X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=5211dd80fb1ffe47d82f9254e43afe8d07961001;hb=deb8924cc60f0d64575657399f4fe112ff1cfb31;hp=507f79642c62aa64343251747706173d9bf31bb8;hpb=dd359bc0617a915909efb2ef37048192c0639836;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index 507f796..5211dd8 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,5 +1,6 @@ import ccxt import time +from decimal import Decimal as D # Put your poloniex api key in market.py from market import market @@ -7,12 +8,6 @@ from market import market # 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 = {} @@ -32,8 +27,16 @@ class Portfolio: urllib3.disable_warnings() http = urllib3.PoolManager() - r = http.request("GET", cls.URL) - cls.data = json.loads(r.data) + try: + r = http.request("GET", cls.URL) + except Exception: + return + try: + cls.data = json.loads(r.data, + parse_int=D, + parse_float=D) + except json.JSONDecodeError: + cls.data = None @classmethod def parse_cryptoportfolio(cls): @@ -77,78 +80,35 @@ 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): 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.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, action=None, compute_value="average"): if other_currency == self.currency: return self - asset_ticker = self.get_ticker(other_currency, market) + asset_ticker = Trade.get_ticker(self.currency, other_currency, market) if asset_ticker is not None: return Amount( other_currency, - 0, - int_val=int(self._value * asset_ticker[action]), + self.value * Trade.compute_value(asset_ticker, action, compute_value=compute_value), linked_to=self, ticker=asset_ticker) 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: @@ -157,25 +117,22 @@ 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 type(value) != int and type(value) != float and type(value) != 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 type(value) != int and type(value) != float and type(value) != 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) @@ -183,14 +140,14 @@ 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: @@ -206,7 +163,6 @@ class Amount: class Balance: known_balances = {} - trades = {} def __init__(self, currency, total_value, free_value, used_value): self.currency = currency @@ -215,12 +171,16 @@ class Balance: self.used = Amount(currency, used_value) @classmethod - def in_currency(cls, other_currency, market, action="average", type="total"): + def from_hash(cls, currency, hash_): + return cls(currency, hash_["total"], hash_["free"], hash_["used"]) + + @classmethod + 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 @@ -228,10 +188,6 @@ class Balance: def currencies(cls): return cls.known_balances.keys() - @classmethod - def from_hash(cls, currency, hash_): - return cls(currency, hash_["total"], hash_["free"], hash_["used"]) - @classmethod def _fill_balances(cls, hash_): for key in hash_: @@ -257,19 +213,34 @@ class Balance: return amounts @classmethod - def prepare_trades(cls, market, base_currency="BTC"): + def prepare_trades(cls, market, base_currency="BTC", compute_value=None): cls.fetch_balances(market) values_in_base = cls.in_currency(base_currency, market) total_base_value = sum(values_in_base.values()) new_repartition = cls.dispatch_assets(total_base_value) - Trade.compute_trades(values_in_base, new_repartition, market=market) - - def __int__(self): - return int(self.total) + # Recompute it in case we have new currencies + values_in_base = cls.in_currency(base_currency, market) + Trade.compute_trades(values_in_base, new_repartition, market=market, compute_value=compute_value) def __repr__(self): return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) +class Computation: + def average_inverse(ticker, action): + if ticker["inverted"]: + return 1/ticker["original"]["average"] + else: + return ticker["average"] + + computations = { + "default": lambda x, y: x[y], + "average_inverse": average_inverse, + "average": lambda x, y: x["average"], + "bid": lambda x, y: x["bid"], + "ask": lambda x, y: x["ask"], + } + + class Trade: trades = {} @@ -280,15 +251,56 @@ 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 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 ccxt.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: + 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, market=None, compute_value=None): base_currency = sum(values_in_base.values()).currency for currency in Balance.currencies(): if currency == base_currency: @@ -299,6 +311,8 @@ class Trade: currency, market=market ) + if compute_value is not None: + cls.trades[currency].prepare_order(compute_value=compute_value) return cls.trades @property @@ -313,13 +327,13 @@ 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" else: return "bid" if not inverted else "ask" - def prepare_order(self, market): + def prepare_order(self, compute_value="default"): if self.action is None: return ticker = self.value_from.ticker @@ -327,17 +341,25 @@ class Trade: if not inverted: value_from = self.value_from.linked_to - value_to = self.value_to.in_currency(self.currency, market) + # The ticker will most probably be inverted, but we want the average + # of the initial value + value_to = self.value_to.in_currency(self.currency, self.market, compute_value="average_inverse") delta = abs(value_to - value_from) currency = self.base_currency else: - ticker = ticker["notInverted"] + ticker = ticker["original"] delta = abs(self.value_to - self.value_from) currency = self.currency - rate = ticker[self.ticker_action(inverted)] + rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) - self.orders.append(Order(self.ticker_action(inverted), delta, rate, currency)) + self.orders.append(Order(self.order_action(inverted), delta, rate, currency)) + + @classmethod + def compute_value(cls, ticker, action, compute_value="default"): + if type(compute_value) == str: + compute_value = Computation.computations[compute_value] + return compute_value(ticker, action) @classmethod def all_orders(cls): @@ -405,14 +427,10 @@ class Order: 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 print_orders(market, base_currency="BTC"): - Balance.prepare_trades(market, base_currency=base_currency) + Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") + for currency, balance in Balance.known_balances.items(): + print(balance) for currency, trade in Trade.trades.items(): print(trade) for order in trade.orders: