-import ccxt
+from ccxt import ExchangeError
import time
-from decimal import Decimal as D
+from decimal import Decimal as D, ROUND_DOWN
# Put your poloniex api key in market.py
from market import market
data = None
@classmethod
- def repartition_pertenthousand(cls, liquidity="medium"):
+ def repartition(cls, liquidity="medium"):
cls.parse_cryptoportfolio()
liquidities = cls.liquidities[liquidity]
- last_date = sorted(liquidities.keys())[-1]
- return liquidities[last_date]
+ cls.last_date = sorted(liquidities.keys())[-1]
+ return liquidities[cls.last_date]
@classmethod
def get_cryptoportfolio(cls):
try:
r = http.request("GET", cls.URL)
except Exception:
- return
+ return None
try:
cls.data = json.loads(r.data,
parse_int=D,
cls.get_cryptoportfolio()
def filter_weights(weight_hash):
- if weight_hash[1] == 0:
+ if weight_hash[1][0] == 0:
return False
if weight_hash[0] == "_row":
return False
def clean_weights(i):
def clean_weights_(h):
- if type(h[1][i]) == str:
- return [h[0], h[1][i]]
+ if h[0].endswith("s"):
+ return [h[0][0:-1], (h[1][i], "short")]
else:
- return [h[0], int(h[1][i] * 10000)]
+ return [h[0], (h[1][i], "long")]
return clean_weights_
def parse_weights(portfolio_hash):
- # FIXME: we'll need shorts at some point
- assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"]))
weights_hash = portfolio_hash["weights"]
weights = {}
for i in range(len(weights_hash["_row"])):
else:
raise Exception("This asset is not available in the chosen market")
+ def __round__(self, n=8):
+ return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN))
+
def __abs__(self):
return Amount(self.currency, abs(self.value))
return Amount(self.currency, self.value - other.value)
def __mul__(self, value):
- if type(value) != int and type(value) != float and type(value) != D:
+ if not isinstance(value, (int, float, D)):
raise TypeError("Amount may only be multiplied by numbers")
return Amount(self.currency, self.value * value)
return self.__mul__(value)
def __floordiv__(self, value):
- if type(value) != int and type(value) != float and type(value) != D:
+ if not isinstance(value, (int, float, D)):
raise TypeError("Amount may only be multiplied by integers")
return Amount(self.currency, self.value / value)
def __truediv__(self, value):
return self.__floordiv__(value)
+ def __le__(self, other):
+ return self == other or self < other
+
def __lt__(self, other):
+ if other == 0:
+ return self.value < 0
if self.currency != other.currency:
raise Exception("Comparing amounts must be done with same currencies")
return self.value < other.value
+ def __gt__(self, other):
+ return not self <= other
+
+ def __ge__(self, other):
+ return not self < other
+
def __eq__(self, other):
if other == 0:
return self.value == 0
raise Exception("Comparing amounts must be done with same currencies")
return self.value == other.value
+ def __ne__(self, other):
+ return not self == other
+
+ def __neg__(self):
+ return Amount(self.currency, - self.value)
+
def __str__(self):
if self.linked_to is None:
return "{:.8f} {}".format(self.value, self.currency)
class Balance:
known_balances = {}
- def __init__(self, currency, total_value, free_value, used_value):
+ def __init__(self, currency, hash_):
self.currency = currency
- self.total = Amount(currency, total_value)
- self.free = Amount(currency, free_value)
- self.used = Amount(currency, used_value)
-
- @classmethod
- def from_hash(cls, currency, hash_):
- return cls(currency, hash_["total"], hash_["free"], hash_["used"])
+ for key in ["total",
+ "exchange_total", "exchange_used", "exchange_free",
+ "margin_total", "margin_borrowed", "margin_free"]:
+ setattr(self, key, Amount(currency, hash_.get(key, 0)))
+
+ self.margin_position_type = hash_["margin_position_type"]
+
+ if hash_["margin_borrowed_base_currency"] is not None:
+ base_currency = hash_["margin_borrowed_base_currency"]
+ for key in [
+ "margin_liquidation_price",
+ "margin_pending_gain",
+ "margin_lending_fees",
+ "margin_borrowed_base_price"
+ ]:
+ setattr(self, key, Amount(base_currency, hash_[key]))
@classmethod
def in_currency(cls, other_currency, market, compute_value="average", type="total"):
def currencies(cls):
