4 import simplejson
as json
5 from decimal
import Decimal
as D
, ROUND_DOWN
6 from datetime
import date
, datetime
, timedelta
8 from json
import JSONDecodeError
9 from simplejson
.errors
import JSONDecodeError
as SimpleJSONDecodeError
11 __all__
= ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"]
14 def __init__(self
, market
, verbose_print
=True):
16 self
.verbose_print
= verbose_print
21 def merge(self
, other_report
):
22 self
.logs
+= other_report
.logs
23 self
.logs
.sort(key
=lambda x
: x
["date"])
25 self
.print_logs
+= other_report
.print_logs
26 self
.print_logs
.sort(key
=lambda x
: x
[0])
28 def print_log(self
, message
):
30 message
= "{:%Y-%m-%d %H:%M:%S}: {}".format(now
, str(message
))
31 self
.print_logs
.append([now
, message
])
32 if self
.verbose_print
:
35 def add_log(self
, hash_
):
36 hash_
["date"] = datetime
.now()
37 self
.logs
.append(hash_
)
40 def default_json_serial(obj
):
41 if isinstance(obj
, (datetime
, date
)):
42 return obj
.isoformat()
46 return json
.dumps(self
.logs
, default
=self
.default_json_serial
, indent
=" ")
48 def to_json_array(self
):
49 for log
in (x
.copy() for x
in self
.logs
):
53 json
.dumps(log
, default
=self
.default_json_serial
, indent
=" ")
56 def set_verbose(self
, verbose_print
):
57 self
.verbose_print
= verbose_print
59 def log_stage(self
, stage
, **kwargs
):
62 return inspect
.getsource(element
).strip()
63 elif hasattr(element
, "as_json"):
64 return element
.as_json()
68 args
= { k: as_json(v) for k, v in kwargs.items() }
69 args_str
= ["{}={}".format(k
, v
) for k
, v
in args
.items()]
70 self
.print_log("-" * (len(stage
) + 8))
71 self
.print_log("[Stage] {} {}".format(stage
, ", ".join(args_str
)))
79 def log_balances(self
, tag
=None):
80 self
.print_log("[Balance]")
81 for currency
, balance
in self
.market
.balances
.all
.items():
82 self
.print_log("\t{}".format(balance
))
87 "balances": self
.market
.balances
.as_json()
90 def log_tickers(self
, amounts
, other_currency
,
94 if callable(compute_value
):
95 compute_value
= inspect
.getsource(compute_value
).strip()
97 for currency
, amount
in amounts
.items():
98 values
[currency
] = amount
.as_json()["value"]
99 rates
[currency
] = amount
.rate
102 "compute_value": compute_value
,
103 "balance_type": type,
104 "currency": other_currency
,
107 "total": sum(amounts
.values()).as_json()["value"]
110 def log_dispatch(self
, amount
, amounts
, liquidity
, repartition
):
113 "liquidity": liquidity
,
114 "repartition_ratio": repartition
,
115 "total_amount": amount
.as_json(),
116 "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
119 def log_trades(self
, matching_and_trades
, only
):
121 for matching
, trade
in matching_and_trades
:
122 trade_json
= trade
.as_json()
123 trade_json
["skipped"] = not matching
124 trades
.append(trade_json
)
129 "debug": self
.market
.debug
,
133 def log_orders(self
, orders
, tick
=None, only
=None, compute_value
=None):
134 if callable(compute_value
):
135 compute_value
= inspect
.getsource(compute_value
).strip()
136 self
.print_log("[Orders]")
137 self
.market
.trades
.print_all_with_order(ind
="\t")
141 "compute_value": compute_value
,
143 "orders": [order
.as_json() for order
in orders
if order
is not None]
146 def log_order(self
, order
, tick
, finished
=False, update
=None,
147 new_order
=None, compute_value
=None):
148 if callable(compute_value
):
149 compute_value
= inspect
.getsource(compute_value
).strip()
151 self
.print_log("[Order] Finished {}".format(order
))
152 elif update
== "waiting":
153 self
.print_log("[Order] {}, tick {}, waiting".format(order
, tick
))
154 elif update
== "adjusting":
155 self
.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order
, tick
, new_order
))
156 elif update
== "market_fallback":
157 self
.print_log("[Order] {}, tick {}, fallbacking to market value".format(order
, tick
))
158 elif update
== "market_adjust":
159 self
.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order
, tick
, new_order
))
165 "order": order
.as_json(),
166 "compute_value": compute_value
,
167 "new_order": new_order
.as_json() if new_order
is not None else None
170 def log_move_balances(self
, needed
, moving
):
172 "type": "move_balances",
173 "debug": self
.market
.debug
