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Commit | Line | Data |
---|---|---|
dd359bc0 | 1 | import time |
9f54fd9a | 2 | from datetime import datetime, timedelta |
350ed24d | 3 | from decimal import Decimal as D, ROUND_DOWN |
80cdd672 | 4 | from json import JSONDecodeError |
3d0247f9 | 5 | from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError |
f9226903 | 6 | from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound |
f70bb858 | 7 | from retry import retry |
80cdd672 IB |
8 | import requests |
9 | ||
10 | # FIXME: correctly handle web call timeouts | |
11 | ||
dd359bc0 IB |
12 | class Portfolio: |
13 | URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" | |
14 | liquidities = {} | |
15 | data = None | |
9f54fd9a | 16 | last_date = None |
dd359bc0 IB |
17 | |
18 | @classmethod | |
f86ee140 IB |
19 | def wait_for_recent(cls, market, delta=4): |
20 | cls.repartition(market, refetch=True) | |
9f54fd9a IB |
21 | while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta): |
22 | time.sleep(30) | |
f86ee140 IB |
23 | market.report.print_log("Attempt to fetch up-to-date cryptoportfolio") |
24 | cls.repartition(market, refetch=True) | |
9f54fd9a IB |
25 | |
26 | @classmethod | |
f86ee140 IB |
27 | def repartition(cls, market, liquidity="medium", refetch=False): |
28 | cls.parse_cryptoportfolio(market, refetch=refetch) | |
dd359bc0 | 29 | liquidities = cls.liquidities[liquidity] |
c11e4274 | 30 | return liquidities[cls.last_date] |
dd359bc0 IB |
31 | |
32 | @classmethod | |
f86ee140 | 33 | def get_cryptoportfolio(cls, market): |
183a53e3 | 34 | try: |
80cdd672 | 35 | r = requests.get(cls.URL) |
f86ee140 | 36 | market.report.log_http_request(r.request.method, |
3d0247f9 IB |
37 | r.request.url, r.request.body, r.request.headers, r) |
38 | except Exception as e: | |
f86ee140 | 39 | market.report.log_error("get_cryptoportfolio", exception=e) |
80cdd672 | 40 | return |
183a53e3 | 41 | try: |
80cdd672 | 42 | cls.data = r.json(parse_int=D, parse_float=D) |
3d0247f9 | 43 | except (JSONDecodeError, SimpleJSONDecodeError): |
183a53e3 | 44 | cls.data = None |
dd359bc0 IB |
45 | |
46 | @classmethod | |
f86ee140 | 47 | def parse_cryptoportfolio(cls, market, refetch=False): |
9f54fd9a | 48 | if refetch or cls.data is None: |
f86ee140 | 49 | cls.get_cryptoportfolio(market) |
dd359bc0 IB |
50 | |
51 | def filter_weights(weight_hash): | |
350ed24d | 52 | if weight_hash[1][0] == 0: |
dd359bc0 IB |
53 | return False |
54 | if weight_hash[0] == "_row": | |
55 | return False | |
56 | return True | |
57 | ||
58 | def clean_weights(i): | |
59 | def clean_weights_(h): | |
350ed24d IB |
60 | if h[0].endswith("s"): |
61 | return [h[0][0:-1], (h[1][i], "short")] | |
dd359bc0 | 62 | else: |
350ed24d | 63 | return [h[0], (h[1][i], "long")] |
dd359bc0 IB |
64 | return clean_weights_ |
65 | ||
66 | def parse_weights(portfolio_hash): | |
dd359bc0 IB |
67 | weights_hash = portfolio_hash["weights"] |
68 | weights = {} | |
69 | for i in range(len(weights_hash["_row"])): | |
9f54fd9a IB |
70 | date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d") |
71 | weights[date] = dict(filter( | |
dd359bc0 IB |
72 | filter_weights, |
73 | map(clean_weights(i), weights_hash.items()))) | |
74 | return weights | |
75 | ||
76 | high_liquidity = parse_weights(cls.data["portfolio_1"]) | |
77 | medium_liquidity = parse_weights(cls.data["portfolio_2"]) | |
78 | ||
79 | cls.liquidities = { | |
80 | "medium": medium_liquidity, | |
81 | "high": high_liquidity, | |
82 | } | |
9f54fd9a | 83 | cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys())) |
dd359bc0 | 84 | |
