X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=ccxt_wrapper.py;h=d2c9b4ce26550b0074f6632ddc2bdc972eb17bd2;hb=17fd3f752d5e37df906abddf1f13fd7ad1de6c00;hp=b79cd37468c4c58654288acd8bcb1a3c7f409741;hpb=9f1408a3c5d6f42ae709ca16fa27e01db192fd05;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/ccxt_wrapper.py b/ccxt_wrapper.py index b79cd37..d2c9b4c 100644 --- a/ccxt_wrapper.py +++ b/ccxt_wrapper.py @@ -1,49 +1,82 @@ from ccxt import * import decimal import time +from retry.api import retry_call +import re +from requests.exceptions import RequestException +from ssl import SSLError def _cw_exchange_sum(self, *args): return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))]) Exchange.sum = _cw_exchange_sum class poloniexE(poloniex): + RETRIABLE_CALLS = [ + re.compile(r"^return"), + re.compile(r"^cancel"), + re.compile(r"^closeMarginPosition$"), + re.compile(r"^getMarginPosition$"), + ] + + def request(self, path, api='public', method='GET', params={}, headers=None, body=None): + """ + Wrapped to allow retry of non-posting requests" + """ + + origin_request = super().request + kwargs = { + "api": api, + "method": method, + "params": params, + "headers": headers, + "body": body + } + + retriable = any(re.match(call, path) for call in self.RETRIABLE_CALLS) + if api == "public" or method == "GET" or retriable: + return retry_call(origin_request, fargs=[path], fkwargs=kwargs, + tries=10, delay=1, exceptions=(RequestTimeout, InvalidNonce)) + else: + return origin_request(path, **kwargs) + + def __init__(self, *args, **kwargs): + super().__init__(*args, **kwargs) + + # For requests logging + self.session.origin_request = self.session.request + self.session._parent = self + + def request_wrap(self, *args, **kwargs): + kwargs["headers"]["X-market-id"] = str(self._parent._market.market_id) + kwargs["headers"]["X-user-id"] = str(self._parent._market.user_id) + try: + r = self.origin_request(*args, **kwargs) + self._parent._market.report.log_http_request(args[0], + args[1], kwargs["data"], kwargs["headers"], r) + return r + except (SSLError, RequestException) as e: + self._parent._market.report.log_http_request(args[0], + args[1], kwargs["data"], kwargs["headers"], e) + raise e + + self.session.request = request_wrap.__get__(self.session, + self.session.__class__) + @staticmethod def nanoseconds(): return int(time.time() * 1000000000) - def nonce(self): - return self.nanoseconds() - - def fetch_balance(self, params={}): - self.load_markets() - balances = self.privatePostReturnCompleteBalances(self.extend({ - 'account': 'all', - }, params)) - result = {'info': balances} - currencies = list(balances.keys()) - for c in range(0, len(currencies)): - id = currencies[c] - balance = balances[id] - currency = self.common_currency_code(id) - account = { - 'free': decimal.Decimal(balance['available']), - 'used': decimal.Decimal(balance['onOrders']), - 'total': decimal.Decimal(0.0), - } - account['total'] = self.sum(account['free'], account['used']) - result[currency] = account - return self.parse_balance(result) - def fetch_margin_balance(self): """ 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 +103,7 @@ 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 +115,7 @@ class poloniexE(poloniex): all_balances = {} in_positions = {} + pending_pl = {} for currency, exchange_balance in exchange_balances.items(): if currency in ["info", "free", "used", "total"]: @@ -96,53 +129,111 @@ 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 - def parse_ticker(self, ticker, market=None): - timestamp = self.milliseconds() - symbol = None - if market: - symbol = market['symbol'] - return { - 'symbol': symbol, - 'timestamp': timestamp, - 'datetime': self.iso8601(timestamp), - 'high': decimal.Decimal(ticker['high24hr']), - 'low': decimal.Decimal(ticker['low24hr']), - 'bid': decimal.Decimal(ticker['highestBid']), - 'ask': decimal.Decimal(ticker['lowestAsk']), - 'vwap': None, - 'open': None, - 'close': None, - 'first': None, - 'last': decimal.Decimal(ticker['last']), - 'change': decimal.Decimal(ticker['percentChange']), - 'percentage': None, - 'average': None, - 'baseVolume': decimal.Decimal(ticker['quoteVolume']), - 'quoteVolume': decimal.Decimal(ticker['baseVolume']), - 'info': ticker, - } + def create_exchange_order(self, symbol, type, side, amount, price=None, params={}): + return super().create_order(symbol, type, side, amount, price=price, params=params) def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}): if type == 'market': @@ -172,17 +263,6 @@ class poloniexE(poloniex): self.orders[id] = order return self.extend({'info': response}, order) - def create_exchange_order(self, symbol, type, side, amount, price=None, params={}): - return super(poloniexE, self).create_order(symbol, type, side, amount, price=price, params=params) - - def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}): - if account == "exchange": - return self.create_exchange_order(symbol, type, side, amount, price=price, params=params) - elif account == "margin": - return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params) - else: - raise NotImplementedError - def order_precision(self, symbol): return 8 @@ -228,8 +308,9 @@ 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() @@ -241,3 +322,83 @@ class poloniexE(poloniex): "total": decimal.Decimal(summary["totalValue"]), } + def nonce(self): + """ + Wrapped to allow nonce with other libraries + """ + return self.nanoseconds() + + def fetch_balance(self, params={}): + """ + Wrapped to get decimals + """ + self.load_markets() + balances = self.privatePostReturnCompleteBalances(self.extend({ + 'account': 'all', + }, params)) + result = {'info': balances} + currencies = list(balances.keys()) + for c in range(0, len(currencies)): + id = currencies[c] + balance = balances[id] + currency = self.common_currency_code(id) + account = { + 'free': decimal.Decimal(balance['available']), + 'used': decimal.Decimal(balance['onOrders']), + 'total': decimal.Decimal(0.0), + } + account['total'] = self.sum(account['free'], account['used']) + result[currency] = account + return self.parse_balance(result) + + def parse_ticker(self, ticker, market=None): + """ + Wrapped to get decimals + """ + timestamp = self.milliseconds() + symbol = None + if market: + symbol = market['symbol'] + return { + 'symbol': symbol, + 'timestamp': timestamp, + 'datetime': self.iso8601(timestamp), + 'high': decimal.Decimal(ticker['high24hr']), + 'low': decimal.Decimal(ticker['low24hr']), + 'bid': decimal.Decimal(ticker['highestBid']), + 'ask': decimal.Decimal(ticker['lowestAsk']), + 'vwap': None, + 'open': None, + 'close': None, + 'first': None, + 'last': decimal.Decimal(ticker['last']), + 'change': decimal.Decimal(ticker['percentChange']), + 'percentage': None, + 'average': None, + 'baseVolume': decimal.Decimal(ticker['quoteVolume']), + 'quoteVolume': decimal.Decimal(ticker['baseVolume']), + 'info': ticker, + } + + def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}): + """ + Wrapped to handle margin and exchange accounts + """ + if account == "exchange": + return self.create_exchange_order(symbol, type, side, amount, price=price, params=params) + elif account == "margin": + return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params) + else: + raise NotImplementedError + + def common_currency_code(self, currency): + """ + Wrapped to avoid the currency translation + """ + return currency + + def currency_id(self, currency): + """ + Wrapped to avoid the currency translation + """ + return currency