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1 | from ccxt import ExchangeError | |
2 | import time | |
3 | from decimal import Decimal as D, ROUND_DOWN | |
4 | # Put your poloniex api key in market.py | |
5 | from market import market | |
6 | ||
7 | class Portfolio: | |
8 | URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" | |
9 | liquidities = {} | |
10 | data = None | |
11 | ||
12 | @classmethod | |
13 | def repartition(cls, liquidity="medium"): | |
14 | cls.parse_cryptoportfolio() | |
15 | liquidities = cls.liquidities[liquidity] | |
16 | cls.last_date = sorted(liquidities.keys())[-1] | |
17 | return liquidities[cls.last_date] | |
18 | ||
19 | @classmethod | |
20 | def get_cryptoportfolio(cls): | |
21 | import json | |
22 | import urllib3 | |
23 | urllib3.disable_warnings() | |
24 | http = urllib3.PoolManager() | |
25 | ||
26 | try: | |
27 | r = http.request("GET", cls.URL) | |
28 | except Exception: | |
29 | return None | |
30 | try: | |
31 | cls.data = json.loads(r.data, | |
32 | parse_int=D, | |
33 | parse_float=D) | |
34 | except json.JSONDecodeError: | |
35 | cls.data = None | |
36 | ||
37 | @classmethod | |
38 | def parse_cryptoportfolio(cls): | |
39 | if cls.data is None: | |
40 | cls.get_cryptoportfolio() | |
41 | ||
42 | def filter_weights(weight_hash): | |
43 | if weight_hash[1][0] == 0: | |
44 | return False | |
45 | if weight_hash[0] == "_row": | |
46 | return False | |
47 | return True | |
48 | ||
49 | def clean_weights(i): | |
50 | def clean_weights_(h): | |
51 | if h[0].endswith("s"): | |
52 | return [h[0][0:-1], (h[1][i], "short")] | |
53 | else: | |
54 | return [h[0], (h[1][i], "long")] | |
55 | return clean_weights_ | |
56 | ||
57 | def parse_weights(portfolio_hash): | |
58 | weights_hash = portfolio_hash["weights"] | |
59 | weights = {} | |
60 | for i in range(len(weights_hash["_row"])): | |
61 | weights[weights_hash["_row"][i]] = dict(filter( | |
62 | filter_weights, | |
63 | map(clean_weights(i), weights_hash.items()))) | |
64 | return weights | |
65 | ||
66 | high_liquidity = parse_weights(cls.data["portfolio_1"]) | |
67 | medium_liquidity = parse_weights(cls.data["portfolio_2"]) | |
68 | ||
69 | cls.liquidities = { | |
70 | "medium": medium_liquidity, | |
71 | "high": high_liquidity, | |
72 | } | |
73 | ||
74 | class Amount: | |
75 | def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): | |
76 | self.currency = currency | |
77 | self.value = D(value) | |
78 | self.linked_to = linked_to | |
79 | self.ticker = ticker | |
80 | self.rate = rate | |
81 | ||
82 | self.ticker_cache = {} | |
83 | self.ticker_cache_timestamp = time.time() | |
84 | ||
85 | def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): | |
86 | if other_currency == self.currency: | |
87 | return self | |
88 | if rate is not None: | |
89 | return Amount( | |
90 | other_currency, | |
91 | self.value * rate, | |
92 | linked_to=self, | |
93 | rate=rate) | |
94 | asset_ticker = Trade.get_ticker(self.currency, other_currency, market) | |
95 | if asset_ticker is not None: | |
96 | rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value) | |
97 | return Amount( | |
98 | other_currency, | |
99 | self.value * rate, | |
100 | linked_to=self, | |
101 | ticker=asset_ticker, | |
102 | rate=rate) | |
103 | else: | |
104 | raise Exception("This asset is not available in the chosen market") | |
105 | ||
106 | def __round__(self, n=8): | |
107 | return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) | |
108 | ||
109 | def __abs__(self): | |
110 | return Amount(self.currency, abs(self.value)) | |
111 | ||
112 | def __add__(self, other): | |
113 | if other.currency != self.currency and other.value * self.value != 0: | |
114 | raise Exception("Summing amounts must be done with same currencies") | |
115 | return Amount(self.currency, self.value + other.value) | |
116 | ||
117 | def __radd__(self, other): | |
118 | if other == 0: | |
119 | return self | |
120 | else: | |
121 | return self.__add__(other) | |
122 | ||
123 | def __sub__(self, other): | |
124 | if other.currency != self.currency and other.value * self.value != 0: | |
125 | raise Exception("Summing amounts must be done with same currencies") | |
126 | return Amount(self.currency, self.value - other.value) | |
127 | ||
128 | def __mul__(self, value): | |