6ca5a1ec IB |
85 | class Computation: |
86 | computations = { | |
87 | "default": lambda x, y: x[y], | |
88 | "average": lambda x, y: x["average"], | |
89 | "bid": lambda x, y: x["bid"], | |
90 | "ask": lambda x, y: x["ask"], | |
91 | } | |
92 | ||
93 | @classmethod | |
94 | def compute_value(cls, ticker, action, compute_value="default"): | |
95 | if action == "buy": | |
96 | action = "ask" | |
97 | if action == "sell": | |
98 | action = "bid" | |
99 | if isinstance(compute_value, str): | |
100 | compute_value = cls.computations[compute_value] | |
101 | return compute_value(ticker, action) | |
102 | ||
dd359bc0 | 103 | class Amount: |
c2644ba8 | 104 | def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): |
dd359bc0 | 105 | self.currency = currency |
5ab23e1c | 106 | self.value = D(value) |
dd359bc0 IB |
107 | self.linked_to = linked_to |
108 | self.ticker = ticker | |
c2644ba8 | 109 | self.rate = rate |
dd359bc0 | 110 | |
c2644ba8 | 111 | def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): |
dd359bc0 IB |
112 | if other_currency == self.currency: |
113 | return self | |
c2644ba8 IB |
114 | if rate is not None: |
115 | return Amount( | |
116 | other_currency, | |
117 | self.value * rate, | |
118 | linked_to=self, | |
119 | rate=rate) | |
f86ee140 | 120 | asset_ticker = market.get_ticker(self.currency, other_currency) |
dd359bc0 | 121 | if asset_ticker is not None: |
6ca5a1ec | 122 | rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) |
dd359bc0 IB |
123 | return Amount( |
124 | other_currency, | |
c2644ba8 | 125 | self.value * rate, |
dd359bc0 | 126 | linked_to=self, |
c2644ba8 IB |
127 | ticker=asset_ticker, |
128 | rate=rate) | |
dd359bc0 IB |
129 | else: |
130 | raise Exception("This asset is not available in the chosen market") | |
131 | ||
3d0247f9 IB |
132 | def as_json(self): |
133 | return { | |
134 | "currency": self.currency, | |
135 | "value": round(self).value.normalize(), | |
136 | } | |
137 | ||
350ed24d IB |
138 | def __round__(self, n=8): |
139 | return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) | |
140 | ||
dd359bc0 | 141 | def __abs__(self): |
5ab23e1c | 142 | return Amount(self.currency, abs(self.value)) |
dd359bc0 IB |
143 | |
144 | def __add__(self, other): | |
f320eb8a IB |
145 | if other == 0: |
146 | return self | |
5ab23e1c | 147 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 148 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 149 | return Amount(self.currency, self.value + other.value) |
dd359bc0 IB |
150 | |
151 | def __radd__(self, other): | |
152 | if other == 0: | |
153 | return self | |
154 | else: | |
155 | return self.__add__(other) | |
156 | ||
157 | def __sub__(self, other): | |
c51687d2 IB |
158 | if other == 0: |
159 | return self | |
5ab23e1c | 160 | if other.currency != self.currency and other.value * self.value != 0: |
dd359bc0 | 161 | raise Exception("Summing amounts must be done with same currencies") |
5ab23e1c | 162 | return Amount(self.currency, self.value - other.value) |
dd359bc0 | 163 | |
f320eb8a IB |
164 | def __rsub__(self, other): |
165 | if other == 0: | |
166 | return -self | |
167 | else: | |
168 | return -self.__sub__(other) | |
169 | ||
dd359bc0 | 170 | def __mul__(self, value): |
77f8a378 | 171 | if not isinstance(value, (int, float, D)): |
dd359bc0 | 172 | raise TypeError("Amount may only be multiplied by numbers") |
5ab23e1c | 173 | return Amount(self.currency, self.value * value) |
dd359bc0 IB |
174 | |
175 | def __rmul__(self, value): | |
176 | return self.__mul__(value) | |
177 | ||
178 | def __floordiv__(self, value): | |
