ccxt_wrapper.py

   1 from ccxt import *
   2 import decimal
   3 import time
   4 from retry.api import retry_call
   5 import re
   6 from requests.exceptions import RequestException
   7 from ssl import SSLError
   8
   9 def _cw_exchange_sum(self, *args):
  10     return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))])
  11 Exchange.sum = _cw_exchange_sum
  12
  13 class poloniexE(poloniex):
  14     RETRIABLE_CALLS = [
  15             re.compile(r"^return"),
  16             re.compile(r"^cancel"),
  17             re.compile(r"^closeMarginPosition$"),
  18             re.compile(r"^getMarginPosition$"),
  19             ]
  20
  21     def request(self, path, api='public', method='GET', params={}, headers=None, body=None):
  22         """
  23         Wrapped to allow retry of non-posting requests"
  24         """
  25
  26         origin_request = super().request
  27         kwargs = {
  28                 "api": api,
  29                 "method": method,
  30                 "params": params,
  31                 "headers": headers,
  32                 "body": body
  33                 }
  34
  35         retriable = any(re.match(call, path) for call in self.RETRIABLE_CALLS)
  36         if api == "public" or method == "GET" or retriable:
  37             return retry_call(origin_request, fargs=[path], fkwargs=kwargs,
  38                     tries=10, delay=1, exceptions=(RequestTimeout, InvalidNonce))
  39         else:
  40             return origin_request(path, **kwargs)
  41
  42     def __init__(self, *args, **kwargs):
  43         super().__init__(*args, **kwargs)
  44
  45         # For requests logging
  46         self.session.origin_request = self.session.request
  47         self.session._parent = self
  48
  49         def request_wrap(self, *args, **kwargs):
  50             try:
  51                 r = self.origin_request(*args, **kwargs)
  52                 self._parent._market.report.log_http_request(args[0],
  53                         args[1], kwargs["data"], kwargs["headers"], r)
  54                 return r
  55             except (SSLError, RequestException) as e:
  56                 self._parent._market.report.log_http_request(args[0],
  57                         args[1], kwargs["data"], kwargs["headers"], e)
  58                 raise e
  59
  60         self.session.request = request_wrap.__get__(self.session,
  61                 self.session.__class__)
  62
  63     @staticmethod
  64     def nanoseconds():
  65         return int(time.time() * 1000000000)
  66
  67     def fetch_margin_balance(self):
  68         """
  69         portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
  70         See DASH/BTC positions
  71         {'amount': '-0.10000000',         -> DASH empruntés (à rendre)
  72         'basePrice': '0.06818560',        -> à ce prix là (0.06828800 demandé * (1-0.15%))
  73         'lendingFees': '0.00000000',      -> ce que je dois à mon créditeur en intérêts
  74         'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin)
  75         'pl': '-0.00000371',              -> plus-value latente si je rachète tout de suite (négatif = perdu)
  76         'total': '0.00681856',            -> valeur totale empruntée en BTC (au moment de l'échange)
  77                                              = amount * basePrice à erreur d'arrondi près
  78         'type': 'short'}
  79         """
  80         positions = self.privatePostGetMarginPosition({"currencyPair": "all"})
  81         parsed = {}
  82         for symbol, position in positions.items():
  83             if position["type"] == "none":
  84                 continue
  85             base_currency, currency = symbol.split("_")
  86             parsed[currency] = {
  87                     "amount": decimal.Decimal(position["amount"]),
  88                     "borrowedPrice": decimal.Decimal(position["basePrice"]),
  89                     "lendingFees": decimal.Decimal(position["lendingFees"]),
  90                     "pl": decimal.Decimal(position["pl"]),
  91                     "liquidationPrice": decimal.Decimal(position["liquidationPrice"]),
  92                     "type": position["type"],
  93                     "total": decimal.Decimal(position["total"]),
  94                     "baseCurrency": base_currency,
  95                     }
  96         return parsed
  97
  98     def fetch_balance_per_type(self):
  99         balances = self.privatePostReturnAvailableAccountBalances()
 100         result = {'info': balances}
 101         for key, balance in balances.items():
 102             result[key] = {}
 103             for currency, amount in balance.items():
 104                 result.setdefault(currency, {})
 105                 result[currency][key] = decimal.Decimal(amount)
 106                 result[key][currency] = decimal.Decimal(amount)
 107         return result
 108
 109     def fetch_all_balances(self):
 110         exchange_balances = self.fetch_balance()
 111         margin_balances = self.fetch_margin_balance()
 112         balances_per_type = self.fetch_balance_per_type()
 113
 114         all_balances = {}
 115         in_positions = {}
 116         pending_pl = {}
 117
 118         for currency, exchange_balance in exchange_balances.items():
 119             if currency in ["info", "free", "used", "total"]:
 120                 continue
 121
 122             margin_balance = margin_balances.get(currency, {})
 123             balance_per_type = balances_per_type.get(currency, {})
 124
 125             all_balances[currency] = {
 126                 "total": exchange_balance["total"] + margin_balance.get("amount", 0),
 127                 "exchange_used": exchange_balance["used"],
 128                 "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0),
 129                 "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0),
 130                 # Disponible sur le compte margin
 131                 "margin_available": balance_per_type.get("margin", 0),
 132                 # Bloqué en position
 133                 "margin_in_position": 0,
 134                 # Emprunté
 135                 "margin_borrowed": -margin_balance.get("amount", 0),
 136                 # Total
 137                 "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
 138                 "margin_pending_gain": 0,
 139                 "margin_lending_fees": margin_balance.get("lendingFees", 0),
 140                 "margin_pending_base_gain": margin_balance.get("pl", 0),
 141                 "margin_position_type": margin_balance.get("type", None),
 142                 "margin_liquidation_price": margin_balance.get("liquidationPrice", 0),
 143                 "margin_borrowed_base_price": margin_balance.get("total", 0),
 144                 "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None),
 145                 }
 146             if len(margin_balance) > 0:
 147                 in_positions.setdefault(margin_balance["baseCurrency"], 0)
 148                 in_positions[margin_balance["baseCurrency"]] += margin_balance["total"]
 149
 150                 pending_pl.setdefault(margin_balance["baseCurrency"], 0)
 151                 pending_pl[margin_balance["baseCurrency"]] += margin_balance["pl"]
 152
 153             # J’emprunte 0.12062983 que je revends à 0.06003598 BTC/DASH, soit 0.00724213 BTC.