129 | if not isinstance(value, (int, float, D)): | |
130 | raise TypeError("Amount may only be multiplied by numbers") | |
131 | return Amount(self.currency, self.value * value) | |
132 | ||
133 | def __rmul__(self, value): | |
134 | return self.__mul__(value) | |
135 | ||
136 | def __floordiv__(self, value): | |
137 | if not isinstance(value, (int, float, D)): | |
138 | raise TypeError("Amount may only be multiplied by integers") | |
139 | return Amount(self.currency, self.value / value) | |
140 | ||
141 | def __truediv__(self, value): | |
142 | return self.__floordiv__(value) | |
143 | ||
144 | def __lt__(self, other): | |
145 | if self.currency != other.currency: | |
146 | raise Exception("Comparing amounts must be done with same currencies") | |
147 | return self.value < other.value | |
148 | ||
149 | def __eq__(self, other): | |
150 | if other == 0: | |
151 | return self.value == 0 | |
152 | if self.currency != other.currency: | |
153 | raise Exception("Comparing amounts must be done with same currencies") | |
154 | return self.value == other.value | |
155 | ||
156 | def __str__(self): | |
157 | if self.linked_to is None: | |
158 | return "{:.8f} {}".format(self.value, self.currency) | |
159 | else: | |
160 | return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) | |
161 | ||
162 | def __repr__(self): | |
163 | if self.linked_to is None: | |
164 | return "Amount({:.8f} {})".format(self.value, self.currency) | |
165 | else: | |
166 | return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) | |
167 | ||
168 | class Balance: | |
169 | known_balances = {} | |
170 | ||
171 | def __init__(self, currency, total_value, free_value, used_value): | |
172 | self.currency = currency | |
173 | self.total = Amount(currency, total_value) | |
174 | self.free = Amount(currency, free_value) | |
175 | self.used = Amount(currency, used_value) | |
176 | ||
177 | @classmethod | |
178 | def from_hash(cls, currency, hash_): | |
179 | return cls(currency, hash_["total"], hash_["free"], hash_["used"]) | |
180 | ||
181 | @classmethod | |
182 | def in_currency(cls, other_currency, market, compute_value="average", type="total"): | |
183 | amounts = {} | |
184 | for currency in cls.known_balances: | |
185 | balance = cls.known_balances[currency] | |
186 | other_currency_amount = getattr(balance, type)\ | |
187 | .in_currency(other_currency, market, compute_value=compute_value) | |
188 | amounts[currency] = other_currency_amount | |
189 | return amounts | |
190 | ||
191 | @classmethod | |
192 | def currencies(cls): | |
193 | return cls.known_balances.keys() | |
194 | ||
195 | @classmethod | |
196 | def _fill_balances(cls, hash_): | |
197 | for key in hash_: | |
198 | if key in ["info", "free", "used", "total"]: | |
199 | continue | |
200 | if hash_[key]["total"] != 0 or key in cls.known_balances: | |
201 | cls.known_balances[key] = cls.from_hash(key, hash_[key]) | |
202 | ||
203 | @classmethod | |
204 | def fetch_balances(cls, market): | |
205 | cls._fill_balances(market.fetch_balance()) | |
206 | return cls.known_balances | |
207 | # FIXME:Separate balances per trade type and in position | |
208 | # Need to check how balances in position are represented | |
209 | ||
210 | ||
211 | @classmethod | |
212 | def dispatch_assets(cls, amount, repartition=None): | |
213 | if repartition is None: | |
214 | repartition = Portfolio.repartition() | |
215 | sum_ratio = sum([v[0] for k, v in repartition.items()]) | |
216 | amounts = {} | |
217 | for currency, (ptt, trade_type) in repartition.items(): | |
218 | amounts[currency] = ptt * amount / sum_ratio | |
219 | if currency not in cls.known_balances: | |
220 | cls.known_balances[currency] = cls(currency, 0, 0, 0) | |
221 | return amounts | |
222 | ||
223 | @classmethod | |
224 | def dispatch_trade_types(cls, repartition=None): | |
225 | if repartition is None: | |
226 | repartition = Portfolio.repartition() | |
227 | trade_types = {} | |
228 | for currency, (ptt, trade_type) in repartition.items(): | |
229 | trade_types[currency] = trade_type | |
230 | return trade_types | |
231 | # FIXME: once we know the repartition and sold everything, we can move | |
232 | # the necessary part to the margin account | |
233 | ||
234 | @classmethod | |
235 | def prepare_trades(cls, market, base_currency="BTC", compute_value="average"): | |
