X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=efd9b84e498e20f39f0eb5a7e35d464d2b81614a;hb=6ca5a1ec669593fa915a2824efca068c975f9caa;hp=0ab16fd0854a5042ac7c7a611e482e6d7baa9dbe;hpb=006a20846236ad365ec814f848f5fbf7e3dc7d3c;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index 0ab16fd..efd9b84 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,8 +1,12 @@ -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 +from json import JSONDecodeError +import requests +import helper as h +from store import * + +# FIXME: correctly handle web call timeouts class Portfolio: URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" @@ -18,20 +22,13 @@ class Portfolio: @classmethod def get_cryptoportfolio(cls): - import json - import urllib3 - urllib3.disable_warnings() - http = urllib3.PoolManager() - try: - r = http.request("GET", cls.URL) + r = requests.get(cls.URL) except Exception: - return None + return try: - cls.data = json.loads(r.data, - parse_int=D, - parse_float=D) - except json.JSONDecodeError: + cls.data = r.json(parse_int=D, parse_float=D) + except JSONDecodeError: cls.data = None @classmethod @@ -71,6 +68,24 @@ class Portfolio: "high": high_liquidity, } +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"], + } + + @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 = cls.computations[compute_value] + return compute_value(ticker, action) + class Amount: def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): self.currency = currency @@ -79,9 +94,6 @@ class Amount: self.ticker = ticker self.rate = rate - self.ticker_cache = {} - self.ticker_cache_timestamp = time.time() - def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): if other_currency == self.currency: return self @@ -91,9 +103,9 @@ class Amount: self.value * rate, linked_to=self, rate=rate) - asset_ticker = Trade.get_ticker(self.currency, other_currency, market) + asset_ticker = h.get_ticker(self.currency, other_currency, market) if asset_ticker is not None: - rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value) + rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) return Amount( other_currency, self.value * rate, @@ -121,6 +133,8 @@ class Amount: return self.__add__(other) def __sub__(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) @@ -141,9 +155,6 @@ class Amount: def __truediv__(self, value): return self.__floordiv__(value) - def __le__(self, other): - return self == other or self < other - def __lt__(self, other): if other == 0: return self.value < 0 @@ -151,6 +162,9 @@ class Amount: raise Exception("Comparing amounts must be done with same currencies") return self.value < other.value + def __le__(self, other): + return self == other or self < other + def __gt__(self, other): return not self <= other @@ -183,7 +197,6 @@ class Amount: return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) class Balance: - known_balances = {} def __init__(self, currency, hash_): self.currency = currency @@ -192,9 +205,9 @@ class Balance: "margin_total", "margin_borrowed", "margin_free"]: setattr(self, key, Amount(currency, hash_.get(key, 0))) - self.margin_position_type = hash_["margin_position_type"] + self.margin_position_type = hash_.get("margin_position_type") - if hash_["margin_borrowed_base_currency"] is not None: + if hash_.get("margin_borrowed_base_currency") is not None: base_currency = hash_["margin_borrowed_base_currency"] for key in [ "margin_liquidation_price", @@ -202,71 +215,7 @@ class Balance: "margin_lending_fees", "margin_borrowed_base_price" ]: - setattr(self, key, Amount(base_currency, hash_[key])) - - @classmethod - 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, compute_value=compute_value) - amounts[currency] = other_currency_amount - return amounts - - @classmethod - def currencies(cls): - return cls.known_balances.keys() - - @classmethod - def fetch_balances(cls, market): - all_balances = market.fetch_all_balances() - for currency, balance in all_balances.items(): - if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \ - currency in cls.known_balances: - cls.known_balances[currency] = cls(currency, balance) - return cls.known_balances - - - @classmethod - 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, trade_type) in repartition.items(): - amounts[currency] = ptt * amount / sum_ratio - if trade_type == "short": - amounts[currency] = - amounts[currency] - 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", 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) - # 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, 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, 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, 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.compute_trades(values_in_base, new_repartition, market=market) + setattr(self, key, Amount(base_currency, hash_.get(key, 0))) def __repr__(self): if self.exchange_total > 0: @@ -300,17 +249,7 @@ class Balance: return "Balance({}".format(self.currency) + "".join([exchange, margin, 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): # We have value_from of currency, and want to finish with value_to of # that currency. value_* may not be in currency's terms @@ -326,104 +265,6 @@ class Trade: self.value_from.linked_to = Amount(self.currency, 0) self.base_currency = self.value_from.currency - fees_cache = {} - @classmethod - def fetch_fees(cls, market): - if market.__class__ not in cls.fees_cache: - cls.fees_cache[market.__class__] = market.fetch_fees() - return cls.fees_cache[market.__class__] - - ticker_cache = {} - ticker_cache_timestamp = time.time() - @classmethod - def get_ticker(cls, c1, c2, market, refresh=False): - def invert(ticker): - return { - "inverted": True, - "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, - "original": ticker, - } - def augment_ticker(ticker): - ticker.update({ - "inverted": False, - "average": (ticker["bid"] + ticker["ask"] ) / 2, - }) - - if time.time() - cls.ticker_cache_timestamp > 5: - cls.ticker_cache = {} - cls.ticker_cache_timestamp = time.time() - elif not refresh: - if (c1, c2, market.__class__) in cls.ticker_cache: - return cls.ticker_cache[(c1, c2, market.__class__)] - if (c2, c1, market.__class__) in cls.ticker_cache: - return invert(cls.ticker_cache[(c2, c1, market.__class__)]) - - try: - cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) - augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) - 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 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, only=None, market=None): - base_currency = sum(values_in_base.values()).currency - for currency in Balance.currencies(): - if currency == base_currency: - continue - value_from = values_in_base.get(currency, Amount(base_currency, 0)) - value_to = new_repartition.get(currency, Amount(base_currency, 0)) - if value_from.value * value_to.value < 0: - trade_1 = cls(value_from, Amount(base_currency, 0), currency, market=market) - if only is None or trade_1.action == only: - cls.trades.append(trade_1) - trade_2 = cls(Amount(base_currency, 0), value_to, currency, market=market) - if only is None or trade_2.action == only: - cls.trades.append(trade_2) - else: - trade = cls( - value_from, - value_to, - currency, - market=market - ) - if only is None or trade.action == only: - cls.trades.append(trade) - return cls.trades - - @classmethod - def prepare_orders(cls, only=None, compute_value="default"): - for trade in cls.trades: - if only is None or trade.action == only: - trade.prepare_order(compute_value=compute_value) - - @classmethod - def move_balances(cls, market, debug=False): - needed_in_margin = {} - for trade in cls.trades: - if trade.trade_type == "short": - if trade.value_to.currency not in needed_in_margin: - needed_in_margin[trade.value_to.currency] = 0 - needed_in_margin[trade.value_to.currency] += abs(trade.value_to) - for currency, needed in needed_in_margin.items(): - current_balance = Balance.known_balances[currency].margin_free - delta = (needed - current_balance).value - # FIXME: don't remove too much if there are open margin position - if delta > 0: - if debug: - print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta)) - else: - market.transfer_balance(currency, delta, "exchange", "margin") - elif delta < 0: - if debug: - print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta)) - else: - market.transfer_balance(currency, -delta, "margin", "exchange") - @property def action(self): if self.value_from == self.value_to: @@ -449,14 +290,45 @@ class Trade: else: return "long" + @property + def filled_amount(self): + filled_amount = 0 + for order in self.orders: + filled_amount += order.filled_amount + return filled_amount + + def update_order(self, order, tick): + new_order = None + 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] + 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] + 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] + print("{}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) + + if new_order is not None: + order.cancel() + new_order.run() + def prepare_order(self, compute_value="default"): if self.action is None: return - ticker = Trade.get_ticker(self.currency, self.base_currency, self.market) + ticker = h.