X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=efd9b84e498e20f39f0eb5a7e35d464d2b81614a;hb=6ca5a1ec669593fa915a2824efca068c975f9caa;hp=45fbef98e72fefac5104223955a1b1897f632131;hpb=c51687d2b0cbad5460d8424f550014502d84696e;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index 45fbef9..efd9b84 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,14 +1,13 @@ -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" liquidities = {} @@ -69,6 +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 @@ -86,9 +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, @@ -180,7 +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 @@ -201,69 +217,6 @@ class Balance: ]: setattr(self, key, Amount(base_currency, hash_.get(key, 0))) - @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, {}) - return amounts - - @classmethod - def prepare_trades(cls, market, base_currency="BTC", compute_value="average", debug=False): - 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, debug=debug) - - @classmethod - def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None, debug=False): - 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, debug=debug) - - @classmethod - def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average", debug=False): - 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, debug=debug) - def __repr__(self): if self.exchange_total > 0: if self.exchange_free > 0 and self.exchange_used > 0: @@ -296,18 +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: - debug = False - 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 @@ -323,105 +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, debug=False): - cls.debug = cls.debug or debug - 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): - 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 cls.debug: - print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta)) - else: - market.transfer_balance(currency, delta, "exchange", "margin") - elif delta < 0: - if cls.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: @@ -481,11 +324,11 @@ class Trade: 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) @@ -536,51 +379,6 @@ class Trade: delta - self.filled_amount, rate, currency, self.trade_type, self.market, self, 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=None): - if sleep is None: - sleep = 7 if cls.debug else 30 - tick = 0 - while len(cls.all_orders(state="open")) > 0: - time.sleep(sleep) - tick += 1 - for order in cls.all_orders(state="open"): - if order.get_status() != "open": - if verbose: - print("finished {}".format(order)) - else: - order.trade.update_order(order, tick) - 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( self.value_from, @@ -588,11 +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: @@ -612,7 +405,6 @@ class Order: self.status = "pending" self.trade = trade self.close_if_possible = close_if_possible - self.debug = trade.debug def __repr__(self): return "Order({} {} {} at {} {} [{}]{})".format( @@ -648,7 +440,7 @@ class Order: symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = round(self.amount, self.market.order_precision(symbol)).value - if self.debug: + if TradeStore.debug: print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( symbol, self.action, amount, self.rate, self.account)) self.status = "open" @@ -665,7 +457,7 @@ class Order: print(self.error_message) def get_status(self): - if self.debug: + if TradeStore.debug: return self.status # other states are "closed" and "canceled" if self.status == "open": @@ -675,7 +467,7 @@ class Order: return self.status def mark_finished_order(self): - if self.debug: + if TradeStore.debug: return if self.status == "closed": if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: @@ -683,7 +475,7 @@ class Order: fetch_cache_timestamp = None def fetch(self, force=False): - if self.debug or (not force and self.fetch_cache_timestamp is not None + 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() @@ -725,7 +517,7 @@ class Order: self.base_currency, mouvement_hash)) def cancel(self): - if self.debug: + if TradeStore.debug: self.status = "canceled" return self.market.cancel_order(self.result['id']) @@ -744,45 +536,6 @@ class Mouvement: # rate * total = total_in_base self.total_in_base = Amount(base_currency, hash_["total"]) -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() - -def process_sell_all_sell(market, base_currency="BTC", debug=False): - Balance.prepare_trades_to_sell_all(market, debug=debug) - Trade.prepare_orders(compute_value="average") - print("------------------") - for currency, balance in Balance.known_balances.items(): - print(balance) - print("------------------") - Trade.print_all_with_order() - print("------------------") - Trade.run_orders() - Trade.follow_orders() - -def process_sell_all_buy(market, base_currency="BTC", debug=False): - Balance.prepare_trades(market, debug=debug) - Trade.prepare_orders() - print("------------------") - for currency, balance in Balance.known_balances.items(): - print(balance) - print("------------------") - Trade.print_all_with_order() - print("------------------") - Trade.move_balances(market) - Trade.run_orders() - Trade.follow_orders() - if __name__ == '__main__': - print_orders(market) + from market import market + h.print_orders(market)