X-Git-Url: https://git.immae.eu/?a=blobdiff_plain;f=store.py;h=d25dd35d1b06efe8f73b812c90cb1d51a66448cc;hb=d8deb0e9a6b7b2805e61dc19a287d5474c271cc5;hp=841a0fc9e4f581ad468a2c3e8664507b003b4232;hpb=1aa7d4fa2ec3c2b3268bef31a666ca6e1aaa6563;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git diff --git a/store.py b/store.py index 841a0fc..d25dd35 100644 --- a/store.py +++ b/store.py @@ -1,107 +1,304 @@ import portfolio +import simplejson as json +from decimal import Decimal as D, ROUND_DOWN +from datetime import date, datetime +import inspect -__all__ = ["BalanceStore", "TradeStore"] +__all__ = ["BalanceStore", "ReportStore", "TradeStore"] + +class ReportStore: + def __init__(self, market, verbose_print=True): + self.market = market + self.verbose_print = verbose_print + + self.logs = [] + + def print_log(self, message): + message = str(message) + if self.verbose_print: + print(message) + + def add_log(self, hash_): + hash_["date"] = datetime.now() + self.logs.append(hash_) + + def to_json(self): + def default_json_serial(obj): + if isinstance(obj, (datetime, date)): + return obj.isoformat() + return str(obj) + return json.dumps(self.logs, default=default_json_serial, indent=" ") + + def set_verbose(self, verbose_print): + self.verbose_print = verbose_print + + def log_stage(self, stage, **kwargs): + def as_json(element): + if callable(element): + return inspect.getsource(element).strip() + elif hasattr(element, "as_json"): + return element.as_json() + else: + return element + + args = { k: as_json(v) for k, v in kwargs.items() } + args_str = ["{}={}".format(k, v) for k, v in args.items()] + self.print_log("-" * (len(stage) + 8)) + self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str))) + + self.add_log({ + "type": "stage", + "stage": stage, + "args": args, + }) + + def log_balances(self, tag=None): + self.print_log("[Balance]") + for currency, balance in self.market.balances.all.items(): + self.print_log("\t{}".format(balance)) + + self.add_log({ + "type": "balance", + "tag": tag, + "balances": self.market.balances.as_json() + }) + + def log_tickers(self, amounts, other_currency, + compute_value, type): + values = {} + rates = {} + if callable(compute_value): + compute_value = inspect.getsource(compute_value).strip() + + for currency, amount in amounts.items(): + values[currency] = amount.as_json()["value"] + rates[currency] = amount.rate + self.add_log({ + "type": "tickers", + "compute_value": compute_value, + "balance_type": type, + "currency": other_currency, + "balances": values, + "rates": rates, + "total": sum(amounts.values()).as_json()["value"] + }) + + def log_dispatch(self, amount, amounts, liquidity, repartition): + self.add_log({ + "type": "dispatch", + "liquidity": liquidity, + "repartition_ratio": repartition, + "total_amount": amount.as_json(), + "repartition": { k: v.as_json()["value"] for k, v in amounts.items() } + }) + + def log_trades(self, matching_and_trades, only): + trades = [] + for matching, trade in matching_and_trades: + trade_json = trade.as_json() + trade_json["skipped"] = not matching + trades.append(trade_json) + + self.add_log({ + "type": "trades", + "only": only, + "debug": self.market.debug, + "trades": trades + }) + + def log_orders(self, orders, tick=None, only=None, compute_value=None): + if callable(compute_value): + compute_value = inspect.getsource(compute_value).strip() + self.print_log("[Orders]") + self.market.trades.print_all_with_order(ind="\t") + self.add_log({ + "type": "orders", + "only": only, + "compute_value": compute_value, + "tick": tick, + "orders": [order.as_json() for order in orders if order is not None] + }) + + def log_order(self, order, tick, finished=False, update=None, + new_order=None, compute_value=None): + if callable(compute_value): + compute_value = inspect.getsource(compute_value).strip() + if finished: + self.print_log("[Order] Finished {}".format(order)) + elif update == "waiting": + self.print_log("[Order] {}, tick {}, waiting".format(order, tick)) + elif update == "adjusting": + self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) + elif update == "market_fallback": + self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick)) + elif update == "market_adjust": + self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) + + self.add_log({ + "type": "order", + "tick": tick, + "update": update, + "order": order.as_json(), + "compute_value": compute_value, + "new_order": new_order.as_json() if new_order is not None else None + }) + + def log_move_balances(self, needed, moving): + self.add_log({ + "type": "move_balances", + "debug": self.market.debug, + "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() }, + "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() }, + }) + + def log_http_request(self, method, url, body, headers, response): + self.add_log({ + "type": "http_request", + "method": method, + "url": url, + "body": body, + "headers": headers, + "status": response.status_code, + "response": response.text + }) + + def log_error(self, action, message=None, exception=None): + self.print_log("[Error] {}".format(action)) + if exception is not None: + self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception))) + if message is not None: + self.print_log("\t{}".format(message)) + + self.add_log({ + "type": "error", + "action": action, + "exception_class": exception.__class__.