[perso/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Trader.git] / ccxt_wrapper.py

from ccxt import *
import decimal
import time

def _cw_exchange_sum(self, *args):
    return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))])
Exchange.sum = _cw_exchange_sum

class poloniexE(poloniex):
    @staticmethod
    def nanoseconds():
        return int(time.time() * 1000000000)

    def nonce(self):
        return self.nanoseconds()

    def fetch_balance(self, params={}):
        self.load_markets()
        balances = self.privatePostReturnCompleteBalances(self.extend({
            'account': 'all',
            }, params))
        result = {'info': balances}
        currencies = list(balances.keys())
        for c in range(0, len(currencies)):
            id = currencies[c]
            balance = balances[id]
            currency = self.common_currency_code(id)
            account = {
                    'free': decimal.Decimal(balance['available']),
                    'used': decimal.Decimal(balance['onOrders']),
                    'total': decimal.Decimal(0.0),
                    }
            account['total'] = self.sum(account['free'], account['used'])
            result[currency] = account
        return self.parse_balance(result)

    def fetch_margin_balance(self):
        """
        portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
        See DASH/BTC positions
        {'amount': '-0.10000000',          -> DASH empruntés
        'basePrice': '0.06818560',        -> à ce prix là (0.06828800 demandé * (1-0.15%))
        'lendingFees': '0.00000000',      -> ce que je dois à mon créditeur
        'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin)
        'pl': '-0.00000371',              -> plus-value latente si je rachète tout de suite (négatif = perdu)
        'total': '0.00681856',            -> valeur totale empruntée en BTC
        'type': 'short'}
        """
        positions = self.privatePostGetMarginPosition({"currencyPair": "all"})
        parsed = {}
        for symbol, position in positions.items():
            if position["type"] == "none":
                continue
            base_currency, currency = symbol.split("_")
            parsed[currency] = {
                    "amount": decimal.Decimal(position["amount"]),
                    "borrowedPrice": decimal.Decimal(position["basePrice"]),
                    "lendingFees": decimal.Decimal(position["lendingFees"]),
                    "pl": decimal.Decimal(position["pl"]),
                    "liquidationPrice": decimal.Decimal(position["liquidationPrice"]),
                    "type": position["type"],
                    "total": decimal.Decimal(position["total"]),
                    "baseCurrency": base_currency, 
                    }
        return parsed

    def fetch_balance_per_type(self):
        balances = self.privatePostReturnAvailableAccountBalances()
        result = {'info': balances}
        for key, balance in balances.items():
            result[key] = {}
            for currency, amount in balance.items():
                if currency not in result:
                    result[currency] = {}
                result[currency][key] = decimal.Decimal(amount)
                result[key][currency] = decimal.Decimal(amount)
        return result

    def fetch_all_balances(self):
        exchange_balances = self.fetch_balance()
        margin_balances = self.fetch_margin_balance()
        balances_per_type = self.fetch_balance_per_type()

        all_balances = {}
        in_positions = {}

        for currency, exchange_balance in exchange_balances.items():
            if currency in ["info", "free", "used", "total"]:
                continue

            margin_balance = margin_balances.get(currency, {})
            balance_per_type = balances_per_type.get(currency, {})

            all_balances[currency] = {
                "total": exchange_balance["total"] + margin_balance.get("amount", 0),
                "exchange_used": exchange_balance["used"],
                "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0),
                "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0),
                "margin_free": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
                "margin_borrowed": 0,
                "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
                "margin_lending_fees": margin_balance.get("lendingFees", 0),
                "margin_pending_gain": margin_balance.get("pl", 0),
                "margin_position_type": margin_balance.get("type", None),
                "margin_liquidation_price": margin_balance.get("liquidationPrice", 0),
                "margin_borrowed_base_price": margin_balance.get("total", 0),
                "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None),
                }
            if len(margin_balance) > 0:
                if margin_balance["baseCurrency"] not in in_positions:
                    in_positions[margin_balance["baseCurrency"]] = 0
                in_positions[margin_balance["baseCurrency"]] += margin_balance["total"]

        for currency, in_position in in_positions.items():
            all_balances[currency]["total"] += in_position
            all_balances[currency]["margin_total"] += in_position
            all_balances[currency]["margin_borrowed"] += in_position

