X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=eb3390ed70d2c156f90002afa994e91a14ddf651;hb=2033e7fef780298be2ec15455a0ec1d26515de55;hp=b629966b3e057cd53e50220be244e686d5418ad9;hpb=1aa7d4fa2ec3c2b3268bef31a666ca6e1aaa6563;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index b629966..eb3390e 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,10 +1,11 @@ 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 simplejson.errors import JSONDecodeError as SimpleJSONDecodeError +from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder +from retry import retry import requests -import helper as h -from store import * # FIXME: correctly handle web call timeouts @@ -12,29 +13,40 @@ 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, market, delta=4): + cls.repartition(market, refetch=True) + while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta): + time.sleep(30) + market.report.print_log("Attempt to fetch up-to-date cryptoportfolio") + cls.repartition(market, refetch=True) + + @classmethod + def repartition(cls, market, liquidity="medium", refetch=False): + cls.parse_cryptoportfolio(market, refetch=refetch) liquidities = cls.liquidities[liquidity] - cls.last_date = sorted(liquidities.keys())[-1] return liquidities[cls.last_date] @classmethod - def get_cryptoportfolio(cls): + def get_cryptoportfolio(cls, market): try: r = requests.get(cls.URL) - except Exception: + market.report.log_http_request(r.request.method, + r.request.url, r.request.body, r.request.headers, r) + except Exception as e: + market.report.log_error("get_cryptoportfolio", exception=e) return try: cls.data = r.json(parse_int=D, parse_float=D) - except JSONDecodeError: + except (JSONDecodeError, SimpleJSONDecodeError): cls.data = None @classmethod - def parse_cryptoportfolio(cls): - if cls.data is None: - cls.get_cryptoportfolio() + def parse_cryptoportfolio(cls, market, refetch=False): + if refetch or cls.data is None: + cls.get_cryptoportfolio(market) def filter_weights(weight_hash): if weight_hash[1][0] == 0: @@ -55,7 +67,8 @@ 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 +80,7 @@ class Portfolio: "medium": medium_liquidity, "high": high_liquidity, } + cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys())) class Computation: computations = { @@ -103,7 +117,7 @@ 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 +129,12 @@ 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 +142,8 @@ 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 +161,12 @@ 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") @@ -197,12 +225,13 @@ 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_borrowed", + "margin_free"] 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") @@ -217,6 +246,9 @@ class Balance: ]: 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: @@ -250,7 +282,7 @@ 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 @@ -272,7 +304,7 @@ 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" @@ -299,36 +331,47 @@ class Trade: def update_order(self, order, tick): new_order = None if tick in [0, 1, 3, 4, 6]: - print("{}, tick {}, waiting".format(order, tick)) + update = "waiting" + compute_value = None 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)) + update = "adjusting" + compute_value = 'lambda x, y: (x[y] + x["average"]) / 2' + new_order = self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2) 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)) + update = "adjusting" + compute_value = 'lambda x, y: (x[y]*2 + x["average"]) / 3' + new_order = self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3) 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)) + new_order = self.prepare_order(compute_value="default") + update = "market_adjust" + compute_value = "default" + else: + update = "waiting" + compute_value = None + if tick == 7: + update = "market_fallback" + + self.market.report.log_order(order, tick, update=update, + compute_value=compute_value, new_order=new_order) if new_order is not None: order.cancel() 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) + #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) @@ -383,15 +426,27 @@ class Trade: delta = delta - filled # I already sold 4 BTC, only 5 left - close_if_possible = (self.value_to == 0) + if close_if_possible is None: + close_if_possible = (self.value_to == 0) if delta <= 0: - print("Less to do than already filled: {}".format(delta)) - return + 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), + order = Order(self.order_action(inverted), delta, rate, base_currency, self.trade_type, - self.market, self, close_if_possible=close_if_possible)) + 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( @@ -400,10 +455,12 @@ class Trade: self.currency, self.action) - 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, @@ -419,6 +476,23 @@ class Order: self.status = "pending" self.trade = trade self.close_if_possible = close_if_possible + self.id = None + self.fetch_cache_timestamp = 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( @@ -438,6 +512,10 @@ class Order: else: return "margin" + @property + def open(self): + return self.status == "open" + @property def pending(self): return self.status == "pending" @@ -446,56 +524,72 @@ 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 + if self.market.debug: + self.market.report.log_debug_action("Fetching {}".format(self)) + return + if (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.ccxt.fetch_order(self.id, symbol=self.amount.currency) + self.results.append(result) + self.status = result["status"] # Time at which the order started self.timestamp = result["datetime"] @@ -503,11 +597,9 @@ 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() @@ -525,7 +617,10 @@ class Order: 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: @@ -533,25 +628,50 @@ 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() + self.market.ccxt.cancel_order(self.id) + self.fetch(force=True) 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)