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) + 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) @@ -492,56 +364,20 @@ class Trade: # 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 close_if_possible = (self.value_to == 0) - self.orders.append(Order(self.order_action(inverted), - delta, rate, currency, self.trade_type, self.market, - close_if_possible=close_if_possible)) - - @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) - - @classmethod - def all_orders(cls, state=None): - all_orders = sum(map(lambda v: v.orders, cls.trades), []) - if state is None: - return all_orders - else: - return list(filter(lambda o: o.status == state, all_orders)) - - @classmethod - def run_orders(cls): - for order in cls.all_orders(state="pending"): - order.run() - - @classmethod - def follow_orders(cls, verbose=True, sleep=30): - orders = cls.all_orders() - finished_orders = [] - while len(orders) != len(finished_orders): - time.sleep(sleep) - for order in orders: - if order in finished_orders: - continue - if order.get_status() != "open": - finished_orders.append(order) - if verbose: - print("finished {}".format(order)) - if verbose: - print("All orders finished") + if delta <= self.filled_amount: + print("Less to do than already filled: {} <= {}".format(delta, + self.filled_amount)) + return - @classmethod - def update_all_orders_status(cls): - for order in cls.all_orders(state="open"): - order.get_status() + 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)) def __repr__(self): return "Trade({} -> {} in {}, {})".format( @@ -550,11 +386,6 @@ class Trade: self.currency, self.action) - @classmethod - def print_all_with_order(cls): - for trade in cls.trades: - trade.print_with_order() - def print_with_order(self): print(self) for order in self.orders: @@ -562,15 +393,17 @@ class Trade: class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, - close_if_possible=False): + trade, close_if_possible=False): 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.results = [] + self.mouvements = [] self.status = "pending" + self.trade = trade self.close_if_possible = close_if_possible def __repr__(self): @@ -599,16 +432,22 @@ class Order: def finished(self): return self.status == "closed" or self.status == "canceled" or self.status == "error" - def run(self, debug=False): + @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 - if debug: + 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.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account) + 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" @@ -618,49 +457,85 @@ class Order: print(self.error_message) def get_status(self): + if TradeStore.debug: + return self.status # other states are "closed" and "canceled" if self.status == "open": - result = self.market.fetch_order(self.result['id']) - if result["status"] != "open": - self.mark_finished_order(result["status"]) + self.fetch() + if self.status != "open": + self.mark_finished_order() return self.status - def mark_finished_order(self, status): - if status == "closed": + def mark_finished_order(self): + if TradeStore.debug: + 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) + 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] self.status = result["status"] + # Time at which the order started + self.timestamp = result["datetime"] + self.fetch_mouvements() - def cancel(self): - self.market.cancel_order(self.result['id']) + # FIXME: consider open order with dust remaining as closed -def print_orders(market, base_currency="BTC"): - 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) - for trade in Trade.trades: - print(trade) - for order in trade.orders: - print("\t", order, sep="") - order.run() + @property + def dust_amount_remaining(self): + return self.remaining_amount < 0.001 + + @property + def remaining_amount(self): + if self.status == "open": + self.fetch() + return self.amount - self.filled_amount + + @property + def filled_amount(self): + if self.status == "open": + self.fetch() + filled_amount = Amount(self.amount.currency, 0) + for mouvement in self.mouvements: + filled_amount += mouvement.total + return filled_amount -def sell_all(market, base_currency="BTC"): - Balance.prepare_trades_to_sell_all(market) - Trade.prepare_orders(compute_value="average") - Trade.run_orders() - Trade.follow_orders() + def fetch_mouvements(self): + mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id}) + self.mouvements = [] - Balance.update_trades(market, only="acquire") - Trade.prepare_orders(only="acquire") - Trade.move_balances(market) - Trade.run_orders() - Trade.follow_orders() + for mouvement_hash in mouvements: + self.mouvements.append(Mouvement(self.amount.currency, + self.base_currency, mouvement_hash)) + + def cancel(self): + if TradeStore.debug: + self.status = "canceled" + return + self.market.cancel_order(self.result['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"]) + # rate * total = total_in_base + self.total_in_base = Amount(base_currency, hash_["total"]) if __name__ == '__main__': - print_orders(market) + from market import market + h.print_orders(market)