config
)
68 cursor
= connection
.cursor()
69 cursor
.execute(report_query
, (date
, self
.market_id
, self
.debug
))
70 report_id
= cursor
.fetchone()[0]
71 for date
, type_
, payload
in self
.report
.to_json_array():
72 cursor
.execute(line_query
, (date
, report_id
, type_
, payload
))
77 except Exception as e
:
78 print("impossible to store report to database: {}; {}".format(e
.__class
__.__name
__, e
))
80 def store_redis_report(self
, date
):
82 conn
= redis
.Redis(**self
.redis_config
)
83 for type_
, log
in self
.report
.to_json_redis():
84 key
= "/cryptoportfolio/{}/{}/{}".format(self
.market_id
, date
.isoformat(), type_
)
85 conn
.set(key
, log
, ex
=31*24*60*60)
86 key
= "/cryptoportfolio/{}/latest/{}".format(self
.market_id
, type_
)
88 except Exception as e
:
89 print("impossible to store report to redis: {}; {}".format(e
.__class
__.__name
__, e
))
91 def process(self
, actions
, before
=False, after
=False):
93 for action
in actions
:
94 if bool(before
) is bool(after
):
95 self
.processor
.process(action
, steps
="all")
97 self
.processor
.process(action
, steps
="before")
99 self
.processor
.process(action
, steps
="after")
100 except Exception as e
:
101 self
.report
.log_error("market_process", exception
=e
)
105 @retry((RequestTimeout
, InvalidNonce
), tries
=5)
106 def move_balances(self
):
107 needed_in_margin
= {}
108 moving_to_margin
= {}
110 for currency
, balance
in self
.balances
.all
.items():
111 needed_in_margin
[currency
] = balance
.margin_in_position
- balance
.margin_pending_gain
112 for trade
in self
.trades
.pending
:
113 needed_in_margin
.setdefault(trade
.base_currency
, 0)
114 if trade
.trade_type
== "short":
115 needed_in_margin
[trade
.base_currency
] -= trade
.delta
116 for currency
, needed
in needed_in_margin
.items():
117 current_balance
= self
.balances
.all
[currency
].margin_available
118 moving_to_margin
[currency
] = (needed
- current_balance
)
119 delta
= moving_to_margin
[currency
].value
120 action
= "Moving {} from exchange to margin".format(moving_to_margin
[currency
])
122 if self
.debug
and delta
!= 0:
123 self
.report
.log_debug_action(action
)
127 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
129 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
130 except (RequestTimeout
, InvalidNonce
) as e
:
131 self
.report
.log_error(action
, message
="Retrying", exception
=e
)
132 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
133 self
.balances
.fetch_balances()
135 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
137 self
.balances
.fetch_balances()
140 def fetch_fees(self
):
141 return self
.ccxt
.fetch_fees()
143 @ttl_cache(maxsize
=20, ttl
=5)
144 def get_tickers(self
, refresh
=False):
146 return self
.ccxt
.fetch_tickers()
150 @ttl_cache(maxsize
=20, ttl
=5)
151 def get_ticker(self
, c1
, c2
, refresh
=False):
155 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
158 def augment_ticker(ticker
):
161 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
165 tickers
= self
.get_tickers()
168 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
169 except ExchangeError
:
171 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
172 except ExchangeError
:
175 if "{}/{}".format(c1
, c2
) in tickers
:
176 ticker
= augment_ticker(tickers
["{}/{}".format(c1
, c2
)])
177 elif "{}/{}".format(c2
, c1
) in tickers
:
178 ticker
= invert(augment_ticker(tickers
["{}/{}".format(c2
, c1
)]))
183 def follow_orders(self
, sleep
=None):
185 sleep
= 7 if self
.debug
else 30
187 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
189 self
.report
.log_stage("follow_orders_begin")
190 while len(self
.trades
.all_orders(state
="open")) > 0:
193 open_orders
= self
.trades
.all_orders(state
="open")
194 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
195 self
.report
.log_orders(open_orders
, tick
=tick
)
196 for order
in open_orders
:
197 status
= order
.get_status()
199 self
.report
.log_order(order
, tick
, finished
=True)
201 order
.trade
.update_order(order
, tick
)
202 if status
== "error_disappeared":
203 self
.report
.log_error("follow_orders",
204 message
="{} disappeared, recreating it".format(order
))
205 order
.trade
.prepare_order(
206 compute_value
=order
.trade
.tick_actions_recreate(tick
))
208 self
.report
.log_stage("follow_orders_end")
210 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium",
211 compute_value
="average", repartition
=None, only
=None):
213 self
.report
.log_stage("prepare_trades",
214 base_currency
=base_currency
, liquidity
=liquidity
,
215 compute_value
=compute_value
, only
=only
,
216 repartition
=repartition
)
218 values_in_base
= self
.balances
