ccxt_wrapper.py

   1 from ccxt import *
   2 import decimal
   3 import time
   4 from retry.api import retry_call
   5 import re
   6
   7 def _cw_exchange_sum(self, *args):
   8     return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))])
   9 Exchange.sum = _cw_exchange_sum
  10
  11 class poloniexE(poloniex):
  12     RETRIABLE_CALLS = [
  13             re.compile(r"^return"),
  14             re.compile(r"^cancel"),
  15             re.compile(r"^closeMarginPosition$"),
  16             re.compile(r"^getMarginPosition$"),
  17             ]
  18
  19     def request(self, path, api='public', method='GET', params={}, headers=None, body=None):
  20         """
  21         Wrapped to allow retry of non-posting requests"
  22         """
  23
  24         origin_request = super().request
  25         kwargs = {
  26                 "api": api,
  27                 "method": method,
  28                 "params": params,
  29                 "headers": headers,
  30                 "body": body
  31                 }
  32
  33         retriable = any(re.match(call, path) for call in self.RETRIABLE_CALLS)
  34         if api == "public" or method == "GET" or retriable:
  35             return retry_call(origin_request, fargs=[path], fkwargs=kwargs,
  36                     tries=10, delay=1, exceptions=(RequestTimeout, InvalidNonce))
  37         else:
  38             return origin_request(path, **kwargs)
  39
  40     def __init__(self, *args, **kwargs):
  41         super().__init__(*args, **kwargs)
  42
  43         # For requests logging
  44         self.session.origin_request = self.session.request
  45         self.session._parent = self
  46
  47         def request_wrap(self, *args, **kwargs):
  48             r = self.origin_request(*args, **kwargs)
  49             self._parent._market.report.log_http_request(args[0],
  50                     args[1], kwargs["data"], kwargs["headers"], r)
  51             return r
  52         self.session.request = request_wrap.__get__(self.session,
  53                 self.session.__class__)
  54
  55     @staticmethod
  56     def nanoseconds():
  57         return int(time.time() * 1000000000)
  58
  59     def fetch_margin_balance(self):
  60         """
  61         portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
  62         See DASH/BTC positions
  63         {'amount': '-0.10000000',         -> DASH empruntés (à rendre)
  64         'basePrice': '0.06818560',        -> à ce prix là (0.06828800 demandé * (1-0.15%))
  65         'lendingFees': '0.00000000',      -> ce que je dois à mon créditeur en intérêts
  66         'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin)
  67         'pl': '-0.00000371',              -> plus-value latente si je rachète tout de suite (négatif = perdu)
  68         'total': '0.00681856',            -> valeur totale empruntée en BTC (au moment de l'échange)
  69                                              = amount * basePrice à erreur d'arrondi près
  70         'type': 'short'}
  71         """
  72         positions = self.privatePostGetMarginPosition({"currencyPair": "all"})
  73         parsed = {}
  74         for symbol, position in positions.items():
  75             if position["type"] == "none":
  76                 continue
  77             base_currency, currency = symbol.split("_")
  78             parsed[currency] = {
  79                     "amount": decimal.Decimal(position["amount"]),
  80                     "borrowedPrice": decimal.Decimal(position["basePrice"]),
  81                     "lendingFees": decimal.Decimal(position["lendingFees"]),
  82                     "pl": decimal.Decimal(position["pl"]),
  83                     "liquidationPrice": decimal.Decimal(position["liquidationPrice"]),
  84                     "type": position["type"],
  85                     "total": decimal.Decimal(position["total"]),
  86                     "baseCurrency": base_currency,
  87                     }
  88         return parsed
  89
  90     def fetch_balance_per_type(self):
  91         balances = self.privatePostReturnAvailableAccountBalances()
  92         result = {'info': balances}
  93         for key, balance in balances.items():
  94             result[key] = {}
  95             for currency, amount in balance.items():
  96                 result.setdefault(currency, {})
  97                 result[currency][key] = decimal.Decimal(amount)
  98                 result[key][currency] = decimal.Decimal(amount)
  99         return result
 100
 101     def fetch_all_balances(self):
 102         exchange_balances = self.fetch_balance()
 103         margin_balances = self.fetch_margin_balance()
 104         balances_per_type = self.fetch_balance_per_type()
 105
 106         all_balances = {}
 107         in_positions = {}
 108         pending_pl = {}
 109
