from decimal import Decimal as D, ROUND_DOWN
# Put your poloniex api key in market.py
from market import market
+from json import JSONDecodeError
+import requests
+
+# FIXME: correctly handle web call timeouts
+
class Portfolio:
URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
@classmethod
def get_cryptoportfolio(cls):
- import json
- import urllib3
- urllib3.disable_warnings()
- http = urllib3.PoolManager()
-
try:
- r = http.request("GET", cls.URL)
+ r = requests.get(cls.URL)
except Exception:
- return None
+ return
try:
- cls.data = json.loads(r.data,
- parse_int=D,
- parse_float=D)
- except json.JSONDecodeError:
+ cls.data = r.json(parse_int=D, parse_float=D)
+ except JSONDecodeError:
cls.data = None
@classmethod
self.ticker = ticker
self.rate = rate
- self.ticker_cache = {}
- self.ticker_cache_timestamp = time.time()
-
def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"):
if other_currency == self.currency:
return self
return self.__add__(other)
def __sub__(self, other):
+ if other == 0:
+ return self
if other.currency != self.currency and other.value * self.value != 0:
raise Exception("Summing amounts must be done with same currencies")
return Amount(self.currency, self.value - other.value)
return self.__floordiv__(value)
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 __le__(self, other):
+ return self == other or self < other
+
+ 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_.get("margin_position_type")
+
+ if hash_.get("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_.get(key, 0)))
@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
- # FIXME:Separate balances per trade type and in position
- # Need to check how balances in position are represented
-
@classmethod
def dispatch_assets(cls, amount, repartition=None):
amounts = {}
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)
+ cls.known_balances[currency] = cls(currency, {})
return amounts
@classmethod
- def dispatch_trade_types(cls, repartition=None):
- if repartition is None:
- repartition = Portfolio.repartition()
- trade_types = {}
- for currency, (ptt, trade_type) in repartition.items():
- trade_types[currency] = trade_type
- return trade_types
- # FIXME: once we know the repartition and sold everything, we can move
- # the necessary part to the margin account
-
- @classmethod
- def prepare_trades(cls, market, base_currency="BTC", compute_value="average"):
+ def prepare_trades(cls, market, base_currency="BTC", compute_value="average", debug=False):
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)
- trade_types = cls.dispatch_trade_types()
# Recompute it in case we have new currencies
values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
- Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
+ Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug)
@classmethod
- def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None):
+ def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None, debug=False):
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)
- trade_types = cls.dispatch_trade_types()
- Trade.compute_trades(values_in_base, new_repartition, trade_types, only=only, market=market)
+ Trade.compute_trades(values_in_base, new_repartition, only=only, market=market, debug=debug)
@classmethod
- def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"):
+ def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average", debug=False):
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, "long") })
- trade_types = cls.dispatch_trade_types()
- Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
+ Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug)
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 = {
}
class Trade:
- trades = {}
+ debug = False
+ trades = []
- def __init__(self, value_from, value_to, currency, trade_type, market=None):
+ def __init__(self, value_from, value_to, currency, market=None):
# We have value_from of currency, and want to finish with value_to of
# that currency. value_* may not be in currency's terms
self.currency = currency
self.value_from = value_from
self.value_to = value_to
- self.trade_type = trade_type
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 = {}
return cls.get_ticker(c1, c2, market)
@classmethod
- def compute_trades(cls, values_in_base, new_repartition, trade_types, only=None, market=None):
+ def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False):
+ cls.debug = cls.debug or debug
base_currency = sum(values_in_base.values()).currency
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,
- trade_types.get(currency, "long"),
- 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):
+ 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 cls.debug:
+ print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta))
+ else:
+ market.transfer_balance(currency, delta, "exchange", "margin")
+ elif delta < 0:
+ if cls.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 "buy"
+ return "acquire"
else:
- return "sell"
+ return "dispose"
def order_action(self, inverted):
- # a xor b xor c
- if (self.trade_type == "short") != ((self.value_from < self.value_to) != inverted):
+ if (self.value_from < self.value_to) != inverted:
return "buy"
else:
return "sell"
+ @property
+ def trade_type(self):
+ if self.value_from + self.value_to < 0:
+ return "short"
+ else:
+ return "long"
+
+ @property
+ def filled_amount(self):
+ filled_amount = 0
+ for order in self.orders:
+ filled_amount += order.filled_amount
+ return filled_amount
+
+ def update_order(self, order, tick):
+ new_order = None
+ if tick in [0, 1, 3, 4, 6]:
+ print("{}, tick {}, waiting".format(order, tick))
+ elif tick == 2:
+ self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2)
+ new_order = self.orders[-1]
+ print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
+ elif tick ==5:
+ self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3)
+ new_order = self.orders[-1]
+ print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
+ elif tick >= 7:
+ if tick == 7:
+ print("{}, tick {}, fallbacking to market value".format(order, tick))
+ if (tick - 7) % 3 == 0:
+ self.prepare_order(compute_value="default")
+ new_order = self.orders[-1]
+ print("{}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
+
+ if new_order is not None:
+ order.cancel()
+ new_order.run()
+
def prepare_order(self, compute_value="default"):
if self.action is None:
return
rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
# 0.1
- # FIXME: optimize if value_to == 0 or value_from == 0?)