return cls.known_balances.keys()
- @classmethod
- def _fill_balances(cls, hash_):
- for key in hash_:
- if key in ["info", "free", "used", "total"]:
- continue
- if hash_[key]["total"] > 0 or key in cls.known_balances:
- cls.known_balances[key] = cls.from_hash(key, hash_[key])
-
@classmethod
def fetch_balances(cls, market):
- cls._fill_balances(market.fetch_balance())
+ all_balances = market.fetch_all_balances()
+ for currency, balance in all_balances.items():
+ if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
+ currency in cls.known_balances:
+ cls.known_balances[currency] = cls(currency, balance)
return cls.known_balances
+
@classmethod
def dispatch_assets(cls, amount, repartition=None):
if repartition is None:
- repartition = Portfolio.repartition_pertenthousand()
- sum_pertenthousand = sum([v for k, v in repartition.items()])
+ repartition = Portfolio.repartition()
+ sum_ratio = sum([v[0] for k, v in repartition.items()])
amounts = {}
- for currency, ptt in repartition.items():
- amounts[currency] = ptt * amount / sum_pertenthousand
+ for currency, (ptt, trade_type) in repartition.items():
+ amounts[currency] = ptt * amount / sum_ratio
+ if trade_type == "short":
+ amounts[currency] = - amounts[currency]
if currency not in cls.known_balances:
cls.known_balances[currency] = cls(currency, 0, 0, 0)
return amounts
cls.fetch_balances(market)
values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
total_base_value = sum(values_in_base.values())
- new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: 1 })
+ new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") })
Trade.compute_trades(values_in_base, new_repartition, market=market)
def __repr__(self):
- return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total))
+ if self.exchange_total > 0:
+ if self.exchange_free > 0 and self.exchange_used > 0:
+ exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total))
+ elif self.exchange_free > 0:
+ exchange = " Exch: [✔{}]".format(str(self.exchange_free))
+ else:
+ exchange = " Exch: [❌{}]".format(str(self.exchange_used))
+ else:
+ exchange = ""
+
+ if self.margin_total > 0:
+ if self.margin_free != 0 and self.margin_borrowed != 0:
+ margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total))
+ elif self.margin_free != 0:
+ margin = " Margin: [✔{}]".format(str(self.margin_free))
+ else:
+ margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed))
+ elif self.margin_total < 0:
+ margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total),
+ str(self.margin_borrowed_base_price),
+ str(self.margin_lending_fees))
+ else:
+ margin = ""
+
+ if self.margin_total != 0 and self.exchange_total != 0:
+ total = " Total: [{}]".format(str(self.total))
+ else:
+ total = ""
+
+ return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")"
class Computation:
computations = {
"ask": lambda x, y: x["ask"],
}
-
class Trade:
- trades = {}
+ trades = []
def __init__(self, value_from, value_to, currency, market=None):
# We have value_from of currency, and want to finish with value_to of
self.orders = []
self.market = market
assert self.value_from.currency == self.value_to.currency
- assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
+ if self.value_from != 0:
+ assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
+ elif self.value_from.linked_to is None:
+ self.value_from.linked_to = Amount(self.currency, 0)
self.base_currency = self.value_from.currency
fees_cache = {}
try:
cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2))
augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)])
- except ccxt.ExchangeError:
+ except ExchangeError:
try:
cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1))
augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)])
- except ccxt.ExchangeError:
+ except ExchangeError:
cls.ticker_cache[(c1, c2, market.__class__)] = None
return cls.get_ticker(c1, c2, market)
for currency in Balance.currencies():
if currency == base_currency:
continue
- trade = cls(
- values_in_base.get(currency, Amount(base_currency, 0)),
- new_repartition.get(currency, Amount(base_currency, 0)),
- currency,
- market=market
- )
