-import time
-from datetime import datetime, timedelta
-from decimal import Decimal as D, ROUND_DOWN
-from json import JSONDecodeError
-from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
-from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached
+import datetime
from retry import retry
-import requests
-
-# FIXME: correctly handle web call timeouts
-
-class Portfolio:
- URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
- liquidities = {}
- data = None
- last_date = None
-
- @classmethod
- def wait_for_recent(cls, market, delta=4):
- cls.repartition(market, refetch=True)
- while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta):
- time.sleep(30)
- market.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
- cls.repartition(market, refetch=True)
-
- @classmethod
- def repartition(cls, market, liquidity="medium", refetch=False):
- cls.parse_cryptoportfolio(market, refetch=refetch)
- liquidities = cls.liquidities[liquidity]
- return liquidities[cls.last_date]
-
- @classmethod
- def get_cryptoportfolio(cls, market):
- try:
- r = requests.get(cls.URL)
- market.report.log_http_request(r.request.method,
- r.request.url, r.request.body, r.request.headers, r)
- except Exception as e:
- market.report.log_error("get_cryptoportfolio", exception=e)
- return
- try:
- cls.data = r.json(parse_int=D, parse_float=D)
- except (JSONDecodeError, SimpleJSONDecodeError):
- cls.data = None
-
- @classmethod
- def parse_cryptoportfolio(cls, market, refetch=False):
- if refetch or cls.data is None:
- cls.get_cryptoportfolio(market)
-
- 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"])):
- date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
- weights[date] = 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,
- }
- cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys()))
+from decimal import Decimal as D, ROUND_DOWN
+from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce
class Computation:
computations = {
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:
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=True)) >= abs(self.delta)
+ return abs(self.filled_amount(in_base_currency=(not self.inverted), refetch=True)) >= abs(self.delta)
- def filled_amount(self, in_base_currency=False):
+ def filled_amount(self, in_base_currency=False, refetch=False):
filled_amount = 0
for order in self.orders:
- filled_amount += order.filled_amount(in_base_currency=in_base_currency)
+ filled_amount += order.filled_amount(in_base_currency=in_base_currency, refetch=refetch)
return filled_amount
- def update_order(self, order, tick):
- 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"],
- }
+ tick_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"],
+ }
+
+ def tick_actions_recreate(self, tick, default="average"):
+ return ([default] + \
+ [ y[1] for x, y in self.tick_actions.items() if x <= tick and y[1] is not None ])[-1]
- if tick in actions:
- update, compute_value = actions[tick]
+ def update_order(self, order, tick):
+ if tick in self.tick_actions:
+ update, compute_value = self.tick_actions[tick]
elif tick % 3 == 1:
update = "market_adjust"
compute_value = "default"
if self.action is None:
return None
ticker = self.market.get_ticker(self.currency, self.base_currency)
- inverted = ticker["inverted"]
- if inverted:
+ if ticker is None:
+ self.market.report.log_error("prepare_order",
+ message="Unknown ticker {}/{}".format(self.currency, self.base_currency))
+ return None
+ 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)
- # 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":
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)
}
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, ind=""):
self.market.report.print_log("{}{}".format(ind, self))
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,
trade, close_if_possible=False):
self.close_if_possible = close_if_possible
self.id = None
self.tries = 0
+ self.start_date = None
def as_json(self):
return {
@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)
+ @retry((InsufficientFunds, RetryException, InvalidNonce))
def run(self):
self.tries += 1
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value
+ 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("market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
- symbol, self.action, amount, self.rate, self.account))
+ self.market.report.log_debug_action(action)
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)
+ self.start_date = datetime.datetime.now()
try:
self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
except InvalidOrder:
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)
# other states are "closed" and "canceled"
if not self.finished:
self.fetch()
- if self.finished:
- self.mark_finished_order()
return self.status
+ def mark_disappeared_order(self):
+ if self.status.startswith("closed") and \
+ len(self.mouvements) > 0 and \
+ self.mouvements[-1].total_in_base == 0:
+ self.status = "error_disappeared"
+
def mark_finished_order(self):
- if self.market.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.ccxt.close_margin_position(self.amount.currency, self.base_currency)
self.market.report.log_debug_action("Fetching {}".format(self))
return
try:
- result = self.market.ccxt.fetch_order(self.id, symbol=self.amount.currency)
+ result = self.market.ccxt.fetch_order(self.id)
self.results.append(result)
self.status = result["status"]
# Time at which the order started
self.fetch_mouvements()
- # FIXME: consider open order with dust remaining as closed
+ self.mark_disappeared_order()
+ self.mark_dust_amount_remaining_order()
+ self.mark_finished_order()
- def dust_amount_remaining(self):
- return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))
+ def mark_dust_amount_remaining_order(self):
+ if self.status == "open" and self.market.ccxt.is_dust_trade(self.remaining_amount().value, self.rate):
+ self.status = "closed_dust_remaining"
- def remaining_amount(self):
- return self.amount - self.filled_amount()
+ def remaining_amount(self, refetch=False):
+ return self.amount - self.filled_amount(refetch=refetch)
- def filled_amount(self, in_base_currency=False):
- if self.status == "open":
+ def filled_amount(self, in_base_currency=False, refetch=False):
+ if refetch and self.status == "open":
self.fetch()
filled_amount = 0
for mouvement in self.mouvements:
for mouvement_hash in mouvements:
self.mouvements.append(Mouvement(self.amount.currency,
self.base_currency, mouvement_hash))
+ self.mouvements.sort(key= lambda x: x.date)
def cancel(self):
if self.market.debug:
self.market.report.log_debug_action("Mark {} as cancelled".format(self))
self.status = "canceled"
return
- self.market.ccxt.cancel_order(self.id)
- self.fetch()
+ if (self.status == "closed_dust_remaining" or 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)
+ 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_):
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')
+ self.date = datetime.datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S')
except ValueError:
self.date = None
self.rate = D(hash_.get("rate", 0))