X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=0ab16fd0854a5042ac7c7a611e482e6d7baa9dbe;hb=006a20846236ad365ec814f848f5fbf7e3dc7d3c;hp=3257bcff8b2d91301ef08f5dc0efe309516f8f0a;hpb=ecba11139e357567c46f7ba2a0cf8dbd98266fe8;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index 3257bcf..0ab16fd 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,6 +1,6 @@ from ccxt import ExchangeError import time -from decimal import Decimal as D +from decimal import Decimal as D, ROUND_DOWN # Put your poloniex api key in market.py from market import market @@ -10,7 +10,7 @@ class Portfolio: data = None @classmethod - def repartition_pertenthousand(cls, liquidity="medium"): + def repartition(cls, liquidity="medium"): cls.parse_cryptoportfolio() liquidities = cls.liquidities[liquidity] cls.last_date = sorted(liquidities.keys())[-1] @@ -40,7 +40,7 @@ class Portfolio: cls.get_cryptoportfolio() def filter_weights(weight_hash): - if weight_hash[1] == 0: + if weight_hash[1][0] == 0: return False if weight_hash[0] == "_row": return False @@ -48,15 +48,13 @@ class Portfolio: def clean_weights(i): def clean_weights_(h): - if isinstance(h[1][i], str): - return [h[0], h[1][i]] + if h[0].endswith("s"): + return [h[0][0:-1], (h[1][i], "short")] else: - return [h[0], int(h[1][i] * 10000)] + return [h[0], (h[1][i], "long")] return clean_weights_ def parse_weights(portfolio_hash): - # FIXME: we'll need shorts at some point - assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"])) weights_hash = portfolio_hash["weights"] weights = {} for i in range(len(weights_hash["_row"])): @@ -105,6 +103,9 @@ class Amount: else: raise Exception("This asset is not available in the chosen market") + def __round__(self, n=8): + return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) + def __abs__(self): return Amount(self.currency, abs(self.value)) @@ -140,11 +141,22 @@ class Amount: def __truediv__(self, value): return self.__floordiv__(value) + def __le__(self, other): + return self == other or self < other + def __lt__(self, other): + if other == 0: + return self.value < 0 if self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") return self.value < other.value + def __gt__(self, other): + return not self <= other + + def __ge__(self, other): + return not self < other + def __eq__(self, other): if other == 0: return self.value == 0 @@ -152,6 +164,12 @@ class Amount: raise Exception("Comparing amounts must be done with same currencies") return self.value == other.value + def __ne__(self, other): + return not self == other + + def __neg__(self): + return Amount(self.currency, - self.value) + def __str__(self): if self.linked_to is None: return "{:.8f} {}".format(self.value, self.currency) @@ -167,15 +185,24 @@ class Amount: class Balance: known_balances = {} - def __init__(self, currency, total_value, free_value, used_value): + def __init__(self, currency, hash_): self.currency = currency - self.total = Amount(currency, total_value) - self.free = Amount(currency, free_value) - self.used = Amount(currency, used_value) - - @classmethod - def from_hash(cls, currency, hash_): - return cls(currency, hash_["total"], hash_["free"], hash_["used"]) + for key in ["total", + "exchange_total", "exchange_used", "exchange_free", + "margin_total", "margin_borrowed", "margin_free"]: + setattr(self, key, Amount(currency, hash_.get(key, 0))) + + self.margin_position_type = hash_["margin_position_type"] + + if hash_["margin_borrowed_base_currency"] is not None: + base_currency = hash_["margin_borrowed_base_currency"] + for key in [ + "margin_liquidation_price", + "margin_pending_gain", + "margin_lending_fees", + "margin_borrowed_base_price" + ]: + setattr(self, key, Amount(base_currency, hash_[key])) @classmethod def in_currency(cls, other_currency, market, compute_value="average", type="total"): @@ -191,27 +218,26 @@ class Balance: def currencies(cls): return cls.known_balances.keys() - @classmethod - def _fill_balances(cls, hash_): - for key in hash_: - if key in ["info", "free", "used", "total"]: - continue - if hash_[key]["total"] > 0 or key in cls.known_balances: - cls.known_balances[key] = cls.from_hash(key, hash_[key]) - @classmethod def fetch_balances(cls, market): - cls._fill_balances(market.fetch_balance()) + all_balances = market.fetch_all_balances() + for currency, balance in all_balances.items(): + if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \ + currency in cls.known_balances: + cls.known_balances[currency] = cls(currency, balance) return cls.known_balances + @classmethod def dispatch_assets(cls, amount, repartition=None): if repartition is None: - repartition = Portfolio.repartition_pertenthousand() - sum_pertenthousand = sum([v for k, v in repartition.items()]) + repartition = Portfolio.repartition() + sum_ratio = sum([v[0] for k, v in repartition.items()]) amounts = {} - for currency, ptt in repartition.items(): - amounts[currency] = ptt * amount / sum_pertenthousand + for currency, (ptt, trade_type) in repartition.items(): + amounts[currency] = ptt * amount / sum_ratio + if trade_type == "short": + amounts[currency] = - amounts[currency] if