From: Ismaël Bouya Date: Mon, 30 Apr 2018 12:21:41 +0000 (+0200) Subject: Fix price imprecision due to floats X-Git-Tag: v1.5^2~3 X-Git-Url: https://git.immae.eu/?a=commitdiff_plain;h=52ea19aa73348a523b3b884e2a7fb749b2bf4f19;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git Fix price imprecision due to floats --- diff --git a/ccxt_wrapper.py b/ccxt_wrapper.py index d2c9b4c..f30c7d2 100644 --- a/ccxt_wrapper.py +++ b/ccxt_wrapper.py @@ -232,39 +232,9 @@ class poloniexE(poloniex): return all_balances - def create_exchange_order(self, symbol, type, side, amount, price=None, params={}): - return super().create_order(symbol, type, side, amount, price=price, params=params) - - def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}): - if type == 'market': - raise ExchangeError(self.id + ' allows limit orders only') - self.load_markets() - method = 'privatePostMargin' + self.capitalize(side) - market = self.market(symbol) - price = float(price) - amount = float(amount) - if lending_rate is not None: - params = self.extend({"lendingRate": lending_rate}, params) - response = getattr(self, method)(self.extend({ - 'currencyPair': market['id'], - 'rate': self.price_to_precision(symbol, price), - 'amount': self.amount_to_precision(symbol, amount), - }, params)) - timestamp = self.milliseconds() - order = self.parse_order(self.extend({ - 'timestamp': timestamp, - 'status': 'open', - 'type': type, - 'side': side, - 'price': price, - 'amount': amount, - }, response), market) - id = order['id'] - self.orders[id] = order - return self.extend({'info': response}, order) - def order_precision(self, symbol): - return 8 + self.load_markets() + return self.markets[symbol]['precision']['price'] def transfer_balance(self, currency, amount, from_account, to_account): result = self.privatePostTransferBalance({ @@ -382,14 +352,49 @@ class poloniexE(poloniex): def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}): """ - Wrapped to handle margin and exchange accounts + Wrapped to handle margin and exchange accounts, and get decimals """ + if type == 'market': + raise ExchangeError(self.id + ' allows limit orders only') + self.load_markets() if account == "exchange": - return self.create_exchange_order(symbol, type, side, amount, price=price, params=params) + method = 'privatePost' + self.capitalize(side) elif account == "margin": - return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params) + method = 'privatePostMargin' + self.capitalize(side) + if lending_rate is not None: + params = self.extend({"lendingRate": lending_rate}, params) else: raise NotImplementedError + market = self.market(symbol) + response = getattr(self, method)(self.extend({ + 'currencyPair': market['id'], + 'rate': self.price_to_precision(symbol, price), + 'amount': self.amount_to_precision(symbol, amount), + }, params)) + timestamp = self.milliseconds() + order = self.parse_order(self.extend({ + 'timestamp': timestamp, + 'status': 'open', + 'type': type, + 'side': side, + 'price': price, + 'amount': amount, + }, response), market) + id = order['id'] + self.orders[id] = order + return self.extend({'info': response}, order) + + def price_to_precision(self, symbol, price): + """ + Wrapped to avoid float + """ + return ('{:.' + str(self.markets[symbol]['precision']['price']) + 'f}').format(price).rstrip("0").rstrip(".") + + def amount_to_precision(self, symbol, amount): + """ + Wrapped to avoid float + """ + return ('{:.' + str(self.markets[symbol]['precision']['amount']) + 'f}').format(amount).rstrip("0").rstrip(".") def common_currency_code(self, currency): """ diff --git a/main.py b/main.py index 13c2240..a461207 100644 --- a/main.py +++ b/main.py @@ -63,7 +63,7 @@ def get_user_market(config_path, user_id, debug=False): if debug: args.append("--debug") args = parse_args(args) - pg_config = parse_config(args) + pg_config, redis_config = parse_config(args) market_id, market_config, user_id = list(fetch_markets(pg_config, str(user_id)))[0] return