X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=554b34f090b8d179fead2742c8280f2100ded3bd;hb=ada1b5f109ebaa6f3adb7cd87b007c6db891811c;hp=efd9b84e498e20f39f0eb5a7e35d464d2b81614a;hpb=6ca5a1ec669593fa915a2824efca068c975f9caa;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index efd9b84..554b34f 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,73 +1,10 @@ -import time +from datetime import datetime from decimal import Decimal as D, ROUND_DOWN -# Put your poloniex api key in market.py -from json import JSONDecodeError -import requests -import helper as h -from store import * +from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound +from retry import retry # FIXME: correctly handle web call timeouts -class Portfolio: - URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" - liquidities = {} - data = None - - @classmethod - def repartition(cls, liquidity="medium"): - cls.parse_cryptoportfolio() - liquidities = cls.liquidities[liquidity] - cls.last_date = sorted(liquidities.keys())[-1] - return liquidities[cls.last_date] - - @classmethod - def get_cryptoportfolio(cls): - try: - r = requests.get(cls.URL) - except Exception: - return - try: - cls.data = r.json(parse_int=D, parse_float=D) - except JSONDecodeError: - cls.data = None - - @classmethod - def parse_cryptoportfolio(cls): - if cls.data is None: - cls.get_cryptoportfolio() - - def filter_weights(weight_hash): - if weight_hash[1][0] == 0: - return False - if weight_hash[0] == "_row": - return False - return True - - def clean_weights(i): - def clean_weights_(h): - if h[0].endswith("s"): - return [h[0][0:-1], (h[1][i], "short")] - else: - return [h[0], (h[1][i], "long")] - return clean_weights_ - - def parse_weights(portfolio_hash): - weights_hash = portfolio_hash["weights"] - weights = {} - for i in range(len(weights_hash["_row"])): - weights[weights_hash["_row"][i]] = dict(filter( - filter_weights, - map(clean_weights(i), weights_hash.items()))) - return weights - - high_liquidity = parse_weights(cls.data["portfolio_1"]) - medium_liquidity = parse_weights(cls.data["portfolio_2"]) - - cls.liquidities = { - "medium": medium_liquidity, - "high": high_liquidity, - } - class Computation: computations = { "default": lambda x, y: x[y], @@ -103,7 +40,7 @@ class Amount: self.value * rate, linked_to=self, rate=rate) - asset_ticker = h.get_ticker(self.currency, other_currency, market) + asset_ticker = market.get_ticker(self.currency, other_currency) if asset_ticker is not None: rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) return Amount( @@ -115,6 +52,12 @@ class Amount: else: raise Exception("This asset is not available in the chosen market") + def as_json(self): + return { + "currency": self.currency, + "value": round(self).value.normalize(), + } + def __round__(self, n=8): return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) @@ -122,6 +65,8 @@ class Amount: return Amount(self.currency, abs(self.value)) def __add__(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) @@ -139,6 +84,12 @@ class Amount: raise Exception("Summing amounts must be done with same currencies") return Amount(self.currency, self.value - other.value) + def __rsub__(self, other): + if other == 0: + return -self + else: + return -self.__sub__(other) + def __mul__(self, value): if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be multiplied by numbers") @@ -149,7 +100,7 @@ class Amount: def __floordiv__(self, value): if not isinstance(value, (int, float, D)): - raise TypeError("Amount may only be multiplied by integers") + raise TypeError("Amount may only be divided by numbers") return Amount(self.currency, self.value / value) def __truediv__(self, value): @@ -197,12 +148,13 @@ class Amount: return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) class Balance: + base_keys = ["total", "exchange_total", "exchange_used", + "exchange_free", "margin_total", "margin_in_position", + "margin_available", "margin_borrowed", "margin_pending_gain"] def __init__(self, currency, hash_): self.currency = currency - for key in ["total", - "exchange_total", "exchange_used", "exchange_free", - "margin_total", "margin_borrowed", "margin_free"]: + for key in self.base_keys: setattr(self, key, Amount(currency, hash_.get(key, 0))) self.margin_position_type = hash_.get("margin_position_type") @@ -211,12 +163,15 @@ class Balance: base_currency = hash_["margin_borrowed_base_currency"] for key in [ "margin_liquidation_price", - "margin_pending_gain", "margin_lending_fees", + "margin_pending_base_gain", "margin_borrowed_base_price" ]: setattr(self, key, Amount(base_currency, hash_.get(key, 