77f8a378 | 179 | if not isinstance(value, (int, float, D)): |
1aa7d4fa | 180 | raise TypeError("Amount may only be divided by numbers") |
5ab23e1c | 181 | return Amount(self.currency, self.value / value) |
dd359bc0 IB |
182 | |
183 | def __truediv__(self, value): | |
184 | return self.__floordiv__(value) | |
185 | ||
186 | def __lt__(self, other): | |
006a2084 IB |
187 | if other == 0: |
188 | return self.value < 0 | |
dd359bc0 IB |
189 | if self.currency != other.currency: |
190 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 191 | return self.value < other.value |
dd359bc0 | 192 | |
80cdd672 IB |
193 | def __le__(self, other): |
194 | return self == other or self < other | |
195 | ||
006a2084 IB |
196 | def __gt__(self, other): |
197 | return not self <= other | |
198 | ||
199 | def __ge__(self, other): | |
200 | return not self < other | |
201 | ||
dd359bc0 IB |
202 | def __eq__(self, other): |
203 | if other == 0: | |
5ab23e1c | 204 | return self.value == 0 |
dd359bc0 IB |
205 | if self.currency != other.currency: |
206 | raise Exception("Comparing amounts must be done with same currencies") | |
5ab23e1c | 207 | return self.value == other.value |
dd359bc0 | 208 | |
006a2084 IB |
209 | def __ne__(self, other): |
210 | return not self == other | |
211 | ||
212 | def __neg__(self): | |
213 | return Amount(self.currency, - self.value) | |
214 | ||
dd359bc0 IB |
215 | def __str__(self): |
216 | if self.linked_to is None: | |
217 | return "{:.8f} {}".format(self.value, self.currency) | |
218 | else: | |
219 | return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) | |
220 | ||
221 | def __repr__(self): | |
222 | if self.linked_to is None: | |
223 | return "Amount({:.8f} {})".format(self.value, self.currency) | |
224 | else: | |
225 | return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) | |
226 | ||
227 | class Balance: | |
3d0247f9 | 228 | base_keys = ["total", "exchange_total", "exchange_used", |
aca4d437 IB |
229 | "exchange_free", "margin_total", "margin_in_position", |
230 | "margin_available", "margin_borrowed", "margin_pending_gain"] | |
dd359bc0 | 231 | |
006a2084 | 232 | def __init__(self, currency, hash_): |
dd359bc0 | 233 | self.currency = currency |
3d0247f9 | 234 | for key in self.base_keys: |
006a2084 IB |
235 | setattr(self, key, Amount(currency, hash_.get(key, 0))) |
236 | ||
80cdd672 | 237 | self.margin_position_type = hash_.get("margin_position_type") |
006a2084 | 238 | |
80cdd672 | 239 | if hash_.get("margin_borrowed_base_currency") is not None: |
006a2084 IB |
240 | base_currency = hash_["margin_borrowed_base_currency"] |
241 | for key in [ | |
242 | "margin_liquidation_price", | |
006a2084 | 243 | "margin_lending_fees", |
aca4d437 | 244 | "margin_pending_base_gain", |
006a2084 IB |
245 | "margin_borrowed_base_price" |
246 | ]: | |
c51687d2 | 247 | setattr(self, key, Amount(base_currency, hash_.get(key, 0))) |
f2da6589 | 248 | |
3d0247f9 IB |
249 | def as_json(self): |
250 | return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys)) | |
251 | ||
dd359bc0 | 252 | def __repr__(self): |
006a2084 IB |
253 | if self.exchange_total > 0: |
254 | if self.exchange_free > 0 and self.exchange_used > 0: | |
255 | exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) | |
256 | elif self.exchange_free > 0: | |
257 | exchange = " Exch: [✔{}]".format(str(self.exchange_free)) | |
258 | else: | |
259 | exchange = " Exch: [❌{}]".format(str(self.exchange_used)) | |
260 | else: | |
261 | exchange = "" | |
262 | ||
263 | if self.margin_total > 0: | |
aca4d437 IB |
264 | if self.margin_available != 0 and self.margin_in_position != 0: |
