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 key
= "/cryptoportfolio/{}/latest/date".format(self
.market_id
)
89 conn
.set(key
, date
.isoformat())
90 except Exception as e
:
91 print("impossible to store report to redis: {}; {}".format(e
.__class
__.__name
__, e
))
93 def process(self
, actions
, before
=False, after
=False):
95 for action
in actions
:
96 if bool(before
) is bool(after
):
97 self
.processor
.process(action
, steps
="all")
99 self
.processor
.process(action
, steps
="before")
101 self
.processor
.process(action
, steps
="after")
102 except Exception as e
:
103 self
.report
.log_error("market_process", exception
=e
)
107 @retry((RequestTimeout
, InvalidNonce
), tries
=5)
108 def move_balances(self
):
109 needed_in_margin
= {}
110 moving_to_margin
= {}
112 for currency
, balance
in self
.balances
.all
.items():
113 needed_in_margin
[currency
] = balance
.margin_in_position
- balance
.margin_pending_gain
114 for trade
in self
.trades
.pending
:
115 needed_in_margin
.setdefault(trade
.base_currency
, 0)
116 if trade
.trade_type
== "short":
117 needed_in_margin
[trade
.base_currency
] -= trade
.delta
118 for currency
, needed
in needed_in_margin
.items():
119 current_balance
= self
.balances
.all
[currency
].margin_available
120 moving_to_margin
[currency
] = (needed
- current_balance
)
121 delta
= moving_to_margin
[currency
].value
122 action
= "Moving {} from exchange to margin".format(moving_to_margin
[currency
])
124 if self
.debug
and delta
!= 0:
125 self
.report
.log_debug_action(action
)
129 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
131 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
132 except (RequestTimeout
, InvalidNonce
) as e
:
133 self
.report
.log_error(action
, message
="Retrying", exception
=e
)
134 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
135 self
.balances
.fetch_balances()
137 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
139 self
.balances
.fetch_balances()
142 def fetch_fees(self
):
143 return self
.ccxt
.fetch_fees()
145 @ttl_cache(maxsize
=20, ttl
=5)
146 def get_tickers(self
, refresh
=False):
148 return self
.ccxt
.fetch_tickers()
152 @ttl_cache(maxsize
=20, ttl
=5)
153 def get_ticker(self
, c1
, c2
, refresh
=False):
157 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
160 def augment_ticker(ticker
):
163 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
167 tickers
= self
.get_tickers()
170 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
171 except ExchangeError
:
173 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
174 except ExchangeError
:
177 if "{}/{}".format(c1
, c2
) in tickers
:
178 ticker
= augment_ticker(tickers
["{}/{}".format(c1
, c2
)])
179 elif "{}/{}".format(c2
, c1
) in tickers
:
180 ticker
= invert(augment_ticker(tickers
["{}/{}".format(c2
, c1
)]))
185 def follow_orders(self
, sleep
=None):
187 sleep
= 7 if self
.debug
else 30
189 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
191 self
.report
.log_stage("follow_orders_begin")
192 while len(self
.trades
.all_orders(state
="open")) > 0:
195 open_orders
= self
.trades
.all_orders(state
="open")
196 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
197 self
.report
.log_orders(open_orders
, tick
=tick
)
198 for order
in open_orders
:
199 status
= order
.get_status()
201 self
.report
.log_order(order
, tick
, finished
=True)
203 order
.trade
.update_order(order
, tick
)
204 if status
== "error_disappeared":
205 self
.report
.log_error("follow_orders",
206 message
="{} disappeared, recreating it".format(order
))
207 order
.trade
.prepare_order(
208 compute_value
=order
.trade
.tick_actions_recreate(tick
))
210 self
.report
.log_stage("follow_orders_end")
212 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium",
213 compute_value
="average", repartition
=None, only
=None,
214 available_balance_only
=False):
216 self
.report
.log_stage("prepare_trades",
217 base_currency
=base_currency
, liquidity
=liquidity
,
218 compute_value
=compute_value
, only
=only
,
219 repartition
=repartition
, available_balance_only
=available_balance_only
)
221 values_in_base
= self
.balances
.in_currency(base_currency
,
222 compute_value
=compute_value
)
223 if available_balance_only
:
224 balance
= self
.balances
.all
.get(base_currency
)
226 total_base_value
= portfolio
.Amount(base_currency
, 0)
228 total_base_value
= balance
.exchange_free
+ balance
.margin_available
230 total_base_value
= sum(values_in_base
.values())
231 new_repartition
= self
.balances
.dispatch_assets(total_base_value
,
232 liquidity
=liquidity
, repartition
=repartition
)
233 if available_balance_only
:
234 for currency
, amount
in values_in_base