236 | cls.fetch_balances(market) | |
237 | values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) | |
238 | total_base_value = sum(values_in_base.values()) | |
239 | new_repartition = cls.dispatch_assets(total_base_value) | |
240 | trade_types = cls.dispatch_trade_types() | |
241 | # Recompute it in case we have new currencies | |
242 | values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) | |
243 | Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market) | |
244 | ||
245 | @classmethod | |
246 | def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None): | |
247 | cls.fetch_balances(market) | |
248 | values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) | |
249 | total_base_value = sum(values_in_base.values()) | |
250 | new_repartition = cls.dispatch_assets(total_base_value) | |
251 | trade_types = cls.dispatch_trade_types() | |
252 | Trade.compute_trades(values_in_base, new_repartition, trade_types, only=only, market=market) | |
253 | ||
254 | @classmethod | |
255 | def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"): | |
256 | cls.fetch_balances(market) | |
257 | values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) | |
258 | total_base_value = sum(values_in_base.values()) | |
259 | new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") }) | |
260 | trade_types = cls.dispatch_trade_types() | |
261 | Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market) | |
262 | ||
263 | def __repr__(self): | |
264 | return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) | |
265 | ||
266 | class Computation: | |
267 | computations = { | |
268 | "default": lambda x, y: x[y], | |
269 | "average": lambda x, y: x["average"], | |
270 | "bid": lambda x, y: x["bid"], | |
271 | "ask": lambda x, y: x["ask"], | |
272 | } | |
273 | ||
274 | class Trade: | |
275 | trades = {} | |
276 | ||
277 | def __init__(self, value_from, value_to, currency, trade_type, market=None): | |
278 | # We have value_from of currency, and want to finish with value_to of | |
279 | # that currency. value_* may not be in currency's terms | |
280 | self.currency = currency | |
281 | self.value_from = value_from | |
282 | self.value_to = value_to | |
283 | self.trade_type = trade_type | |
284 | self.orders = [] | |
285 | self.market = market | |
286 | assert self.value_from.currency == self.value_to.currency | |
287 | assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency | |
288 | self.base_currency = self.value_from.currency | |
289 | ||
290 | fees_cache = {} | |
291 | @classmethod | |
292 | def fetch_fees(cls, market): | |
293 | if market.__class__ not in cls.fees_cache: | |
294 | cls.fees_cache[market.__class__] = market.fetch_fees() | |
295 | return cls.fees_cache[market.__class__] | |
296 | ||
297 | ticker_cache = {} | |
298 | ticker_cache_timestamp = time.time() | |
299 | @classmethod | |
300 | def get_ticker(cls, c1, c2, market, refresh=False): | |
301 | def invert(ticker): | |
302 | return { | |
303 | "inverted": True, | |
304 | "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, | |
305 | "original": ticker, | |
306 | } | |
307 | def augment_ticker(ticker): | |
308 | ticker.update({ | |
309 | "inverted": False, | |
310 | "average": (ticker["bid"] + ticker["ask"] ) / 2, | |
311 | }) | |
312 | ||
313 | if time.time() - cls.ticker_cache_timestamp > 5: | |
314 | cls.ticker_cache = {} | |
315 | cls.ticker_cache_timestamp = time.time() | |
316 | elif not refresh: | |
317 | if (c1, c2, market.__class__) in cls.ticker_cache: | |
318 | return cls.ticker_cache[(c1, c2, market.__class__)] | |
319 | if (c2, c1, market.__class__) in cls.ticker_cache: | |
320 | return invert(cls.ticker_cache[(c2, c1, market.__class__)]) | |
321 | ||
322 | try: | |
323 | cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) | |
324 | augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) | |
325 | except ExchangeError: | |
326 | try: | |
327 | cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) | |
328 | augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)]) | |
329 | except ExchangeError: | |
330 | cls.ticker_cache[(c1, c2, market.__class__)] = None | |
331 | return cls.get_ticker(c1, c2, market) | |
332 | ||
333 | @classmethod | |
