X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=b629966b3e057cd53e50220be244e686d5418ad9;hb=1aa7d4fa2ec3c2b3268bef31a666ca6e1aaa6563;hp=efd9b84e498e20f39f0eb5a7e35d464d2b81614a;hpb=6ca5a1ec669593fa915a2824efca068c975f9caa;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index efd9b84..b629966 100644 --- a/portfolio.py +++ b/portfolio.py @@ -149,7 +149,7 @@ 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): @@ -290,11 +290,10 @@ class Trade: else: return "long" - @property - def filled_amount(self): + 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): @@ -329,54 +328,69 @@ class Trade: 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) # 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 + 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 close_if_possible = (self.value_to == 0) - if delta <= self.filled_amount: - print("Less to do than already filled: {} <= {}".format(delta, - self.filled_amount)) + if delta <= 0: + print("Less to do than already filled: {}".format(delta)) return self.orders.append(Order(self.order_action(inverted), - delta - self.filled_amount, rate, currency, self.trade_type, + delta, rate, base_currency, self.trade_type, self.market, self, close_if_possible=close_if_possible)) def __repr__(self): @@ -497,15 +511,17 @@ class Order: 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):