1 from ccxt
import ExchangeError
2 import ccxt_wrapper
as ccxt
13 def __init__(self
, ccxt_instance
, debug
=False):
15 self
.ccxt
= ccxt_instance
16 self
.ccxt
._market
= self
17 self
.report
= ReportStore(self
)
18 self
.trades
= TradeStore(self
)
19 self
.balances
= BalanceStore(self
)
22 def from_config(cls
, config
, debug
=False):
23 ccxt_instance
= ccxt
.poloniexE(config
)
25 # For requests logging
26 ccxt_instance
.session
.origin_request
= ccxt_instance
.session
.request
27 ccxt_instance
.session
._parent
= ccxt_instance
29 def request_wrap(self
, *args
, **kwargs
):
30 r
= self
.origin_request(*args
, **kwargs
)
31 self
._parent
._market
.report
.log_http_request(args
[0],
32 args
[1], kwargs
["data"], kwargs
["headers"], r
)
34 ccxt_instance
.session
.request
= request_wrap
.__get
__(ccxt_instance
.session
,
35 ccxt_instance
.session
.__class
__)
37 return cls(ccxt_instance
, debug
=debug
)
39 def move_balances(self
):
43 for currency
in self
.balances
.all
:
44 if self
.balances
.all
[currency
].margin_free
!= 0:
45 needed_in_margin
[currency
] = 0
46 for trade
in self
.trades
.all
:
47 if trade
.value_to
.currency
not in needed_in_margin
:
48 needed_in_margin
[trade
.value_to
.currency
] = 0
49 if trade
.trade_type
== "short":
50 needed_in_margin
[trade
.value_to
.currency
] += abs(trade
.value_to
)
51 for currency
, needed
in needed_in_margin
.items():
52 current_balance
= self
.balances
.all
[currency
].margin_free
53 moving_to_margin
[currency
] = (needed
- current_balance
)
54 delta
= moving_to_margin
[currency
].value
56 self
.report
.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin
[currency
]))
59 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
61 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
62 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
64 self
.balances
.fetch_balances()
68 if self
.ccxt
.__class
__ not in self
.fees_cache
:
69 self
.fees_cache
[self
.ccxt
.__class
__] = self
.ccxt
.fetch_fees()
70 return self
.fees_cache
[self
.ccxt
.__class
__]
73 ticker_cache_timestamp
= time
.time()
74 def get_ticker(self
, c1
, c2
, refresh
=False):
78 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
81 def augment_ticker(ticker
):
84 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
87 if time
.time() - self
.ticker_cache_timestamp
> 5:
88 self
.ticker_cache
= {}
89 self
.ticker_cache_timestamp
= time
.time()
91 if (c1
, c2
, self
.ccxt
.__class
__) in self
.ticker_cache
:
92 return self
.ticker_cache
[(c1
, c2
, self
.ccxt
.__class
__)]
93 if (c2
, c1
, self
.ccxt
.__class
__) in self
.ticker_cache
:
94 return invert(self
.ticker_cache
[(c2
, c1
, self
.ccxt
.__class
__)])
97 self
.ticker_cache
[(c1
, c2
, self
.ccxt
.__class
__)] = self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
))
98 augment_ticker(self
.ticker_cache
[(c1
, c2
, self
.ccxt
.__class
__)])
101 self
.ticker_cache
[(c2
, c1
, self
.ccxt
.__class
__)] = self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))
102 augment_ticker(self
.ticker_cache
[(c2
, c1
, self
.ccxt
.__class
__)])
103 except ExchangeError
:
104 self
.ticker_cache
[(c1
, c2
, self
.ccxt
.__class
__)] = None
105 return self
.get_ticker(c1
, c2
)
107 def follow_orders(self
, sleep
=None):
109 sleep
= 7 if self
.debug
else 30
111 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
113 self
.report
.log_stage("follow_orders_begin")
114 while len(self
.trades
.all_orders(state
="open")) > 0:
117 open_orders
= self
.trades
.all_orders(state
="open")
118 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
119 self
.report
.log_orders(open_orders
, tick
=tick
)
120 for order
in open_orders
:
121 if order
.get_status() != "open":
122 self
.report
.log_order(order
, tick
, finished
=True)
124 order
.trade
.update_order(order
, tick
)
125 self
.report
.log_stage("follow_orders_end")
127 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium", compute_value
="average"):
128 self
.report
.log_stage("prepare_trades")
129 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
130 total_base_value
= sum(values_in_base
.values())
131 new_repartition
= self
.balances
.dispatch_assets(total_base_value
, liquidity
=liquidity
)
132 # Recompute it in case we have new currencies
133 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
134 self
.trades
.compute_trades(values_in_base
, new_repartition
)
136 def update_trades(self
, base_currency
="BTC", liquidity
="medium", compute_value
="average", only
=None):
137 self
.report
.log_stage("update_trades")
138 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
139 total_base_value
= sum(values_in_base
.values())
140 new_repartition
= self
.balances
.dispatch_assets(total_base_value
, liquidity
=liquidity
)
141 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
143 def prepare_trades_to_sell_all(self
, base_currency
="BTC", compute_value
="average"):
144 self
.report
.log_stage("prepare_trades_to_sell_all")
145 values_in_base
= self
.balances
.in_currency(base_currency
, compute_value
=compute_value
)
146 total_base_value
= sum(values_in_base
.values())
147 new_repartition
= self
.balances
.dispatch_assets(total_base_value
, repartition
={ base_currency: (1, "long") }
)
148 self
.trades
.compute_trades(values_in_base
, new_repartition
)