265 | margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total)) | |
266 | elif self.margin_available != 0: | |
267 | margin = " Margin: [✔{}]".format(str(self.margin_available)) | |
006a2084 | 268 | else: |
aca4d437 | 269 | margin = " Margin: [❌{}]".format(str(self.margin_in_position)) |
006a2084 IB |
270 | elif self.margin_total < 0: |
271 | margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), | |
272 | str(self.margin_borrowed_base_price), | |
273 | str(self.margin_lending_fees)) | |
274 | else: | |
275 | margin = "" | |
276 | ||
277 | if self.margin_total != 0 and self.exchange_total != 0: | |
278 | total = " Total: [{}]".format(str(self.total)) | |
279 | else: | |
280 | total = "" | |
281 | ||
282 | return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" | |
dd359bc0 IB |
283 | |
284 | class Trade: | |
f86ee140 | 285 | def __init__(self, value_from, value_to, currency, market): |
dd359bc0 IB |
286 | # We have value_from of currency, and want to finish with value_to of |
287 | # that currency. value_* may not be in currency's terms | |
288 | self.currency = currency | |
289 | self.value_from = value_from | |
290 | self.value_to = value_to | |
291 | self.orders = [] | |
089d5d9d | 292 | self.market = market |
17598517 | 293 | self.closed = False |
aca4d437 | 294 | assert self.value_from.value * self.value_to.value >= 0 |
dd359bc0 | 295 | assert self.value_from.currency == self.value_to.currency |
006a2084 IB |
296 | if self.value_from != 0: |
297 | assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency | |
298 | elif self.value_from.linked_to is None: | |
299 | self.value_from.linked_to = Amount(self.currency, 0) | |
dd359bc0 IB |
300 | self.base_currency = self.value_from.currency |
301 | ||
aca4d437 IB |
302 | @property |
303 | def delta(self): | |
304 | return self.value_to - self.value_from | |
305 | ||
dd359bc0 IB |
306 | @property |
307 | def action(self): | |
308 | if self.value_from == self.value_to: | |
309 | return None | |
310 | if self.base_currency == self.currency: | |
311 | return None | |
312 | ||
5a72ded7 | 313 | if abs(self.value_from) < abs(self.value_to): |
006a2084 | 314 | return "acquire" |
dd359bc0 | 315 | else: |
006a2084 | 316 | return "dispose" |
dd359bc0 | 317 | |
cfab619d | 318 | def order_action(self, inverted): |
006a2084 | 319 | if (self.value_from < self.value_to) != inverted: |
350ed24d | 320 | return "buy" |
dd359bc0 | 321 | else: |
350ed24d | 322 | return "sell" |
dd359bc0 | 323 | |
006a2084 IB |
324 | @property |
325 | def trade_type(self): | |
326 | if self.value_from + self.value_to < 0: | |
327 | return "short" | |
328 | else: | |
329 | return "long" | |
330 | ||
17598517 IB |
331 | @property |
332 | def pending(self): | |
333 | return not (self.is_fullfiled or self.closed) | |
334 | ||
335 | def close(self): | |
f9226903 IB |
336 | for order in self.orders: |
337 | order.cancel() | |
17598517 IB |
338 | self.closed = True |
339 | ||
aca4d437 IB |
340 | @property |
341 | def is_fullfiled(self): | |
342 | return abs(self.filled_amount(in_base_currency=True)) >= abs(self.delta) | |
343 | ||
1aa7d4fa | 344 | def filled_amount(self, in_base_currency=False): |
80cdd672 IB |
345 | filled_amount = 0 |
346 | for order in self.orders: | |
1aa7d4fa | 347 | filled_amount += order.filled_amount(in_base_currency=in_base_currency) |
80cdd672 IB |
348 | return filled_amount |
349 | ||
350 | def update_order(self, order, tick): | |
aca4d437 IB |
351 | actions = { |
352 | 0: ["waiting", None], | |
353 | 1: ["waiting", None], | |
354 | 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2], | |
