X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=0ab16fd0854a5042ac7c7a611e482e6d7baa9dbe;hb=006a20846236ad365ec814f848f5fbf7e3dc7d3c;hp=b0f9256e5222ee75a3e43c09ad5b7f5d8fe2c720;hpb=089d5d9df3d9d93e3ce789be16ee6cdd99dc2b52;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index b0f9256..0ab16fd 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,29 +1,20 @@ -import ccxt +from ccxt import ExchangeError import time +from decimal import Decimal as D, ROUND_DOWN # Put your poloniex api key in market.py from market import market -# FIXME: Améliorer le bid/ask -# FIXME: J'essayais d'utiliser plus de bitcoins que j'en avais à disposition -# FIXME: better compute moves to avoid rounding errors - -def static_var(varname, value): - def decorate(func): - setattr(func, varname, value) - return func - return decorate - class Portfolio: URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" liquidities = {} data = None @classmethod - def repartition_pertenthousand(cls, liquidity="medium"): + def repartition(cls, liquidity="medium"): cls.parse_cryptoportfolio() liquidities = cls.liquidities[liquidity] - last_date = sorted(liquidities.keys())[-1] - return liquidities[last_date] + cls.last_date = sorted(liquidities.keys())[-1] + return liquidities[cls.last_date] @classmethod def get_cryptoportfolio(cls): @@ -35,9 +26,11 @@ class Portfolio: try: r = http.request("GET", cls.URL) except Exception: - return + return None try: - cls.data = json.loads(r.data) + cls.data = json.loads(r.data, + parse_int=D, + parse_float=D) except json.JSONDecodeError: cls.data = None @@ -47,7 +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 @@ -55,15 +48,13 @@ class Portfolio: def clean_weights(i): def clean_weights_(h): - if type(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"])): @@ -81,45 +72,47 @@ class Portfolio: } class Amount: - MAX_DIGITS = 18 - - def __init__(self, currency, value, int_val=None, linked_to=None, ticker=None): + def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): self.currency = currency - if int_val is None: - self._value = int(value * 10**self.MAX_DIGITS) - else: - self._value = int_val + self.value = D(value) self.linked_to = linked_to self.ticker = ticker + self.rate = rate self.ticker_cache = {} self.ticker_cache_timestamp = time.time() - @property - def value(self): - return self._value / 10 ** self.MAX_DIGITS - - def in_currency(self, other_currency, market, action="average"): + def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): if other_currency == self.currency: return self + if rate is not None: + return Amount( + other_currency, + self.value * rate, + linked_to=self, + rate=rate) asset_ticker = Trade.get_ticker(self.currency, other_currency, market) if asset_ticker is not None: + rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value) return Amount( other_currency, - 0, - int_val=int(self._value * asset_ticker[action]), + self.value * rate, linked_to=self, - ticker=asset_ticker) + ticker=asset_ticker, + rate=rate) 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, 0, int_val=abs(self._value)) + return Amount(self.currency, abs(self.value)) def __add__(self, other): - if other.currency != self.currency and other._value * self._value != 0: + if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") - return Amount(self.currency, 0, int_val=self._value + other._value) + return Amount(self.currency, self.value + other.value) def __radd__(self, other): if other == 0: @@ -128,40 +121,54 @@ class Amount: return self.__add__(other) def __sub__(self, other): - if other.currency != self.currency and other._value * self._value != 0: + if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") - return Amount(self.currency, 0, int_val=self._value - other._value) - - def __int__(self): - return self._value + return Amount(self.currency, self.value - other.value) def __mul__(self, value): - if type(value) != int and type(value) != float: + if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be multiplied by numbers") - return Amount(self.currency, 0, int_val=(self._value * value)) + return Amount(self.currency, self.value * value) def __rmul__(self, value): return self.__mul__(value) def __floordiv__(self, value): - if type(value) != int: + if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be multiplied by integers") - return Amount(self.currency, 0, int_val=(self._value // value)) + return Amount(self.currency, self.value / value) 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 + 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 + return self.value == 0 if self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") - return self._value == other._value + 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: @@ -178,23 +185,32 @@ 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, action="average", type="total"): + def in_currency(cls, other_currency, market, compute_value="average", type="total"): amounts = {} for currency in cls.known_balances: balance = cls.known_balances[currency] other_currency_amount = getattr(balance, type)\ - .in_currency(other_currency, market, action=action) + .in_currency(other_currency, market, compute_value=compute_value) amounts[currency] = other_currency_amount return amounts @@ -202,43 +218,98 @@ 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: - 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_pertenthousand = Portfolio.repartition_pertenthousand() - sum_pertenthousand = sum([v for k, v in repartition_pertenthousand.items()]) + def dispatch_assets(cls, amount, repartition=None): + if repartition is None: + repartition = Portfolio.repartition() + sum_ratio = sum([v[0] for k, v in repartition.items()]) amounts = {} - for currency, ptt in repartition_pertenthousand.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 @classmethod - def prepare_trades(cls, market, base_currency="BTC"): + def prepare_trades(cls, market, base_currency="BTC", compute_value="average"): cls.fetch_balances(market) - values_in_base = cls.in_currency(base_currency, 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) + # Recompute it in case we have new currencies + values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) + Trade.compute_trades(values_in_base, new_repartition, market=market) + + @classmethod + def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None): + 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) + Trade.compute_trades(values_in_base, new_repartition, only=only, market=market) + + @classmethod + def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"): + 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, "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 = { + "default": lambda x, y: x[y], + "average": lambda x, y: x["average"], + "bid": lambda x, y: x["bid"], + "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 @@ -249,7 +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 = {} @@ -266,7 +340,7 @@ class Trade: def invert(ticker): return { "inverted": True, - "average": (float(1/ticker["bid"]) + float(1/ticker["ask"]) ) / 2, + "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, "original": ticker, } def augment_ticker(ticker): @@ -287,29 +361,69 @@ class Trade: try: cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) - except ccxt.ExchangeError: + except ExchangeError: try: cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)]) - except ccxt.ExchangeError: + except ExchangeError: cls.ticker_cache[(c1, c2, market.