X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=portfolio.py;h=f9423b91d0736178fb4759016195e3d29ecd2499;hb=3d0247f944d7510943dfaa64eeb0e15a43b6c989;hp=e98689ee4c2599fc63f77b6236057e9df0b2519e;hpb=5a72ded790f8b5e7c9b38a3cc91c12fbfb6cb97a;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/portfolio.py b/portfolio.py index e98689e..f9423b9 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,8 +1,10 @@ import time -from datetime import datetime +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, ExchangeNotAvailable import requests import helper as h from store import * @@ -13,28 +15,38 @@ 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, delta=4): + cls.repartition(refetch=True) + while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta): + time.sleep(30) + cls.repartition(refetch=True) + + @classmethod + def repartition(cls, liquidity="medium", refetch=False): + cls.parse_cryptoportfolio(refetch=refetch) liquidities = cls.liquidities[liquidity] - cls.last_date = sorted(liquidities.keys())[-1] return liquidities[cls.last_date] @classmethod def get_cryptoportfolio(cls): try: r = requests.get(cls.URL) - except Exception: + ReportStore.log_http_request(r.request.method, + r.request.url, r.request.body, r.request.headers, r) + except Exception as e: + ReportStore.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: + def parse_cryptoportfolio(cls, refetch=False): + if refetch or cls.data is None: cls.get_cryptoportfolio() def filter_weights(weight_hash): @@ -56,7 +68,8 @@ 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 @@ -68,6 +81,7 @@ class Portfolio: "medium": medium_liquidity, "high": high_liquidity, } + cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys())) class Computation: computations = { @@ -116,6 +130,12 @@ 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)) @@ -123,6 +143,8 @@ 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) @@ -140,6 +162,12 @@ 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") @@ -198,12 +226,13 @@ 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") @@ -218,6 +247,9 @@ 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: @@ -300,23 +332,34 @@ 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: + 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) - print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) elif tick ==5: + 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) - 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: new_order = self.prepare_order(compute_value="default") - print("{}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) + update = "market_adjust" + compute_value = "default" + else: + update = "waiting" + compute_value = None + if tick == 7: + update = "market_fallback" + + ReportStore.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() + ReportStore.log_order(order, tick, new_order=new_order) def prepare_order(self, compute_value="default"): if self.action is None: @@ -327,6 +370,9 @@ class Trade: 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) @@ -384,7 +430,7 @@ class Trade: close_if_possible = (self.value_to == 0) if delta <= 0: - print("Less to do than already filled: {}".format(delta)) + ReportStore.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) return None order = Order(self.order_action(inverted), @@ -393,6 +439,15 @@ class Trade: 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( self.value_from, @@ -400,10 +455,12 @@ class Trade: self.currency, self.action) - def print_with_order(self): - print(self) + def print_with_order(self, ind=""): + ReportStore.print_log("{}{}".format(ind, self)) for order in self.orders: - print("\t", order, sep="") + ReportStore.print_log("{}\t{}".format(ind, order)) + for mouvement in order.mouvements: + ReportStore.print_log("{}\t\t{}".format(ind, mouvement)) class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, @@ -422,6 +479,20 @@ class Order: self.id = None self.fetch_cache_timestamp = None + 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( self.action, @@ -457,24 +528,28 @@ class Order: amount = round(self.amount, self.market.order_precision(symbol)).value if TradeStore.debug: - print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( + ReportStore.log_debug_action("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( symbol, self.action, amount, self.rate, self.account)) 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)) + except ExchangeNotAvailable: + # Impossible to honor the order (dust amount) + self.status = "closed" + self.mark_finished_order() + 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) + action = "market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) + ReportStore.log_error(action, exception=e) return self.id = self.results[0]["id"] self.status = "open" def get_status(self): if TradeStore.debug: + ReportStore.log_debug_action("Getting {} status".format(self)) return self.status # other states are "closed" and "canceled" if not self.finished: @@ -485,13 +560,17 @@ class Order: def mark_finished_order(self): if TradeStore.debug: + ReportStore.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) def fetch(self, force=False): - if TradeStore.debug or (not force and self.fetch_cache_timestamp is not None + if TradeStore.debug: + ReportStore.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() @@ -526,7 +605,10 @@ class Order: return filled_amount def fetch_mouvements(self): - mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id}) + try: + mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id}) + except ExchangeError: + mouvements = [] self.mouvements = [] for mouvement_hash in mouvements: @@ -535,6 +617,7 @@ class Order: def cancel(self): if TradeStore.debug: + ReportStore.log_debug_action("Mark {} as cancelled".format(self)) self.status = "canceled" return self.market.cancel_order(self.id) @@ -544,14 +627,41 @@ 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__': # pragma: no cover from market import market