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
9 from retry
import retry
19 def __init__(self
, ccxt_instance
, args
, **kwargs
):
21 self
.debug
= args
.debug
22 self
.ccxt
= ccxt_instance
23 self
.ccxt
._market
= self
24 self
.report
= ReportStore(self
, verbose_print
=(not args
.quiet
))
25 self
.trades
= TradeStore(self
)
26 self
.balances
= BalanceStore(self
)
27 self
.processor
= Processor(self
)
29 for key
in ["user_id", "market_id"]:
30 setattr(self
, key
, kwargs
.get(key
, None))
32 self
.report
.log_market(self
.args
)
35 def from_config(cls
, config
, args
, **kwargs
):
36 config
["apiKey"] = config
.pop("key", None)
38 ccxt_instance
= ccxt
.poloniexE(config
)
40 return cls(ccxt_instance
, args
, **kwargs
)
42 def store_report(self
):
43 self
.report
.merge(Portfolio
.report
)
44 date
= datetime
.datetime
.now()
45 if self
.args
.report_path
is not None:
46 self
.store_file_report(date
)
47 if dbs
.psql_connected() and self
.args
.report_db
:
48 self
.store_database_report(date
)
49 if dbs
.redis_connected() and self
.args
.report_redis
:
50 self
.store_redis_report(date
)
52 def store_file_report(self
, date
):
54 report_file
= "{}/{}_{}".format(self
.args
.report_path
, date
.isoformat(), self
.user_id
)
55 with open(report_file
+ ".json", "w") as f
:
56 f
.write(self
.report
.to_json())
57 with open(report_file
+ ".log", "w") as f
:
58 f
.write("\n".join(map(lambda x
: x
[1], self
.report
.print_logs
)))
59 except Exception as e
:
60 print("impossible to store report file: {}; {}".format(e
.__class
__.__name
__, e
))
62 def store_database_report(self
, date
):
64 report_query
= 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
65 line_query
= 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
66 cursor
= dbs
.psql
.cursor()
67 cursor
.execute(report_query
, (date
, self
.market_id
, self
.debug
))
68 report_id
= cursor
.fetchone()[0]
69 for date
, type_
, payload
in self
.report
.to_json_array():
70 cursor
.execute(line_query
, (date
, report_id
, type_
, payload
))
74 except Exception as e
:
75 print("impossible to store report to database: {}; {}".format(e
.__class
__.__name
__, e
))
77 def store_redis_report(self
, date
):
79 for type_
, log
in self
.report
.to_json_redis():
80 key
= "/cryptoportfolio/{}/{}/{}".format(self
.market_id
, date
.isoformat(), type_
)
81 dbs
.redis
.set(key
, log
, ex
=31*24*60*60)
82 key
= "/cryptoportfolio/{}/latest/{}".format(self
.market_id
, type_
)
83 dbs
.redis
.set(key
, log
)
84 key
= "/cryptoportfolio/{}/latest/date".format(self
.market_id
)
85 dbs
.redis
.set(key
, date
.isoformat())
86 except Exception as e
:
87 print("impossible to store report to redis: {}; {}".format(e
.__class
__.__name
__, e
))
89 def process(self
, actions
, before
=False, after
=False):
91 for action
in actions
:
92 if bool(before
) is bool(after
):
93 self
.processor
.process(action
, steps
="all")
95 self
.processor
.process(action
, steps
="before")
97 self
.processor
.process(action
, steps
="after")
98 except Exception as e
:
99 self
.report
.log_error("market_process", exception
=e
)
103 @retry((RequestTimeout
, InvalidNonce
), tries
=5)
104 def move_balances(self
):
105 needed_in_margin
= {}
106 moving_to_margin
= {}
108 for currency
, balance
in self
.balances
.all
.items():
109 needed_in_margin
[currency
] = balance
.margin_in_position
- balance
.margin_pending_gain
110 for trade
in self
.trades
.pending
:
111 needed_in_margin
.setdefault(trade
.base_currency
, 0)
112 if trade
.trade_type
== "short":
113 needed_in_margin
[trade
.base_currency
] -= trade
.delta
114 for currency
, needed
in needed_in_margin
.items():
115 current_balance
= self
.balances
.all
[currency
].margin_available
116 moving_to_margin
[currency
] = (needed
- current_balance
)
117 delta
= moving_to_margin
[currency
].value
118 action
= "Moving {} from exchange to margin".format(moving_to_margin
[currency
])
120 if self
.debug
and delta
!= 0:
121 self
.report
.log_debug_action(action
)
125 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
127 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
128 except (RequestTimeout
, InvalidNonce
) as e
:
129 self
.report
.log_error(action
, message
="Retrying", exception
=e
)
130 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
131 self
.balances
.fetch_balances()
133 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
135 self
.balances
.fetch_balances()
138 def fetch_fees(self
):
139 return self
.ccxt
.fetch_fees()
141 @ttl_cache(maxsize
=20, ttl
=5)
142 def get_tickers(self
, refresh
=False):
144 return self
.ccxt
.fetch_tickers()
148 @ttl_cache(maxsize
=20, ttl
=5)
149 def get_ticker(self
, c1
, c2
, refresh
=False):
153 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
156 def augment_ticker(ticker
):
159 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
163 tickers
= self
.get_tickers()
166 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
167 except ExchangeError
:
169 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
170 except ExchangeError
:
173 if "{}/{}".format(c1
, c2
) in tickers
:
174 ticker
= augment_ticker(tickers
["{}/{}".format(c1
, c2
)])
175 elif "{}/{}".format(c2
, c1
) in tickers
:
176 ticker
= invert(augment_ticker(tickers
["{}/{}".format(c2
, c1
)]))
181 def follow_orders(self
, sleep
=None):
183 sleep
= 7 if self
.debug
else 30
185 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
187 self
.report
.log_stage("follow_orders_begin")
188 while len(self
.trades
.all_orders(state
="open")) > 0:
191 open_orders
= self
.trades
.all_orders(state
="open")
192 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
193 self
.report
.log_orders(open_orders
, tick
=tick
)
194 for order
in open_orders
:
195 status
= order
.get_status()
197 self
.report
.log_order(order
, tick
, finished
=True)
199 order
.trade
.update_order(order
, tick
)
200 if status
== "error_disappeared":
201 self
.report
.log_error("follow_orders",
202 message
="{} disappeared, recreating it".format(order
))
203 order
.trade
.prepare_order(
204 compute_value
=order
.trade
.tick_actions_recreate(tick
))
206 self
.report
.log_stage("follow_orders_end")
208 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium",
209 compute_value
="average", repartition
=None, only
=None,
210 available_balance_only
=False):
212 self
.report
.log_stage("prepare_trades",
213 base_currency
=base_currency
, liquidity
=liquidity
,
214 compute_value
=compute_value
, only
=only
,
215 repartition
=repartition
, available_balance_only
=available_balance_only
)
217 values_in_base
= self
.balances
.in_currency(base_currency
,
218 compute_value
=compute_value
)
219 if available_balance_only
:
220 balance
= self
.balances
.all
.get(base_currency
)
222 total_base_value
= portfolio
.Amount(base_currency
, 0)
224 total_base_value
= balance
.exchange_free
+ balance
.margin_available
226 total_base_value
= sum(values_in_base
.values())
227 new_repartition
= self
.balances
.dispatch_assets(total_base_value
,
228 liquidity
=liquidity
, repartition
=repartition
)
229 if available_balance_only
:
230 for currency
, amount
in values_in_base
.items():
231 if currency
!= base_currency
:
232 new_repartition
.setdefault(currency
, portfolio
.Amount(base_currency
, 0))
233 new_repartition
[currency
] += amount
235 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
237 def print_tickers(self
, base_currency
="BTC"):
238 if base_currency
is not None:
239 self
.report
.print_log("total:")
240 self
.report
.print_log(sum(self
.balances
.in_currency(base_currency
).values()))
244 "wait_for_cryptoportfolio": [
250 "wait_for_recent": {},
255 "name": "print_balances",
257 "fetch_balances": ["begin"],
258 "print_tickers": { "base_currency": "BTC" }
,
267 "wait_for_recent": {},
270 "name": "make_orders",
274 "fetch_balances": ["begin"],
275 "prepare_trades": { "compute_value": "average" }
,
