2 from datetime
import datetime
3 from decimal
import Decimal
as D
, ROUND_DOWN
4 # Put your poloniex api key in market.py
5 from json
import JSONDecodeError
6 from ccxt
import ExchangeError
, ExchangeNotAvailable
11 # FIXME: correctly handle web call timeouts
14 URL
= "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
19 def repartition(cls
, liquidity
="medium"):
20 cls
.parse_cryptoportfolio()
21 liquidities
= cls
.liquidities
[liquidity
]
22 cls
.last_date
= sorted(liquidities
.keys())[-1]
23 return liquidities
[cls
.last_date
]
26 def get_cryptoportfolio(cls
):
28 r
= requests
.get(cls
.URL
)
32 cls
.data
= r
.json(parse_int
=D
, parse_float
=D
)
33 except JSONDecodeError
:
37 def parse_cryptoportfolio(cls
):
39 cls
.get_cryptoportfolio()
41 def filter_weights(weight_hash
):
42 if weight_hash
[1][0] == 0:
44 if weight_hash
[0] == "_row":
49 def clean_weights_(h
):
50 if h
[0].endswith("s"):
51 return [h
[0][0:-1], (h
[1][i
], "short")]
53 return [h
[0], (h
[1][i
], "long")]
56 def parse_weights(portfolio_hash
):
57 weights_hash
= portfolio_hash
["weights"]
59 for i
in range(len(weights_hash
["_row"])):
60 weights
[weights_hash
["_row"][i
]] = dict(filter(
62 map(clean_weights(i
), weights_hash
.items())))
65 high_liquidity
= parse_weights(cls
.data
["portfolio_1"])
66 medium_liquidity
= parse_weights(cls
.data
["portfolio_2"])
69 "medium": medium_liquidity
,
70 "high": high_liquidity
,
75 "default": lambda x
, y
: x
[y
],
76 "average": lambda x
, y
: x
["average"],
77 "bid": lambda x
, y
: x
["bid"],
78 "ask": lambda x
, y
: x
["ask"],
82 def compute_value(cls
, ticker
, action
, compute_value
="default"):
87 if isinstance(compute_value
, str):
88 compute_value
= cls
.computations
[compute_value
]
89 return compute_value(ticker
, action
)
92 def __init__(self
, currency
, value
, linked_to
=None, ticker
=None, rate
=None):
93 self
.currency
= currency
95 self
.linked_to
= linked_to
99 def in_currency(self
, other_currency
, market
, rate
=None, action
=None, compute_value
="average"):
100 if other_currency
== self
.currency
:
108 asset_ticker
= h
.get_ticker(self
.currency
, other_currency
, market
)
109 if asset_ticker
is not None:
110 rate
= Computation
.compute_value(asset_ticker
, action
, compute_value
=compute_value
)
118 raise Exception("This asset is not available in the chosen market")
120 def __round__(self
, n
=8):
121 return Amount(self
.currency
, self
.value
.quantize(D(1)/D(10**n
), rounding
=ROUND_DOWN
))
124 return Amount(self
.currency
, abs(self
.value
))
126 def __add__(self
, other
):
127 if other
.currency
!= self
.currency
and other
.value
* self
.value
!= 0:
128 raise Exception("Summing amounts must be done with same currencies")
129 return Amount(self
.currency
, self
.value
+ other
.value
)
131 def __radd__(self
, other
):
135 return self
.__add
__(other
)
137 def __sub__(self
, other
):
140 if other
.currency
!= self
.currency
and other
.value
* self
.value
!= 0:
141 raise Exception("Summing amounts must be done with same currencies")
142 return Amount(self
.currency
, self
.value
- other
.value
)
144 def __mul__(self
, value
):
145 if not isinstance(value
, (int, float, D
)):
146 raise TypeError("Amount may only be multiplied by numbers")
147 return Amount(self
.currency
, self
.value
* value
)
149 def __rmul__(self
, value
):
150 return self
.__mul
__(value
)
152 def __floordiv__(self
, value
):
153 if not isinstance(value
, (int, float, D
)):
154 raise TypeError("Amount may only be divided by numbers")
155 return Amount(self
.currency
, self
.value
/ value
)
157 def __truediv__(self
, value
):
158 return self
.__floordiv
__(value
)
160 def __lt__(self
, other
):
162 return self
.value
< 0
163 if self
.currency
!= other
.currency
:
164 raise Exception("Comparing amounts must be done with same currencies")