-
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:
currency = self.base_currency
# BTC
- if self.action == "sell":
+ 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
# buy:
# I want to buy 9 / 0.1 FOO
# Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
+ if self.value_to == 0:
+ rate = self.value_from.linked_to.value / self.value_from.value
+ # Recompute the rate to avoid any rounding error
+
+ close_if_possible = (self.value_to == 0)
+
+ if delta <= self.filled_amount:
+ print("Less to do than already filled: {} <= {}".format(delta,
+ self.filled_amount))
+ return
- self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.trade_type, self.market))
+ self.orders.append(Order(self.order_action(inverted),
+ delta - self.filled_amount, rate, currency, self.trade_type,
+ self.market, self, close_if_possible=close_if_possible))
@classmethod
def compute_value(cls, ticker, action, compute_value="default"):
@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:
order.run()
@classmethod
- def follow_orders(cls, verbose=True, sleep=30):
- orders = cls.all_orders()
- finished_orders = []
- while len(orders) != len(finished_orders):
+ def follow_orders(cls, verbose=True, sleep=None):
+ if sleep is None:
+ sleep = 7 if cls.debug else 30
+ tick = 0
+ while len(cls.all_orders(state="open")) > 0:
time.sleep(sleep)
- for order in orders:
- if order in finished_orders:
- continue
+ tick += 1
+ for order in cls.all_orders(state="open"):
if order.get_status() != "open":
- finished_orders.append(order)
if verbose:
print("finished {}".format(order))
+ else:
+ order.trade.update_order(order, tick)
if verbose:
print("All orders finished")
order.get_status()
def __repr__(self):
- return "Trade({} -> {} in {}, {} {})".format(
+ return "Trade({} -> {} in {}, {})".format(
self.value_from,
self.value_to,
self.currency,
- self.action,
- self.trade_type)
+ self.action)
@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, trade_type, market):
+ def __init__(self, action, amount, rate, base_currency, trade_type, market,
+ trade, 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.results = []
+ self.mouvements = []
self.status = "pending"
+ self.trade = trade
+ self.close_if_possible = close_if_possible
+ self.debug = trade.debug
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 finished(self):
return self.status == "closed" or self.status == "canceled" or self.status == "error"
- def run(self, debug=False):
+ @property
+ def id(self):
+ return self.results[0]["id"]
+
+ def run(self):
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
amount = round(self.amount, self.market.order_precision(symbol)).value
- if debug:
+ if self.debug:
print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
symbol, self.action, amount, self.rate, self.account))
+ self.status = "open"
+ self.results.append({"debug": True, "id": -1})
else:
try:
- if self.action == "sell" and self.trade_type == "short":
- assert self.market.transfer_balance(self.base_currency, amount * self.rate, "exchange", "margin")
- self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)
+ self.results.append(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(self.error_message)
def get_status(self):
+ if self.debug:
+ return self.status
# other states are "closed" and "canceled"
if self.status == "open":
- result = self.market.fetch_order(self.result['id'])
- self.status = result["status"]
+ self.fetch()
+ if self.status != "open":
+ self.mark_finished_order()
return self.status
+ def mark_finished_order(self):
+ if self.debug:
+ return
+ if self.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)
+
+ fetch_cache_timestamp = None
+ def fetch(self, force=False):
+ if self.debug or (not force and self.fetch_cache_timestamp is not None
+ and time.time() - self.fetch_cache_timestamp < 10):
+ return
+ self.fetch_cache_timestamp = time.time()
+
+ self.results.append(self.market.fetch_order(self.id))
+ result = self.results[-1]
+ self.status = result["status"]
+ # Time at which the order started
+ self.timestamp = result["datetime"]
+ self.fetch_mouvements()
+
+ # FIXME: consider open order with dust remaining as closed
+
+ @property
+ def dust_amount_remaining(self):
+ return self.remaining_amount < 0.001
+
+ @property
+ def remaining_amount(self):
+ if self.status == "open":
+ self.fetch()
+ return self.amount - self.filled_amount
+
+ @property
+ def filled_amount(self):
+ if self.status == "open":
+ self.fetch()
+ filled_amount = Amount(self.amount.currency, 0)
+ for mouvement in self.mouvements:
+ filled_amount += mouvement.total
+ return filled_amount
+
+ def fetch_mouvements(self):
+ mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id})
+ self.mouvements = []
+
+ for mouvement_hash in mouvements:
+ self.mouvements.append(Mouvement(self.amount.currency,
+ self.base_currency, mouvement_hash))
+
def cancel(self):
+ if self.debug:
+ self.status = "canceled"
+ return
self.market.cancel_order(self.result['id'])
+ self.fetch()
+
+class Mouvement:
+ def __init__(self, currency, base_currency, hash_):
+ self.currency = currency
+ self.base_currency = base_currency
+ self.id = hash_["id"]
+ self.action = hash_["type"]
+ self.fee_rate = D(hash_["fee"])
+ self.date = datetime.strptime(hash_["date"], '%Y-%m-%d %H:%M:%S')
+ self.rate = D(hash_["rate"])
+ self.total = Amount(currency, hash_["amount"])
+ # rate * total = total_in_base
+ self.total_in_base = Amount(base_currency, hash_["total"])
def print_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency, compute_value="average")
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 process_sell_all_sell(market, base_currency="BTC", debug=False):
+ Balance.prepare_trades_to_sell_all(market, debug=debug)
+ Trade.prepare_orders(compute_value="average")
+ print("------------------")
+ for currency, balance in Balance.known_balances.items():
+ print(balance)
+ print("------------------")
+ Trade.print_all_with_order()
+ print("------------------")
+ Trade.run_orders()
+ Trade.follow_orders()
+
+def process_sell_all_buy(market, base_currency="BTC", debug=False):
+ Balance.prepare_trades(market, debug=debug)
+ Trade.prepare_orders()
+ print("------------------")
+ for currency, balance in Balance.known_balances.items():
+ print(balance)
+ print("------------------")
+ Trade.print_all_with_order()
+ print("------------------")
+ Trade.move_balances(market)
+ Trade.run_orders()
+ Trade.follow_orders()
+
if __name__ == '__main__':
print_orders(market)
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff