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
):
129 if other
.currency
!= self
.currency
and other
.value
* self
.value
!= 0:
130 raise Exception("Summing amounts must be done with same currencies")
131 return Amount(self
.currency
, self
.value
+ other
.value
)
133 def __radd__(self
, other
):
137 return self
.__add
__(other
)
139 def __sub__(self
, other
):
142 if other
.currency
!= self
.currency
and other
.value
* self
.value
!= 0:
143 raise Exception("Summing amounts must be done with same currencies")
144 return Amount(self
.currency
, self
.value
- other
.value
)
146 def __rsub__(self
, other
):
150 return -self
.__sub
__(other
)
152 def __mul__(self
, value
):
153 if not isinstance(value
, (int, float, D
)):
154 raise TypeError("Amount may only be multiplied by numbers")
155 return Amount(self
.currency
, self
.value
* value
)
157 def __rmul__(self
, value
):
158 return self
.__mul
__(value
)
160 def __floordiv__(self
, value
):
161 if not isinstance(value
, (int, float, D
)):
162 raise TypeError("Amount may only be divided by numbers")
163 return Amount(self
.currency
, self
.value
/ value
)
165 def __truediv__(self
, value
):
166 return self
.__floordiv
__(value
)
168 def __lt__(self
, other
):
170 return self
.value
< 0
171 if self
.currency
!= other
.currency
:
172 raise Exception("Comparing amounts must be done with same currencies")
173 return self
.value
< other
.value
175 def __le__(self
, other
):
176 return self
== other
or self
< other
178 def __gt__(self
, other
):
179 return not self
<= other
181 def __ge__(self
, other
):
182 return not self
< other
184 def __eq__(self
, other
):
186 return self
.value
== 0
187 if self
.currency
!= other
.currency
:
188 raise Exception("Comparing amounts must be done with same currencies")
189 return self
.value
== other
.value
191 def __ne__(self
, other
):
192 return not self
== other
195 return Amount(self
.currency
, - self
.value
)
198 if self
.linked_to
is None:
199 return "{:.8f} {}".format(self
.value
, self
.currency
)
201 return "{:.8f} {} [{}]".format(self
.value
, self
.currency
, self
.linked_to
)
204 if self
.linked_to
is None:
205 return "Amount({:.8f} {})".format(self
.value
, self
.currency
)
207 return "Amount({:.8f} {} -> {})".format(self
.value
, self
.currency
, repr(self
.linked_to
))
211 def __init__(self
, currency
, hash_
):
212 self
.currency
= currency
214 "exchange_total", "exchange_used", "exchange_free",
215 "margin_total", "margin_borrowed", "margin_free"]:
216 setattr(self
, key
, Amount(currency
, hash_
.get(key
, 0)))
218 self
.margin_position_type
= hash_
.get("margin_position_type")
220 if hash_
.get("margin_borrowed_base_currency") is not None:
221 base_currency
= hash_
["margin_borrowed_base_currency"]
223 "margin_liquidation_price",
224 "margin_pending_gain",
225 "margin_lending_fees",
226 "margin_borrowed_base_price"
228 setattr(self
, key
, Amount(base_currency
, hash_
.get(key
, 0)))
231 if self
.exchange_total
> 0:
232 if self
.exchange_free
> 0 and self
.exchange_used
> 0:
233 exchange
= " Exch: [✔{} + ❌{} = {}]".format(str(self
.exchange_free
), str(self
.exchange_used
), str(self
.exchange_total
))
234 elif self
.exchange_free
> 0:
235 exchange
= " Exch: [✔{}]".format(str(self
.exchange_free
))
237 exchange
= " Exch: [❌{}]".format(str(self
.exchange_used
))
241 if self
.margin_total
> 0:
242 if self
.margin_free
!= 0 and self
.margin_borrowed
!= 0:
243 margin
= " Margin: [✔{} + borrowed {} = {}]".format(str(self
.margin_free
), str(self
.margin_borrowed
), str(self
.margin_total
))
244 elif self
.margin_free
!= 0:
245 margin
= " Margin: [✔{}]".format(str(self
.margin_free
))
247 margin
= " Margin: [borrowed {}]".format(str(self
.margin_borrowed
))
248 elif self
.margin_total
< 0:
249 margin
= " Margin: [{} @@ {}/{}]".format(str(self
.margin_total
),
250 str(self
.margin_borrowed_base_price
),
251 str(self
.margin_lending_fees
))
255 if self
.margin_total
!= 0 and self
.exchange_total
!= 0:
256 total
= " Total: [{}]".format(str(self
.total
))
260 return "Balance({}".format(self
.currency
) + "".join([exchange
, margin
, total
]) + ")"
263 def __init__(self
, value_from
, value_to
, currency
, market
=None):
264 # We have value_from of currency, and want to finish with value_to of
