From: Ismaël Bouya Date: Sun, 21 Jan 2018 14:17:48 +0000 (+0100) Subject: Add compute value lambdas for currency conversion X-Git-Tag: v0.1~36 X-Git-Url: https://git.immae.eu/?a=commitdiff_plain;h=deb8924cc60f0d64575657399f4fe112ff1cfb31;p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git Add compute value lambdas for currency conversion --- diff --git a/portfolio.py b/portfolio.py index 4991dce..5211dd8 100644 --- a/portfolio.py +++ b/portfolio.py @@ -89,14 +89,14 @@ class Amount: self.ticker_cache = {} self.ticker_cache_timestamp = time.time() - def in_currency(self, other_currency, market, action="average"): + def in_currency(self, other_currency, market, action=None, compute_value="average"): if other_currency == self.currency: return self asset_ticker = Trade.get_ticker(self.currency, other_currency, market) if asset_ticker is not None: return Amount( other_currency, - self.value * asset_ticker[action], + self.value * Trade.compute_value(asset_ticker, action, compute_value=compute_value), linked_to=self, ticker=asset_ticker) else: @@ -175,12 +175,12 @@ class Balance: return cls(currency, hash_["total"], hash_["free"], hash_["used"]) @classmethod - def in_currency(cls, other_currency, market, action="average", type="total"): + 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, action=action) + .in_currency(other_currency, market, compute_value=compute_value) amounts[currency] = other_currency_amount return amounts @@ -213,16 +213,34 @@ class Balance: return amounts @classmethod - def prepare_trades(cls, market, base_currency="BTC"): + def prepare_trades(cls, market, base_currency="BTC", compute_value=None): cls.fetch_balances(market) values_in_base = cls.in_currency(base_currency, market) total_base_value = sum(values_in_base.values()) new_repartition = cls.dispatch_assets(total_base_value) - Trade.compute_trades(values_in_base, new_repartition, market=market) + # Recompute it in case we have new currencies + values_in_base = cls.in_currency(base_currency, market) + Trade.compute_trades(values_in_base, new_repartition, market=market, compute_value=compute_value) def __repr__(self): return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) +class Computation: + def average_inverse(ticker, action): + if ticker["inverted"]: + return 1/ticker["original"]["average"] + else: + return ticker["average"] + + computations = { + "default": lambda x, y: x[y], + "average_inverse": average_inverse, + "average": lambda x, y: x["average"], + "bid": lambda x, y: x["bid"], + "ask": lambda x, y: x["ask"], + } + + class Trade: trades = {} @@ -282,7 +300,7 @@ class Trade: return cls.get_ticker(c1, c2, market) @classmethod - def compute_trades(cls, values_in_base, new_repartition, market=None): + def compute_trades(cls, values_in_base, new_repartition, market=None, compute_value=None): base_currency = sum(values_in_base.values()).currency for currency in Balance.currencies(): if currency == base_currency: @@ -293,7 +311,8 @@ class Trade: currency, market=market ) - cls.trades[currency].prepare_order() + if compute_value is not None: + cls.trades[currency].prepare_order(compute_value=compute_value) return cls.trades @property @@ -314,7 +333,7 @@ class Trade: else: return "bid" if not inverted else "ask" - def prepare_order(self): + def prepare_order(self, compute_value="default"): if self.action is None: return ticker = self.value_from.ticker @@ -322,7 +341,9 @@ class Trade: if not inverted: value_from = self.value_from.linked_to - value_to = self.value_to.in_currency(self.currency, self.market) + # The ticker will most probably be inverted, but we want the average + # of the initial value + value_to = self.value_to.in_currency(self.currency, self.market, compute_value="average_inverse") delta = abs(value_to - value_from) currency = self.base_currency else: @@ -330,10 +351,16 @@ class Trade: delta = abs(self.value_to - self.value_from) currency = self.currency - rate = ticker[self.order_action(inverted)] + rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) self.orders.append(Order(self.order_action(inverted), delta, rate, currency)) + @classmethod + def compute_value(cls, ticker, action, compute_value="default"): + if type(compute_value) == str: + compute_value = Computation.computations[compute_value] + return compute_value(ticker, action) + @classmethod def all_orders(cls): return sum(map(lambda v: v.orders, cls.trades.values()), []) @@ -401,7 +428,7 @@ class Order: return self.status def print_orders(market, base_currency="BTC"): - Balance.prepare_trades(market, base_currency=base_currency) + Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") for currency, balance in Balance.known_balances.items(): print(balance) for currency, trade in Trade.trades.items(): diff --git a/test.py b/test.py index fde3a06..a9baadf 100644 --- a/test.py +++ b/test.py @@ -22,6 +22,8 @@ class AmountTest(unittest.TestCase): with mock.patch.object(portfolio.Trade, 'get_ticker', new=ticker_mock): ticker_mock.return_value = { + "bid": D("0.2"), + "ask": D("0.4"), "average": D("0.3"), "foo": "bar", } @@ -32,6 +34,12 @@ class AmountTest(unittest.TestCase): self.assertEqual(amount, converted_amount.linked_to) self.assertEqual("bar", converted_amount.ticker["foo"]) + converted_amount = amount.in_currency("ETH", None, action="bid", compute_value="default") + self.assertEqual(D("2"), converted_amount.value) + + converted_amount = amount.in_currency("ETH", None, compute_value="ask") + self.assertEqual(D("4"), converted_amount.value) + def test__abs(self): amount = portfolio.Amount("SC", -120) self.assertEqual(120, abs(amount).value) @@ -295,11 +303,11 @@ class BalanceTest(unittest.TestCase): self.assertEqual(D("0.65"), amounts["BTC"].value) self.assertEqual(D("0.30"), amounts["ETH"].value) - amounts = portfolio.Balance.in_currency("BTC", market, action="bid") + amounts = portfolio.Balance.in_currency("BTC", market, compute_value="bid") self.assertEqual(D("0.65"), amounts["BTC"].value) self.assertEqual(D("0.27"), amounts["ETH"].value) - amounts = portfolio.Balance.in_currency("BTC", market, action="bid", type="used") + amounts = portfolio.Balance.in_currency("BTC", market, compute_value="bid", type="used") self.assertEqual(D("0.30"), amounts["BTC"].value) self.assertEqual(0, amounts["ETH"].value) @@ -344,10 +352,16 @@ class BalanceTest(unittest.TestCase): "XEM": 7500, "BTC": 2500, } - get_ticker.side_effect = [ - { "average": D("0.0001") }, - { "average": D("0.000001") } - ] + def _get_ticker(c1, c2, market): + if c1 == "USDT" and c2 == "BTC": + return { "average": D("0.0001") } + if c1 == "XVG" and c2 == "BTC": + return { "average": D("0.000001") } + if c1 == "XEM" and c2 == "BTC": + return { "average": D("0.001") } + raise Exception("Should be called with {}, {}".format(c1, c2)) + get_ticker.side_effect = _get_ticker + market = mock.Mock() market.fetch_balance.return_value = { "USDT": { @@ -492,6 +506,10 @@ class TradeTest(unittest.TestCase): def test_follow_orders(self): pass + @unittest.skip("TODO") + def test_compute_value(self): + pass + @unittest.skip("TODO") def test__repr(self): pass