Run prepared orders after disappeared order

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

import time
import requests
import portfolio
import simplejson as json
from decimal import Decimal as D, ROUND_DOWN
import datetime
import inspect
from json import JSONDecodeError
from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
import dbs

__all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"]

class ReportStore:
    def __init__(self, market, verbose_print=True, no_http_dup=False):
        self.market = market
        self.verbose_print = verbose_print

        self.print_logs = []
        self.logs = []
        self.redis_status = []

        self.no_http_dup = no_http_dup
        self.last_http = None

    def merge(self, other_report):
        self.logs += other_report.logs
        self.logs.sort(key=lambda x: x["date"])

        self.print_logs += other_report.print_logs
        self.print_logs.sort(key=lambda x: x[0])

    def print_log(self, message):
        now = datetime.datetime.now()
        message = "{:%Y-%m-%d %H:%M:%S}: {}".format(now, str(message))
        self.print_logs.append([now, message])
        if self.verbose_print:
            print(message)

    def add_log(self, hash_):
        hash_["date"] = datetime.datetime.now()
        if self.market is not None:
            hash_["user_id"] = self.market.user_id
            hash_["market_id"] = self.market.market_id
        else:
            hash_["user_id"] = None
            hash_["market_id"] = None
        self.logs.append(hash_)
        return hash_

    def add_redis_status(self, hash_):
        self.redis_status.append(hash_)
        return hash_

    @staticmethod
    def default_json_serial(obj):
        if isinstance(obj, (datetime.datetime, datetime.date)):
            return obj.isoformat()
        return str(obj)

    def to_json(self):
        return json.dumps(self.logs, default=self.default_json_serial, indent="  ")

    def to_json_array(self):
        for log in (x.copy() for x in self.logs):
            yield (
                    log.pop("date"),
                    log.pop("type"),
                    json.dumps(log, default=self.default_json_serial, indent="  ")
                    )

    def to_json_redis(self):
        for log in (x.copy() for x in self.redis_status):
            yield (
                    log.pop("type"),
                    json.dumps(log, default=self.default_json_serial)
                    )

    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, checkpoint=None, tickers=None,
            ticker_currency=None, compute_value=None, type=None):
        self.print_log("[Balance]")
        for currency, balance in self.market.balances.all.items():
            self.print_log("\t{}".format(balance))

        log = {
                "type": "balance",
                "tag": tag,
                "checkpoint": checkpoint,
                "balances": self.market.balances.as_json()
                }

        if tickers is not None:
            log["tickers"] = self._ticker_hash(tickers, ticker_currency,
                    compute_value, type)

        self.add_log(log.copy())
        self.add_redis_status(log)

    def log_tickers(self, amounts, other_currency,
            compute_value, type):
        log = self._ticker_hash(amounts, other_currency, compute_value,
                type)
        log["type"] = "tickers"

        self.add_log(log)

    def _ticker_hash(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
        return {
                "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):
        if isinstance(response, Exception):
            self.add_log({
                "type": "http_request",
                "method": method,
                "url": url,
                "body": body,
                "headers": headers,
                "status": -1,
                "response": None,
                "error": response.__class__.__name__,
                "error_message": str(response),
                })
            self.last_http = None
        elif self.no_http_dup and \
                self.last_http is not None and \
                self.last_http["url"] == url and \
                self.last_http["method"] == method and \
                self.last_http["response"] == response.text:
            self.add_log({
                "type": "http_request",
                "method": method,
                "url": url,
                "body": body,
                "headers": headers,
                "status": response.status_code,
                "duration": response.elapsed.total_seconds(),
                "response": None,
                "response_same_as": self.last_http["date"]
                })
        else:
            self.last_http = self.add_log({
                "type": "http_request",
                "method": method,
                "url": url,
                "body": body,
                "headers": headers,
                "status": response.status_code,
                "duration": response.elapsed.total_seconds(),
                "response": response.text,
                "response_same_as": None,
                })