        return all_balances

    def parse_ticker(self, ticker, market=None):
        timestamp = self.milliseconds()
        symbol = None
        if market:
            symbol = market['symbol']
        return {
            'symbol': symbol,
            'timestamp': timestamp,
            'datetime': self.iso8601(timestamp),
            'high': decimal.Decimal(ticker['high24hr']),
            'low': decimal.Decimal(ticker['low24hr']),
            'bid': decimal.Decimal(ticker['highestBid']),
            'ask': decimal.Decimal(ticker['lowestAsk']),
            'vwap': None,
            'open': None,
            'close': None,
            'first': None,
            'last': decimal.Decimal(ticker['last']),
            'change': decimal.Decimal(ticker['percentChange']),
            'percentage': None,
            'average': None,
            'baseVolume': decimal.Decimal(ticker['quoteVolume']),
            'quoteVolume': decimal.Decimal(ticker['baseVolume']),
            'info': ticker,
        }

    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 create_exchange_order(self, symbol, type, side, amount, price=None, params={}):
        return super(poloniexE, self).create_order(symbol, type, side, amount, price=price, params=params)

    def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}):
        if account == "exchange":
            return self.create_exchange_order(symbol, type, side, amount, price=price, params=params)
        elif account == "margin":
            return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params)
        else:
            raise NotImplementedError

    def order_precision(self, symbol):
        return 8

    def transfer_balance(self, currency, amount, from_account, to_account):
        result = self.privatePostTransferBalance({
            "currency": currency,
            "amount": amount,
            "fromAccount": from_account,
            "toAccount": to_account,
            "confirmed": 1})
        return result["success"] == 1

    def close_margin_position(self, currency, base_currency):
        """
        closeMarginPosition({"currencyPair": "BTC_DASH"})
        fermer la position au prix du marché
        """
        symbol = "{}_{}".format(base_currency, currency)
        self.privatePostCloseMarginPosition({"currencyPair": symbol})

    def tradable_balances(self):
        """
        portfolio.market.privatePostReturnTradableBalances()
        Returns tradable balances in margin
        'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'},
        Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte)
        'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'},
        Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM
        """

        tradable_balances = self.privatePostReturnTradableBalances()
        for symbol, balances in tradable_balances.items():
            for currency, balance in balances.items():
                balances[currency] = decimal.Decimal(balance)
        return tradable_balances

    def margin_summary(self):
        """
        portfolio.market.privatePostReturnMarginAccountSummary()
        Returns current informations for margin
        {'currentMargin': '1.49680968',      -> marge (ne doit pas descendre sous 20% / 0.2)
                                                = netValue / totalBorrowedValue
        'lendingFees': '0.00000000',        -> fees totaux
        'netValue': '0.01008254',           -> balance + plus-value
        'pl': '0.00008254',                 -> plus value latente (somme des positions)
        'totalBorrowedValue': '0.00673602', -> valeur en BTC empruntée
        'totalValue': '0.01000000'}         -> valeur totale en compte
        """
        summary = self.privatePostReturnMarginAccountSummary()