355 | 3: ["waiting", None], | |
356 | 4: ["waiting", None], | |
357 | 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3], | |
358 | 6: ["waiting", None], | |
359 | 7: ["market_fallback", "default"], | |
360 | } | |
361 | ||
362 | if tick in actions: | |
363 | update, compute_value = actions[tick] | |
364 | elif tick % 3 == 1: | |
365 | update = "market_adjust" | |
366 | compute_value = "default" | |
367 | else: | |
3d0247f9 IB |
368 | update = "waiting" |
369 | compute_value = None | |
aca4d437 IB |
370 | |
371 | if compute_value is not None: | |
372 | order.cancel() | |
373 | new_order = self.prepare_order(compute_value=compute_value) | |
374 | else: | |
375 | new_order = None | |
3d0247f9 | 376 | |
f86ee140 | 377 | self.market.report.log_order(order, tick, update=update, |
3d0247f9 | 378 | compute_value=compute_value, new_order=new_order) |
80cdd672 IB |
379 | |
380 | if new_order is not None: | |
80cdd672 | 381 | new_order.run() |
f86ee140 | 382 | self.market.report.log_order(order, tick, new_order=new_order) |
80cdd672 | 383 | |
2033e7fe | 384 | def prepare_order(self, close_if_possible=None, compute_value="default"): |
dd359bc0 | 385 | if self.action is None: |
5a72ded7 | 386 | return None |
f86ee140 | 387 | ticker = self.market.get_ticker(self.currency, self.base_currency) |
dd359bc0 | 388 | inverted = ticker["inverted"] |
f2097d71 IB |
389 | if inverted: |
390 | ticker = ticker["original"] | |
6ca5a1ec | 391 | rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) |
f2097d71 | 392 | |
97922ff1 IB |
393 | # FIXME: Dust amount should be removed from there if they werent |
394 | # honored in other sales | |
aca4d437 | 395 | delta_in_base = abs(self.delta) |
c11e4274 | 396 | # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) |
dd359bc0 IB |
397 | |
398 | if not inverted: | |
1aa7d4fa | 399 | base_currency = self.base_currency |
350ed24d | 400 | # BTC |
006a2084 | 401 | if self.action == "dispose": |
1aa7d4fa IB |
402 | filled = self.filled_amount(in_base_currency=False) |
403 | delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
404 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC | |
405 | # worth of it, computed first with rate 10 FOO = 1 BTC. | |
406 | # -> I "sell" "90" FOO at proposed rate "rate". | |
407 | ||
408 | delta = delta - filled | |
409 | # I already sold 60 FOO, 30 left | |
f2097d71 | 410 | else: |
1aa7d4fa IB |
411 | filled = self.filled_amount(in_base_currency=True) |
412 | delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate) | |
413 | # I want to buy 9 BTC worth of FOO, computed with rate | |
414 | # 10 FOO = 1 BTC | |
415 | # -> I "buy" "9 / rate" FOO at proposed rate "rate" | |
416 | ||
417 | # I already bought 3 / rate FOO, 6 / rate left | |
dd359bc0 | 418 | else: |
1aa7d4fa | 419 | base_currency = self.currency |
c11e4274 | 420 | # FOO |
1aa7d4fa IB |
421 | if self.action == "dispose": |
422 | filled = self.filled_amount(in_base_currency=True) | |
423 | # Base is FOO | |
424 | ||
425 | delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
426 | - filled).in_currency(self.base_currency, self.market, rate=1/rate) | |
427 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it | |
428 | # computed at rate 1 Foo = 0.01 BTC | |
429 | # Computation says I should sell it at 125 FOO / BTC | |
430 | # -> delta_in_base = 9 BTC | |
431 | # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC | |
432 | # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market | |
433 | ||
434 | # I already bought 300/125 BTC, only 600/125 left | |
435 | else: | |
