X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=market.py;h=3381d1e2643e03cb35019cbd14eb29f0f9108cbf;hb=9db7d156833cd384baa64b6148b5c646bfcc41f8;hp=08838a7f971537975037790a63ef665cd0a82c05;hpb=2308a1c4c0d2514dc9fc9acf235f9e5a33299f63;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/market.py b/market.py index 08838a7..3381d1e 100644 --- a/market.py +++ b/market.py @@ -1,24 +1,145 @@ +from ccxt import ExchangeError, NotSupported import ccxt_wrapper as ccxt +import time +from store import * +from cachetools.func import ttl_cache + +class Market: + debug = False + ccxt = None + report = None + trades = None + balances = None + + def __init__(self, ccxt_instance, debug=False): + self.debug = debug + self.ccxt = ccxt_instance + self.ccxt._market = self + self.report = ReportStore(self) + self.trades = TradeStore(self) + self.balances = BalanceStore(self) + + @classmethod + def from_config(cls, config, debug=False): + config["apiKey"] = config.pop("key") + + ccxt_instance = ccxt.poloniexE(config) + + # For requests logging + ccxt_instance.session.origin_request = ccxt_instance.session.request + ccxt_instance.session._parent = ccxt_instance + + def request_wrap(self, *args, **kwargs): + r = self.origin_request(*args, **kwargs) + self._parent._market.report.log_http_request(args[0], + args[1], kwargs["data"], kwargs["headers"], r) + return r + ccxt_instance.session.request = request_wrap.__get__(ccxt_instance.session, + ccxt_instance.session.__class__) + + return cls(ccxt_instance, debug=debug) + + def move_balances(self): + needed_in_margin = {} + moving_to_margin = {} + + for currency, balance in self.balances.all.items(): + needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain + for trade in self.trades.pending: + needed_in_margin.setdefault(trade.base_currency, 0) + if trade.trade_type == "short": + needed_in_margin[trade.base_currency] -= trade.delta + for currency, needed in needed_in_margin.items(): + current_balance = self.balances.all[currency].margin_available + moving_to_margin[currency] = (needed - current_balance) + delta = moving_to_margin[currency].value + if self.debug and delta != 0: + self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency])) + continue + if delta > 0: + self.ccxt.transfer_balance(currency, delta, "exchange", "margin") + elif delta < 0: + self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") + self.report.log_move_balances(needed_in_margin, moving_to_margin) + + self.balances.fetch_balances() + + @ttl_cache(ttl=3600) + def fetch_fees(self): + return self.ccxt.fetch_fees() + + @ttl_cache(maxsize=20, ttl=5) + def get_tickers(self, refresh=False): + try: + return self.ccxt.fetch_tickers() + except NotSupported: + return None + + @ttl_cache(maxsize=20, ttl=5) + def get_ticker(self, c1, c2, refresh=False): + def invert(ticker): + return { + "inverted": True, + "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, + "original": ticker, + } + def augment_ticker(ticker): + ticker.update({ + "inverted": False, + "average": (ticker["bid"] + ticker["ask"] ) / 2, + }) + return ticker + + tickers = self.get_tickers() + if tickers is None: + try: + ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) + except ExchangeError: + try: + ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) + except ExchangeError: + ticker = None + else: + if "{}/{}".format(c1, c2) in tickers: + ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) + elif "{}/{}".format(c2, c1) in tickers: + ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) + else: + ticker = None + return ticker + + def follow_orders(self, sleep=None): + if sleep is None: + sleep = 7 if self.debug else 30 + if self.debug: + self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep)) + tick = 0 + self.report.log_stage("follow_orders_begin") + while len(self.trades.all_orders(state="open")) > 0: + time.sleep(sleep) + tick += 1 + open_orders = self.trades.all_orders(state="open") + self.report.log_stage("follow_orders_tick_{}".format(tick)) + self.report.log_orders(open_orders, tick=tick) + for order in open_orders: + if order.get_status() != "open": + self.report.log_order(order, tick, finished=True) + else: + order.trade.update_order(order, tick) + self.report.log_stage("follow_orders_end") + + def prepare_trades(self, base_currency="BTC", liquidity="medium", + compute_value="average", repartition=None, only=None): + + self.report.log_stage("prepare_trades", + base_currency=base_currency, liquidity=liquidity, + compute_value=compute_value, only=only, + repartition=repartition) + + values_in_base = self.balances.in_currency(base_currency, + compute_value=compute_value) + total_base_value = sum(values_in_base.values()) + new_repartition = self.balances.dispatch_assets(total_base_value, + liquidity=liquidity, repartition=repartition) + self.trades.compute_trades(values_in_base, new_repartition, only=only) -market = ccxt.poloniexE({ - "apiKey": "XXXXXXXX-XXXXXXXX-XXXXXXXX-XXXXXXXX", - "secret": "1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef", - }) - - -# For requests logging -requests = [] -market.session.origin_request = market.session.request - -def request_wrap(self, *args, **kwargs): - r = self.origin_request(*args, **kwargs) - requests.append({ - "method": args[0], - "url": args[1], - "body": kwargs["data"], - "headers": kwargs["headers"], - "status": r.status_code, - "response": r.text, - }) - return r -market.session.request = request_wrap.__get__(market.session, market.session.__class__)