-import time
+from datetime import datetime
from decimal import Decimal as D, ROUND_DOWN
-# Put your poloniex api key in market.py
-from json import JSONDecodeError
-import requests
-import helper as h
-from store import *
+from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound
+from retry import retry
# FIXME: correctly handle web call timeouts
-class Portfolio:
- URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
- liquidities = {}
- data = None
-
- @classmethod
- def repartition(cls, liquidity="medium"):
- cls.parse_cryptoportfolio()
- liquidities = cls.liquidities[liquidity]
- cls.last_date = sorted(liquidities.keys())[-1]
- return liquidities[cls.last_date]
-
- @classmethod
- def get_cryptoportfolio(cls):
- try:
- r = requests.get(cls.URL)
- except Exception:
- return
- try:
- cls.data = r.json(parse_int=D, parse_float=D)
- except JSONDecodeError:
- cls.data = None
-
- @classmethod
- def parse_cryptoportfolio(cls):
- if cls.data is None:
- cls.get_cryptoportfolio()
-
- def filter_weights(weight_hash):
- if weight_hash[1][0] == 0:
- return False
- if weight_hash[0] == "_row":
- return False
- return True
-
- def clean_weights(i):
- def clean_weights_(h):
- if h[0].endswith("s"):
- return [h[0][0:-1], (h[1][i], "short")]
- else:
- return [h[0], (h[1][i], "long")]
- return clean_weights_
-
- def parse_weights(portfolio_hash):
- weights_hash = portfolio_hash["weights"]
- weights = {}
- for i in range(len(weights_hash["_row"])):
- weights[weights_hash["_row"][i]] = dict(filter(
- filter_weights,
- map(clean_weights(i), weights_hash.items())))
- return weights
-
- high_liquidity = parse_weights(cls.data["portfolio_1"])
- medium_liquidity = parse_weights(cls.data["portfolio_2"])
-
- cls.liquidities = {
- "medium": medium_liquidity,
- "high": high_liquidity,
- }
-
class Computation:
computations = {
"default": lambda x, y: x[y],
self.value * rate,
linked_to=self,
rate=rate)
- asset_ticker = h.get_ticker(self.currency, other_currency, market)
+ asset_ticker = market.get_ticker(self.currency, other_currency)
if asset_ticker is not None:
rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value)
return Amount(
else:
raise Exception("This asset is not available in the chosen market")
+ def as_json(self):
+ return {
+ "currency": self.currency,
+ "value": round(self).value.normalize(),
+ }
+
def __round__(self, n=8):
return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN))
return Amount(self.currency, abs(self.value))
def __add__(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)
raise Exception("Summing amounts must be done with same currencies")
return Amount(self.currency, self.value - other.value)
+ def __rsub__(self, other):
+ if other == 0:
+ return -self
+ else:
+ return -self.__sub__(other)
+
def __mul__(self, value):
if not isinstance(value, (int, float, D)):
raise TypeError("Amount may only be multiplied by numbers")
def __floordiv__(self, value):
if not isinstance(value, (int, float, D)):
- raise TypeError("Amount may only be multiplied by integers")
+ raise TypeError("Amount may only be divided by numbers")
return Amount(self.currency, self.value / value)
def __truediv__(self, value):
return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to))
class Balance:
+ base_keys = ["total", "exchange_total", "exchange_used",
+ "exchange_free", "margin_total", "margin_in_position",
+ "margin_available", "margin_borrowed", "margin_pending_gain"]
def __init__(self, currency, hash_):
self.currency = currency
- for key in ["total",
- "exchange_total", "exchange_used", "exchange_free",
- "margin_total", "margin_borrowed", "margin_free"]:
+ for key in self.base_keys:
setattr(self, key, Amount(currency, hash_.get(key, 0)))
self.margin_position_type = hash_.get("margin_position_type")
base_currency = hash_["margin_borrowed_base_currency"]
for key in [
"margin_liquidation_price",
- "margin_pending_gain",
"margin_lending_fees",
+ "margin_pending_base_gain",
"margin_borrowed_base_price"
]:
setattr(self, key, Amount(base_currency, hash_.get(key, 0)))
+ def as_json(self):
+ return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys))
+
def __repr__(self):
if self.exchange_total > 0:
if self.exchange_free > 0 and self.exchange_used > 0:
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))
+ if self.margin_available != 0 and self.margin_in_position != 0:
+ margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total))
+ elif self.margin_available != 0:
+ margin = " Margin: [✔{}]".format(str(self.margin_available))
else:
- margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed))
+ margin = " Margin: [❌{}]".format(str(self.margin_in_position))
elif self.margin_total < 0:
margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total),
str(self.margin_borrowed_base_price),
return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")"
class Trade:
- def __init__(self, value_from, value_to, currency, market=None):
+ def __init__(self, value_from, value_to, currency, market):
# 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_to = value_to
self.orders = []
self.market = market
+ self.closed = False
+ self.inverted = None
+ assert self.value_from.value * self.value_to.value >= 0
assert self.value_from.currency == self.value_to.currency
if self.value_from != 0:
assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
self.value_from.linked_to = Amount(self.currency, 0)
self.base_currency = self.value_from.currency
+ @property
+ def delta(self):
+ return self.value_to - self.value_from
+
@property
def action(self):
if self.value_from == self.value_to:
if self.base_currency == self.currency:
return None
- if self.value_from < self.value_to:
+ if abs(self.value_from) < abs(self.value_to):
return "acquire"
else:
return "dispose"
- def order_action(self, inverted):
- if (self.value_from < self.value_to) != inverted:
+ def order_action(self):
+ if (self.value_from < self.value_to) != self.inverted:
return "buy"
else:
return "sell"
return "long"
@property
- def filled_amount(self):
+ def pending(self):
+ return not (self.is_fullfiled or self.closed)
+
+ def close(self):
+ for order in self.orders:
+ order.cancel()
+ self.closed = True
+
+ @property
+ def is_fullfiled(self):
+ return abs(self.filled_amount(in_base_currency=(not self.inverted))) >= abs(self.delta)
+
+ def filled_amount(self, in_base_currency=False):
filled_amount = 0
for order in self.orders:
- filled_amount += order.filled_amount
+ filled_amount += order.filled_amount(in_base_currency=in_base_currency)
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))
+ actions = {
+ 0: ["waiting", None],
+ 1: ["waiting", None],
+ 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2],
+ 3: ["waiting", None],
+ 4: ["waiting", None],
+ 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3],
+ 6: ["waiting", None],
+ 7: ["market_fallback", "default"],
+ }
- if new_order is not None:
+ if tick in actions:
+ update, compute_value = actions[tick]
+ elif tick % 3 == 1:
+ update = "market_adjust"
+ compute_value = "default"
+ else:
+ update = "waiting"
+ compute_value = None
+
+ if compute_value is not None:
order.cancel()
+ new_order = self.prepare_order(compute_value=compute_value)
+ else:
+ new_order = None
+
+ self.market.report.log_order(order, tick, update=update,
+ compute_value=compute_value, new_order=new_order)
+
+ if new_order is not None:
new_order.run()
+ self.market.report.log_order(order, tick, new_order=new_order)
- def prepare_order(self, compute_value="default"):
+ def prepare_order(self, close_if_possible=None, compute_value="default"):
if self.action is None:
- return
- ticker = h.get_ticker(self.currency, self.base_currency, self.market)
- inverted = ticker["inverted"]
- if inverted:
+ return None
+ ticker = self.market.get_ticker(self.currency, self.base_currency)
+ self.inverted = ticker["inverted"]
+ if self.inverted:
ticker = ticker["original"]
- rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
- # 0.1
+ rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value)
- delta_in_base = abs(self.value_from - self.value_to)
+ # FIXME: Dust amount should be removed from there if they werent
+ # honored in other sales
+ delta_in_base = abs(self.delta)
# 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
- if not inverted:
- currency = self.base_currency
+ if not self.inverted:
+ base_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
+ filled = self.filled_amount(in_base_currency=False)
+ delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
+ # I have 10 BTC worth of FOO, and I want to sell 9 BTC
+ # worth of it, computed first with rate 10 FOO = 1 BTC.
+ # -> I "sell" "90" FOO at proposed rate "rate".
+
+ delta = delta - filled
+ # I already sold 60 FOO, 30 left
else:
- delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate)
- # I want to buy 9 / 0.1 FOO
- # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market"
+ filled = self.filled_amount(in_base_currency=True)
+ delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate)
+ # I want to buy 9 BTC worth of FOO, computed with rate
+ # 10 FOO = 1 BTC
+ # -> I "buy" "9 / rate" FOO at proposed rate "rate"
+
+ # I already bought 3 / rate FOO, 6 / rate left
else:
- currency = self.currency
+ base_currency = self.currency
# 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"
- 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
+ if self.action == "dispose":
+ filled = self.filled_amount(in_base_currency=True)
+ # Base is FOO
+
+ delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
+ - filled).in_currency(self.base_currency, self.market, rate=1/rate)
+ # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
+ # computed at rate 1 Foo = 0.01 BTC
+ # Computation says I should sell it at 125 FOO / BTC
+ # -> delta_in_base = 9 BTC
+ # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC
+ # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market
+
+ # I already bought 300/125 BTC, only 600/125 left
+ else:
+ filled = self.filled_amount(in_base_currency=False)
+ # Base is FOO
- 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))
+ delta = delta_in_base
+ # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it
+ # At rate 100 Foo / BTC
+ # Computation says I should buy it at 125 FOO / BTC
+ # -> delta_in_base = 9 BTC
+ # Action: "sell" "9 BTC" at rate "125" "FOO" on market
+
+ delta = delta - filled
+ # I already sold 4 BTC, only 5 left
+
+ if close_if_possible is None:
+ close_if_possible = (self.value_to == 0)
+
+ if delta <= 0:
+ self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta))
+ return None
+
+ order = Order(self.order_action(),
+ delta, rate, base_currency, self.trade_type,
+ self.market, self, close_if_possible=close_if_possible)
+ self.orders.append(order)
+ return order
+
+ def as_json(self):
+ return {
+ "action": self.action,
+ "from": self.value_from.as_json()["value"],
+ "to": self.value_to.as_json()["value"],
+ "currency": self.currency,
+ "base_currency": self.base_currency,
+ }
def __repr__(self):
- return "Trade({} -> {} in {}, {})".format(
+ if self.closed and not self.is_fullfiled:
+ closed = " ❌"
+ elif self.is_fullfiled:
+ closed = " ✔"
+ else:
+ closed = ""
+
+ return "Trade({} -> {} in {}, {}{})".format(
self.value_from,
self.value_to,
self.currency,
- self.action)
+ self.action,
+ closed)
- def print_with_order(self):
- print(self)
+ def print_with_order(self, ind=""):
+ self.market.report.print_log("{}{}".format(ind, self))
for order in self.orders:
- print("\t", order, sep="")
+ self.market.report.print_log("{}\t{}".format(ind, order))
+ for mouvement in order.mouvements:
+ self.market.report.print_log("{}\t\t{}".format(ind, mouvement))
class Order:
def __init__(self, action, amount, rate, base_currency, trade_type, market,
self.status = "pending"
self.trade = trade
self.close_if_possible = close_if_possible
+ self.id = None
+ self.tries = 0
+
+ def as_json(self):
+ return {
+ "action": self.action,
+ "trade_type": self.trade_type,
+ "amount": self.amount.as_json()["value"],
+ "currency": self.amount.as_json()["currency"],
+ "base_currency": self.base_currency,
+ "rate": self.rate,
+ "status": self.status,
+ "close_if_possible": self.close_if_possible,
+ "id": self.id,
+ "mouvements": list(map(lambda x: x.as_json(), self.mouvements))
+ }
def __repr__(self):
return "Order({} {} {} at {} {} [{}]{})".format(
else:
return "margin"
+ @property
+ def open(self):
+ return self.status == "open"
+
@property
def pending(self):
return self.status == "pending"
@property
def finished(self):
- return self.status == "closed" or self.status == "canceled" or self.status == "error"
-
- @property
- def id(self):
- return self.results[0]["id"]
+ return self.status.startswith("closed") or self.status == "canceled" or self.status == "error"
+ @retry(InsufficientFunds)
def run(self):
+ self.tries += 1
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
- amount = round(self.amount, self.market.order_precision(symbol)).value
+ amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value
- if TradeStore.debug:
- print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
+ if self.market.debug:
+ self.market.report.log_debug_action("market.ccxt.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:
+ action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account)
try:
- self.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
- self.status = "open"
+ self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