- if only is None or trade.action == only:
- cls.trades[currency] = trade
+ value_from = values_in_base.get(currency, Amount(base_currency, 0))
+ value_to = new_repartition.get(currency, Amount(base_currency, 0))
+ if value_from.value * value_to.value < 0:
+ trade_1 = cls(value_from, Amount(base_currency, 0), currency, market=market)
+ if only is None or trade_1.action == only:
+ cls.trades.append(trade_1)
+ trade_2 = cls(Amount(base_currency, 0), value_to, currency, market=market)
+ if only is None or trade_2.action == only:
+ cls.trades.append(trade_2)
+ else:
+ trade = cls(
+ value_from,
+ value_to,
+ currency,
+ market=market
+ )
+ if only is None or trade.action == only:
+ cls.trades.append(trade)
return cls.trades
@classmethod
def prepare_orders(cls, only=None, compute_value="default"):
- for currency, trade in cls.trades.items():
+ for trade in cls.trades:
if only is None or trade.action == only:
trade.prepare_order(compute_value=compute_value)
+ @classmethod
+ def move_balances(cls, market, debug=False):
+ needed_in_margin = {}
+ for trade in cls.trades:
+ if trade.trade_type == "short":
+ if trade.value_to.currency not in needed_in_margin:
+ needed_in_margin[trade.value_to.currency] = 0
+ needed_in_margin[trade.value_to.currency] += abs(trade.value_to)
+ for currency, needed in needed_in_margin.items():
+ current_balance = Balance.known_balances[currency].margin_free
+ delta = (needed - current_balance).value
+ # FIXME: don't remove too much if there are open margin position
+ if delta > 0:
+ if debug:
+ print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta))
+ else:
+ market.transfer_balance(currency, delta, "exchange", "margin")
+ elif delta < 0:
+ if debug:
+ print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta))
+ else:
+ market.transfer_balance(currency, -delta, "margin", "exchange")
+
@property
def action(self):
if self.value_from == self.value_to:
return None
if self.value_from < self.value_to:
+ return "acquire"
+ else:
+ return "dispose"
+
+ def order_action(self, inverted):
+ if (self.value_from < self.value_to) != inverted:
return "buy"
else:
return "sell"
- def order_action(self, inverted):
- if self.value_from < self.value_to:
- return "buy" if not inverted else "sell"
+ @property
+ def trade_type(self):
+ if self.value_from + self.value_to < 0:
+ return "short"
else:
- return "sell" if not inverted else "buy"
+ return "long"
def prepare_order(self, compute_value="default"):
if self.action is None:
return
- ticker = self.value_from.ticker
+ ticker = Trade.get_ticker(self.currency, self.base_currency, self.market)
inverted = ticker["inverted"]
if inverted:
ticker = ticker["original"]
rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
+ # 0.1
- # We can use that amount of BTC:
delta_in_base = abs(self.value_from - self.value_to)
+ # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
if not inverted:
- if self.action == "sell":
+ currency = self.base_currency
+ # BTC
+ if self.action == "dispose":
+ # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
+ # At rate 1 Foo = 0.1 BTC
value_from = self.value_from.linked_to
+ # value_from = 100 FOO
value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
+ # value_to = 10 FOO (1 BTC * 1/0.1)
delta = abs(value_to - value_from)
+ # delta = 90 FOO
+ # Action: "sell" "90 FOO" at rate "0.1" "BTC" on "market"
+
+ # Note: no rounding error possible: if we have value_to == 0, then delta == value_from
else:
delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate)
- currency = self.base_currency
+ # I want to buy 9 / 0.1 FOO
+ # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market"
else:
- if self.action == "sell":
- delta = delta_in_base.in_currency(self.base_currency, self.market, rate=rate)
- else:
- delta = delta_in_base
currency = self.currency
-
- self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market))
+ # FOO
+ delta = delta_in_base
+ # sell:
+ # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
+ # At rate 1 Foo = 0.1 BTC
+ # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market
+ # buy:
+ # I want to buy 9 / 0.1 FOO
+ # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
+
