X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=e98689ee4c2599fc63f77b6236057e9df0b2519e;hb=5a72ded790f8b5e7c9b38a3cc91c12fbfb6cb97a;hp=efd9b84e498e20f39f0eb5a7e35d464d2b81614a;hpb=6ca5a1ec669593fa915a2824efca068c975f9caa;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index efd9b84..e98689e 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,4 +1,5 @@ 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 @@ -149,7 +150,7 @@ 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 +273,7 @@ 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 +291,10 @@ 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 +302,16 @@ 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 +320,78 @@ 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 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( @@ -405,6 +419,8 @@ 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 +440,10 @@ class Order: else: return "margin" + @property + def open(self): + return self.status == "open" + @property def pending(self): return self.status == "pending" @@ -432,10 +452,6 @@ 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 +459,27 @@ 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 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 +490,15 @@ 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"] @@ -489,23 +506,23 @@ 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): @@ -520,7 +537,7 @@ 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: @@ -536,6 +553,6 @@ class Mouvement: # rate * total = total_in_base self.total_in_base = Amount(base_currency, hash_["total"]) -if __name__ == '__main__': +if __name__ == '__main__': # pragma: no cover from market import market h.print_orders(market)