+ except InvalidOrder:
+ # Impossible to honor the order (dust amount)
+ self.status = "closed"
+ self.mark_finished_order()
+ return
+ except InsufficientFunds as e:
+ if self.tries < 5:
+ self.market.report.log_error(action, message="Retrying with reduced amount", exception=e)
+ self.amount = self.amount * D("0.99")
+ raise e
+ else:
+ self.market.report.log_error(action, message="Giving up {}".format(self), exception=e)
+ self.status = "error"
+ return
except Exception as e:
self.status = "error"
- 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)
+ self.market.report.log_error(action, exception=e)
+ return
+ self.id = self.results[0]["id"]
+ self.status = "open"
def get_status(self):
- if TradeStore.debug:
+ if self.market.debug:
+ self.market.report.log_debug_action("Getting {} status".format(self))
return self.status
# other states are "closed" and "canceled"
- if self.status == "open":
+ if not self.finished:
self.fetch()
- if self.status != "open":
- self.mark_finished_order()
return self.status
def mark_finished_order(self):
- if TradeStore.debug:
+ if self.status.startswith("closed") and self.market.debug:
+ self.market.report.log_debug_action("Mark {} as finished".format(self))
return
- if self.status == "closed":
+ if self.status.startswith("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.market.ccxt.close_margin_position(self.amount.currency, self.base_currency)
- fetch_cache_timestamp = None
- def fetch(self, force=False):
- if TradeStore.debug or (not force and self.fetch_cache_timestamp is not None
- and time.time() - self.fetch_cache_timestamp < 10):
+ def fetch(self):
+ if self.market.debug:
+ self.market.report.log_debug_action("Fetching {}".format(self))
return
- self.fetch_cache_timestamp = time.time()
+ try:
+ result = self.market.ccxt.fetch_order(self.id)
+ self.results.append(result)
+ self.status = result["status"]
+ # Time at which the order started
+ self.timestamp = result["datetime"]
+ except OrderNotCached:
+ self.status = "closed_unknown"
- 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()
+ self.mark_finished_order()
# FIXME: consider open order with dust remaining as closed
- @property
def dust_amount_remaining(self):
- return self.remaining_amount < 0.001
+ return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))
- @property
def remaining_amount(self):
- if self.status == "open":
- self.fetch()
- return self.amount - self.filled_amount
+ return self.amount - self.filled_amount()
- @property
- def filled_amount(self):
+ def filled_amount(self, in_base_currency=False):
if self.status == "open":
self.fetch()
- filled_amount = Amount(self.amount.currency, 0)
+ filled_amount = 0
for mouvement in self.mouvements:
- filled_amount += mouvement.total
+ if in_base_currency:
+ filled_amount += mouvement.total_in_base
+ else:
+ filled_amount += mouvement.total
return filled_amount
def fetch_mouvements(self):
- mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id})
+ try:
+ mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id})
+ except ExchangeError:
+ mouvements = []
self.mouvements = []
for mouvement_hash in mouvements:
self.base_currency, mouvement_hash))
def cancel(self):
- if TradeStore.debug:
+ if self.market.debug:
+ self.market.report.log_debug_action("Mark {} as cancelled".format(self))
self.status = "canceled"
return
- self.market.cancel_order(self.result['id'])
- self.fetch()
+ if self.open and self.id is not None:
+ try:
+ self.market.ccxt.cancel_order(self.id)
+ except OrderNotFound as e: # Closed inbetween
+ self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e)
+ 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"])
+ self.id = hash_.get("tradeID")
+ self.action = hash_.get("type")
+ self.fee_rate = D(hash_.get("fee", -1))
+ try:
+ self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S')
+ except ValueError:
+ self.date = None
+ self.rate = D(hash_.get("rate", 0))
+ self.total = Amount(currency, hash_.get("amount", 0))
# rate * total = total_in_base
- self.total_in_base = Amount(base_currency, hash_["total"])
+ self.total_in_base = Amount(base_currency, hash_.get("total", 0))
+
+ def as_json(self):
+ return {
+ "fee_rate": self.fee_rate,
+ "date": self.date,
+ "action": self.action,
+ "total": self.total.value,
+ "currency": self.currency,
+ "total_in_base": self.total_in_base.value,
+ "base_currency": self.base_currency
+ }
+
+ def __repr__(self):
+ if self.fee_rate > 0:
+ fee_rate = " fee: {}%".format(self.fee_rate * 100)
+ else:
+ fee_rate = ""
+ if self.date is None:
+ date = "No date"
+ else:
+ date = self.date
+ return "Mouvement({} ; {} {} ({}){})".format(
+ date, self.action, self.total, self.total_in_base,
+ fee_rate)
-if __name__ == '__main__':
- from market import market
- h.print_orders(market)