165 return self
.value
< other
.value
167 def __le__(self
, other
):
168 return self
== other
or self
< other
170 def __gt__(self
, other
):
171 return not self
<= other
173 def __ge__(self
, other
):
174 return not self
< other
176 def __eq__(self
, other
):
178 return self
.value
== 0
179 if self
.currency
!= other
.currency
:
180 raise Exception("Comparing amounts must be done with same currencies")
181 return self
.value
== other
.value
183 def __ne__(self
, other
):
184 return not self
== other
187 return Amount(self
.currency
, - self
.value
)
190 if self
.linked_to
is None:
191 return "{:.8f} {}".format(self
.value
, self
.currency
)
193 return "{:.8f} {} [{}]".format(self
.value
, self
.currency
, self
.linked_to
)
196 if self
.linked_to
is None:
197 return "Amount({:.8f} {})".format(self
.value
, self
.currency
)
199 return "Amount({:.8f} {} -> {})".format(self
.value
, self
.currency
, repr(self
.linked_to
))
203 def __init__(self
, currency
, hash_
):
204 self
.currency
= currency
206 "exchange_total", "exchange_used", "exchange_free",
207 "margin_total", "margin_borrowed", "margin_free"]:
208 setattr(self
, key
, Amount(currency
, hash_
.get(key
, 0)))
210 self
.margin_position_type
= hash_
.get("margin_position_type")
212 if hash_
.get("margin_borrowed_base_currency") is not None:
213 base_currency
= hash_
["margin_borrowed_base_currency"]
215 "margin_liquidation_price",
216 "margin_pending_gain",
217 "margin_lending_fees",
218 "margin_borrowed_base_price"
220 setattr(self
, key
, Amount(base_currency
, hash_
.get(key
, 0)))
223 if self
.exchange_total
> 0:
224 if self
.exchange_free
> 0 and self
.exchange_used
> 0:
225 exchange
= " Exch: [✔{} + ❌{} = {}]".format(str(self
.exchange_free
), str(self
.exchange_used
), str(self
.exchange_total
))
226 elif self
.exchange_free
> 0:
227 exchange
= " Exch: [✔{}]".format(str(self
.exchange_free
))
229 exchange
= " Exch: [❌{}]".format(str(self
.exchange_used
))
233 if self
.margin_total
> 0:
234 if self
.margin_free
!= 0 and self
.margin_borrowed
!= 0:
235 margin
= " Margin: [✔{} + borrowed {} = {}]".format(str(self
.margin_free
), str(self
.margin_borrowed
), str(self
.margin_total
))
236 elif self
.margin_free
!= 0:
237 margin
= " Margin: [✔{}]".format(str(self
.margin_free
))
239 margin
= " Margin: [borrowed {}]".format(str(self
.margin_borrowed
))
240 elif self
.margin_total
< 0:
241 margin
= " Margin: [{} @@ {}/{}]".format(str(self
.margin_total
),
242 str(self
.margin_borrowed_base_price
),
243 str(self
.margin_lending_fees
))
247 if self
.margin_total
!= 0 and self
.exchange_total
!= 0:
248 total
= " Total: [{}]".format(str(self
.total
))
252 return "Balance({}".format(self
.currency
) + "".join([exchange
, margin
, total
]) + ")"
255 def __init__(self
, value_from
, value_to
, currency
, market
=None):
256 # We have value_from of currency, and want to finish with value_to of
257 # that currency. value_* may not be in currency's terms
258 self
.currency
= currency
259 self
.value_from
= value_from
260 self
.value_to
= value_to
263 assert self
.value_from
.currency
== self
.value_to
.currency
264 if self
.value_from
!= 0:
265 assert self
.value_from
.linked_to
is not None and self
.value_from
.linked_to
.currency
== self
.currency
266 elif self
.value_from
.linked_to
is None:
267 self
.value_from
.linked_to
= Amount(self
.currency
, 0)
268 self
.base_currency
= self
.value_from
.currency
272 if self
.value_from
== self
.value_to
:
274 if self
.base_currency
== self
.currency
:
277 if abs(self
.value_from
) < abs(self
.value_to
):
282 def order_action(self
, inverted
):
283 if (self
.value_from
< self
.value_to
) != inverted
:
289 def trade_type(self
):
290 if self
.value_from
+ self
.value_to
< 0:
295 def filled_amount(self
, in_base_currency
=False):
297 for order
in self
