X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=1fe56b5992222f8eafddae8479ae0fdbb9f1b987;hb=77f8a3789e293ece45946abd7ea3acffdf6add82;hp=1d8bfd5f122775df881bcbbdd3a76e8422740896;hpb=f2da658998b6e6605c6ae27ff338ef23b96dce25;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index 1d8bfd5..1fe56b5 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,18 +1,9 @@ -import ccxt +from ccxt import ExchangeError import time +from decimal import Decimal as D # 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 = {} @@ -22,8 +13,8 @@ class Portfolio: def repartition_pertenthousand(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 @@ -55,7 +48,7 @@ class Portfolio: def clean_weights(i): def clean_weights_(h): - if type(h[1][i]) == str: + if isinstance(h[1][i], str): return [h[0], h[1][i]] else: return [h[0], int(h[1][i] * 10000)] @@ -81,80 +74,44 @@ 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 - asset_ticker = self.get_ticker(other_currency, market) + 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 get_ticker(self, c2, market, refresh=False): - c1 = self.currency - - def invert(ticker): - return { - "inverted": True, - "average": (float(1/ticker["bid"]) + float(1/ticker["ask"]) ) / 2, - "notInverted": ticker, - } - def augment_ticker(ticker): - ticker.update({ - "inverted": False, - "average": (ticker["bid"] + ticker["ask"] ) / 2, - }) - - if time.time() - self.ticker_cache_timestamp > 5: - self.ticker_cache = {} - self.ticker_cache_timestamp = time.time() - elif not refresh: - if (c1, c2, market.__class__) in self.ticker_cache: - return self.ticker_cache[(c1, c2, market.__class__)] - if (c2, c1, market.__class__) in self.ticker_cache: - return invert(self.ticker_cache[(c2, c1, market.__class__)]) - - try: - self.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) - augment_ticker(self.ticker_cache[(c1, c2, market.__class__)]) - except ccxt.ExchangeError: - try: - self.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) - augment_ticker(self.ticker_cache[(c2, c1, market.__class__)]) - except ccxt.ExchangeError: - self.ticker_cache[(c1, c2, market.__class__)] = None - return self.get_ticker(c2, market) - 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: @@ -163,25 +120,22 @@ 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) @@ -189,14 +143,14 @@ class Amount: def __lt__(self, other): 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 __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 __str__(self): if self.linked_to is None: @@ -212,7 +166,6 @@ class Amount: class Balance: known_balances = {} - trades = {} def __init__(self, currency, total_value, free_value, used_value): self.currency = currency @@ -225,12 +178,12 @@ class Balance: return cls(currency, hash_["total"], hash_["free"], hash_["used"]) @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 @@ -243,7 +196,7 @@ class Balance: for key in hash_: if key in ["info", "free", "used", "total"]: continue - if hash_[key]["total"] > 0: + if hash_[key]["total"] > 0 or key in cls.known_balances: cls.known_balances[key] = cls.from_hash(key, hash_[key]) @classmethod @@ -252,27 +205,55 @@ class 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_pertenthousand() + sum_pertenthousand = sum([v for k, v in repartition.items()]) amounts = {} - for currency, ptt in repartition_pertenthousand.items(): + for currency, ptt in repartition.items(): amounts[currency] = ptt * amount / sum_pertenthousand 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 }) 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)) +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 = {} @@ -283,27 +264,76 @@ class Trade: self.value_from = value_from self.value_to = value_to 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 self.base_currency = self.value_from.currency - if market is not None: - self.prepare_order(market) + fees_cache = {} + @classmethod + def fetch_fees(cls, market): + if market.__class__ not in cls.fees_cache: + cls.fees_cache[market.__class__] = market.fetch_fees() + return cls.fees_cache[market.__class__] + ticker_cache = {} + ticker_cache_timestamp = time.time() @classmethod - def compute_trades(cls, values_in_base, new_repartition, market=None): + def get_ticker(cls, c1, c2, market, 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, + }) + + if time.time() - cls.ticker_cache_timestamp > 5: + cls.ticker_cache = {} + cls.ticker_cache_timestamp = time.time() + elif not refresh: + if (c1, c2, market.__class__) in cls.ticker_cache: + return cls.ticker_cache[(c1, c2, market.__class__)] + if (c2, c1, market.__class__) in cls.ticker_cache: + return invert(cls.ticker_cache[(c2, c1, market.__class__)]) + + try: + cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) + augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) + 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 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, 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( + 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 return cls.trades + @classmethod + def prepare_orders(cls, only=None, compute_value="default"): + for currency, trade in cls.trades.items(): + if only is None or trade.action == only: + trade.prepare_order(compute_value=compute_value) + @property def action(self): if self.value_from == self.value_to: @@ -316,49 +346,108 @@ class Trade: else: return "sell" - def ticker_action(self, inverted): + def order_action(self, inverted): if self.value_from < self.value_to: - return "ask" if not inverted else "bid" + return "buy" if not inverted else "sell" else: - return "bid" if not inverted else "ask" + return "sell" if not inverted else "buy" - def prepare_order(self, market): + def prepare_order(self, compute_value="default"): if self.action is None: return ticker = self.value_from.ticker 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, market) - delta = abs(value_to - value_from) + 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 + 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" + + # 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: - ticker = ticker["notInverted"] - delta = abs(self.value_to - self.value_from) + 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 - rate = ticker[self.ticker_action(inverted)] + self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market)) - self.orders.append(Order(self.ticker_action(inverted), delta, rate, currency)) + @classmethod + def compute_value(cls, ticker, action, compute_value="default"): + 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()), []) + 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( @@ -367,16 +456,25 @@ class Trade: self.currency, self.action) -class Order: - DEBUG = True + @classmethod + def print_all_with_order(cls): + for trade in cls.trades.values(): + trade.print_with_order() - def __init__(self, action, amount, rate, base_currency): + def print_with_order(self): + print(self) + for order in self.orders: + print("\t", order, sep="") + +class Order: + def __init__(self, action, amount, rate, base_currency, market): self.action = action self.amount = amount self.rate = rate self.base_currency = base_currency + self.market = market self.result = None - self.status = "not run" + self.status = "pending" def __repr__(self): return "Order({} {} at {} {} [{}])".format( @@ -387,39 +485,48 @@ class Order: self.status ) - def run(self, market): + @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 - if self.DEBUG: + if debug: print("market.create_order('{}', 'limit', '{}', {}, price={})".format( symbol, self.action, amount, self.rate)) 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) 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={})".format( + symbol, self.action, amount, self.rate)) + 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']) + result = self.market.fetch_order(self.result['id']) self.status = result["status"] return self.status -@static_var("cache", {}) -def fetch_fees(market): - if market.__class__ not in fetch_fees.cache: - fetch_fees.cache[market.__class__] = market.fetch_fees() - return fetch_fees.cache[market.__class__] + 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) + portfolio.Trade.print_all_with_order() def make_orders(market, base_currency="BTC"): Balance.prepare_trades(market, base_currency=base_currency) @@ -427,7 +534,7 @@ def make_orders(market, base_currency="BTC"): print(trade) for order in trade.orders: print("\t", order, sep="") - order.run(market) + order.run() if __name__ == '__main__': print_orders(market)