265 # that currency. value_* may not be in currency's terms
266 self
.currency
= currency
267 self
.value_from
= value_from
268 self
.value_to
= value_to
271 assert self
.value_from
.currency
== self
.value_to
.currency
272 if self
.value_from
!= 0:
273 assert self
.value_from
.linked_to
is not None and self
.value_from
.linked_to
.currency
== self
.currency
274 elif self
.value_from
.linked_to
is None:
275 self
.value_from
.linked_to
= Amount(self
.currency
, 0)
276 self
.base_currency
= self
.value_from
.currency
280 if self
.value_from
== self
.value_to
:
282 if self
.base_currency
== self
.currency
:
285 if abs(self
.value_from
) < abs(self
.value_to
):
290 def order_action(self
, inverted
):
291 if (self
.value_from
< self
.value_to
) != inverted
:
297 def trade_type(self
):
298 if self
.value_from
+ self
.value_to
< 0:
303 def filled_amount(self
, in_base_currency
=False):
305 for order
in self
.orders
:
306 filled_amount
+= order
.filled_amount(in_base_currency
=in_base_currency
)
309 def update_order(self
, order
, tick
):
311 if tick
in [0, 1, 3, 4, 6]:
312 print("{}, tick {}, waiting".format(order
, tick
))
314 new_order
= self
.prepare_order(compute_value
=lambda x
, y
: (x
[y
] + x
["average"]) / 2)
315 print("{}, tick {}, cancelling and adjusting to {}".format(order
, tick
, new_order
))
317 new_order
= self
.prepare_order(compute_value
=lambda x
, y
: (x
[y
]*2 + x
["average"]) / 3)
318 print("{}, tick {}, cancelling and adjusting to {}".format(order
, tick
, new_order
))
321 print("{}, tick {}, fallbacking to market value".format(order
, tick
))
322 if (tick
- 7) % 3 == 0:
323 new_order
= self
.prepare_order(compute_value
="default")
324 print("{}, tick {}, market value, cancelling and adjusting to {}".format(order
, tick
, new_order
))
326 if new_order
is not None:
330 def prepare_order(self
, compute_value
="default"):
331 if self
.action
is None:
333 ticker
= h
.get_ticker(self
.currency
, self
.base_currency
, self
.market
)
334 inverted
= ticker
["inverted"]
336 ticker
= ticker
["original"]
337 rate
= Computation
.compute_value(ticker
, self
.order_action(inverted
), compute_value
=compute_value
)
339 delta_in_base
= abs(self
.value_from
- self
.value_to
)
340 # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
343 base_currency
= self
.base_currency
345 if self
.action
== "dispose":
346 filled
= self
.filled_amount(in_base_currency
=False)
347 delta
= delta_in_base
.in_currency(self
.currency
, self
.market
, rate
=1/self
.value_from
.rate
)
348 # I have 10 BTC worth of FOO, and I want to sell 9 BTC
349 # worth of it, computed first with rate 10 FOO = 1 BTC.
350 # -> I "sell" "90" FOO at proposed rate "rate".
352 delta
= delta
- filled
353 # I already sold 60 FOO, 30 left
355 filled
= self
.filled_amount(in_base_currency
=True)
356 delta
= (delta_in_base
- filled
).in_currency(self
.currency
, self
.market
, rate
=1/rate
)
357 # I want to buy 9 BTC worth of FOO, computed with rate
359 # -> I "buy" "9 / rate" FOO at proposed rate "rate"
361 # I already bought 3 / rate FOO, 6 / rate left
363 base_currency
= self
.currency
365 if self
.action
== "dispose":
366 filled
= self
.filled_amount(in_base_currency
=True)
369 delta
= (delta_in_base
.in_currency(self
.currency
, self
.market
, rate
=1/self
.value_from
.rate
)
370 - filled
).in_currency(self
.base_currency
, self
.market
, rate
=1/rate
)
371 # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
372 # computed at rate 1 Foo = 0.01 BTC
373 # Computation says I should sell it at 125 FOO / BTC
374 # -> delta_in_base = 9 BTC
375 # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC
376 # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market
378 # I already bought 300/125 BTC, only 600/125 left
380 filled
= self
.filled_amount(in_base_currency
=False)
383 delta
= delta_in_base
384 # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it
385 # At rate 100 Foo / BTC
386 # Computation says I should buy it at 125 FOO / BTC
387 # -> delta_in_base = 9 BTC
388 # Action: "sell" "9 BTC" at rate "125" "FOO" on market
390 delta
= delta
- filled
391 # I already sold 4 BTC, only 5 left
393 close_if_possible
= (self
.value_to
== 0)
396 print("Less to do than already filled: {}".format(delta
))
399 order
= Order(self