market.Market.from_config(market_config, args, pg_config=pg_config, market_id=market_id, diff --git a/tests/test_ccxt_wrapper.py b/tests/test_ccxt_wrapper.py index 10e334d..9ddfbc1 100644 --- a/tests/test_ccxt_wrapper.py +++ b/tests/test_ccxt_wrapper.py @@ -110,7 +110,23 @@ class poloniexETest(unittest.TestCase): retry_call.assert_not_called() def test_order_precision(self): - self.assertEqual(8, self.s.order_precision("FOO")) + self.s.markets = { + "FOO": { + "precision": { + "price": 5, + "amount": 6, + } + }, + "BAR": { + "precision": { + "price": 7, + "amount": 8, + } + } + } + with mock.patch.object(self.s, "load_markets") as load_markets: + self.assertEqual(5, self.s.order_precision("FOO")) + load_markets.assert_called_once() def test_transfer_balance(self): with self.subTest(success=True),\ @@ -167,33 +183,6 @@ class poloniexETest(unittest.TestCase): } self.assertEqual(expected, self.s.margin_summary()) - def test_create_order(self): - with mock.patch.object(self.s, "create_exchange_order") as exchange,\ - mock.patch.object(self.s, "create_margin_order") as margin: - with self.subTest(account="unspecified"): - self.s.create_order("symbol", "type", "side", "amount", price="price", lending_rate="lending_rate", params="params") - exchange.assert_called_once_with("symbol", "type", "side", "amount", price="price", params="params") - margin.assert_not_called() - exchange.reset_mock() - margin.reset_mock() - - with self.subTest(account="exchange"): - self.s.create_order("symbol", "type", "side", "amount", account="exchange", price="price", lending_rate="lending_rate", params="params") - exchange.assert_called_once_with("symbol", "type", "side", "amount", price="price", params="params") - margin.assert_not_called() - exchange.reset_mock() - margin.reset_mock() - - with self.subTest(account="margin"): - self.s.create_order("symbol", "type", "side", "amount", account="margin", price="price", lending_rate="lending_rate", params="params") - margin.assert_called_once_with("symbol", "type", "side", "amount", lending_rate="lending_rate", price="price", params="params") - exchange.assert_not_called() - exchange.reset_mock() - margin.reset_mock() - - with self.subTest(account="unknown"), self.assertRaises(NotImplementedError): - self.s.create_order("symbol", "type", "side", "amount", account="unknown") - def test_parse_ticker(self): ticker = { "high24hr": "12", @@ -439,11 +428,13 @@ class poloniexETest(unittest.TestCase): self.assertEqual(expected_doge, result["DOGE"]) self.assertEqual(expected_btc, result["BTC"]) - def test_create_margin_order(self): - with self.assertRaises(market.ExchangeError): - self.s.create_margin_order("FOO", "market", "buy", "10") + def test_create_order(self): + with self.subTest(type="market"),\ + self.assertRaises(market.ExchangeError): + self.s.create_order("FOO", "market", "buy", "10") - with mock.patch.object(self.s, "load_markets") as load_markets,\ + with self.subTest(type="limit", account="margin"),\ + mock.patch.object(self.s, "load_markets") as load_markets,\ mock.patch.object(self.s, "privatePostMarginBuy") as margin_buy,\ mock.patch.object(self.s, "privatePostMarginSell") as margin_sell,\ mock.patch.object(self.s, "market") as market_mock,\ @@ -460,26 +451,97 @@ class poloniexETest(unittest.TestCase): ptp.return_value = D("0.1") atp.return_value = D("12") - order = self.s.create_margin_order("BTC_ETC", "margin", "buy", "12", price="0.1") + order = self.s.create_order("BTC_ETC", "limit", "buy", "12", + account="margin", price="0.1") self.assertEqual(123, order["id"]) margin_buy.assert_called_once_with({"currencyPair": "BTC_ETC", "rate": D("0.1"), "amount": D("12")}) margin_sell.assert_not_called() margin_buy.reset_mock() margin_sell.reset_mock() - order = self.s.create_margin_order("BTC_ETC", "margin", "sell", "12", lending_rate="0.01", price="0.1") + order = self.s.create_order("BTC_ETC", "limit", "sell", + "12", account="margin", lending_rate="0.01", price="0.1") self.assertEqual(456, order["id"]) margin_sell.assert_called_once_with({"currencyPair": "BTC_ETC", "rate": D("0.1"), "amount": D("12"), "lendingRate": "0.01"}) margin_buy.assert_not_called() - def test_create_exchange_order(self): - with mock.patch.object(market.ccxt.poloniex, "create_order") as create_order: - self.s.create_order("symbol", "type", "side", "amount", price="price", params="params") + with self.subTest(type="limit", account="exchange"),\ + mock.patch.object(self.s, "load_markets") as load_markets,\ + mock.patch.object(self.s, "privatePostBuy") as exchange_buy,\ + mock.patch.object(self.s, "privatePostSell") as exchange_sell,\ + mock.patch.object(self.s, "market") as market_mock,\ + mock.patch.object(self.s, "price_to_precision") as ptp,\ + mock.patch.object(self.s, "amount_to_precision") as atp: - create_order.assert_called_once_with("symbol", "type", "side", "amount", price="price", params="params") + exchange_buy.return_value = { + "orderNumber": 123 + } + exchange_sell.return_value = { + "orderNumber": 456 + } + market_mock.return_value = { "id": "BTC_ETC", "symbol": "BTC_ETC" } + ptp.return_value = D("0.1") + atp.return_value = D("12") + + order = self.s.create_order("BTC_ETC", "limit", "buy", "12", + account="exchange", price="0.1") + self.assertEqual(123, order["id"]) + exchange_buy.assert_called_once_with({"currencyPair": "BTC_ETC", "rate": D("0.1"), "amount": D("12")}) + exchange_sell.assert_not_called() + exchange_buy.reset_mock() + exchange_sell.reset_mock() + + order = self.s.create_order("BTC_ETC", "limit", "sell", + "12", account="exchange", lending_rate="0.01", price="0.1") + self.assertEqual(456, order["id"]) + exchange_sell.assert_called_once_with({"currencyPair": "BTC_ETC", "rate": D("0.1"), "amount": D("12")}) + exchange_buy.assert_not_called() + + with self.subTest(account="unknown"), self.assertRaises(NotImplementedError),\ + mock.patch.object(self.s, "load_markets") as load_markets: + self.s.create_order("symbol", "type", "side", "amount", account="unknown") def test_common_currency_code(self): self.assertEqual("FOO", self.s.common_currency_code("FOO")) def test_currency_id(self): self.assertEqual("FOO", self.s.currency_id("FOO")) + + def test_amount_to_precision(self): + self.s.markets = { + "FOO": { + "precision": { + "price": 5, + "amount": 6, + } + }, + "BAR": { + "precision": { + "price": 7, + "amount": 8, + } + } + } + self.assertEqual("0.0001", self.s.amount_to_precision("FOO", D("0.0001"))) + self.assertEqual("0.0000001", self.s.amount_to_precision("BAR", D("0.0000001"))) + self.assertEqual("0.000001", self.s.amount_to_precision("FOO", D("0.000001"))) + + def test_price_to_precision(self): + self.s.markets = { + "FOO": { + "precision": { + "price": 5, + "amount": 6, + } + }, + "BAR": { + "precision": { + "price": 7, + "amount": 8, + } + } + } + self.assertEqual("0.0001", self.s.price_to_precision("FOO", D("0.0001"))) + self.assertEqual("0.0000001", self.s.price_to_precision("BAR", D("0.0000001"))) + self.assertEqual("0", self.s.price_to_precision("FOO", D("0.000001"))) + diff --git a/tests/test_main.py b/tests/test_main.py index b650870..55b1382 100644 --- a/tests/test_main.py +++ b/tests/test_main.py @@ -103,7 +103,7 @@ class MainTest(WebMockTestCase): mock.patch("main.parse_config") as main_parse_config: with self.subTest(debug=False): main_parse_args.return_value = self.market_args() - main_parse_config.return_value = "pg_config" + main_parse_config.return_value = ["pg_config", "redis_config"] main_fetch_markets.return_value = [(1, {"key": "market_config"}, 3)] m = main.get_user_market("config_path.ini", 1) @@ -114,7 +114,7 @@ class MainTest(WebMockTestCase): main_parse_args.reset_mock() with self.subTest(debug=True): main_parse_args.return_value = self.market_args(debug=True) - main_parse_config.return_value = "pg_config" + main_parse_config.return_value = ["pg_config", "redis_config"] main_fetch_markets.return_value = [(1, {"key": "market_config"}, 3)] m = main.get_user_market("config_path.ini", 1, debug=True)