    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,
            })

    def log_market(self, args):
        self.add_log({
            "type": "market",
            "commit": "$Format:%H$",
            "args": vars(args),
            })

class BalanceStore:
    def __init__(self, market):
        self.market = market
        self.all = {}

    def currencies(self):
        return self.all.keys()

    def in_currency(self, other_currency, compute_value="average", type="total"):
        amounts = {}
        for currency, balance in self.all.items():
            other_currency_amount = getattr(balance, type)\
                    .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

    def fetch_balances(self, tag=None, add_portfolio=False,
            checkpoint=None, log_tickers=False,
            ticker_currency="BTC", ticker_compute_value="average", ticker_type="total"):
        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 self.all:
                self.all[currency] = portfolio.Balance(currency, balance)
        if add_portfolio:
            for currency in Portfolio.repartition(from_cache=True):
                self.all.setdefault(currency, portfolio.Balance(currency, {}))
        if log_tickers:
            tickers = self.in_currency(ticker_currency, compute_value=ticker_compute_value, type=ticker_type)
            self.market.report.log_balances(tag=tag, checkpoint=checkpoint,
                    tickers=tickers, ticker_currency=ticker_currency,
                    compute_value=ticker_compute_value, type=ticker_type)
        else:
            self.market.report.log_balances(tag=tag, checkpoint=checkpoint)

    def dispatch_assets(self, amount, liquidity="medium", repartition=None):
        if repartition is None:
            repartition = Portfolio.repartition(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]
            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:
    def __init__(self, market):
        self.market = market
        self.all = []

    @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 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:
                computed_trades.append(self.trade_if_matching(
                        value_from, portfolio.Amount(base_currency, 0),
                        currency, only=only))
                computed_trades.append(self.trade_if_matching(
                        portfolio.Amount(base_currency, 0), value_to,
                        currency, only=only))
            else:
                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)

    def trade_if_matching(self, value_from, value_to, currency,
            only=None):
        trade = portfolio.Trade(value_from, value_to, currency,
                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:
                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()

    def print_all_with_order(self, ind=""):
        for trade in self.all:
            trade.print_with_order(ind=ind)

    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)

    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))

    def update_all_orders_status(self):
        for order in self.all_orders(state="open"):
            order.get_status()

class NoopLock:
    def __enter__(self, *args):
        pass
    def __exit__(self, *args):
        pass

class LockedVar:
    def __init__(self, value):
        self.lock = NoopLock()
        self.val = value

    def start_lock(self):
        import threading
        self.lock = threading.Lock()

    def set(self, value):
        with self.lock:
            self.val = value

    def get(self, key=None):
        with self.lock:
            if key is not None and isinstance(self.val, dict):
                return self.val.get(key)
            else:
                return self.val

    def __getattr__(self, key):
        with self.lock:
            return getattr(self.val, key)

class Portfolio:
    URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
    data = LockedVar(None)
    liquidities = LockedVar({})
    last_date = LockedVar(None)
    report = LockedVar(ReportStore(None, no_http_dup=True))
    worker = None
    worker_tag = ""
    worker_started = False
    worker_notify = None
    callback = None

    @classmethod
    def start_worker(cls, poll=30):
        import threading

        cls.worker = threading.Thread(name="portfolio", daemon=True,
                target=cls.wait_for_notification, kwargs={"poll": poll})
        cls.worker_notify = threading.Event()
        cls.callback = threading.Event()

        cls.last_date.start_lock()
        cls.liquidities.start_lock()
        cls.report.start_lock()

        cls.worker_tag = "[Worker] "
        cls.worker_started = True
        cls.worker.start()

    @classmethod
    def is_worker_thread(cls):
        if cls.worker is None:
            return False
        else:
            import threading
            return cls.worker == threading.current_thread()

    @classmethod
    def wait_for_notification(cls, poll=30):
        if not cls.is_worker_thread():
            raise RuntimeError("This method needs to be ran with the worker")
        while cls.worker_started:
            cls.worker_notify.wait()
            if cls.worker_started:
                cls.worker_notify.clear()
                cls.report.print_log("[Worker] Fetching cryptoportfolio")
                cls.get_cryptoportfolio(refetch=True)
                cls.callback.set()
                time.sleep(poll)

    @classmethod
    def stop_worker(cls):
        cls.worker_started = False
        cls.worker_notify.set()

    @classmethod
    def notify_and_wait(cls):
        cls.callback.clear()
        cls.worker_notify.set()
        cls.callback.wait()

    @classmethod
    def wait_for_recent(cls, delta=4, poll=30):
        cls.get_cryptoportfolio()
        while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta):
            if cls.worker is None:
                time.sleep(poll)
                cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
            cls.get_cryptoportfolio(refetch=True)

    @classmethod
    def repartition(cls, liquidity="medium", from_cache=False):
        if from_cache:
            cls.retrieve_cryptoportfolio()
        cls.get_cryptoportfolio()
        liquidities = cls.liquidities.get(liquidity)
        return liquidities[cls.last_date.get()]

    @classmethod
    def get_cryptoportfolio(cls, refetch=False):
        if cls.data.get() is not None and not refetch:
            return
        if cls.worker is not None and not cls.is_worker_thread():
            cls.notify_and_wait()
            return
        try:
            r = requests.get(cls.URL)
            cls.report.log_http_request(r.request.method,
                    r.request.url, r.request.body, r.request.headers, r)
        except Exception as e:
            cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e)
            return
        try:
            cls.data.set(r.json(parse_int=D, parse_float=D))
            cls.parse_cryptoportfolio()
            cls.store_cryptoportfolio()
        except (JSONDecodeError, SimpleJSONDecodeError):
            cls.data.set(None)
            cls.last_date.set(None)
            cls.liquidities.set({})

    @classmethod
    def retrieve_cryptoportfolio(cls):
        if dbs.redis_connected():
            repartition = dbs.redis.get("/cryptoportfolio/repartition/latest")
            date = dbs.redis.get("/cryptoportfolio/repartition/date")
            if date is not None and repartition is not None:
                date = datetime.datetime.strptime(date.decode(), "%Y-%m-%d")
                repartition = json.loads(repartition, parse_int=D, parse_float=D)
                repartition = { k: { date: v } for k, v in repartition.items() }

                cls.data.set("")
                cls.last_date.set(date)
                cls.liquidities.set(repartition)

    @classmethod
    def store_cryptoportfolio(cls):
        if dbs.redis_connected():
            hash_ = {}
            for liquidity, repartitions in cls.liquidities.items():
                hash_[liquidity] = repartitions[cls.last_date.get()]
            dump = json.dumps(hash_)
            key = "/cryptoportfolio/repartition/latest"
            dbs.redis.set(key, dump)
            key = "/cryptoportfolio/repartition/date"
            dbs.redis.set(key, cls.last_date.date().isoformat())

    @classmethod
    def parse_cryptoportfolio(cls):
        def filter_weights(weight_hash):
            if weight_hash[1][0] == 0:
                return False
            if weight_hash[0] == "_row":
                return False
            return True

        def clean_weights(i):
            def clean_weights_(h):
                if h[0].endswith("s"):
                    return [h[0][0:-1], (h[1][i], "short")]
                else:
                    return [h[0], (h[1][i], "long")]
            return clean_weights_

        def parse_weights(portfolio_hash):
            if "weights" not in portfolio_hash:
                return {}
            weights_hash = portfolio_hash["weights"]
            weights = {}
            for i in range(len(weights_hash["_row"])):
                date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
                weights[date] = dict(filter(
                        filter_weights,
                        map(clean_weights(i), weights_hash.items())))
            return weights

        high_liquidity = parse_weights(cls.data.get("portfolio_1"))
        medium_liquidity = parse_weights(cls.data.get("portfolio_2"))

        cls.liquidities.set({
            "medium": medium_liquidity,
            "high":   high_liquidity,
            })
        cls.last_date.set(max(
            max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)),
            max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1))
            ))