0))) + def as_json(self): + return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys)) + def __repr__(self): if self.exchange_total > 0: if self.exchange_free > 0 and self.exchange_used > 0: @@ -229,12 +184,12 @@ class Balance: 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)) + if self.margin_available != 0 and self.margin_in_position != 0: + margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total)) + elif self.margin_available != 0: + margin = " Margin: [✔{}]".format(str(self.margin_available)) else: - margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed)) + margin = " Margin: [❌{}]".format(str(self.margin_in_position)) elif self.margin_total < 0: margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), str(self.margin_borrowed_base_price), @@ -250,7 +205,7 @@ class Balance: return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" class Trade: - def __init__(self, value_from, value_to, currency, market=None): + def __init__(self, value_from, value_to, currency, market): # We have value_from of currency, and want to finish with value_to of # that currency. value_* may not be in currency's terms self.currency = currency @@ -258,6 +213,8 @@ class Trade: self.value_to = value_to self.orders = [] self.market = market + self.closed = False + assert self.value_from.value * self.value_to.value >= 0 assert self.value_from.currency == self.value_to.currency if self.value_from != 0: assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency @@ -265,6 +222,10 @@ class Trade: self.value_from.linked_to = Amount(self.currency, 0) self.base_currency = self.value_from.currency + @property + def delta(self): + return self.value_to - self.value_from + @property def action(self): if self.value_from == self.value_to: @@ -272,7 +233,7 @@ class Trade: if self.base_currency == self.currency: return None - if self.value_from < self.value_to: + if abs(self.value_from) < abs(self.value_to): return "acquire" else: return "dispose" @@ -291,105 +252,166 @@ class Trade: return "long" @property - def filled_amount(self): + def pending(self): + return not (self.is_fullfiled or self.closed) + + def close(self): + for order in self.orders: + order.cancel() + self.closed = True + + @property + def is_fullfiled(self): + return abs(self.filled_amount(in_base_currency=True)) >= abs(self.delta) + + def filled_amount(self, in_base_currency=False): filled_amount = 0 for order in self.orders: - filled_amount += order.filled_amount + filled_amount += order.filled_amount(in_base_currency=in_base_currency) 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)) + actions = { + 0: ["waiting", None], + 1: ["waiting", None], + 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2], + 3: ["waiting", None], + 4: ["waiting", None], + 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3], + 6: ["waiting", None], + 7: ["market_fallback", "default"], + } - if new_order is not None: + if tick in actions: + update, compute_value = actions[tick] + elif tick % 3 == 1: + update = "market_adjust" + compute_value = "default" + else: + update = "waiting" + compute_value = None + + if compute_value is not None: order.cancel() + new_order = self.prepare_order(compute_value=compute_value) + else: + new_order = None + + self.market.report.log_order(order, tick, update=update, + compute_value=compute_value, new_order=new_order) + + if new_order is not None: new_order.run() + self.market.report.log_order(order, tick, new_order=new_order) - def prepare_order(self, compute_value="default"): + def prepare_order(self, close_if_possible=None, compute_value="default"): if self.action is None: - return - ticker = h.get_ticker(self.currency, self.base_currency, self.market) + return None + ticker = self.market.get_ticker(self.currency, self.base_currency) inverted = ticker["inverted"] if inverted: ticker = ticker["original"] rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) - # 0.1 - delta_in_base = abs(self.value_from - self.value_to) + # FIXME: Dust amount should be removed from there if they werent + # honored in other sales + delta_in_base = abs(self.delta) # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) if not inverted: - currency = self.base_currency + base_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 + filled = self.filled_amount(in_base_currency=False) + delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) + # I have 10 BTC worth of FOO, and I want to sell 9 BTC + # worth of it, computed first with rate 10 FOO = 1 BTC. + # -> I "sell" "90" FOO at proposed rate "rate". + + delta = delta - filled + # I already sold 60 FOO, 30 left 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" + filled = self.filled_amount(in_base_currency=True) + delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate) + # I want to buy 9 BTC worth of FOO, computed with rate + # 10 FOO = 1 BTC + # -> I "buy" "9 / rate" FOO at proposed rate "rate" + + # I already bought 3 / rate FOO, 6 / rate left else: - currency = self.currency + base_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" - 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 + if self.action == "dispose": + filled = self.filled_amount(in_base_currency=True) + # Base is FOO + + delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) + - filled).in_currency(self.base_currency, self.market, rate=1/rate) + # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it + # computed at rate 1 Foo = 0.01 BTC + # Computation says I should sell it at 125 FOO / BTC + # -> delta_in_base = 9 BTC + # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC + # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market + + # I already bought 300/125 BTC, only 600/125 left + else: + filled = self.filled_amount(in_base_currency=False) + # Base is FOO + + delta = delta_in_base + # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it + # At rate 100 Foo / BTC + # Computation says I should buy it at 125 FOO / BTC + # -> delta_in_base = 9 BTC + # Action: "sell" "9 BTC" at rate "125" "FOO" on market + + delta = delta - filled + # I already sold 4 BTC, only 5 left + + if close_if_possible is None: + close_if_possible = (self.value_to == 0) + + if delta <= 0: + self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) + return None - self.orders.append(Order(self.order_action(inverted), - delta - self.filled_amount, rate, currency, self.trade_type, - self.market, self, close_if_possible=close_if_possible)) + order = Order(self.order_action(inverted), + delta, rate, base_currency, self.trade_type, + self.market, self, close_if_possible=close_if_possible) + self.orders.append(order) + return order + + def as_json(self): + return { + "action": self.action, + "from": self.value_from.as_json()["value"], + "to": self.value_to.as_json()["value"], + "currency": self.currency, + "base_currency": self.base_currency, + } def __repr__(self): - return "Trade({} -> {} in {}, {})".format( + if self.closed and not self.is_fullfiled: + closed = " ❌" + elif self.is_fullfiled: + closed = " ✔" + else: + closed = "" + + return "Trade({} -> {} in {}, {}{})".format( self.value_from, self.value_to, self.currency, - self.action) + self.action, + closed) - def print_with_order(self): - print(self) + def print_with_order(self, ind=""): + self.market.report.print_log("{}{}".format(ind, self)) for order in self.orders: - print("\t", order, sep="") + self.market.report.print_log("{}\t{}".format(ind, order)) + for mouvement in order.mouvements: + self.market.report.print_log("{}\t\t{}".format(ind, mouvement)) class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, @@ -405,6 +427,22 @@ class Order: self.status = "pending" self.trade = trade self.close_if_possible = close_if_possible + self.id = None + self.tries = 0 + + def as_json(self): + return { + "action": self.action, + "trade_type": self.trade_type, + "amount": self.amount.as_json()["value"], + "currency": self.amount.as_json()["currency"], + "base_currency": self.base_currency, + "rate": self.rate, + "status": self.status, + "close_if_possible": self.close_if_possible, + "id": self.id, + "mouvements": list(map(lambda x: x.as_json(), self.mouvements)) + } def __repr__(self): return "Order({} {} {} at {} {} [{}]{})".format( @@ -424,6 +462,10 @@ class Order: else: return "margin" + @property + def open(self): + return self.status == "open" + @property def pending(self): return self.status == "pending" @@ -432,84 +474,99 @@ class Order: def finished(self): return self.status == "closed" or self.status == "canceled" or self.status == "error" - @property - def id(self): - return self.results[0]["id"] - + @retry(InsufficientFunds) def run(self): + self.tries += 1 symbol = "{}/{}".format(self.amount.currency, self.base_currency) - amount = round(self.amount, self.market.order_precision(symbol)).value + amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value - if TradeStore.debug: - print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( + if self.market.debug: + self.market.report.log_debug_action("market.ccxt.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: + action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) try: - self.