,
174 "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() }
,
175 "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() }
,
178 def log_http_request(self
, method
, url
, body
, headers
, response
):
180 "type": "http_request",
185 "status": response
.status_code
,
186 "response": response
.text
189 def log_error(self
, action
, message
=None, exception
=None):
190 self
.print_log("[Error] {}".format(action
))
191 if exception
is not None:
192 self
.print_log(str("\t{}: {}".format(exception
.__class
__.__name
__, exception
)))
193 if message
is not None:
194 self
.print_log("\t{}".format(message
))
199 "exception_class": exception
.__class
__.__name
__ if exception
is not None else None,
200 "exception_message": str(exception
) if exception
is not None else None,
204 def log_debug_action(self
, action
):
205 self
.print_log("[Debug] {}".format(action
))
208 "type": "debug_action",
212 def log_market(self
, args
, user_id
, market_id
, report_path
, debug
):
215 "commit": "$Format:%H$",
218 "market_id": market_id
,
219 "report_path": report_path
,
224 def __init__(self
, market
):
228 def currencies(self
):
229 return self
.all
.keys()
231 def in_currency(self
, other_currency
, compute_value
="average", type="total"):
233 for currency
, balance
in self
.all
.items():
234 other_currency_amount
= getattr(balance
, type)\
235 .in_currency(other_currency
, self
.market
, compute_value
=compute_value
)
236 amounts
[currency
] = other_currency_amount
237 self
.market
.report
.log_tickers(amounts
, other_currency
,
241 def fetch_balances(self
, tag
=None):
242 all_balances
= self
.market
.ccxt
.fetch_all_balances()
243 for currency
, balance
in all_balances
.items():
244 if balance
["exchange_total"] != 0 or balance
["margin_total"] != 0 or \
245 currency
in self
.all
:
246 self
.all
[currency
] = portfolio
.Balance(currency
, balance
)
247 self
.market
.report
.log_balances(tag
=tag
)
249 def dispatch_assets(self
, amount
, liquidity
="medium", repartition
=None):
250 if repartition
is None:
251 repartition
= Portfolio
.repartition(liquidity
=liquidity
)
252 sum_ratio
= sum([v
[0] for k
, v
in repartition
.items()])
254 for currency
, (ptt
, trade_type
) in repartition
.items():
255 amounts
[currency
] = ptt
* amount
/ sum_ratio
256 if trade_type
== "short":
257 amounts
[currency
] = - amounts
[currency
]
258 self
.all
.setdefault(currency
, portfolio
.Balance(currency
, {}))
259 self
.market
.report
.log_dispatch(amount
, amounts
, liquidity
, repartition
)
263 return { k: v.as_json() for k, v in self.all.items() }
266 def __init__(self
, market
):
272 return list(filter(lambda t
: t
.pending
, self
.all
))
274 def compute_trades(self
, values_in_base
, new_repartition
, only
=None):
276 base_currency
= sum(values_in_base
.values()).currency
277 for currency
in self
.market
.balances
.currencies():
278 if currency
== base_currency
:
280 value_from
= values_in_base
.get(currency
, portfolio
.Amount(base_currency
, 0))
281 value_to
= new_repartition
.get(currency
, portfolio
.Amount(base_currency
, 0))
283 if value_from
.value
* value_to
.value
< 0:
284 computed_trades
.append(self
.trade_if_matching(
285 value_from
, portfolio
.Amount(base_currency
, 0),
286 currency
, only
=only
))
287 computed_trades
.append(self
.trade_if_matching(
288 portfolio
.Amount(base_currency
, 0), value_to
,
289 currency
, only
=only
))
291 computed_trades
.append(self
.trade_if_matching(
292 value_from
, value_to
,
293 currency
, only
=only
))
294 for matching
, trade
in computed_trades
:
296 self
.all
.append(trade
)
297 self
.market
.report
.log_trades(computed_trades
, only
)
299 def trade_if_matching(self
, value_from
, value_to
, currency
,
301 trade
= portfolio
.Trade(value_from
, value_to
, currency
,
303 matching
= only
is None or trade
.action
== only
304 return [matching
, trade
]
306 def prepare_orders(self
, only
=None, compute_value
="default"):
308 for trade
in self
.pending
:
309 if only
is None or trade
.action
== only
:
310 orders
.append(trade
.prepare_order(compute_value
=compute_value
))
311 self
.market
.report
.log_orders(orders
, only
, compute_value
)
313 def close_trades(self
):
314 for trade
in self
.all
:
317 def print_all_with_order(self
, ind
=""):