436 | filled = self.filled_amount(in_base_currency=False) | |
437 | # Base is FOO | |
438 | ||
439 | delta = delta_in_base | |
440 | # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it | |
441 | # At rate 100 Foo / BTC | |
442 | # Computation says I should buy it at 125 FOO / BTC | |
443 | # -> delta_in_base = 9 BTC | |
444 | # Action: "sell" "9 BTC" at rate "125" "FOO" on market | |
445 | ||
446 | delta = delta - filled | |
447 | # I already sold 4 BTC, only 5 left | |
dd359bc0 | 448 | |
2033e7fe IB |
449 | if close_if_possible is None: |
450 | close_if_possible = (self.value_to == 0) | |
006a2084 | 451 | |
1aa7d4fa | 452 | if delta <= 0: |
f86ee140 | 453 | self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) |
5a72ded7 | 454 | return None |
80cdd672 | 455 | |
5a72ded7 | 456 | order = Order(self.order_action(inverted), |
1aa7d4fa | 457 | delta, rate, base_currency, self.trade_type, |
5a72ded7 IB |
458 | self.market, self, close_if_possible=close_if_possible) |
459 | self.orders.append(order) | |
460 | return order | |
dd359bc0 | 461 | |
3d0247f9 IB |
462 | def as_json(self): |
463 | return { | |
464 | "action": self.action, | |
465 | "from": self.value_from.as_json()["value"], | |
466 | "to": self.value_to.as_json()["value"], | |
467 | "currency": self.currency, | |
468 | "base_currency": self.base_currency, | |
469 | } | |
470 | ||
dd359bc0 | 471 | def __repr__(self): |
f9226903 IB |
472 | if self.closed and not self.is_fullfiled: |
473 | closed = " ❌" | |
474 | elif self.is_fullfiled: | |
475 | closed = " ✔" | |
476 | else: | |
477 | closed = "" | |
478 | ||
479 | return "Trade({} -> {} in {}, {}{})".format( | |
dd359bc0 IB |
480 | self.value_from, |
481 | self.value_to, | |
482 | self.currency, | |
f9226903 IB |
483 | self.action, |
484 | closed) | |
dd359bc0 | 485 | |
3d0247f9 | 486 | def print_with_order(self, ind=""): |
f86ee140 | 487 | self.market.report.print_log("{}{}".format(ind, self)) |
272b3cfb | 488 | for order in self.orders: |
f86ee140 | 489 | self.market.report.print_log("{}\t{}".format(ind, order)) |
c31df868 | 490 | for mouvement in order.mouvements: |
f86ee140 | 491 | self.market.report.print_log("{}\t\t{}".format(ind, mouvement)) |
dd359bc0 | 492 | |
272b3cfb | 493 | class Order: |
006a2084 | 494 | def __init__(self, action, amount, rate, base_currency, trade_type, market, |
80cdd672 | 495 | trade, close_if_possible=False): |
dd359bc0 IB |
496 | self.action = action |
497 | self.amount = amount | |
498 | self.rate = rate | |
499 | self.base_currency = base_currency | |
a9950fd0 | 500 | self.market = market |
350ed24d | 501 | self.trade_type = trade_type |
80cdd672 IB |
502 | self.results = [] |
503 | self.mouvements = [] | |
a9950fd0 | 504 | self.status = "pending" |
80cdd672 | 505 | self.trade = trade |
006a2084 | 506 | self.close_if_possible = close_if_possible |
5a72ded7 | 507 | self.id = None |
f70bb858 | 508 | self.tries = 0 |
dd359bc0 | 509 | |
3d0247f9 IB |
510 | def as_json(self): |
511 | return { | |
512 | "action": self.action, | |
513 | "trade_type": self.trade_type, | |
514 | "amount": self.amount.as_json()["value"], | |
515 | "currency": self.amount.as_json()["currency"], | |
516 | "base_currency": self.base_currency, | |
517 | "rate": self.rate, | |
518 | "status": self.status, | |
519 | "close_if_possible": self.close_if_possible, | |
520 | "id": self.id, | |
521 | "mouvements": list(map(lambda x: x.as_json(), self.mouvements)) | |
522 | } | |
523 | ||
dd359bc0 | 524 | def __repr__(self): |
006a2084 | 525 | return "Order({} {} {} at {} {} [{}]{})".format( |
dd359bc0 | 526 | self.action, |