 110         for currency, exchange_balance in exchange_balances.items():
 111             if currency in ["info", "free", "used", "total"]:
 112                 continue
 113
 114             margin_balance = margin_balances.get(currency, {})
 115             balance_per_type = balances_per_type.get(currency, {})
 116
 117             all_balances[currency] = {
 118                 "total": exchange_balance["total"] + margin_balance.get("amount", 0),
 119                 "exchange_used": exchange_balance["used"],
 120                 "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0),
 121                 "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0),
 122                 # Disponible sur le compte margin
 123                 "margin_available": balance_per_type.get("margin", 0),
 124                 # Bloqué en position
 125                 "margin_in_position": 0,
 126                 # Emprunté
 127                 "margin_borrowed": -margin_balance.get("amount", 0),
 128                 # Total
 129                 "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
 130                 "margin_pending_gain": 0,
 131                 "margin_lending_fees": margin_balance.get("lendingFees", 0),
 132                 "margin_pending_base_gain": margin_balance.get("pl", 0),
 133                 "margin_position_type": margin_balance.get("type", None),
 134                 "margin_liquidation_price": margin_balance.get("liquidationPrice", 0),
 135                 "margin_borrowed_base_price": margin_balance.get("total", 0),
 136                 "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None),
 137                 }
 138             if len(margin_balance) > 0:
 139                 in_positions.setdefault(margin_balance["baseCurrency"], 0)
 140                 in_positions[margin_balance["baseCurrency"]] += margin_balance["total"]
 141
 142                 pending_pl.setdefault(margin_balance["baseCurrency"], 0)
 143                 pending_pl[margin_balance["baseCurrency"]] += margin_balance["pl"]
 144
 145             # J’emprunte 0.12062983 que je revends à 0.06003598 BTC/DASH, soit 0.00724213 BTC.
 146             # Sur ces 0.00724213 BTC je récupère 0.00724213*(1-0.0015) = 0.00723127 BTC
 147             #
 148             # -> ordertrades ne tient pas compte des fees
 149             #     amount = montant vendu (un seul mouvement)
 150             #     rate = à ce taux
 151             #     total = total en BTC (pour ce mouvement)
 152             # -> marginposition:
 153             #     amount = ce que je dois rendre
 154             #     basePrice = prix de vente en tenant compte des fees
 155             #     (amount * basePrice = la quantité de BTC que j’ai effectivement
 156             #     reçue à erreur d’arrondi près, utiliser plutôt "total")
 157             #     total = la quantité de BTC que j’ai reçue
 158             #     pl = plus value actuelle si je rachetais tout de suite
 159             # -> marginaccountsummary:
 160             #     currentMargin = La marge actuelle (= netValue/totalBorrowedValue)
 161             #     totalValue = BTC actuellement en margin (déposé)
 162             #     totalBorrowedValue = sum (amount * ticker[lowestAsk])
 163             #     pl = sum(pl)
 164             #     netValue = BTC actuellement en margin (déposé) + pl
 165             # Exemple:
 166             # In [38]: m.ccxt.private_post_returnordertrades({"orderNumber": "XXXXXXXXXXXX"})
 167             # Out[38]:
 168             # [{'amount': '0.11882982',
 169             #   'currencyPair': 'BTC_DASH',
 170             #   'date': '2018-02-26 22:48:35',
 171             #   'fee': '0.00150000',
 172             #   'globalTradeID': 348891380,
 173             #   'rate': '0.06003598',
 174             #   'total': '0.00713406',
 175             #   'tradeID': 9634443,
 176             #   'type': 'sell'},
 177             #  {'amount': '0.00180000',
 178             #   'currencyPair': 'BTC_DASH',
 179             #   'date': '2018-02-26 22:48:30',
 180             #   'fee': '0.00150000',
 181             #   'globalTradeID': 348891375,
 182             #   'rate': '0.06003598',
 183             #   'total': '0.00010806',
 184             #   'tradeID': 9634442,
 185             #   'type': 'sell'}]
 186             #
 187             # In [51]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
 188             # Out[51]:
 189             # {'amount': '-0.12062982',
 190             #  'basePrice': '0.05994587',
 191             #  'lendingFees': '0.00000000',
 192             #  'liquidationPrice': '0.15531479',
 193             #  'pl': '0.00000122',
 194             #  'total': '0.00723126',
 195             #  'type': 'short'}
 196             # In [52]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_BTS"})
 197             # Out[52]:
 198             # {'amount': '-332.97159188',
 199             #  'basePrice': '0.00002171',
 200             #  'lendingFees': '0.00000000',
 201             #  'liquidationPrice': '0.00005543',
 202             #  'pl': '0.00029548',
 203             #  'total': '0.00723127',
 204             #  'type': 'short'}
 205             #
 206             # In [53]: m.ccxt.privatePostReturnMarginAccountSummary()
 207             # Out[53]:
 208             # {'currentMargin': '1.04341991',
 209             #  'lendingFees': '0.00000000',
 210             #  'netValue': '0.01478093',
 211             #  'pl': '0.00029666',
 212             #  'totalBorrowedValue': '0.01416585',
 213             #  'totalValue': '0.01448427'}
 214
 215         for currency, in_position in in_positions.items():
 216             all_balances[currency]["total"] += in_position
 217             all_balances[currency]["margin_in_position"] += in_position
 218             all_balances[currency]["margin_total"] += in_position
 219
 220         for currency, pl in pending_pl.items():
 221             all_balances[currency]["margin_pending_gain"] += pl
 222
 223         return all_balances
 224
 225     def create_exchange_order(self, symbol, type, side, amount, price=None, params={}):
 226         return super().create_order(symbol, type, side, amount, price=price, params=params)
 227
 228     def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}):
 229         if type == 'market':
 230             raise ExchangeError(self.id + ' allows limit orders only')
 231         self.load_markets()
 232         method = 'privatePostMargin' + self.capitalize(side)
 233         market = self.market(symbol)
 234         price = float(price)
 235         amount = float(amount)
 236         if lending_rate is not None:
 237             params = self.extend({"lendingRate": lending_rate}, params)
 238         response = getattr(self, method)(self.extend({
 239             'currencyPair': market['id'],
 240             'rate': self.price_to_precision(symbol, price),
 241             'amount': self.amount_to_precision(symbol, amount),
 242         }, params))
 243         timestamp = self.milliseconds()
 244         order = self.parse_order(self.extend({
 245             'timestamp': timestamp,
 246             'status': 'open',
 247             'type': type,
 248             'side': side,
 249             'price': price,
 250             'amount': amount,
 251         }, response), market)
 252         id = order['id']
 253         self.orders[id] = order
 254         return self.extend({'info': response}, order)
 255
 256     def order_precision(self, symbol):
 257         return 8
 258
 259     def transfer_balance(self, currency, amount, from_account, to_account):
 260         result = self.privatePostTransferBalance({
 261             "currency": currency,
 262             "amount": amount,
 263             "fromAccount": from_account,
 264             "toAccount": to_account,
 265             "confirmed": 1})
 266         return result["success"] == 1
 267
 268     def close_margin_position(self, currency, base_currency):
 269         """
 270         closeMarginPosition({"currencyPair": "BTC_DASH"})
 271         fermer la position au prix du marché
 272         """
 273         symbol = "{}_{}".format(base_currency, currency)
 274         self.privatePostCloseMarginPosition({"currencyPair": symbol})
 275
 276     def tradable_balances(self):
 277         """
 278         portfolio.market.privatePostReturnTradableBalances()
 279         Returns tradable balances in margin
 280         'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'},
 281         Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte)
 282         'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'},
 283         Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM
 284         """
 285
 286         tradable_balances = self.privatePostReturnTradableBalances()
 287         for symbol, balances in tradable_balances.items():
 288             for currency, balance in balances.items():
 289                 balances[currency] = decimal.Decimal(balance)
 290         return tradable_balances
 291
 292     def margin_summary(self):
 293         """
 294         portfolio.market.privatePostReturnMarginAccountSummary()
 295         Returns current informations for margin
 296         {'currentMargin': '1.49680968',      -> marge (ne doit pas descendre sous 20% / 0.2)
 297                                                 = netValue / totalBorrowedValue
 298         'lendingFees': '0.00000000',        -> fees totaux
 299         'netValue': '0.01008254',           -> balance + plus-value
 300         'pl': '0.00008254',                 -> plus value latente (somme des positions)
 301         'totalBorrowedValue': '0.00673602', -> valeur empruntée convertie en BTC.