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) - self.status = "open" + self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) + except InvalidOrder: + # Impossible to honor the order (dust amount) + self.status = "closed" + self.mark_finished_order() + return + except InsufficientFunds as e: + if self.tries < 5: + self.market.report.log_error(action, message="Retrying with reduced amount", exception=e) + self.amount = self.amount * D("0.99") + raise e + else: + self.market.report.log_error(action, message="Giving up {}".format(self), exception=e) + self.status = "error" + return 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) + self.market.report.log_error(action, exception=e) + return + self.id = self.results[0]["id"] + self.status = "open" def get_status(self): - if TradeStore.debug: + if self.market.debug: + self.market.report.log_debug_action("Getting {} status".format(self)) return self.status # other states are "closed" and "canceled" - if self.status == "open": + if not self.finished: self.fetch() - if self.status != "open": + if self.finished: self.mark_finished_order() return self.status def mark_finished_order(self): - if TradeStore.debug: + if self.market.debug: + self.market.report.log_debug_action("Mark {} as finished".format(self)) 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) + self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency) - fetch_cache_timestamp = None - def fetch(self, force=False): - if TradeStore.debug or (not force and self.fetch_cache_timestamp is not None - and time.time() - self.fetch_cache_timestamp < 10): + def fetch(self): + if self.market.debug: + self.market.report.log_debug_action("Fetching {}".format(self)) return - self.fetch_cache_timestamp = time.time() + try: + result = self.market.ccxt.fetch_order(self.id) + self.results.append(result) + self.status = result["status"] + # Time at which the order started + self.timestamp = result["datetime"] + except OrderNotCached: + self.status = "closed_unknown" - 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 + return self.remaining_amount() < Amount(self.amount.currency, D("0.001")) - @property def remaining_amount(self): - if self.status == "open": - self.fetch() - return self.amount - self.filled_amount + return self.amount - self.filled_amount() - @property - def filled_amount(self): + def filled_amount(self, in_base_currency=False): if self.status == "open": self.fetch() - filled_amount = Amount(self.amount.currency, 0) + filled_amount = 0 for mouvement in self.mouvements: - filled_amount += mouvement.total + if in_base_currency: + filled_amount += mouvement.total_in_base + else: + filled_amount += mouvement.total return filled_amount def fetch_mouvements(self): - mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id}) + try: + mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id}) + except ExchangeError: + mouvements = [] self.mouvements = [] for mouvement_hash in mouvements: @@ -517,25 +574,54 @@ class Order: self.base_currency, mouvement_hash)) def cancel(self): - if TradeStore.debug: + if self.market.debug: + self.market.report.log_debug_action("Mark {} as cancelled".format(self)) self.status = "canceled" return - self.market.cancel_order(self.result['id']) - self.fetch() + if self.open and self.id is not None: + try: + self.market.ccxt.cancel_order(self.id) + except OrderNotFound as e: # Closed inbetween + self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e) + 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"]) + self.id = hash_.get("tradeID") + self.action = hash_.get("type") + self.fee_rate = D(hash_.get("fee", -1)) + try: + self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') + except ValueError: + self.date = None + self.rate = D(hash_.get("rate", 0)) + self.total = Amount(currency, hash_.get("amount", 0)) # rate * total = total_in_base - self.total_in_base = Amount(base_currency, hash_["total"]) + self.total_in_base = Amount(base_currency, hash_.get("total", 0)) + + def as_json(self): + return { + "fee_rate": self.fee_rate, + "date": self.date, + "action": self.action, + "total": self.total.value, + "currency": self.currency, + "total_in_base": self.total_in_base.value, + "base_currency": self.base_currency + } + + def __repr__(self): + if self.fee_rate > 0: + fee_rate = " fee: {}%".format(self.fee_rate * 100) + else: + fee_rate = "" + if self.date is None: + date = "No date" + else: + date = self.date + return "Mouvement({} ; {} {} ({}){})".format( + date, self.action, self.total, self.total_in_base, + fee_rate) -if __name__ == '__main__': - from market import market - h.print_orders(market)