350ed24d | 527 | self.trade_type, |
dd359bc0 IB |
528 | self.amount, |
529 | self.rate, | |
530 | self.base_currency, | |
006a2084 IB |
531 | self.status, |
532 | " ✂" if self.close_if_possible else "", | |
dd359bc0 IB |
533 | ) |
534 | ||
350ed24d IB |
535 | @property |
536 | def account(self): | |
537 | if self.trade_type == "long": | |
538 | return "exchange" | |
539 | else: | |
540 | return "margin" | |
541 | ||
5a72ded7 IB |
542 | @property |
543 | def open(self): | |
544 | return self.status == "open" | |
545 | ||
a9950fd0 IB |
546 | @property |
547 | def pending(self): | |
548 | return self.status == "pending" | |
549 | ||
550 | @property | |
551 | def finished(self): | |
fd8afa51 | 552 | return self.status == "closed" or self.status == "canceled" or self.status == "error" |
a9950fd0 | 553 | |
f70bb858 | 554 | @retry(InsufficientFunds) |
80cdd672 | 555 | def run(self): |
f70bb858 | 556 | self.tries += 1 |
dd359bc0 | 557 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) |
f86ee140 | 558 | amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value |
dd359bc0 | 559 | |
f86ee140 IB |
560 | if self.market.debug: |
561 | self.market.report.log_debug_action("market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( | |
ecba1113 | 562 | symbol, self.action, amount, self.rate, self.account)) |
80cdd672 | 563 | self.results.append({"debug": True, "id": -1}) |
dd359bc0 | 564 | else: |
f70bb858 | 565 | action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) |
dd359bc0 | 566 | try: |
f86ee140 | 567 | self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) |
f70bb858 | 568 | except InvalidOrder: |
df9e4e7f IB |
569 | # Impossible to honor the order (dust amount) |
570 | self.status = "closed" | |
571 | self.mark_finished_order() | |
572 | return | |
f70bb858 IB |
573 | except InsufficientFunds as e: |
574 | if self.tries < 5: | |
575 | self.market.report.log_error(action, message="Retrying with reduced amount", exception=e) | |
576 | self.amount = self.amount * D("0.99") | |
577 | raise e | |
578 | else: | |
579 | self.market.report.log_error(action, message="Giving up {}".format(self), exception=e) | |
580 | self.status = "error" | |
581 | return | |
fd8afa51 IB |
582 | except Exception as e: |
583 | self.status = "error" | |
f86ee140 | 584 | self.market.report.log_error(action, exception=e) |
5a72ded7 IB |
585 | return |
586 | self.id = self.results[0]["id"] | |
587 | self.status = "open" | |
dd359bc0 | 588 | |
a9950fd0 | 589 | def get_status(self): |
f86ee140 IB |
590 | if self.market.debug: |
591 | self.market.report.log_debug_action("Getting {} status".format(self)) | |
80cdd672 | 592 | return self.status |
dd359bc0 | 593 | # other states are "closed" and "canceled" |
5a72ded7 | 594 | if not self.finished: |
80cdd672 | 595 | self.fetch() |
5a72ded7 | 596 | if self.finished: |
80cdd672 | 597 | self.mark_finished_order() |
dd359bc0 IB |
598 | return self.status |
599 | ||
80cdd672 | 600 | def mark_finished_order(self): |
f86ee140 IB |
601 | if self.market.debug: |
602 | self.market.report.log_debug_action("Mark {} as finished".format(self)) | |
80cdd672 IB |
603 | return |
604 | if self.status == "closed": | |
006a2084 | 605 | if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: |
f86ee140 | 606 | self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency) |
006a2084 | 607 | |
aca4d437 | 608 | def fetch(self): |
f86ee140 IB |
609 | if self.market.debug: |
610 | self.market.report.log_debug_action("Fetching {}".format(self)) | |
3d0247f9 | 611 | return |
aca4d437 | 612 | try: |
f9226903 | 613 | result = self.market.ccxt.fetch_order(self.id) |
