X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=d9d2d4dc3d2bd2d41235c5b8d650be0a0add44c4;hb=350ed24de673dc125be9e2fdecb0f1abc7835b41;hp=b0f9256e5222ee75a3e43c09ad5b7f5d8fe2c720;hpb=089d5d9df3d9d93e3ce789be16ee6cdd99dc2b52;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index b0f9256..d9d2d4d 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,29 +1,20 @@ -import ccxt +from ccxt import ExchangeError import time +from decimal import Decimal as D, ROUND_DOWN # Put your poloniex api key in market.py from market import market -# FIXME: Améliorer le bid/ask -# 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 = {} data = None @classmethod - def repartition_pertenthousand(cls, liquidity="medium"): + def repartition(cls, liquidity="medium"): cls.parse_cryptoportfolio() liquidities = cls.liquidities[liquidity] - last_date = sorted(liquidities.keys())[-1] - return liquidities[last_date] + cls.last_date = sorted(liquidities.keys())[-1] + return liquidities[cls.last_date] @classmethod def get_cryptoportfolio(cls): @@ -35,9 +26,11 @@ class Portfolio: try: r = http.request("GET", cls.URL) except Exception: - return + return None try: - cls.data = json.loads(r.data) + cls.data = json.loads(r.data, + parse_int=D, + parse_float=D) except json.JSONDecodeError: cls.data = None @@ -47,7 +40,7 @@ class Portfolio: cls.get_cryptoportfolio() def filter_weights(weight_hash): - if weight_hash[1] == 0: + if weight_hash[1][0] == 0: return False if weight_hash[0] == "_row": return False @@ -55,15 +48,13 @@ class Portfolio: def clean_weights(i): def clean_weights_(h): - if type(h[1][i]) == str: - return [h[0], h[1][i]] + if h[0].endswith("s"): + return [h[0][0:-1], (h[1][i], "short")] else: - return [h[0], int(h[1][i] * 10000)] + return [h[0], (h[1][i], "long")] return clean_weights_ def parse_weights(portfolio_hash): - # FIXME: we'll need shorts at some point - assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"])) weights_hash = portfolio_hash["weights"] weights = {} for i in range(len(weights_hash["_row"])): @@ -81,45 +72,47 @@ 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, rate=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.rate = rate 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, rate=None, action=None, compute_value="average"): if other_currency == self.currency: return self + if rate is not None: + return Amount( + other_currency, + self.value * rate, + linked_to=self, + rate=rate) asset_ticker = Trade.get_ticker(self.currency, other_currency, market) if asset_ticker is not None: + rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value) return Amount( other_currency, - 0, - int_val=int(self._value * asset_ticker[action]), + self.value * rate, linked_to=self, - ticker=asset_ticker) + ticker=asset_ticker, + rate=rate) else: raise Exception("This asset is not available in the chosen market") + def __round__(self, n=8): + return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) + 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: @@ -128,25 +121,22 @@ 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 not isinstance(value, (int, float, 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 not isinstance(value, (int, float, 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) @@ -154,14 +144,14 @@ 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: @@ -189,12 +179,12 @@ class Balance: return cls(currency, hash_["total"], hash_["free"], hash_["used"]) @classmethod - def in_currency(cls, other_currency, market, action="average", type="total"): + 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 @@ -207,45 +197,90 @@ class Balance: for key in hash_: if key in ["info", "free", "used", "total"]: continue - if hash_[key]["total"] > 0: + if hash_[key]["total"] != 0 or key in cls.known_balances: cls.known_balances[key] = cls.from_hash(key, hash_[key]) @classmethod def fetch_balances(cls, market): cls._fill_balances(market.fetch_balance()) return cls.known_balances + # FIXME:Separate balances per trade type and in position + # Need to check how balances in position are represented + @classmethod - def dispatch_assets(cls, amount): - repartition_pertenthousand = Portfolio.repartition_pertenthousand() - sum_pertenthousand = sum([v for k, v in repartition_pertenthousand.items()]) + def dispatch_assets(cls, amount, repartition=None): + if repartition is None: + repartition = Portfolio.repartition() + sum_ratio = sum([v[0] for k, v in repartition.items()]) amounts = {} - for currency, ptt in repartition_pertenthousand.items(): - amounts[currency] = ptt * amount / sum_pertenthousand + for currency, (ptt, trade_type) in repartition.items(): + amounts[currency] = ptt * amount / sum_ratio if currency not in cls.known_balances: cls.known_balances[currency] = cls(currency, 0, 0, 0) return amounts @classmethod - def prepare_trades(cls, market, base_currency="BTC"): + def dispatch_trade_types(cls, repartition=None): + if repartition is None: + repartition = Portfolio.repartition() + trade_types = {} + for currency, (ptt, trade_type) in repartition.items(): + trade_types[currency] = trade_type + return trade_types + # FIXME: once we know the repartition and sold everything, we can move + # the necessary part to the margin account + + @classmethod + def prepare_trades(cls, market, base_currency="BTC", compute_value="average"): + 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_types = cls.dispatch_trade_types() + # 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, trade_types, market=market) + + @classmethod + def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None): cls.fetch_balances(market) - values_in_base = cls.in_currency(base_currency, 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, market=market) + trade_types = cls.dispatch_trade_types() + Trade.compute_trades(values_in_base, new_repartition, trade_types, only=only, market=market) + + @classmethod + def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"): + 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_types = cls.dispatch_trade_types() + Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market) def __repr__(self): return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) +class Computation: + computations = { + "default": lambda x, y: x[y], + "average": lambda x, y: x["average"], + "bid": lambda x, y: x["bid"], + "ask": lambda x, y: x["ask"], + } + class Trade: trades = {} - def __init__(self, value_from, value_to, currency, market=None): + def __init__(self, value_from, value_to, currency, trade_type, market=None): # 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 self.value_from = value_from self.value_to = value_to + self.trade_type = trade_type self.orders = [] self.market = market assert self.value_from.currency == self.value_to.currency @@ -266,7 +301,7 @@ class Trade: def invert(ticker): return { "inverted": True, - "average": (float(1/ticker["bid"]) + float(1/ticker["ask"]) ) / 2, + "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, "original": ticker, } def augment_ticker(ticker): @@ -287,29 +322,37 @@ class Trade: 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: + except 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: + except 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, trade_types, only=None, market=None): base_currency = sum(values_in_base.values()).currency for currency in Balance.currencies(): if currency == base_currency: continue - cls.trades[currency] = cls( + trade = cls( values_in_base.get(currency, Amount(base_currency, 0)), new_repartition.get(currency, Amount(base_currency, 0)), currency, + trade_types.get(currency, "long"), market=market ) - cls.trades[currency].prepare_order() + if only is None or trade.action == only: + cls.trades[currency] = trade return cls.trades + @classmethod + def prepare_orders(cls, only=None, compute_value="default"): + for currency, trade in cls.trades.items(): + if only is None or trade.action == only: + trade.prepare_order(compute_value=compute_value) + @property def action(self): if self.value_from == self.value_to: @@ -323,103 +366,194 @@ class Trade: return "sell" def order_action(self, inverted): - if self.value_from < self.value_to: - return "ask" if not inverted else "bid" + # a xor b xor c + if (self.trade_type == "short") != ((self.value_from < self.value_to) != inverted): + return "buy" else: - return "bid" if not inverted else "ask" + return "sell" - def prepare_order(self): + def prepare_order(self, compute_value="default"): if self.action is None: return - ticker = self.value_from.ticker + ticker = Trade.get_ticker(self.currency, self.base_currency, self.market) inverted = ticker["inverted"] + if inverted: + ticker = ticker["original"] + rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) + # 0.1 + + # FIXME: optimize if value_to == 0 or value_from == 0?) + + 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: - value_from = self.value_from.linked_to - value_to = self.value_to.in_currency(self.currency, self.market) - delta = abs(value_to - value_from) currency = self.base_currency + # BTC + if self.action == "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 + 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 + 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" else: - ticker = ticker["original"] - delta = abs(self.value_to - self.value_from) 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" + + self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.trade_type, self.market)) - rate = ticker[self.order_action(inverted)] + @classmethod + def compute_value(cls, ticker, action, compute_value="default"): + if action == "buy": + action = "ask" + if action == "sell": + action = "bid" + if isinstance(compute_value, str): + compute_value = Computation.computations[compute_value] + return compute_value(ticker, action) - self.orders.append(Order(self.order_action(inverted), delta, rate, currency)) + @classmethod + def all_orders(cls, state=None): + all_orders = sum(map(lambda v: v.orders, cls.trades.values()), []) + if state is None: + return all_orders + else: + return list(filter(lambda o: o.status == state, all_orders)) @classmethod - def all_orders(cls): - return sum(map(lambda v: v.orders, cls.trades.values()), []) + def run_orders(cls): + for order in cls.all_orders(state="pending"): + order.run() @classmethod - def follow_orders(cls, market): + def follow_orders(cls, verbose=True, sleep=30): orders = cls.all_orders() finished_orders = [] while len(orders) != len(finished_orders): - time.sleep(30) + time.sleep(sleep) for order in orders: if order in finished_orders: continue - if order.get_status(market) != "open": + if order.get_status() != "open": finished_orders.append(order) - print("finished {}".format(order)) - print("All orders finished") + if verbose: + print("finished {}".format(order)) + if verbose: + print("All orders finished") + + @classmethod + def update_all_orders_status(cls): + for order in cls.all_orders(state="open"): + order.get_status() def __repr__(self): - return "Trade({} -> {} in {}, {})".format( + return "Trade({} -> {} in {}, {} {})".format( self.value_from, self.value_to, self.currency, - self.action) + self.action, + self.trade_type) -class Order: - DEBUG = True + @classmethod + def print_all_with_order(cls): + for trade in cls.trades.values(): + trade.print_with_order() + + def print_with_order(self): + print(self) + for order in self.orders: + print("\t", order, sep="") - def __init__(self, action, amount, rate, base_currency): +class Order: + def __init__(self, action, amount, rate, base_currency, trade_type, market): 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.status = "not run" + self.status = "pending" def __repr__(self): - return "Order({} {} at {} {} [{}])".format( + return "Order({} {} {} at {} {} [{}])".format( self.action, + self.trade_type, self.amount, self.rate, self.base_currency, self.status ) - def run(self, market): + @property + def account(self): + if self.trade_type == "long": + return "exchange" + else: + return "margin" + + @property + def pending(self): + return self.status == "pending" + + @property + def finished(self): + return self.status == "closed" or self.status == "canceled" or self.status == "error" + + def run(self, debug=False): symbol = "{}/{}".format(self.amount.currency, self.base_currency) - amount = self.amount.value + amount = round(self.amount, self.market.order_precision(symbol)).value - if self.DEBUG: - print("market.create_order('{}', 'limit', '{}', {}, price={})".format( - symbol, self.action, amount, self.rate)) + if debug: + print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( + symbol, self.action, amount, self.rate, self.account)) else: try: - self.result = market.create_order(symbol, 'limit', self.action, amount, price=self.rate) + if self.action == "sell" and self.trade_type == "short": + assert self.market.transfer_balance(self.base_currency, amount * self.rate, "exchange", "margin") + self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account) self.status = "open" - except Exception: - pass - - def get_status(self, market): + 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) + + def get_status(self): # other states are "closed" and "canceled" if self.status == "open": - result = market.fetch_order(self.result['id']) + result = self.market.fetch_order(self.result['id']) self.status = result["status"] return self.status + def cancel(self): + self.market.cancel_order(self.result['id']) + def print_orders(market, base_currency="BTC"): - Balance.prepare_trades(market, base_currency=base_currency) - for currency, trade in Trade.trades.items(): - print(trade) - for order in trade.orders: - print("\t", order, sep="") + Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") + Trade.prepare_orders(compute_value="average") + for currency, balance in Balance.known_balances.items(): + print(balance) + Trade.print_all_with_order() def make_orders(market, base_currency="BTC"): Balance.prepare_trades(market, base_currency=base_currency) @@ -427,7 +561,7 @@ def make_orders(market, base_currency="BTC"): print(trade) for order in trade.orders: print("\t", order, sep="") - order.run(market) + order.run() if __name__ == '__main__': print_orders(market)