334 | def compute_trades(cls, values_in_base, new_repartition, trade_types, only=None, market=None): | |
335 | base_currency = sum(values_in_base.values()).currency | |
336 | for currency in Balance.currencies(): | |
337 | if currency == base_currency: | |
338 | continue | |
339 | trade = cls( | |
340 | values_in_base.get(currency, Amount(base_currency, 0)), | |
341 | new_repartition.get(currency, Amount(base_currency, 0)), | |
342 | currency, | |
343 | trade_types.get(currency, "long"), | |
344 | market=market | |
345 | ) | |
346 | if only is None or trade.action == only: | |
347 | cls.trades[currency] = trade | |
348 | return cls.trades | |
349 | ||
350 | @classmethod | |
351 | def prepare_orders(cls, only=None, compute_value="default"): | |
352 | for currency, trade in cls.trades.items(): | |
353 | if only is None or trade.action == only: | |
354 | trade.prepare_order(compute_value=compute_value) | |
355 | ||
356 | @property | |
357 | def action(self): | |
358 | if self.value_from == self.value_to: | |
359 | return None | |
360 | if self.base_currency == self.currency: | |
361 | return None | |
362 | ||
363 | if self.value_from < self.value_to: | |
364 | return "buy" | |
365 | else: | |
366 | return "sell" | |
367 | ||
368 | def order_action(self, inverted): | |
369 | # a xor b xor c | |
370 | if (self.trade_type == "short") != ((self.value_from < self.value_to) != inverted): | |
371 | return "buy" | |
372 | else: | |
373 | return "sell" | |
374 | ||
375 | def prepare_order(self, compute_value="default"): | |
376 | if self.action is None: | |
377 | return | |
378 | ticker = Trade.get_ticker(self.currency, self.base_currency, self.market) | |
379 | inverted = ticker["inverted"] | |
380 | if inverted: | |
381 | ticker = ticker["original"] | |
382 | rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) | |
383 | # 0.1 | |
384 | ||
385 | # FIXME: optimize if value_to == 0 or value_from == 0?) | |
386 | ||
387 | delta_in_base = abs(self.value_from - self.value_to) | |
388 | # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) | |
389 | ||
390 | if not inverted: | |
391 | currency = self.base_currency | |
392 | # BTC | |
393 | if self.action == "sell": | |
394 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it | |
395 | # At rate 1 Foo = 0.1 BTC | |
396 | value_from = self.value_from.linked_to | |
397 | # value_from = 100 FOO | |
398 | value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate) | |
399 | # value_to = 10 FOO (1 BTC * 1/0.1) | |
400 | delta = abs(value_to - value_from) | |
401 | # delta = 90 FOO | |
402 | # Action: "sell" "90 FOO" at rate "0.1" "BTC" on "market" | |
403 | ||
404 | # Note: no rounding error possible: if we have value_to == 0, then delta == value_from | |
405 | else: | |
406 | delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate) | |
407 | # I want to buy 9 / 0.1 FOO | |
408 | # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market" | |
409 | else: | |
410 | currency = self.currency | |
411 | # FOO | |
412 | delta = delta_in_base | |
413 | # sell: | |
414 | # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it | |
415 | # At rate 1 Foo = 0.1 BTC | |
416 | # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market | |
417 | # buy: | |
418 | # I want to buy 9 / 0.1 FOO | |
419 | # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market" | |
420 | ||
421 | self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.trade_type, self.market)) | |
422 | ||
423 | @classmethod | |
424 | def compute_value(cls, ticker, action, compute_value="default"): | |
425 | if action == "buy": | |
426 | action = "ask" | |
427 | if action == "sell": | |
428 | action = "bid" | |
429 | if isinstance(compute_value, str): | |
430 | compute_value = Computation.computations[compute_value] | |
431 | return compute_value(ticker, action) | |
432 | ||
433 | @classmethod | |
434 | def all_orders(cls, state=None): | |
435 | all_orders = sum(map(lambda v: v.orders, cls.trades.values()), []) | |
436 | if state is None: | |
437 | return all_orders | |
438 | else: | |
439 | return list(filter(lambda o: o.status == state, all_orders)) | |
440 | ||
441 | @classmethod | |
442 | def run_orders(cls): | |
443 | for order in cls.all_orders(state="pending"): | |
444 | order.run() | |
445 | ||
446 | @classmethod | |