.orders
:
298 filled_amount
+= order
.filled_amount(in_base_currency
=in_base_currency
)
301 def update_order(self
, order
, tick
):
303 if tick
in [0, 1, 3, 4, 6]:
304 print("{}, tick {}, waiting".format(order
, tick
))
306 new_order
= self
.prepare_order(compute_value
=lambda x
, y
: (x
[y
] + x
["average"]) / 2)
307 print("{}, tick {}, cancelling and adjusting to {}".format(order
, tick
, new_order
))
309 new_order
= self
.prepare_order(compute_value
=lambda x
, y
: (x
[y
]*2 + x
["average"]) / 3)
310 print("{}, tick {}, cancelling and adjusting to {}".format(order
, tick
, new_order
))
313 print("{}, tick {}, fallbacking to market value".format(order
, tick
))
314 if (tick
- 7) % 3 == 0:
315 new_order
= self
.prepare_order(compute_value
="default")
316 print("{}, tick {}, market value, cancelling and adjusting to {}".format(order
, tick
, new_order
))
318 if new_order
is not None:
322 def prepare_order(self
, compute_value
="default"):
323 if self
.action
is None:
325 ticker
= h
.get_ticker(self
.currency
, self
.base_currency
, self
.market
)
326 inverted
= ticker
["inverted"]
328 ticker
= ticker
["original"]
329 rate
= Computation
.compute_value(ticker
, self
.order_action(inverted
), compute_value
=compute_value
)
331 delta_in_base
= abs(self
.value_from
- self
.value_to
)
332 # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
335 base_currency
= self
.base_currency
337 if self
.action
== "dispose":
338 filled
= self
.filled_amount(in_base_currency
=False)
339 delta
= delta_in_base
.in_currency(self
.currency
, self
.market
, rate
=1/self
.value_from
.rate
)
340 # I have 10 BTC worth of FOO, and I want to sell 9 BTC
341 # worth of it, computed first with rate 10 FOO = 1 BTC.
342 # -> I "sell" "90" FOO at proposed rate "rate".
344 delta
= delta
- filled
345 # I already sold 60 FOO, 30 left
347 filled
= self
.filled_amount(in_base_currency
=True)
348 delta
= (delta_in_base
- filled
).in_currency(self
.currency
, self
.market
, rate
=1/rate
)
349 # I want to buy 9 BTC worth of FOO, computed with rate
351 # -> I "buy" "9 / rate" FOO at proposed rate "rate"
353 # I already bought 3 / rate FOO, 6 / rate left
355 base_currency
= self
.currency
357 if self
.action
== "dispose":
358 filled
= self
.filled_amount(in_base_currency
=True)
361 delta
= (delta_in_base
.in_currency(self
.currency
, self
.market
, rate
=1/self
.value_from
.rate
)
362 - filled
).in_currency(self
.base_currency
, self
.market
, rate
=1/rate
)
363 # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
364 # computed at rate 1 Foo = 0.01 BTC
365 # Computation says I should sell it at 125 FOO / BTC
366 # -> delta_in_base = 9 BTC
367 # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC
368 # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market
370 # I already bought 300/125 BTC, only 600/125 left
372 filled
= self
.filled_amount(in_base_currency
=False)
375 delta
= delta_in_base
376 # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it
377 # At rate 100 Foo / BTC
378 # Computation says I should buy it at 125 FOO / BTC
379 # -> delta_in_base = 9 BTC
380 # Action: "sell" "9 BTC" at rate "125" "FOO" on market
382 delta
= delta
- filled
383 # I already sold 4 BTC, only 5 left
385 close_if_possible
= (self
.value_to
== 0)
388 print("Less to do than already filled: {}".format(delta
))
391 order
= Order(self
.order_action(inverted
),
392 delta
, rate
, base_currency
, self
.trade_type
,
393 self
.market
, self
, close_if_possible
=close_if_possible
)
394 self
.orders
.append(order
)
398 return "Trade({} -> {} in {}, {})".format(
404 def print_with_order(self
):
406 for order
in self
.orders
:
407 print("\t", order
, sep
="")
410 def __init__(self
, action
, amount
, rate
, base_currency
, trade_type
, market
,
411 trade
, close_if_possible
=False):
415 self
.base_currency