.items():
235 if currency
!= base_currency
:
236 new_repartition
.setdefault(currency
, portfolio
.Amount(base_currency
, 0))
237 new_repartition
[currency
] += amount
239 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
241 def print_tickers(self
, base_currency
="BTC"):
242 if base_currency
is not None:
243 self
.report
.print_log("total:")
244 self
.report
.print_log(sum(self
.balances
.in_currency(base_currency
).values()))
248 "wait_for_cryptoportfolio": [
254 "wait_for_recent": {},
259 "name": "print_balances",
261 "fetch_balances": ["begin"],
262 "print_tickers": { "base_currency": "BTC" }
,
271 "wait_for_recent": {},
274 "name": "make_orders",
278 "fetch_balances": ["begin"],
279 "prepare_trades": { "compute_value": "average" }
,
280 "prepare_orders": { "compute_value": "average" }
,
289 "wait_for_recent": {},
296 "fetch_balances": ["begin", "end"],
297 "prepare_trades": {},
298 "prepare_orders": { "only": "dispose", "compute_value": "average" }
,
308 "fetch_balances": ["begin", "end"],
309 "prepare_trades": { "only": "acquire", "available_balance_only": True }
,
310 "prepare_orders": { "only": "acquire", "compute_value": "average" }
,
323 "fetch_balances": ["begin", "end"],
324 "prepare_trades": { "repartition": { "base_currency": (1, "long") }
},
325 "prepare_orders": { "compute_value": "average" }
,
335 "wait_for_recent": {},
342 "fetch_balances": ["begin", "end"],
343 "prepare_trades": { "available_balance_only": True }
,
344 "prepare_orders": { "compute_value": "average" }
,
354 "wait_for_recent", "prepare_trades", "prepare_orders",
355 "move_balances", "run_orders", "follow_orders",
356 "close_trades", "print_tickers"]
358 def __init__(self
, market
):
361 def select_steps(self
, scenario
, step
):
364 elif step
== "before" or step
== "after":
365 return list(filter(lambda x
: x
.get(step
, False), scenario
))
366 elif type(step
) == int:
367 return [scenario
[step
-1]]
368 elif type(step
) == str:
369 return list(filter(lambda x
: x
["name"] == step
, scenario
))
371 raise TypeError("Unknown step {}".format(step
))
373 def can_process(self
, scenario_name
):
374 return scenario_name
in self
.scenarios
376 def process(self
, scenario_name
, steps
="all", **kwargs
):
377 if not self
.can_process(scenario_name
):
378 raise TypeError("Unknown scenario {}".format(scenario_name
))
379 scenario
= self
.scenarios
[scenario_name
]
382 if type(steps
) == str or type(steps
) == int:
383 selected_steps
+= self
.select_steps(scenario
, steps
)
386 selected_steps
+= self
.select_steps(scenario
, step
)
387 for step
in selected_steps
:
388 self
.process_step(scenario_name
, step
, kwargs
)
390 def process_step(self
, scenario_name
, step
, kwargs
):
391 process_name
= "process_{}__{}_{}".format(scenario_name
, step
["number"], step
["name"])
392 self
.market
.report
.log_stage("{}_begin".format(process_name
))
393 if "begin" in step
.get("fetch_balances", []):
394 self
.market
.balances
.fetch_balances(tag
="{}_begin".format(process_name
))
396 for action
in self
.ordered_actions
:
398 self
.run_action(action
, step
[action
], kwargs
)
400 if "end" in step
.get("fetch_balances", []):
401 self
.market
.balances
.fetch_balances(tag
="{}_end".format(process_name
))
402 self
.market
.report
.log_stage("{}_end".format(process_name
))
404 def method_arguments(self
, action
):
407 if action
== "wait_for_recent":
408 method
= Portfolio
.wait_for_recent
409 elif action
== "prepare_trades":
410 method
= self
.market
.prepare_trades
411 elif action
== "prepare_orders":
412 method
= self
.market
.trades
.prepare_orders
413 elif action
== "move_balances":
414 method
= self
.market
.move_balances
415 elif action
== "run_orders":
416 method
= self
.market
.trades
.run_orders
417 elif action
== "follow_orders":
418 method
= self
.market
.follow_orders
419 elif action
== "close_trades":
420 method
= self
.market
.trades
.close_trades
421 elif action
== "print_tickers":
422 method
= self
.market
.print_tickers
424 signature
= inspect
.getfullargspec(method
)
425 defaults
= signature
.defaults
or []
426 kwargs
= signature
.args
[-len(defaults
):]
428 return [method
, kwargs
]
430 def parse_args(self
, action
, default_args
, kwargs
):
431 method
, allowed_arguments
= self
.method_arguments(action
)
432 args
= {k: v for k, v in {**default_args, **kwargs}
.items() if k
in allowed_arguments
}
434 if "repartition" in args
and "base_currency" in args
["repartition"]:
435 r
= args
["repartition"]
436 r
[args
.get("base_currency", "BTC")] = r
.pop("base_currency")
440 def run_action(self
, action
, default_args
, kwargs
):
441 method
, args
= self
.parse_args(action
, default_args
, kwargs
)