447 | def follow_orders(cls, verbose=True, sleep=30): | |
448 | orders = cls.all_orders() | |
449 | finished_orders = [] | |
450 | while len(orders) != len(finished_orders): | |
451 | time.sleep(sleep) | |
452 | for order in orders: | |
453 | if order in finished_orders: | |
454 | continue | |
455 | if order.get_status() != "open": | |
456 | finished_orders.append(order) | |
457 | if verbose: | |
458 | print("finished {}".format(order)) | |
459 | if verbose: | |
460 | print("All orders finished") | |
461 | ||
462 | @classmethod | |
463 | def update_all_orders_status(cls): | |
464 | for order in cls.all_orders(state="open"): | |
465 | order.get_status() | |
466 | ||
467 | def __repr__(self): | |
468 | return "Trade({} -> {} in {}, {} {})".format( | |
469 | self.value_from, | |
470 | self.value_to, | |
471 | self.currency, | |
472 | self.action, | |
473 | self.trade_type) | |
474 | ||
475 | @classmethod | |
476 | def print_all_with_order(cls): | |
477 | for trade in cls.trades.values(): | |
478 | trade.print_with_order() | |
479 | ||
480 | def print_with_order(self): | |
481 | print(self) | |
482 | for order in self.orders: | |
483 | print("\t", order, sep="") | |
484 | ||
485 | class Order: | |
486 | def __init__(self, action, amount, rate, base_currency, trade_type, market): | |
487 | self.action = action | |
488 | self.amount = amount | |
489 | self.rate = rate | |
490 | self.base_currency = base_currency | |
491 | self.market = market | |
492 | self.trade_type = trade_type | |
493 | self.result = None | |
494 | self.status = "pending" | |
495 | ||
496 | def __repr__(self): | |
497 | return "Order({} {} {} at {} {} [{}])".format( | |
498 | self.action, | |
499 | self.trade_type, | |
500 | self.amount, | |
501 | self.rate, | |
502 | self.base_currency, | |
503 | self.status | |
504 | ) | |
505 | ||
506 | @property | |
507 | def account(self): | |
508 | if self.trade_type == "long": | |
509 | return "exchange" | |
510 | else: | |
511 | return "margin" | |
512 | ||
513 | @property | |
514 | def pending(self): | |
515 | return self.status == "pending" | |
516 | ||
517 | @property | |
518 | def finished(self): | |
519 | return self.status == "closed" or self.status == "canceled" or self.status == "error" | |
520 | ||
521 | def run(self, debug=False): | |
522 | symbol = "{}/{}".format(self.amount.currency, self.base_currency) | |
523 | amount = round(self.amount, self.market.order_precision(symbol)).value | |
524 | ||
525 | if debug: | |
526 | print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( | |
527 | symbol, self.action, amount, self.rate, self.account)) | |
528 | else: | |
529 | try: | |
530 | if self.action == "sell" and self.trade_type == "short": | |
531 | assert self.market.transfer_balance(self.base_currency, amount * self.rate, "exchange", "margin") | |
532 | self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account) | |
533 | self.status = "open" | |
534 | except Exception as e: | |
535 | self.status = "error" | |
536 | print("error when running market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( | |
537 | symbol, self.action, amount, self.rate, self.account)) | |
538 | self.error_message = str("{}: {}".format(e.__class__.__name__, e)) | |
539 | print(self.error_message) | |
540 | ||
541 | def get_status(self): | |
542 | # other states are "closed" and "canceled" | |
543 | if self.status == "open": | |
544 | result = self.market.fetch_order(self.result['id']) | |
545 | self.status = result["status"] | |
546 | return self.status | |
547 | ||
548 | def cancel(self): | |
549 | self.market.cancel_order(self.result['id']) | |
550 | ||
551 | def print_orders(market, base_currency="BTC"): | |
552 | Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") | |
553 | Trade.prepare_orders(compute_value="average") | |
554 | for currency, balance in Balance.known_balances.items(): | |
555 | print(balance) | |
556 | Trade.print_all_with_order() | |
557 | ||
558 | def make_orders(market, base_currency="BTC"): | |
559 | Balance.prepare_trades(market, base_currency=base_currency) | |
560 | for currency, trade in Trade.trades.items(): | |
561 | print(trade) | |
562 | for order in trade.orders: | |
563 | print("\t", order, sep="") | |
564 | order.run() | |
565 | ||
566 | if __name__ == '__main__': | |
567 | print_orders(market) |