__name__ if exception is not None else None, + "exception_message": str(exception) if exception is not None else None, + "message": message, + }) + + def log_debug_action(self, action): + self.print_log("[Debug] {}".format(action)) + + self.add_log({ + "type": "debug_action", + "action": action, + }) class BalanceStore: - all = {} + def __init__(self, market): + self.market = market + self.all = {} - @classmethod - def currencies(cls): - return cls.all.keys() + def currencies(self): + return self.all.keys() - @classmethod - def in_currency(cls, other_currency, market, compute_value="average", type="total"): + def in_currency(self, other_currency, compute_value="average", type="total"): amounts = {} - for currency, balance in cls.all.items(): + for currency, balance in self.all.items(): other_currency_amount = getattr(balance, type)\ - .in_currency(other_currency, market, compute_value=compute_value) + .in_currency(other_currency, self.market, compute_value=compute_value) amounts[currency] = other_currency_amount + self.market.report.log_tickers(amounts, other_currency, + compute_value, type) return amounts - @classmethod - def fetch_balances(cls, market): - all_balances = market.fetch_all_balances() + def fetch_balances(self, tag=None): + all_balances = self.market.ccxt.fetch_all_balances() for currency, balance in all_balances.items(): if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \ - currency in cls.all: - cls.all[currency] = portfolio.Balance(currency, balance) + currency in self.all: + self.all[currency] = portfolio.Balance(currency, balance) + self.market.report.log_balances(tag=tag) - @classmethod - def dispatch_assets(cls, amount, repartition=None): + def dispatch_assets(self, amount, liquidity="medium", repartition=None): if repartition is None: - repartition = portfolio.Portfolio.repartition() + repartition = portfolio.Portfolio.repartition(self.market, liquidity=liquidity) 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 BalanceStore.all: - cls.all[currency] = portfolio.Balance(currency, {}) + self.all.setdefault(currency, portfolio.Balance(currency, {})) + self.market.report.log_dispatch(amount, amounts, liquidity, repartition) return amounts + def as_json(self): + return { k: v.as_json() for k, v in self.all.items() } + class TradeStore: - all = [] - debug = False + def __init__(self, market): + self.market = market + self.all = [] - @classmethod - def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False): - cls.debug = cls.debug or debug + @property + def pending(self): + return list(filter(lambda t: t.pending, self.all)) + + def compute_trades(self, values_in_base, new_repartition, only=None): + computed_trades = [] base_currency = sum(values_in_base.values()).currency - for currency in BalanceStore.currencies(): + for currency in self.market.balances.currencies(): if currency == base_currency: continue value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0)) value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0)) if value_from.value * value_to.value < 0: - cls.add_trade_if_matching( + computed_trades.append(self.trade_if_matching( value_from, portfolio.Amount(base_currency, 0), - currency, only=only, market=market) - cls.add_trade_if_matching( + currency, only=only)) + computed_trades.append(self.trade_if_matching( portfolio.Amount(base_currency, 0), value_to, - currency, only=only, market=market) + currency, only=only)) else: - cls.add_trade_if_matching(value_from, value_to, - currency, only=only, market=market) + computed_trades.append(self.trade_if_matching( + value_from, value_to, + currency, only=only)) + for matching, trade in computed_trades: + if matching: + self.all.append(trade) + self.market.report.log_trades(computed_trades, only) - @classmethod - def add_trade_if_matching(cls, value_from, value_to, currency, - only=None, market=None): + def trade_if_matching(self, value_from, value_to, currency, + only=None): trade = portfolio.Trade(value_from, value_to, currency, - market=market) - if only is None or trade.action == only: - cls.all.append(trade) - return True - return False - - @classmethod - def prepare_orders(cls, only=None, compute_value="default"): - for trade in cls.all: + self.market) + matching = only is None or trade.action == only + return [matching, trade] + + def prepare_orders(self, only=None, compute_value="default"): + orders = [] + for trade in self.pending: if only is None or trade.action == only: - trade.prepare_order(compute_value=compute_value) + orders.append(trade.prepare_order(compute_value=compute_value)) + self.market.report.log_orders(orders, only, compute_value) + + def close_trades(self): + for trade in self.all: + trade.close() - @classmethod - def print_all_with_order(cls): - for trade in cls.all: - trade.print_with_order() + def print_all_with_order(self, ind=""): + for trade in self.all: + trade.print_with_order(ind=ind) - @classmethod - def run_orders(cls): - for order in cls.all_orders(state="pending"): + def run_orders(self): + orders = self.all_orders(state="pending") + for order in orders: order.run() + self.market.report.log_stage("run_orders") + self.market.report.log_orders(orders) - @classmethod - def all_orders(cls, state=None): - all_orders = sum(map(lambda v: v.orders, cls.all), []) + def all_orders(self, state=None): + all_orders = sum(map(lambda v: v.orders, self.all), []) if state is None: return all_orders else: return list(filter(lambda o: o.status == state, all_orders)) - @classmethod - def update_all_orders_status(cls): - for order in cls.all_orders(state="open"): + def update_all_orders_status(self): + for order in self.all_orders(state="open"): order.get_status()