.in_currency(base_currency
,
219 compute_value
=compute_value
)
220 total_base_value
= sum(values_in_base
.values())
221 new_repartition
= self
.balances
.dispatch_assets(total_base_value
,
222 liquidity
=liquidity
, repartition
=repartition
)
223 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
225 def print_tickers(self
, base_currency
="BTC"):
226 if base_currency
is not None:
227 self
.report
.print_log("total:")
228 self
.report
.print_log(sum(self
.balances
.in_currency(base_currency
).values()))
232 "wait_for_cryptoportfolio": [
238 "wait_for_recent": {},
243 "name": "print_balances",
245 "fetch_balances": ["begin"],
246 "print_tickers": { "base_currency": "BTC" }
,
255 "wait_for_recent": {},
258 "name": "make_orders",
262 "fetch_balances": ["begin"],
263 "prepare_trades": { "compute_value": "average" }
,
264 "prepare_orders": { "compute_value": "average" }
,
273 "wait_for_recent": {},
280 "fetch_balances": ["begin", "end"],
281 "prepare_trades": {},
282 "prepare_orders": { "only": "dispose", "compute_value": "average" }
,
292 "fetch_balances": ["begin", "end"],
293 "prepare_trades": { "only": "acquire" }
,
294 "prepare_orders": { "only": "acquire", "compute_value": "average" }
,
307 "fetch_balances": ["begin", "end"],
308 "prepare_trades": { "repartition": { "base_currency": (1, "long") }
},
309 "prepare_orders": { "compute_value": "average" }
,
319 "wait_for_recent": {},
326 "fetch_balances": ["begin", "end"],
327 "prepare_trades": {},
328 "prepare_orders": { "compute_value": "average" }
,
338 "wait_for_recent", "prepare_trades", "prepare_orders",
339 "move_balances", "run_orders", "follow_orders",
340 "close_trades", "print_tickers"]
342 def __init__(self
, market
):
345 def select_steps(self
, scenario
, step
):
348 elif step
== "before" or step
== "after":
349 return list(filter(lambda x
: x
.get(step
, False), scenario
))
350 elif type(step
) == int:
351 return [scenario
[step
-1]]
352 elif type(step
) == str:
353 return list(filter(lambda x
: x
["name"] == step
, scenario
))
355 raise TypeError("Unknown step {}".format(step
))
357 def can_process(self
, scenario_name
):
358 return scenario_name
in self
.scenarios
360 def process(self
, scenario_name
, steps
="all", **kwargs
):
361 if not self
.can_process(scenario_name
):
362 raise TypeError("Unknown scenario {}".format(scenario_name
))
363 scenario
= self
.scenarios
[scenario_name
]
366 if type(steps
) == str or type(steps
) == int:
367 selected_steps
+= self
.select_steps(scenario
, steps
)
370 selected_steps
+= self
.select_steps(scenario
, step
)
371 for step
in selected_steps
:
372 self
.process_step(scenario_name
, step
, kwargs
)
374 def process_step(self
, scenario_name
, step
, kwargs
):
375 process_name
= "process_{}__{}_{}".format(scenario_name
, step
["number"], step
["name"])
376 self
.market
.report
.log_stage("{}_begin".format(process_name
))
377 if "begin" in step
.get("fetch_balances", []):
378 self
.market
.balances
.fetch_balances(tag
="{}_begin".format(process_name
))
380 for action
in self
.ordered_actions
:
382 self
.run_action(action
, step
[action
], kwargs
)
384 if "end" in step
.get("fetch_balances", []):
385 self
.market
.balances
.fetch_balances(tag
="{}_end".format(process_name
))
386 self
.market
.report
.log_stage("{}_end".format(process_name
))
388 def method_arguments(self
, action
):
391 if action
== "wait_for_recent":
392 method
= Portfolio
.wait_for_recent
393 elif action
== "prepare_trades":
394 method
= self
.market
.prepare_trades
395 elif action
== "prepare_orders":
396 method
= self
.market
.trades
.prepare_orders
397 elif action
== "move_balances":
398 method
= self
.market
.move_balances
399 elif action
== "run_orders":
400 method
= self
.market
.trades
.run_orders
401 elif action
== "follow_orders":
402 method
= self
.market
.follow_orders
403 elif action
== "close_trades":
404 method
= self
.market
.trades
.close_trades
405 elif action
== "print_tickers":
406 method
= self
.market
.print_tickers
408 signature
= inspect
.getfullargspec(method
)
409 defaults
= signature
.defaults
or []
410 kwargs
= signature
.args
[-len(defaults
):]
412 return [method
, kwargs
]
414 def parse_args(self
, action
, default_args
, kwargs
):
415 method
, allowed_arguments
= self
.method_arguments(action
)
416 args
= {k: v for k, v in {**default_args, **kwargs}
.items() if k
in allowed_arguments
}
418 if "repartition" in args
and "base_currency" in args
["repartition"]:
419 r
= args
["repartition"]
420 r
[args
.get("base_currency", "BTC")] = r
.pop("base_currency")
424 def run_action(self
, action
, default_args
, kwargs
):
425 method
, args
= self
.parse_args(action
, default_args
, kwargs
)