 302                 (= sum(amount * ticker[lowerAsk]) pour amount dans marginposition)
 303         'totalValue': '0.01000000'}         -> balance (collateral déposé en margin)
 304         """
 305         summary = self.privatePostReturnMarginAccountSummary()
 306
 307         return {
 308                 "current_margin": decimal.Decimal(summary["currentMargin"]),
 309                 "lending_fees": decimal.Decimal(summary["lendingFees"]),
 310                 "gains": decimal.Decimal(summary["pl"]),
 311                 "total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]),
 312                 "total": decimal.Decimal(summary["totalValue"]),
 313                 }
 314
 315     def nonce(self):
 316         """
 317         Wrapped to allow nonce with other libraries
 318         """
 319         return self.nanoseconds()
 320
 321     def fetch_balance(self, params={}):
 322         """
 323         Wrapped to get decimals
 324         """
 325         self.load_markets()
 326         balances = self.privatePostReturnCompleteBalances(self.extend({
 327             'account': 'all',
 328             }, params))
 329         result = {'info': balances}
 330         currencies = list(balances.keys())
 331         for c in range(0, len(currencies)):
 332             id = currencies[c]
 333             balance = balances[id]
 334             currency = self.common_currency_code(id)
 335             account = {
 336                     'free': decimal.Decimal(balance['available']),
 337                     'used': decimal.Decimal(balance['onOrders']),
 338                     'total': decimal.Decimal(0.0),
 339                     }
 340             account['total'] = self.sum(account['free'], account['used'])
 341             result[currency] = account
 342         return self.parse_balance(result)
 343
 344     def parse_ticker(self, ticker, market=None):
 345         """
 346         Wrapped to get decimals
 347         """
 348         timestamp = self.milliseconds()
 349         symbol = None
 350         if market:
 351             symbol = market['symbol']
 352         return {
 353             'symbol': symbol,
 354             'timestamp': timestamp,
 355             'datetime': self.iso8601(timestamp),
 356             'high': decimal.Decimal(ticker['high24hr']),
 357             'low': decimal.Decimal(ticker['low24hr']),
 358             'bid': decimal.Decimal(ticker['highestBid']),
 359             'ask': decimal.Decimal(ticker['lowestAsk']),
 360             'vwap': None,
 361             'open': None,
 362             'close': None,
 363             'first': None,
 364             'last': decimal.Decimal(ticker['last']),
 365             'change': decimal.Decimal(ticker['percentChange']),
 366             'percentage': None,
 367             'average': None,
 368             'baseVolume': decimal.Decimal(ticker['quoteVolume']),
 369             'quoteVolume': decimal.Decimal(ticker['baseVolume']),
 370             'info': ticker,
 371         }
 372
 373     def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}):
 374         """
 375         Wrapped to handle margin and exchange accounts
 376         """
 377         if account == "exchange":
 378             return self.create_exchange_order(symbol, type, side, amount, price=price, params=params)
 379         elif account == "margin":
 380             return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params)
 381         else:
 382             raise NotImplementedError
 383
 384