        return {
                "current_margin": decimal.Decimal(summary["currentMargin"]),
                "lending_fees": decimal.Decimal(summary["lendingFees"]),
                "gains": decimal.Decimal(summary["pl"]),
                "total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]),
                "total": decimal.Decimal(summary["totalValue"]),
                }
Commit	Line	Data
774c099c IB	1	from ccxt import *
774c099c IB	2	import decimal
9f1408a3	3	import time
774c099c IB	4
	5	def _cw_exchange_sum(self, *args):
	6	return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))])
	7	Exchange.sum = _cw_exchange_sum
	8
2308a1c4	9	class poloniexE(poloniex):
9f1408a3 IB	10	@staticmethod
	11	def nanoseconds():
	12	return int(time.time() * 1000000000)
	13
	14	def nonce(self):
	15	return self.nanoseconds()
	16
2308a1c4 IB	17	def fetch_balance(self, params={}):
	18	self.load_markets()
	19	balances = self.privatePostReturnCompleteBalances(self.extend({
	20	'account': 'all',
	21	}, params))
	22	result = {'info': balances}
	23	currencies = list(balances.keys())
	24	for c in range(0, len(currencies)):
	25	id = currencies[c]
	26	balance = balances[id]
	27	currency = self.common_currency_code(id)
	28	account = {
	29	'free': decimal.Decimal(balance['available']),
	30	'used': decimal.Decimal(balance['onOrders']),
	31	'total': decimal.Decimal(0.0),
	32	}
	33	account['total'] = self.sum(account['free'], account['used'])
	34	result[currency] = account
	35	return self.parse_balance(result)
	36
	37	def fetch_margin_balance(self):
	38	"""
	39	portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
	40	See DASH/BTC positions
	41	{'amount': '-0.10000000', -> DASH empruntés
	42	'basePrice': '0.06818560', -> à ce prix là (0.06828800 demandé * (1-0.15%))
	43	'lendingFees': '0.00000000', -> ce que je dois à mon créditeur
	44	'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin)
	45	'pl': '-0.00000371', -> plus-value latente si je rachète tout de suite (négatif = perdu)
	46	'total': '0.00681856', -> valeur totale empruntée en BTC
	47	'type': 'short'}
	48	"""
	49	positions = self.privatePostGetMarginPosition({"currencyPair": "all"})
	50	parsed = {}
	51	for symbol, position in positions.items():
	52	if position["type"] == "none":
	53	continue
	54	base_currency, currency = symbol.split("_")
	55	parsed[currency] = {
	56	"amount": decimal.Decimal(position["amount"]),
	57	"borrowedPrice": decimal.Decimal(position["basePrice"]),
	58	"lendingFees": decimal.Decimal(position["lendingFees"]),
	59	"pl": decimal.Decimal(position["pl"]),
	60	"liquidationPrice": decimal.Decimal(position["liquidationPrice"]),
	61	"type": position["type"],
	62	"total": decimal.Decimal(position["total"]),
	63	"baseCurrency": base_currency,
	64	}
	65	return parsed
	66
	67	def fetch_balance_per_type(self):
	68	balances = self.privatePostReturnAvailableAccountBalances()
	69	result = {'info': balances}
	70	for key, balance in balances.items():
	71	result[key] = {}
	72	for currency, amount in balance.items():
	73	if currency not in result:
	74	result[currency] = {}
	75	result[currency][key] = decimal.Decimal(amount)
	76	result[key][currency] = decimal.Decimal(amount)
	77	return result
	78
	79	def fetch_all_balances(self):
	80	exchange_balances = self.fetch_balance()
81	margin_balances = self.fetch_margin_balance()
82	balances_per_type = self.fetch_balance_per_type()
83
84	all_balances = {}
85	in_positions = {}
86
87	for currency, exchange_balance in exchange_balances.items():
88	if currency in ["info", "free", "used", "total"]:
89	continue
90
91	margin_balance = margin_balances.get(currency, {})
92	balance_per_type = balances_per_type.get(currency, {})
93
94	all_balances[currency] = {
95	"total": exchange_balance["total"] + margin_balance.get("amount", 0),
96	"exchange_used": exchange_balance["used"],
97	"exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0),
98	"exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0),
99	"margin_free": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
100	"margin_borrowed": 0,
101	"margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
102	"margin_lending_fees": margin_balance.get("lendingFees", 0),
103	"margin_pending_gain": margin_balance.get("pl", 0),
104	"margin_position_type": margin_balance.get("type", None),
105	"margin_liquidation_price": margin_balance.get("liquidationPrice", 0),
106	"margin_borrowed_base_price": margin_balance.get("total", 0),
107	"margin_borrowed_base_currency": margin_balance.get("baseCurrency", None),
774c099c	108	}
2308a1c4 IB	109	if len(margin_balance) > 0:
	110	if margin_balance["baseCurrency"] not in in_positions:
	111	in_positions[margin_balance["baseCurrency"]] = 0
	112	in_positions[margin_balance["baseCurrency"]] += margin_balance["total"]
	113
	114	for currency, in_position in in_positions.items():
	115	all_balances[currency]["total"] += in_position
	116	all_balances[currency]["margin_total"] += in_position
	117	all_balances[currency]["margin_borrowed"] += in_position
	118
	119	return all_balances
	120
	121	def parse_ticker(self, ticker, market=None):
	122	timestamp = self.milliseconds()
	123	symbol = None
	124	if market:
	125	symbol = market['symbol']
	126	return {
	127	'symbol': symbol,
	128	'timestamp': timestamp,
	129	'datetime': self.iso8601(timestamp),
	130	'high': decimal.Decimal(ticker['high24hr']),
	131	'low': decimal.Decimal(ticker['low24hr']),
	132	'bid': decimal.Decimal(ticker['highestBid']),
	133	'ask': decimal.Decimal(ticker['lowestAsk']),
	134	'vwap': None,
	135	'open': None,
	136	'close': None,
	137	'first': None,
	138	'last': decimal.Decimal(ticker['last']),
	139	'change': decimal.Decimal(ticker['percentChange']),
	140	'percentage': None,
	141	'average': None,
	142	'baseVolume': decimal.Decimal(ticker['quoteVolume']),
	143	'quoteVolume': decimal.Decimal(ticker['baseVolume']),
	144	'info': ticker,
	145	}
	146
	147	def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}):
	148	if type == 'market':
	149	raise ExchangeError(self.id + ' allows limit orders only')
	150	self.load_markets()
	151	method = 'privatePostMargin' + self.capitalize(side)
	152	market = self.market(symbol)
	153	price = float(price)
	154	amount = float(amount)
	155	if lending_rate is not None:
	156	params = self.extend({"lendingRate": lending_rate}, params)
	157	response = getattr(self, method)(self.extend({
	158	'currencyPair': market['id'],
	159	'rate': self.price_to_precision(symbol, price),
	160	'amount': self.amount_to_precision(symbol, amount),
	161	}, params))
	162	timestamp = self.milliseconds()
	163	order = self.parse_order(self.extend({
	164	'timestamp': timestamp,
	165	'status': 'open',
	166	'type': type,
	167	'side': side,
	168	'price': price,
	169	'amount': amount,
	170	}, response), market)
	171	id = order['id']
	172	self.orders[id] = order
173	return self.extend({'info': response}, order)
174
175	def create_exchange_order(self, symbol, type, side, amount, price=None, params={}):
176	return super(poloniexE, self).create_order(symbol, type, side, amount, price=price, params=params)
177
178	def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}):
179	if account == "exchange":
180	return self.create_exchange_order(symbol, type, side, amount, price=price, params=params)
181	elif account == "margin":
182	return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params)
183	else:
184	raise NotImplementedError
185
186	def order_precision(self, symbol):
187	return 8
188
189	def transfer_balance(self, currency, amount, from_account, to_account):
190	result = self.privatePostTransferBalance({
191	"currency": currency,
192	"amount": amount,
193	"fromAccount": from_account,
194	"toAccount": to_account,
195	"confirmed": 1})
196	return result["success"] == 1
197
198	def close_margin_position(self, currency, base_currency):
199	"""
200	closeMarginPosition({"currencyPair": "BTC_DASH"})
201	fermer la position au prix du marché
202	"""
203	symbol = "{}_{}".format(base_currency, currency)
204	self.privatePostCloseMarginPosition({"currencyPair": symbol})
205
206	def tradable_balances(self):
207	"""
208	portfolio.market.privatePostReturnTradableBalances()
209	Returns tradable balances in margin
210	'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'},
211	Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte)
212	'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'},
213	Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM
214	"""
215
216	tradable_balances = self.privatePostReturnTradableBalances()
217	for symbol, balances in tradable_balances.items():
218	for currency, balance in balances.items():
219	balances[currency] = decimal.Decimal(balance)
220	return tradable_balances
221
222	def margin_summary(self):
223	"""
224	portfolio.market.privatePostReturnMarginAccountSummary()
225	Returns current informations for margin
226	{'currentMargin': '1.49680968', -> marge (ne doit pas descendre sous 20% / 0.2)
227	= netValue / totalBorrowedValue
228	'lendingFees': '0.00000000', -> fees totaux
229	'netValue': '0.01008254', -> balance + plus-value
230	'pl': '0.00008254', -> plus value latente (somme des positions)
231	'totalBorrowedValue': '0.00673602', -> valeur en BTC empruntée
232	'totalValue': '0.01000000'} -> valeur totale en compte
233	"""
234	summary = self.privatePostReturnMarginAccountSummary()
235
236	return {
237	"current_margin": decimal.Decimal(summary["currentMargin"]),
238	"lending_fees": decimal.Decimal(summary["lendingFees"]),
239	"gains": decimal.Decimal(summary["pl"]),
240	"total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]),
241	"total": decimal.Decimal(summary["totalValue"]),
774c099c	242	}
774c099c	243