currency not in cls.known_balances: cls.known_balances[currency] = cls(currency, 0, 0, 0) return amounts @@ -239,11 +265,40 @@ class Balance: cls.fetch_balances(market) values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) total_base_value = sum(values_in_base.values()) - new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: 1 }) + new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") }) Trade.compute_trades(values_in_base, new_repartition, market=market) def __repr__(self): - return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) + if self.exchange_total > 0: + if self.exchange_free > 0 and self.exchange_used > 0: + exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) + elif self.exchange_free > 0: + exchange = " Exch: [✔{}]".format(str(self.exchange_free)) + else: + exchange = " Exch: [❌{}]".format(str(self.exchange_used)) + else: + 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)) + else: + margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed)) + elif self.margin_total < 0: + margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), + str(self.margin_borrowed_base_price), + str(self.margin_lending_fees)) + else: + margin = "" + + if self.margin_total != 0 and self.exchange_total != 0: + total = " Total: [{}]".format(str(self.total)) + else: + total = "" + + return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" class Computation: computations = { @@ -253,9 +308,8 @@ class Computation: "ask": lambda x, y: x["ask"], } - class Trade: - trades = {} + trades = [] def __init__(self, value_from, value_to, currency, market=None): # We have value_from of currency, and want to finish with value_to of @@ -266,7 +320,10 @@ class Trade: self.orders = [] self.market = market assert self.value_from.currency == self.value_to.currency - assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency + if self.value_from != 0: + assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency + elif self.value_from.linked_to is None: + self.value_from.linked_to = Amount(self.currency, 0) self.base_currency = self.value_from.currency fees_cache = {} @@ -318,22 +375,55 @@ class Trade: for currency in Balance.currencies(): if currency == base_currency: continue - trade = cls( - values_in_base.get(currency, Amount(base_currency, 0)), - new_repartition.get(currency, Amount(base_currency, 0)), - currency, - market=market - ) - if only is None or trade.action == only: - cls.trades[currency] = trade + value_from = values_in_base.get(currency, Amount(base_currency, 0)) + value_to = new_repartition.get(currency, Amount(base_currency, 0)) + if value_from.value * value_to.value < 0: + trade_1 = cls(value_from, Amount(base_currency, 0), currency, market=market) + if only is None or trade_1.action == only: + cls.trades.append(trade_1) + trade_2 = cls(Amount(base_currency, 0), value_to, currency, market=market) + if only is None or trade_2.action == only: + cls.trades.append(trade_2) + else: + trade = cls( + value_from, + value_to, + currency, + market=market + ) + if only is None or trade.action == only: + cls.trades.append(trade) return cls.trades @classmethod def prepare_orders(cls, only=None, compute_value="default"): - for currency, trade in cls.trades.items(): + for trade in cls.trades: if only is None or trade.action == only: trade.prepare_order(compute_value=compute_value) + @classmethod + def move_balances(cls, market, debug=False): + needed_in_margin = {} + for trade in cls.trades: + if trade.trade_type == "short": + if trade.value_to.currency not in needed_in_margin: + needed_in_margin[trade.value_to.currency] = 0 + needed_in_margin[trade.value_to.currency] += abs(trade.value_to) + for currency, needed in needed_in_margin.items(): + current_balance = Balance.known_balances[currency].margin_free + delta = (needed - current_balance).value + # FIXME: don't remove too much if there are open margin position + if delta > 0: + if debug: + print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta)) + else: + market.transfer_balance(currency, delta, "exchange", "margin") + elif delta < 0: + if debug: + print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta)) + else: + market.transfer_balance(currency, -delta, "margin", "exchange") + @property def action(self): if self.value_from == self.value_to: @@ -342,20 +432,27 @@ class Trade: return None if self.value_from < self.value_to: + return "acquire" + else: + return "dispose" + + def order_action(self, inverted): + if (self.value_from < self.value_to) != inverted: return "buy" else: return "sell" - def order_action(self, inverted): - if self.value_from < self.value_to: - return "buy" if not inverted else "sell" + @property + def trade_type(self): + if self.value_from + self.value_to < 0: + return "short" else: - return "sell" if not inverted else "buy" + return "long" def prepare_order(self, compute_value="default"): if self.action is None: return - ticker = self.value_from.ticker + ticker = Trade.get_ticker(self.currency, self.base_currency, self.market) inverted = ticker["inverted"] if inverted: ticker = ticker["original"] @@ -366,7 +463,9 @@ class Trade: # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) if not inverted: - if self.action == "sell": + currency = self.base_currency + # BTC + if self.action == "dispose": # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it # At rate 1 Foo = 0.1 BTC value_from = self.value_from.linked_to @@ -382,42 +481,37 @@ class Trade: delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate) # I want to buy 9 / 0.1 FOO # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market" - - # FIXME: Need to round up to the correct amount of FOO in case - # we want to use all BTC - currency = self.base_currency - # BTC else: - if self.action == "sell": - # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it - # At rate 1 Foo = 0.1 BTC - delta = delta_in_base - # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market - - # FIXME: Need to round up to the correct amount of FOO in case - # we want to sell all - else: - delta = delta_in_base - # I want to buy 9 / 0.1 FOO - # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market" - - # FIXME: Need to round up to the correct amount of FOO in case - # we want to use all BTC - currency = self.currency # FOO + delta = delta_in_base + # sell: + # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it + # At rate 1 Foo = 0.1 BTC + # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market + # buy: + # I want to buy 9 / 0.1 FOO + # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market" + + close_if_possible = (self.value_to == 0) - self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market)) + self.orders.append(Order(self.order_action(inverted), + delta, rate, currency, self.trade_type, self.market, + close_if_possible=close_if_possible)) @classmethod def compute_value(cls, ticker, action, compute_value="default"): + if action == "buy": + action = "ask" + if action == "sell": + action = "bid" if isinstance(compute_value, str): compute_value = Computation.computations[compute_value] return compute_value(ticker, action) @classmethod def all_orders(cls, state=None): - all_orders = sum(map(lambda v: v.orders, cls.trades.values()), []) + all_orders = sum(map(lambda v: v.orders, cls.trades), []) if state is None: return all_orders else: @@ -458,7 +552,7 @@ class Trade: @classmethod def print_all_with_order(cls): - for trade in cls.trades.values(): + for trade in cls.trades: trade.print_with_order() def print_with_order(self): @@ -467,25 +561,36 @@ class Trade: print("\t", order, sep="") class Order: - def __init__(self, action, amount, rate, base_currency, market, account="exchange"): + def __init__(self, action, amount, rate, base_currency, trade_type, market, + close_if_possible=False): self.action = action self.amount = amount self.rate = rate self.base_currency = base_currency self.market = market - self.account = account + self.trade_type = trade_type self.result = None self.status = "pending" + self.close_if_possible = close_if_possible def __repr__(self): - return "Order({} {} at {} {} [{}])".format( + return "Order({} {} {} at {} {} [{}]{})".format( self.action, + self.trade_type, self.amount, self.rate, self.base_currency, - self.status + self.status, + " ✂" if self.close_if_possible else "", ) + @property + def account(self): + if self.trade_type == "long": + return "exchange" + else: + return "margin" + @property def pending(self): return self.status == "pending" @@ -496,7 +601,7 @@ class Order: def run(self, debug=False): symbol = "{}/{}".format(self.amount.currency, self.base_currency) - amount = self.amount.value + amount = round(self.amount, self.market.order_precision(symbol)).value if debug: print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( @@ -516,9 +621,17 @@ class Order: # other states are "closed" and "canceled" if self.status == "open": result = self.market.fetch_order(self.result['id']) - self.status = result["status"] + if result["status"] != "open": + self.mark_finished_order(result["status"]) return self.status + def mark_finished_order(self, status): + if status == "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.status = result["status"] + def cancel(self): self.market.cancel_order(self.result['id']) @@ -527,15 +640,27 @@ def print_orders(market, base_currency="BTC"): Trade.prepare_orders(compute_value="average") for currency, balance in Balance.known_balances.items(): print(balance) - portfolio.Trade.print_all_with_order() + Trade.print_all_with_order() def make_orders(market, base_currency="BTC"): Balance.prepare_trades(market, base_currency=base_currency) - for currency, trade in Trade.trades.items(): + for trade in Trade.trades: print(trade) for order in trade.orders: print("\t", order, sep="") order.run() +def sell_all(market, base_currency="BTC"): + Balance.prepare_trades_to_sell_all(market) + Trade.prepare_orders(compute_value="average") + Trade.run_orders() + Trade.follow_orders() + + Balance.update_trades(market, only="acquire") + Trade.prepare_orders(only="acquire") + Trade.move_balances(market) + Trade.run_orders() + Trade.follow_orders() + if __name__ == '__main__': print_orders(market)