.order_action(inverted
),
400 delta
, rate
, base_currency
, self
.trade_type
,
401 self
.market
, self
, close_if_possible
=close_if_possible
)
402 self
.orders
.append(order
)
406 return "Trade({} -> {} in {}, {})".format(
412 def print_with_order(self
):
414 for order
in self
.orders
:
415 print("\t", order
, sep
="")
418 def __init__(self
, action
, amount
, rate
, base_currency
, trade_type
, market
,
419 trade
, close_if_possible
=False):
423 self
.base_currency
= base_currency
425 self
.trade_type
= trade_type
428 self
.status
= "pending"
430 self
.close_if_possible
= close_if_possible
432 self
.fetch_cache_timestamp
= None
435 return "Order({} {} {} at {} {} [{}]{})".format(
442 " ✂" if self
.close_if_possible
else "",
447 if self
.trade_type
== "long":
454 return self
.status
== "open"
458 return self
.status
== "pending"
462 return self
.status
== "closed" or self
.status
== "canceled" or self
.status
== "error"
465 symbol
= "{}/{}".format(self
.amount
.currency
, self
.base_currency
)
466 amount
= round(self
.amount
, self
.market
.order_precision(symbol
)).value
469 print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
470 symbol
, self
.action
, amount
, self
.rate
, self
.account
))
471 self
.results
.append({"debug": True, "id": -1}
)
474 self
.results
.append(self
.market
.create_order(symbol
, 'limit', self
.action
, amount
, price
=self
.rate
, account
=self
.account
))
475 except ExchangeNotAvailable
:
476 # Impossible to honor the order (dust amount)
477 self
.status
= "closed"
478 self
.mark_finished_order()
480 except Exception as e
:
481 self
.status
= "error"
482 print("error when running market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
483 symbol
, self
.action
, amount
, self
.rate
, self
.account
))
484 self
.error_message
= str("{}: {}".format(e
.__class
__.__name
__, e
))
485 print(self
.error_message
)
487 self
.id = self
.results
[0]["id"]
490 def get_status(self
):
493 # other states are "closed" and "canceled"
494 if not self
.finished
:
497 self
.mark_finished_order()
500 def mark_finished_order(self
):
503 if self
.status
== "closed":
504 if self
.trade_type
== "short" and self
.action
== "buy" and self
.close_if_possible
:
505 self
.market
.close_margin_position(self
.amount
.currency
, self
.base_currency
)
507 def fetch(self
, force
=False):
508 if TradeStore
.debug
or (not force
and self
.fetch_cache_timestamp
is not None
509 and time
.time() - self
.fetch_cache_timestamp
< 10):
511 self
.fetch_cache_timestamp
= time
.time()
513 result
= self
.market
.fetch_order(self
.id)
514 self
.results
.append(result
)
516 self
.status
= result
["status"]
517 # Time at which the order started
518 self
.timestamp
= result
["datetime"]
519 self
.fetch_mouvements()
521 # FIXME: consider open order with dust remaining as closed
523 def dust_amount_remaining(self
):
524 return self
.remaining_amount() < Amount(self
.amount
.currency
, D("0.001"))
526 def remaining_amount(self
):
527 if self
.status
== "open":
529 return self
.amount
- self
.filled_amount()
531 def filled_amount(self
, in_base_currency
=False):
532 if self
.status
== "open":
535 for mouvement
in self
.mouvements
:
537 filled_amount
+= mouvement
.total_in_base
539 filled_amount
+= mouvement
.total
542 def fetch_mouvements(self
):
544 mouvements
= self
.market
.privatePostReturnOrderTrades({"orderNumber": self.id}
)
545 except ExchangeError
:
549 for mouvement_hash
in mouvements
:
550 self
.mouvements
.append(Mouvement(self
.amount
.currency
,
551 self
.base_currency
, mouvement_hash
))
555 self
.status
= "canceled"
557 self
.market
.cancel_order(self
.id)
561 def __init__(self
, currency
, base_currency
, hash_
):
562 self
.currency
= currency
563 self
.base_currency
= base_currency
564 self
.id = hash_
.get("tradeID")
565 self
.action
= hash_
.get("type")
566 self
.fee_rate
= D(hash_
.get("fee", -1))
568 self
.date
= datetime
.strptime(hash_
.get("date", ""), '%Y-%m-%d %H:%M:%S')
571 self
.rate
= D(hash_
.get("rate", 0))
572 self
.total
= Amount(currency
, hash_
.get("amount", 0))
573 # rate * total = total_in_base
574 self
.total_in_base
= Amount(base_currency
, hash_
.get("total", 0))
576 if __name__
== '__main__': # pragma: no cover
577 from market
import market
578 h
.print_orders(market
)