X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=ccxt_wrapper.py;fp=ccxt_wrapper.py;h=903bfc489958a4539f69ae2deb5183bda6c2a29d;hb=aca4d4372553110ab5d76740ff536de83d5617b2;hp=b79cd37468c4c58654288acd8bcb1a3c7f409741;hpb=2033e7fef780298be2ec15455a0ec1d26515de55;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/ccxt_wrapper.py b/ccxt_wrapper.py index b79cd37..903bfc4 100644 --- a/ccxt_wrapper.py +++ b/ccxt_wrapper.py @@ -38,12 +38,13 @@ class poloniexE(poloniex): """ portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"}) See DASH/BTC positions - {'amount': '-0.10000000', -> DASH empruntés + {'amount': '-0.10000000', -> DASH empruntés (à rendre) 'basePrice': '0.06818560', -> à ce prix là (0.06828800 demandé * (1-0.15%)) - 'lendingFees': '0.00000000', -> ce que je dois à mon créditeur + 'lendingFees': '0.00000000', -> ce que je dois à mon créditeur en intérêts 'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin) 'pl': '-0.00000371', -> plus-value latente si je rachète tout de suite (négatif = perdu) - 'total': '0.00681856', -> valeur totale empruntée en BTC + 'total': '0.00681856', -> valeur totale empruntée en BTC (au moment de l'échange) + = amount * basePrice à erreur d'arrondi près 'type': 'short'} """ positions = self.privatePostGetMarginPosition({"currencyPair": "all"}) @@ -70,8 +71,7 @@ class poloniexE(poloniex): for key, balance in balances.items(): result[key] = {} for currency, amount in balance.items(): - if currency not in result: - result[currency] = {} + result.setdefault(currency, {}) result[currency][key] = decimal.Decimal(amount) result[key][currency] = decimal.Decimal(amount) return result @@ -83,6 +83,7 @@ class poloniexE(poloniex): all_balances = {} in_positions = {} + pending_pl = {} for currency, exchange_balance in exchange_balances.items(): if currency in ["info", "free", "used", "total"]: @@ -96,25 +97,106 @@ class poloniexE(poloniex): "exchange_used": exchange_balance["used"], "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0), "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0), - "margin_free": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0), - "margin_borrowed": 0, + # Disponible sur le compte margin + "margin_available": balance_per_type.get("margin", 0), + # Bloqué en position + "margin_in_position": 0, + # Emprunté + "margin_borrowed": -margin_balance.get("amount", 0), + # Total "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0), + "margin_pending_gain": 0, "margin_lending_fees": margin_balance.get("lendingFees", 0), - "margin_pending_gain": margin_balance.get("pl", 0), + "margin_pending_base_gain": margin_balance.get("pl", 0), "margin_position_type": margin_balance.get("type", None), "margin_liquidation_price": margin_balance.get("liquidationPrice", 0), "margin_borrowed_base_price": margin_balance.get("total", 0), "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None), } if len(margin_balance) > 0: - if margin_balance["baseCurrency"] not in in_positions: - in_positions[margin_balance["baseCurrency"]] = 0 + in_positions.setdefault(margin_balance["baseCurrency"], 0) in_positions[margin_balance["baseCurrency"]] += margin_balance["total"] + pending_pl.setdefault(margin_balance["baseCurrency"], 0) + pending_pl[margin_balance["baseCurrency"]] += margin_balance["pl"] + + # J’emprunte 0.12062983 que je revends à 0.06003598 BTC/DASH, soit 0.00724213 BTC. + # Sur ces 0.00724213 BTC je récupère 0.00724213*(1-0.0015) = 0.00723127 BTC + # + # -> ordertrades ne tient pas compte des fees + # amount = montant vendu (un seul mouvement) + # rate = à ce taux + # total = total en BTC (pour ce mouvement) + # -> marginposition: + # amount = ce que je dois rendre + # basePrice = prix de vente en tenant compte des fees + # (amount * basePrice = la quantité de BTC que j’ai effectivement + # reçue à erreur d’arrondi près, utiliser plutôt "total") + # total = la quantité de BTC que j’ai reçue + # pl = plus value actuelle si je rachetais tout de suite + # -> marginaccountsummary: + # currentMargin = La marge actuelle (= netValue/totalBorrowedValue) + # totalValue = BTC actuellement en margin (déposé) + # totalBorrowedValue = sum (amount * ticker[lowestAsk]) + # pl = sum(pl) + # netValue = BTC actuellement en margin (déposé) + pl + # Exemple: + # In [38]: m.ccxt.private_post_returnordertrades({"orderNumber": "XXXXXXXXXXXX"}) + # Out[38]: + # [{'amount': '0.11882982', + # 'currencyPair': 'BTC_DASH', + # 'date': '2018-02-26 22:48:35', + # 'fee': '0.00150000', + # 'globalTradeID': 348891380, + # 'rate': '0.06003598', + # 'total': '0.00713406', + # 'tradeID': 9634443, + # 'type': 'sell'}, + # {'amount': '0.00180000', + # 'currencyPair': 'BTC_DASH', + # 'date': '2018-02-26 22:48:30', + # 'fee': '0.00150000', + # 'globalTradeID': 348891375, + # 'rate': '0.06003598', + # 'total': '0.00010806', + # 'tradeID': 9634442, + # 'type': 'sell'}] + # + # In [51]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"}) + # Out[51]: + # {'amount': '-0.12062982', + # 'basePrice': '0.05994587', + # 'lendingFees': '0.00000000', + # 'liquidationPrice': '0.15531479', + # 'pl': '0.00000122', + # 'total': '0.00723126', + # 'type': 'short'} + # In [52]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_BTS"}) + # Out[52]: + # {'amount': '-332.97159188', + # 'basePrice': '0.00002171', + # 'lendingFees': '0.00000000', + # 'liquidationPrice': '0.00005543', + # 'pl': '0.00029548', + # 'total': '0.00723127', + # 'type': 'short'} + # + # In [53]: m.ccxt.privatePostReturnMarginAccountSummary() + # Out[53]: + # {'currentMargin': '1.04341991', + # 'lendingFees': '0.00000000', + # 'netValue': '0.01478093', + # 'pl': '0.00029666', + # 'totalBorrowedValue': '0.01416585', + # 'totalValue': '0.01448427'} + for currency, in_position in in_positions.items(): all_balances[currency]["total"] += in_position + all_balances[currency]["margin_in_position"] += in_position all_balances[currency]["margin_total"] += in_position - all_balances[currency]["margin_borrowed"] += in_position + + for currency, pl in pending_pl.items(): + all_balances[currency]["margin_pending_gain"] += pl return all_balances @@ -228,8 +310,9 @@ class poloniexE(poloniex): 'lendingFees': '0.00000000', -> fees totaux 'netValue': '0.01008254', -> balance + plus-value 'pl': '0.00008254', -> plus value latente (somme des positions) - 'totalBorrowedValue': '0.00673602', -> valeur en BTC empruntée - 'totalValue': '0.01000000'} -> valeur totale en compte + 'totalBorrowedValue': '0.00673602', -> valeur empruntée convertie en BTC. + (= sum(amount * ticker[lowerAsk]) pour amount dans marginposition) + 'totalValue': '0.01000000'} -> balance (collateral déposé en margin) """ summary = self.privatePostReturnMarginAccountSummary()