X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=45fbef98e72fefac5104223955a1b1897f632131;hb=c51687d2b0cbad5460d8424f550014502d84696e;hp=0ab16fd0854a5042ac7c7a611e482e6d7baa9dbe;hpb=006a20846236ad365ec814f848f5fbf7e3dc7d3c;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index 0ab16fd..45fbef9 100644 --- a/portfolio.py +++ b/portfolio.py @@ -3,6 +3,11 @@ import time from decimal import Decimal as D, ROUND_DOWN # Put your poloniex api key in market.py from market import market +from json import JSONDecodeError +import requests + +# FIXME: correctly handle web call timeouts + class Portfolio: URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" @@ -18,20 +23,13 @@ class Portfolio: @classmethod def get_cryptoportfolio(cls): - import json - import urllib3 - urllib3.disable_warnings() - http = urllib3.PoolManager() - try: - r = http.request("GET", cls.URL) + r = requests.get(cls.URL) except Exception: - return None + return try: - cls.data = json.loads(r.data, - parse_int=D, - parse_float=D) - except json.JSONDecodeError: + cls.data = r.json(parse_int=D, parse_float=D) + except JSONDecodeError: cls.data = None @classmethod @@ -79,9 +77,6 @@ class Amount: self.ticker = ticker self.rate = rate - self.ticker_cache = {} - self.ticker_cache_timestamp = time.time() - def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): if other_currency == self.currency: return self @@ -121,6 +116,8 @@ class Amount: return self.__add__(other) def __sub__(self, other): + if other == 0: + return self 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, self.value - other.value) @@ -141,9 +138,6 @@ 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 @@ -151,6 +145,9 @@ class Amount: raise Exception("Comparing amounts must be done with same currencies") return self.value < other.value + def __le__(self, other): + return self == other or self < other + def __gt__(self, other): return not self <= other @@ -192,9 +189,9 @@ class Balance: "margin_total", "margin_borrowed", "margin_free"]: setattr(self, key, Amount(currency, hash_.get(key, 0))) - self.margin_position_type = hash_["margin_position_type"] + self.margin_position_type = hash_.get("margin_position_type") - if hash_["margin_borrowed_base_currency"] is not None: + if hash_.get("margin_borrowed_base_currency") is not None: base_currency = hash_["margin_borrowed_base_currency"] for key in [ "margin_liquidation_price", @@ -202,7 +199,7 @@ class Balance: "margin_lending_fees", "margin_borrowed_base_price" ]: - setattr(self, key, Amount(base_currency, hash_[key])) + setattr(self, key, Amount(base_currency, hash_.get(key, 0))) @classmethod def in_currency(cls, other_currency, market, compute_value="average", type="total"): @@ -227,7 +224,6 @@ class Balance: cls.known_balances[currency] = cls(currency, balance) return cls.known_balances - @classmethod def dispatch_assets(cls, amount, repartition=None): if repartition is None: @@ -239,34 +235,34 @@ class Balance: if trade_type == "short": amounts[currency] = - amounts[currency] if currency not in cls.known_balances: - cls.known_balances[currency] = cls(currency, 0, 0, 0) + cls.known_balances[currency] = cls(currency, {}) return amounts @classmethod - def prepare_trades(cls, market, base_currency="BTC", compute_value="average"): + def prepare_trades(cls, market, base_currency="BTC", compute_value="average", debug=False): 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) # 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) + Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug) @classmethod - def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None): + def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None, debug=False): 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) + Trade.compute_trades(values_in_base, new_repartition, only=only, market=market, debug=debug) @classmethod - def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"): + def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average", debug=False): 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) + Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug) def __repr__(self): if self.exchange_total > 0: @@ -309,6 +305,7 @@ class Computation: } class Trade: + debug = False trades = [] def __init__(self, value_from, value_to, currency, market=None): @@ -370,7 +367,8 @@ class Trade: return cls.get_ticker(c1, c2, market) @classmethod - def compute_trades(cls, values_in_base, new_repartition, only=None, market=None): + def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False): + cls.debug = cls.debug or debug base_currency = sum(values_in_base.values()).currency for currency in Balance.currencies(): if currency == base_currency: @@ -402,7 +400,7 @@ class Trade: trade.prepare_order(compute_value=compute_value) @classmethod - def move_balances(cls, market, debug=False): + def move_balances(cls, market): needed_in_margin = {} for trade in cls.trades: if trade.trade_type == "short": @@ -414,12 +412,12 @@ class Trade: delta = (needed - current_balance).value # FIXME: don't remove too much if there are open margin position if delta > 0: - if debug: + if cls.debug: print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta)) else: market.transfer_balance(currency, delta, "exchange", "margin") elif delta < 0: - if debug: + if cls.debug: print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta)) else: market.transfer_balance(currency, -delta, "margin", "exchange") @@ -449,6 +447,37 @@ class Trade: else: return "long" + @property + def filled_amount(self): + filled_amount = 0 + for order in self.orders: + filled_amount += order.filled_amount + return filled_amount + + def update_order(self, order, tick): + new_order = None + if tick in [0, 1, 3, 4, 6]: + print("{}, tick {}, waiting".format(order, tick)) + elif tick == 2: + self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2) + new_order = self.orders[-1] + print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) + elif tick ==5: + self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3) + new_order = self.orders[-1] + print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) + elif tick >= 7: + if tick == 7: + print("{}, tick {}, fallbacking to market value".format(order, tick)) + if (tick - 7) % 3 == 0: + self.prepare_order(compute_value="default") + new_order = self.orders[-1] + print("{}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) + + if new_order is not None: + order.cancel() + new_order.run() + def prepare_order(self, compute_value="default"): if self.action is None: return @@ -492,12 +521,20 @@ class Trade: # buy: # I want to buy 9 / 0.1 FOO # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market" + if self.value_to == 0: + rate = self.value_from.linked_to.value / self.value_from.value + # Recompute the rate to avoid any rounding error close_if_possible = (self.value_to == 0) + if delta <= self.filled_amount: + print("Less to do than already filled: {} <= {}".format(delta, + self.filled_amount)) + return + self.orders.append(Order(self.order_action(inverted), - delta, rate, currency, self.trade_type, self.market, - close_if_possible=close_if_possible)) + delta - self.filled_amount, rate, currency, self.trade_type, + self.market, self, close_if_possible=close_if_possible)) @classmethod def compute_value(cls, ticker, action, compute_value="default"): @@ -523,18 +560,19 @@ class Trade: order.run() @classmethod - def follow_orders(cls, verbose=True, sleep=30): - orders = cls.all_orders() - finished_orders = [] - while len(orders) != len(finished_orders): + def follow_orders(cls, verbose=True, sleep=None): + if sleep is None: + sleep = 7 if cls.debug else 30 + tick = 0 + while len(cls.all_orders(state="open")) > 0: time.sleep(sleep) - for order in orders: - if order in finished_orders: - continue + tick += 1 + for order in cls.all_orders(state="open"): if order.get_status() != "open": - finished_orders.append(order) if verbose: print("finished {}".format(order)) + else: + order.trade.update_order(order, tick) if verbose: print("All orders finished") @@ -562,16 +600,19 @@ class Trade: class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, - close_if_possible=False): + trade, 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.results = [] + self.mouvements = [] self.status = "pending" + self.trade = trade self.close_if_possible = close_if_possible + self.debug = trade.debug def __repr__(self): return "Order({} {} {} at {} {} [{}]{})".format( @@ -599,16 +640,22 @@ class Order: def finished(self): return self.status == "closed" or self.status == "canceled" or self.status == "error" - def run(self, debug=False): + @property + def id(self): + return self.results[0]["id"] + + def run(self): symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = round(self.amount, self.market.order_precision(symbol)).value - if debug: + if self.debug: print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( symbol, self.action, amount, self.rate, self.account)) + self.status = "open" + self.results.append({"debug": True, "id": -1}) else: try: - self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account) + self.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) self.status = "open" except Exception as e: self.status = "error" @@ -618,22 +665,84 @@ class Order: print(self.error_message) def get_status(self): + if self.debug: + return self.status # other states are "closed" and "canceled" if self.status == "open": - result = self.market.fetch_order(self.result['id']) - if result["status"] != "open": - self.mark_finished_order(result["status"]) + self.fetch() + if self.status != "open": + self.mark_finished_order() return self.status - def mark_finished_order(self, status): - if status == "closed": + def mark_finished_order(self): + if self.debug: + return + if self.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) + fetch_cache_timestamp = None + def fetch(self, force=False): + if self.debug or (not force and self.fetch_cache_timestamp is not None + and time.time() - self.fetch_cache_timestamp < 10): + return + self.fetch_cache_timestamp = time.time() + + self.results.append(self.market.fetch_order(self.id)) + result = self.results[-1] self.status = result["status"] + # Time at which the order started + self.timestamp = result["datetime"] + self.fetch_mouvements() + + # FIXME: consider open order with dust remaining as closed + + @property + def dust_amount_remaining(self): + return self.remaining_amount < 0.001 + + @property + def remaining_amount(self): + if self.status == "open": + self.fetch() + return self.amount - self.filled_amount + + @property + def filled_amount(self): + if self.status == "open": + self.fetch() + filled_amount = Amount(self.amount.currency, 0) + for mouvement in self.mouvements: + filled_amount += mouvement.total + return filled_amount + + def fetch_mouvements(self): + mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id}) + self.mouvements = [] + + for mouvement_hash in mouvements: + self.mouvements.append(Mouvement(self.amount.currency, + self.base_currency, mouvement_hash)) def cancel(self): + if self.debug: + self.status = "canceled" + return self.market.cancel_order(self.result['id']) + self.fetch() + +class Mouvement: + def __init__(self, currency, base_currency, hash_): + self.currency = currency + self.base_currency = base_currency + self.id = hash_["id"] + self.action = hash_["type"] + self.fee_rate = D(hash_["fee"]) + self.date = datetime.strptime(hash_["date"], '%Y-%m-%d %H:%M:%S') + self.rate = D(hash_["rate"]) + self.total = Amount(currency, hash_["amount"]) + # rate * total = total_in_base + self.total_in_base = Amount(base_currency, hash_["total"]) def print_orders(market, base_currency="BTC"): Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") @@ -650,14 +759,27 @@ def make_orders(market, base_currency="BTC"): print("\t", order, sep="") order.run() -def sell_all(market, base_currency="BTC"): - Balance.prepare_trades_to_sell_all(market) +def process_sell_all_sell(market, base_currency="BTC", debug=False): + Balance.prepare_trades_to_sell_all(market, debug=debug) Trade.prepare_orders(compute_value="average") + print("------------------") + for currency, balance in Balance.known_balances.items(): + print(balance) + print("------------------") + Trade.print_all_with_order() + print("------------------") Trade.run_orders() Trade.follow_orders() - Balance.update_trades(market, only="acquire") - Trade.prepare_orders(only="acquire") +def process_sell_all_buy(market, base_currency="BTC", debug=False): + Balance.prepare_trades(market, debug=debug) + Trade.prepare_orders() + print("------------------") + for currency, balance in Balance.known_balances.items(): + print(balance) + print("------------------") + Trade.print_all_with_order() + print("------------------") Trade.move_balances(market) Trade.run_orders() Trade.follow_orders()