318 for trade
in self
.all
:
319 trade
.print_with_order(ind
=ind
)
321 def run_orders(self
):
322 orders
= self
.all_orders(state
="pending")
325 self
.market
.report
.log_stage("run_orders")
326 self
.market
.report
.log_orders(orders
)
328 def all_orders(self
, state
=None):
329 all_orders
= sum(map(lambda v
: v
.orders
, self
.all
), [])
333 return list(filter(lambda o
: o
.status
== state
, all_orders
))
335 def update_all_orders_status(self
):
336 for order
in self
.all_orders(state
="open"):
340 def __enter__(self
, *args
):
342 def __exit__(self
, *args
):
346 def __init__(self
, value
):
347 self
.lock
= NoopLock()
350 def start_lock(self
):
352 self
.lock
= threading
.Lock()
354 def set(self
, value
):
358 def get(self
, key
=None):
360 if key
is not None and isinstance(self
.val
, dict):
361 return self
.val
.get(key
)
365 def __getattr__(self
, key
):
367 return getattr(self
.val
, key
)
370 URL
= "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
371 data
= LockedVar(None)
372 liquidities
= LockedVar({})
373 last_date
= LockedVar(None)
374 report
= LockedVar(ReportStore(None))
376 worker_started
= False
381 def start_worker(cls
, poll
=30):
384 cls
.worker
= threading
.Thread(name
="portfolio", daemon
=True,
385 target
=cls
.wait_for_notification
, kwargs
={"poll": poll}
)
386 cls
.worker_notify
= threading
.Event()
387 cls
.callback
= threading
.Event()
389 cls
.last_date
.start_lock()
390 cls
.liquidities
.start_lock()
391 cls
.report
.start_lock()
393 cls
.worker_started
= True
397 def is_worker_thread(cls
):
398 if cls
.worker
is None:
402 return cls
.worker
== threading
.current_thread()
405 def wait_for_notification(cls
, poll
=30):
406 if not cls
.is_worker_thread():
407 raise RuntimeError("This method needs to be ran with the worker")
408 while cls
.worker_started
:
409 cls
.worker_notify
.wait()
410 cls
.worker_notify
.clear()
411 cls
.report
.print_log("Fetching cryptoportfolio")
412 cls
.get_cryptoportfolio(refetch
=True)
417 def notify_and_wait(cls
):
419 cls
.worker_notify
.set()
423 def wait_for_recent(cls
, delta
=4, poll
=30):
424 cls
.get_cryptoportfolio()
425 while cls
.last_date
.get() is None or datetime
.now() - cls
.last_date
.get() > timedelta(delta
):
426 if cls
.worker
is None:
428 cls
.report
.print_log("Attempt to fetch up-to-date cryptoportfolio")
429 cls
.get_cryptoportfolio(refetch
=True)
432 def repartition(cls
, liquidity
="medium"):
433 cls
.get_cryptoportfolio()
434 liquidities
= cls
.liquidities
.get(liquidity
)
435 return liquidities
[cls
.last_date
.get()]
438 def get_cryptoportfolio(cls
, refetch
=False):
439 if cls
.data
.get() is not None and not refetch
:
441 if cls
.worker
is not None and not cls
.is_worker_thread():
442 cls
.notify_and_wait()
445 r
= requests
.get(cls
.URL
)
446 cls
.report
.log_http_request(r
.request
.method
,
447 r
.request
.url
, r
.request
.body
, r
.request
.headers
, r
)
448 except Exception as e
:
449 cls
.report
.log_error("get_cryptoportfolio", exception
=e
)
452 cls
.data
.set(r
.json(parse_int
=D
, parse_float
=D
))
453 cls
.parse_cryptoportfolio()
454 except (JSONDecodeError
, SimpleJSONDecodeError
):
456 cls
.last_date
.set(None)
457 cls
.liquidities
.set({})
460 def parse_cryptoportfolio(cls
):
461 def filter_weights(weight_hash
):
462 if weight_hash
[1][0] == 0:
464 if weight_hash
[0] == "_row":
468 def clean_weights(i
):
469 def clean_weights_(h
):
470 if h
[0].endswith("s"):
471 return [h
[0][0:-1], (h
[1][i
], "short")]
473 return [h
[0], (h
[1][i
], "long")]
474 return clean_weights_
476 def parse_weights(portfolio_hash
):
477 if "weights" not in portfolio_hash
:
479 weights_hash
= portfolio_hash
["weights"]
481 for i
in range(len(weights_hash
["_row"])):
482 date
= datetime
.strptime(weights_hash
["_row"][i
], "%Y-%m-%d")
483 weights
[date
] = dict(filter(
485 map(clean_weights(i
), weights_hash
.items())))
488 high_liquidity
= parse_weights(cls
.data
.get("portfolio_1"))
489 medium_liquidity
= parse_weights(cls
.data
.get("portfolio_2"))
491 cls
.liquidities
.set({
492 "medium": medium_liquidity
,
493 "high": high_liquidity
,
495 cls
.last_date
.set(max(
496 max(medium_liquidity
.keys(), default
=datetime(1, 1, 1)),
497 max(high_liquidity
.keys(), default
=datetime(1, 1, 1))