= base_currency
417 self
.trade_type
= trade_type
420 self
.status
= "pending"
422 self
.close_if_possible
= close_if_possible
424 self
.fetch_cache_timestamp
= None
427 return "Order({} {} {} at {} {} [{}]{})".format(
434 " ✂" if self
.close_if_possible
else "",
439 if self
.trade_type
== "long":
446 return self
.status
== "open"
450 return self
.status
== "pending"
454 return self
.status
== "closed" or self
.status
== "canceled" or self
.status
== "error"
457 symbol
= "{}/{}".format(self
.amount
.currency
, self
.base_currency
)
458 amount
= round(self
.amount
, self
.market
.order_precision(symbol
)).value
461 print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
462 symbol
, self
.action
, amount
, self
.rate
, self
.account
))
463 self
.results
.append({"debug": True, "id": -1}
)
466 self
.results
.append(self
.market
.create_order(symbol
, 'limit', self
.action
, amount
, price
=self
.rate
, account
=self
.account
))
467 except ExchangeNotAvailable
:
468 # Impossible to honor the order (dust amount)
469 self
.status
= "closed"
470 self
.mark_finished_order()
472 except Exception as e
:
473 self
.status
= "error"
474 print("error when running market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
475 symbol
, self
.action
, amount
, self
.rate
, self
.account
))
476 self
.error_message
= str("{}: {}".format(e
.__class
__.__name
__, e
))
477 print(self
.error_message
)
479 self
.id = self
.results
[0]["id"]
482 def get_status(self
):
485 # other states are "closed" and "canceled"
486 if not self
.finished
:
489 self
.mark_finished_order()
492 def mark_finished_order(self
):
495 if self
.status
== "closed":
496 if self
.trade_type
== "short" and self
.action
== "buy" and self
.close_if_possible
:
497 self
.market
.close_margin_position(self
.amount
.currency
, self
.base_currency
)
499 def fetch(self
, force
=False):
500 if TradeStore
.debug
or (not force
and self
.fetch_cache_timestamp
is not None
501 and time
.time() - self
.fetch_cache_timestamp
< 10):
503 self
.fetch_cache_timestamp
= time
.time()
505 result
= self
.market
.fetch_order(self
.id)
506 self
.results
.append(result
)
508 self
.status
= result
["status"]
509 # Time at which the order started
510 self
.timestamp
= result
["datetime"]
511 self
.fetch_mouvements()
513 # FIXME: consider open order with dust remaining as closed
515 def dust_amount_remaining(self
):
516 return self
.remaining_amount() < Amount(self
.amount
.currency
, D("0.001"))
518 def remaining_amount(self
):
519 if self
.status
== "open":
521 return self
.amount
- self
.filled_amount()
523 def filled_amount(self
, in_base_currency
=False):
524 if self
.status
== "open":
527 for mouvement
in self
.mouvements
:
529 filled_amount
+= mouvement
.total_in_base
531 filled_amount
+= mouvement
.total
534 def fetch_mouvements(self
):
536 mouvements
= self
.market
.privatePostReturnOrderTrades({"orderNumber": self.id}
)
537 except ExchangeError
:
541 for mouvement_hash
in mouvements
:
542 self
.mouvements
.append(Mouvement(self
.amount
.currency
,
543 self
.base_currency
, mouvement_hash
))
547 self
.status
= "canceled"
549 self
.market
.cancel_order(self
.id)
553 def __init__(self
, currency
, base_currency
, hash_
):
554 self
.currency
= currency
555 self
.base_currency
= base_currency
556 self
.id = hash_
.get("tradeID")
557 self
.action
= hash_
.get("type")
558 self
.fee_rate
= D(hash_
.get("fee", -1))
560 self
.date
= datetime
.strptime(hash_
.get("date", ""), '%Y-%m-%d %H:%M:%S')
563 self
.rate
= D(hash_
.get("rate", 0))
564 self
.total
= Amount(currency
, hash_
.get("amount", 0))
565 # rate * total = total_in_base
566 self
.total_in_base
= Amount(base_currency
, hash_
.get("total", 0))
568 if __name__
== '__main__': # pragma: no cover
569 from market
import market
570 h
.print_orders(market
)