__class__)] = None return cls.get_ticker(c1, c2, market) @classmethod - def compute_trades(cls, values_in_base, new_repartition, market=None): + def compute_trades(cls, values_in_base, new_repartition, only=None, market=None): base_currency = sum(values_in_base.values()).currency for currency in Balance.currencies(): if currency == base_currency: continue - cls.trades[currency] = cls( - values_in_base.get(currency, Amount(base_currency, 0)), - new_repartition.get(currency, Amount(base_currency, 0)), - currency, - market=market - ) - cls.trades[currency].prepare_order() + 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 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: @@ -318,53 +432,116 @@ 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 "ask" if not inverted else "bid" + @property + def trade_type(self): + if self.value_from + self.value_to < 0: + return "short" else: - return "bid" if not inverted else "ask" + return "long" - def prepare_order(self): + 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"] + rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) + # 0.1 + + delta_in_base = abs(self.value_from - self.value_to) + # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) if not inverted: - value_from = self.value_from.linked_to - value_to = self.value_to.in_currency(self.currency, self.market) - delta = abs(value_to - value_from) 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 + # value_from = 100 FOO + value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate) + # value_to = 10 FOO (1 BTC * 1/0.1) + delta = abs(value_to - value_from) + # delta = 90 FOO + # Action: "sell" "90 FOO" at rate "0.1" "BTC" on "market" + + # Note: no rounding error possible: if we have value_to == 0, then delta == value_from + else: + 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" else: - ticker = ticker["original"] - delta = abs(self.value_to - self.value_from) 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.trade_type, self.market, + close_if_possible=close_if_possible)) - rate = ticker[self.order_action(inverted)] + @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) - self.orders.append(Order(self.order_action(inverted), delta, rate, currency)) + @classmethod + def all_orders(cls, state=None): + all_orders = sum(map(lambda v: v.orders, cls.trades), []) + if state is None: + return all_orders + else: + return list(filter(lambda o: o.status == state, all_orders)) @classmethod - def all_orders(cls): - return sum(map(lambda v: v.orders, cls.trades.values()), []) + def run_orders(cls): + for order in cls.all_orders(state="pending"): + order.run() @classmethod - def follow_orders(cls, market): + def follow_orders(cls, verbose=True, sleep=30): orders = cls.all_orders() finished_orders = [] while len(orders) != len(finished_orders): - time.sleep(30) + time.sleep(sleep) for order in orders: if order in finished_orders: continue - if order.get_status(market) != "open": + if order.get_status() != "open": finished_orders.append(order) - print("finished {}".format(order)) - print("All orders finished") + if verbose: + print("finished {}".format(order)) + if verbose: + print("All orders finished") + + @classmethod + def update_all_orders_status(cls): + for order in cls.all_orders(state="open"): + order.get_status() def __repr__(self): return "Trade({} -> {} in {}, {})".format( @@ -373,61 +550,117 @@ class Trade: self.currency, self.action) -class Order: - DEBUG = True + @classmethod + def print_all_with_order(cls): + for trade in cls.trades: + trade.print_with_order() + + def print_with_order(self): + print(self) + for order in self.orders: + print("\t", order, sep="") - def __init__(self, action, amount, rate, base_currency): +class Order: + 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.trade_type = trade_type self.result = None - self.status = "not run" + 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 "", ) - def run(self, market): + @property + def account(self): + if self.trade_type == "long": + return "exchange" + else: + return "margin" + + @property + def pending(self): + return self.status == "pending" + + @property + def finished(self): + return self.status == "closed" or self.status == "canceled" or self.status == "error" + + 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 self.DEBUG: - print("market.create_order('{}', 'limit', '{}', {}, price={})".format( - symbol, self.action, amount, self.rate)) + if debug: + print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( + symbol, self.action, amount, self.rate, self.account)) else: try: - self.result = market.create_order(symbol, 'limit', self.action, amount, price=self.rate) + self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account) self.status = "open" - except Exception: - pass - - def get_status(self, market): + except Exception as e: + self.status = "error" + print("error when running market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( + symbol, self.action, amount, self.rate, self.account)) + self.error_message = str("{}: {}".format(e.__class__.__name__, e)) + print(self.error_message) + + def get_status(self): # other states are "closed" and "canceled" if self.status == "open": - result = market.fetch_order(self.result['id']) - self.status = result["status"] + result = self.market.fetch_order(self.result['id']) + 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']) + def print_orders(market, base_currency="BTC"): - Balance.prepare_trades(market, base_currency=base_currency) - for currency, trade in Trade.trades.items(): - print(trade) - for order in trade.orders: - print("\t", order, sep="") + Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") + Trade.prepare_orders(compute_value="average") + for currency, balance in Balance.known_balances.items(): + print(balance) + 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(market) + 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)