X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=c3809f0533db32cc3b62ccbd6c64a5ff5c66e651;hb=c31df868c655612b8387a25111e69882f0fe6344;hp=efd9b84e498e20f39f0eb5a7e35d464d2b81614a;hpb=6ca5a1ec669593fa915a2824efca068c975f9caa;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index efd9b84..c3809f0 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,7 +1,9 @@ import time +from datetime import datetime, timedelta from decimal import Decimal as D, ROUND_DOWN # Put your poloniex api key in market.py from json import JSONDecodeError +from ccxt import ExchangeError, ExchangeNotAvailable import requests import helper as h from store import * @@ -12,12 +14,19 @@ class Portfolio: URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" liquidities = {} data = None + last_date = None @classmethod - def repartition(cls, liquidity="medium"): - cls.parse_cryptoportfolio() + def wait_for_recent(cls, delta=4): + cls.repartition(refetch=True) + while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta): + time.sleep(30) + cls.repartition(refetch=True) + + @classmethod + def repartition(cls, liquidity="medium", refetch=False): + cls.parse_cryptoportfolio(refetch=refetch) liquidities = cls.liquidities[liquidity] - cls.last_date = sorted(liquidities.keys())[-1] return liquidities[cls.last_date] @classmethod @@ -32,8 +41,8 @@ class Portfolio: cls.data = None @classmethod - def parse_cryptoportfolio(cls): - if cls.data is None: + def parse_cryptoportfolio(cls, refetch=False): + if refetch or cls.data is None: cls.get_cryptoportfolio() def filter_weights(weight_hash): @@ -55,7 +64,8 @@ class Portfolio: weights_hash = portfolio_hash["weights"] weights = {} for i in range(len(weights_hash["_row"])): - weights[weights_hash["_row"][i]] = dict(filter( + date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d") + weights[date] = dict(filter( filter_weights, map(clean_weights(i), weights_hash.items()))) return weights @@ -67,6 +77,7 @@ class Portfolio: "medium": medium_liquidity, "high": high_liquidity, } + cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys())) class Computation: computations = { @@ -122,6 +133,8 @@ 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 +152,12 @@ 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 +168,7 @@ 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): @@ -272,7 +291,7 @@ 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" @@ -290,11 +309,10 @@ 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): @@ -302,19 +320,16 @@ class Trade: 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] + new_order = self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2) 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] + new_order = self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3) 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] + new_order = self.prepare_order(compute_value="default") print("{}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) if new_order is not None: @@ -323,61 +338,81 @@ class Trade: def prepare_order(self, compute_value="default"): if self.action is None: - return + return None ticker = h.get_ticker(self.currency, self.base_currency, self.market) inverted = ticker["inverted"] if inverted: ticker = ticker["original"] rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) - # 0.1 + #TODO: store when the order is considered filled + # FIXME: Dust amount should be removed from there if they werent + # honored in other sales 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)) - return + if delta <= 0: + print("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 __repr__(self): return "Trade({} -> {} in {}, {})".format( @@ -390,6 +425,8 @@ class Trade: print(self) for order in self.orders: print("\t", order, sep="") + for mouvement in order.mouvements: + print("\t\t", mouvement, sep="") class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, @@ -405,6 +442,8 @@ class Order: self.status = "pending" self.trade = trade self.close_if_possible = close_if_possible + self.id = None + self.fetch_cache_timestamp = None def __repr__(self): return "Order({} {} {} at {} {} [{}]{})".format( @@ -424,6 +463,10 @@ class Order: else: return "margin" + @property + def open(self): + return self.status == "open" + @property def pending(self): return self.status == "pending" @@ -432,10 +475,6 @@ 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"] - def run(self): symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = round(self.amount, self.market.order_precision(symbol)).value @@ -443,26 +482,32 @@ class Order: if TradeStore.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.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) - self.status = "open" + except ExchangeNotAvailable: + # Impossible to honor the order (dust amount) + self.status = "closed" + self.mark_finished_order() + 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) + return + self.id = self.results[0]["id"] + self.status = "open" def get_status(self): if TradeStore.debug: 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 @@ -473,15 +518,15 @@ class Order: 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 TradeStore.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] + result = self.market.fetch_order(self.id) + self.results.append(result) + self.status = result["status"] # Time at which the order started self.timestamp = result["datetime"] @@ -489,27 +534,30 @@ class Order: # 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.privatePostReturnOrderTrades({"orderNumber": self.id}) + except ExchangeError: + mouvements = [] self.mouvements = [] for mouvement_hash in mouvements: @@ -520,22 +568,38 @@ class Order: if TradeStore.debug: self.status = "canceled" return - self.market.cancel_order(self.result['id']) + self.market.cancel_order(self.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"]) + 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 __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__': +if __name__ == '__main__': # pragma: no cover from market import market h.print_orders(market)