+ close_if_possible = (self.value_to == 0)
+
+ self.orders.append(Order(self.order_action(inverted),
+ delta, rate, currency, self.trade_type, self.market,
+ close_if_possible=close_if_possible))
@classmethod
def compute_value(cls, ticker, action, compute_value="default"):
- if type(compute_value) == str:
+ if action == "buy":
+ action = "ask"
+ if action == "sell":
+ action = "bid"
+ if isinstance(compute_value, str):
compute_value = Computation.computations[compute_value]
return compute_value(ticker, action)
@classmethod
def all_orders(cls, state=None):
- all_orders = sum(map(lambda v: v.orders, cls.trades.values()), [])
+ all_orders = sum(map(lambda v: v.orders, cls.trades), [])
if state is None:
return all_orders
else:
@classmethod
def print_all_with_order(cls):
- for trade in cls.trades.values():
+ for trade in cls.trades:
trade.print_with_order()
def print_with_order(self):
print("\t", order, sep="")
class Order:
- def __init__(self, action, amount, rate, base_currency, market):
+ def __init__(self, action, amount, rate, base_currency, trade_type, market,
+ close_if_possible=False):
self.action = action
self.amount = amount
self.rate = rate
self.base_currency = base_currency
self.market = market
+ self.trade_type = trade_type
self.result = None
self.status = "pending"
+ self.close_if_possible = close_if_possible
def __repr__(self):
- return "Order({} {} at {} {} [{}])".format(
+ return "Order({} {} {} at {} {} [{}]{})".format(
self.action,
+ self.trade_type,
self.amount,
self.rate,
self.base_currency,
- self.status
+ self.status,
+ " ✂" if self.close_if_possible else "",
)
+ @property
+ def account(self):
+ if self.trade_type == "long":
+ return "exchange"
+ else:
+ return "margin"
+
@property
def pending(self):
return self.status == "pending"
def run(self, debug=False):
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
- amount = self.amount.value
+ amount = round(self.amount, self.market.order_precision(symbol)).value
if debug:
- print("market.create_order('{}', 'limit', '{}', {}, price={})".format(
- symbol, self.action, amount, self.rate))
+ print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
+ symbol, self.action, amount, self.rate, self.account))
else:
try:
- self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate)
+ self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)
self.status = "open"
except Exception as e:
self.status = "error"
- print("error when running market.create_order('{}', 'limit', '{}', {}, price={})".format(
- symbol, self.action, amount, self.rate))
+ print("error when running market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
+ symbol, self.action, amount, self.rate, self.account))
self.error_message = str("{}: {}".format(e.__class__.__name__, e))
print(self.error_message)
# other states are "closed" and "canceled"
if self.status == "open":
result = self.market.fetch_order(self.result['id'])
- self.status = result["status"]
+ if result["status"] != "open":
+ self.mark_finished_order(result["status"])
return self.status
+ def mark_finished_order(self, status):
+ if status == "closed":
+ if self.trade_type == "short" and self.action == "buy" and self.close_if_possible:
+ self.market.close_margin_position(self.amount.currency, self.base_currency)
+
+ self.status = result["status"]
+
def cancel(self):
self.market.cancel_order(self.result['id'])
Trade.prepare_orders(compute_value="average")
for currency, balance in Balance.known_balances.items():
print(balance)
- portfolio.Trade.print_all_with_order()
+ Trade.print_all_with_order()
def make_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency)
- for currency, trade in Trade.trades.items():
+ for trade in Trade.trades:
print(trade)
for order in trade.orders:
print("\t", order, sep="")
order.run()
+def sell_all(market, base_currency="BTC"):
+ Balance.prepare_trades_to_sell_all(market)
+ Trade.prepare_orders(compute_value="average")
+ Trade.run_orders()
+ Trade.follow_orders()
+
+ Balance.update_trades(market, only="acquire")
+ Trade.prepare_orders(only="acquire")
+ Trade.move_balances(market)
+ Trade.run_orders()
+ Trade.follow_orders()
+
if __name__ == '__main__':
print_orders(market)