aca4d437 IB |
614 | self.results.append(result) |
615 | self.status = result["status"] | |
616 | # Time at which the order started | |
617 | self.timestamp = result["datetime"] | |
618 | except OrderNotCached: | |
619 | self.status = "closed_unknown" | |
5a72ded7 | 620 | |
80cdd672 IB |
621 | self.fetch_mouvements() |
622 | ||
623 | # FIXME: consider open order with dust remaining as closed | |
624 | ||
80cdd672 | 625 | def dust_amount_remaining(self): |
5a72ded7 | 626 | return self.remaining_amount() < Amount(self.amount.currency, D("0.001")) |
80cdd672 | 627 | |
80cdd672 | 628 | def remaining_amount(self): |
1aa7d4fa | 629 | return self.amount - self.filled_amount() |
80cdd672 | 630 | |
1aa7d4fa | 631 | def filled_amount(self, in_base_currency=False): |
80cdd672 IB |
632 | if self.status == "open": |
633 | self.fetch() | |
1aa7d4fa | 634 | filled_amount = 0 |
80cdd672 | 635 | for mouvement in self.mouvements: |
1aa7d4fa IB |
636 | if in_base_currency: |
637 | filled_amount += mouvement.total_in_base | |
638 | else: | |
639 | filled_amount += mouvement.total | |
80cdd672 IB |
640 | return filled_amount |
641 | ||
642 | def fetch_mouvements(self): | |
df9e4e7f | 643 | try: |
f86ee140 | 644 | mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id}) |
df9e4e7f IB |
645 | except ExchangeError: |
646 | mouvements = [] | |
80cdd672 IB |
647 | self.mouvements = [] |
648 | ||
649 | for mouvement_hash in mouvements: | |
650 | self.mouvements.append(Mouvement(self.amount.currency, | |
651 | self.base_currency, mouvement_hash)) | |
006a2084 | 652 | |
272b3cfb | 653 | def cancel(self): |
f86ee140 IB |
654 | if self.market.debug: |
655 | self.market.report.log_debug_action("Mark {} as cancelled".format(self)) | |
80cdd672 IB |
656 | self.status = "canceled" |
657 | return | |
f9226903 IB |
658 | if self.open and self.id is not None: |
659 | try: | |
660 | self.market.ccxt.cancel_order(self.id) | |
661 | except OrderNotFound as e: # Closed inbetween | |
662 | self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e) | |
663 | self.fetch() | |
80cdd672 IB |
664 | |
665 | class Mouvement: | |
666 | def __init__(self, currency, base_currency, hash_): | |
667 | self.currency = currency | |
668 | self.base_currency = base_currency | |
df9e4e7f IB |
669 | self.id = hash_.get("tradeID") |
670 | self.action = hash_.get("type") | |
671 | self.fee_rate = D(hash_.get("fee", -1)) | |
672 | try: | |
673 | self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') | |
674 | except ValueError: | |
675 | self.date = None | |
676 | self.rate = D(hash_.get("rate", 0)) | |
677 | self.total = Amount(currency, hash_.get("amount", 0)) | |
80cdd672 | 678 | # rate * total = total_in_base |
df9e4e7f | 679 | self.total_in_base = Amount(base_currency, hash_.get("total", 0)) |
272b3cfb | 680 | |
3d0247f9 IB |
681 | def as_json(self): |
682 | return { | |
683 | "fee_rate": self.fee_rate, | |
684 | "date": self.date, | |
685 | "action": self.action, | |
686 | "total": self.total.value, | |
687 | "currency": self.currency, | |
688 | "total_in_base": self.total_in_base.value, | |
689 | "base_currency": self.base_currency | |
690 | } | |
691 | ||
c31df868 IB |
692 | def __repr__(self): |
693 | if self.fee_rate > 0: | |
694 | fee_rate = " fee: {}%".format(self.fee_rate * 100) | |
695 | else: | |
696 | fee_rate = "" | |
697 | if self.date is None: | |
698 | date = "No date" | |
699 | else: | |
700 | date = self.date | |
701 | return "Mouvement({} ; {} {} ({}){})".format( | |
702 | date, self.action, self.total, self.total_in_base, | |
703 | fee_rate) | |
704 |