-import time
from datetime import datetime
+from retry import retry
from decimal import Decimal as D, ROUND_DOWN
-# Put your poloniex api key in market.py
-from json import JSONDecodeError
-from ccxt import ExchangeError, ExchangeNotAvailable
-import requests
-import helper as h
-from store import *
-
-# 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,
- }
+from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce
class Computation:
computations = {
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({:.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:
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"
else:
return "long"
+ @property
+ 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:
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:
- new_order = self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2)
- print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
- elif tick ==5:
- new_order = self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3)
- 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:
- new_order = self.prepare_order(compute_value="default")
- 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 None
- ticker = h.get_ticker(self.currency, self.base_currency, self.market)
- inverted = ticker["inverted"]
- if inverted:
+ 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)
+ 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:
+ if not self.inverted:
base_currency = self.base_currency
# BTC
if self.action == "dispose":
delta = delta - filled
# I already sold 4 BTC, only 5 left
- close_if_possible = (self.value_to == 0)
+ if close_if_possible is None:
+ close_if_possible = (self.value_to == 0)
if delta <= 0:
- print("Less to do than already filled: {}".format(delta))
+ self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta))
return None
- order = Order(self.order_action(inverted),
+ 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 RetryException(Exception):
+ pass
class Order:
def __init__(self, action, amount, rate, base_currency, trade_type, market,
self.trade = trade
self.close_if_possible = close_if_possible
self.id = None
- self.fetch_cache_timestamp = None
+ self.tries = 0
+ self.start_date = None
+
+ 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(
@property
def finished(self):
- return self.status == "closed" or self.status == "canceled" or self.status == "error"
+ return self.status.startswith("closed") or self.status == "canceled" or self.status == "error"
+ @retry((InsufficientFunds, RetryException, InvalidNonce))
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(
- symbol, self.action, amount, self.rate, self.account))
+ action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account)
+ if self.market.debug:
+ self.market.report.log_debug_action(action)
self.results.append({"debug": True, "id": -1})
else:
+ self.start_date = datetime.now()
try:
- self.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
- except ExchangeNotAvailable:
+ 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 InvalidNonce as e:
+ if self.tries < 5:
+ self.market.report.log_error(action, message="Retrying after invalid nonce", exception=e)
+ raise e
+ else:
+ self.market.report.log_error(action, message="Giving up {} after invalid nonce".format(self), exception=e)
+ self.status = "error"
+ return
+ except RequestTimeout as e:
+ if not self.retrieve_order():
+ if self.tries < 5:
+ self.market.report.log_error(action, message="Retrying after timeout", exception=e)
+ # We make a specific call in case retrieve_order
+ # would raise itself
+ raise RetryException
+ else:
+ self.market.report.log_error(action, message="Giving up {} after timeouts".format(self), exception=e)
+ self.status = "error"
+ return
+ else:
+ self.market.report.log_error(action, message="Timeout, found the order")
+ 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 not self.finished:
self.fetch()
- if self.finished:
- 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)
- 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()
-
- result = self.market.fetch_order(self.id)
- self.results.append(result)
+ 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.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
def dust_amount_remaining(self):
return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))
def remaining_amount(self):
- if self.status == "open":
- self.fetch()
return self.amount - self.filled_amount()
def filled_amount(self, in_base_currency=False):
def fetch_mouvements(self):
try:
- mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id})
+ mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id})
except ExchangeError:
mouvements = []
self.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.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()
+
+ def retrieve_order(self):
+ symbol = "{}/{}".format(self.amount.currency, self.base_currency)
+ amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value
+ start_timestamp = self.start_date.timestamp() - 5
+
+ similar_open_orders = self.market.ccxt.fetch_orders(symbol=symbol, since=start_timestamp)
+ for order in similar_open_orders:
+ if (order["info"]["margin"] == 1 and self.account == "exchange") or\
+ (order["info"]["margin"] != 1 and self.account == "margin"):
+ i_m_tested = True # coverage bug ?!
+ continue
+ if order["info"]["side"] != self.action:
+ continue
+ amount_diff = round(
+ abs(D(order["info"]["startingAmount"]) - amount),
+ self.market.ccxt.order_precision(symbol))
+ rate_diff = round(
+ abs(D(order["info"]["rate"]) - self.rate),
+ self.market.ccxt.order_precision(symbol))
+ if amount_diff != 0 or rate_diff != 0:
+ continue
+ self.results.append({"id": order["id"]})
+ return True
+
+ similar_trades = self.market.ccxt.fetch_my_trades(symbol=symbol, since=start_timestamp)
+ # FIXME: use set instead of sorted(list(...))
+ for order_id in sorted(list(map(lambda x: x["order"], similar_trades))):
+ trades = list(filter(lambda x: x["order"] == order_id, similar_trades))
+ if any(x["timestamp"] < start_timestamp for x in trades):
+ continue
+ if any(x["side"] != self.action for x in trades):
+ continue
+ if any(x["info"]["category"] == "exchange" and self.account == "margin" for x in trades) or\
+ any(x["info"]["category"] == "marginTrade" and self.account == "exchange" for x in trades):
+ continue
+ trade_sum = sum(D(x["info"]["amount"]) for x in trades)
+ amount_diff = round(abs(trade_sum - amount),
+ self.market.ccxt.order_precision(symbol))
+ if amount_diff != 0:
+ continue
+ if (self.action == "sell" and any(D(x["info"]["rate"]) < self.rate for x in trades)) or\
+ (self.action == "buy" and any(D(x["info"]["rate"]) > self.rate for x in trades)):
+ continue
+ self.results.append({"id": order_id})
+ return True
+
+ return False
class Mouvement:
def __init__(self, currency, base_currency, hash_):
# rate * total = total_in_base
self.total_in_base = Amount(base_currency, hash_.get("total", 0))
-if __name__ == '__main__': # pragma: no cover
- from market import market
- h.print_orders(market)
+ 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)
+