276 "prepare_orders": { "compute_value": "average" }
,
285 "wait_for_recent": {},
292 "fetch_balances": ["begin", "end"],
293 "prepare_trades": {},
294 "prepare_orders": { "only": "dispose", "compute_value": "average" }
,
304 "fetch_balances": ["begin", "end"],
305 "prepare_trades": { "only": "acquire", "available_balance_only": True }
,
306 "prepare_orders": { "only": "acquire", "compute_value": "average" }
,
319 "fetch_balances": ["begin", "end"],
320 "prepare_trades": { "repartition": { "base_currency": (1, "long") }
},
321 "prepare_orders": { "compute_value": "average" }
,
331 "wait_for_recent": {},
338 "fetch_balances": ["begin", "end"],
339 "prepare_trades": { "available_balance_only": True }
,
340 "prepare_orders": { "compute_value": "average" }
,
350 "wait_for_recent", "prepare_trades", "prepare_orders",
351 "move_balances", "run_orders", "follow_orders",
352 "close_trades", "print_tickers"]
354 def __init__(self
, market
):
357 def select_steps(self
, scenario
, step
):
360 elif step
== "before" or step
== "after":
361 return list(filter(lambda x
: x
.get(step
, False), scenario
))
362 elif type(step
) == int:
363 return [scenario
[step
-1]]
364 elif type(step
) == str:
365 return list(filter(lambda x
: x
["name"] == step
, scenario
))
367 raise TypeError("Unknown step {}".format(step
))
369 def can_process(self
, scenario_name
):
370 return scenario_name
in self
.scenarios
372 def process(self
, scenario_name
, steps
="all", **kwargs
):
373 if not self
.can_process(scenario_name
):
374 raise TypeError("Unknown scenario {}".format(scenario_name
))
375 scenario
= self
.scenarios
[scenario_name
]
378 if type(steps
) == str or type(steps
) == int:
379 selected_steps
+= self
.select_steps(scenario
, steps
)
382 selected_steps
+= self
.select_steps(scenario
, step
)
383 for step
in selected_steps
:
384 self
.process_step(scenario_name
, step
, kwargs
)
386 def process_step(self
, scenario_name
, step
, kwargs
):
387 process_name
= "process_{}__{}_{}".format(scenario_name
, step
["number"], step
["name"])
388 self
.market
.report
.log_stage("{}_begin".format(process_name
))
389 if "begin" in step
.get("fetch_balances", []):
390 self
.market
.balances
.fetch_balances(tag
="{}_begin".format(process_name
), log_tickers
=True)
392 for action
in self
.ordered_actions
:
394 self
.run_action(action
, step
[action
], kwargs
)
396 if "end" in step
.get("fetch_balances", []):
397 self
.market
.balances
.fetch_balances(tag
="{}_end".format(process_name
), log_tickers
=True)
398 self
.market
.report
.log_stage("{}_end".format(process_name
))
400 def method_arguments(self
, action
):
403 if action
== "wait_for_recent":
404 method
= Portfolio
.wait_for_recent
405 elif action
== "prepare_trades":
406 method
= self
.market
.prepare_trades
407 elif action
== "prepare_orders":
408 method
= self
.market
.trades
.prepare_orders
409 elif action
== "move_balances":
410 method
= self
.market
.move_balances
411 elif action
== "run_orders":
412 method
= self
.market
.trades
.run_orders
413 elif action
== "follow_orders":
414 method
= self
.market
.follow_orders
415 elif action
== "close_trades":
416 method
= self
.market
.trades
.close_trades
417 elif action
== "print_tickers":
418 method
= self
.market
.print_tickers
420 signature
= inspect
.getfullargspec(method
)
421 defaults
= signature
.defaults
or []
422 kwargs
= signature
.args
[-len(defaults
):]
424 return [method
, kwargs
]
426 def parse_args(self
, action
, default_args
, kwargs
):
427 method
, allowed_arguments
= self
.method_arguments(action
)
428 args
= {k: v for k, v in {**default_args, **kwargs}
.items() if k
in allowed_arguments
}
430 if "repartition" in args
and "base_currency" in args
["repartition"]:
431 r
= args
["repartition"]
432 r
[args
.get("base_currency", "BTC")] = r
.pop("base_currency")
436 def run_action(self
, action
, default_args
, kwargs
):
437 method
, args
= self
.parse_args(action
, default_args
, kwargs
)