 154             # Sur ces 0.00724213 BTC je récupère 0.00724213*(1-0.0015) = 0.00723127 BTC
 155             #
 156             # -> ordertrades ne tient pas compte des fees
 157             #     amount = montant vendu (un seul mouvement)
 158             #     rate = à ce taux
 159             #     total = total en BTC (pour ce mouvement)
 160             # -> marginposition:
 161             #     amount = ce que je dois rendre
 162             #     basePrice = prix de vente en tenant compte des fees
 163             #     (amount * basePrice = la quantité de BTC que j’ai effectivement
 164             #     reçue à erreur d’arrondi près, utiliser plutôt "total")
 165             #     total = la quantité de BTC que j’ai reçue
 166             #     pl = plus value actuelle si je rachetais tout de suite
 167             # -> marginaccountsummary:
 168             #     currentMargin = La marge actuelle (= netValue/totalBorrowedValue)
 169             #     totalValue = BTC actuellement en margin (déposé)
 170             #     totalBorrowedValue = sum (amount * ticker[lowestAsk])
 171             #     pl = sum(pl)
 172             #     netValue = BTC actuellement en margin (déposé) + pl
 173             # Exemple:
 174             # In [38]: m.ccxt.private_post_returnordertrades({"orderNumber": "XXXXXXXXXXXX"})
 175             # Out[38]:
 176             # [{'amount': '0.11882982',
 177             #   'currencyPair': 'BTC_DASH',
 178             #   'date': '2018-02-26 22:48:35',
 179             #   'fee': '0.00150000',
 180             #   'globalTradeID': 348891380,
 181             #   'rate': '0.06003598',
 182             #   'total': '0.00713406',
 183             #   'tradeID': 9634443,
 184             #   'type': 'sell'},
 185             #  {'amount': '0.00180000',
 186             #   'currencyPair': 'BTC_DASH',
 187             #   'date': '2018-02-26 22:48:30',
 188             #   'fee': '0.00150000',
 189             #   'globalTradeID': 348891375,
 190             #   'rate': '0.06003598',
 191             #   'total': '0.00010806',
 192             #   'tradeID': 9634442,
 193             #   'type': 'sell'}]
 194             #
 195             # In [51]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
 196             # Out[51]:
 197             # {'amount': '-0.12062982',
 198             #  'basePrice': '0.05994587',
 199             #  'lendingFees': '0.00000000',
 200             #  'liquidationPrice': '0.15531479',
 201             #  'pl': '0.00000122',
 202             #  'total': '0.00723126',
 203             #  'type': 'short'}
 204             # In [52]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_BTS"})
 205             # Out[52]:
 206             # {'amount': '-332.97159188',
 207             #  'basePrice': '0.00002171',
 208             #  'lendingFees': '0.00000000',
 209             #  'liquidationPrice': '0.00005543',
 210             #  'pl': '0.00029548',
 211             #  'total': '0.00723127',
 212             #  'type': 'short'}
 213             #
 214             # In [53]: m.ccxt.privatePostReturnMarginAccountSummary()
 215             # Out[53]:
 216             # {'currentMargin': '1.04341991',
 217             #  'lendingFees': '0.00000000',
 218             #  'netValue': '0.01478093',
 219             #  'pl': '0.00029666',
 220             #  'totalBorrowedValue': '0.01416585',
 221             #  'totalValue': '0.01448427'}
 222
 223         for currency, in_position in in_positions.items():
 224             all_balances[currency]["total"] += in_position
 225             all_balances[currency]["margin_in_position"] += in_position
 226             all_balances[currency]["margin_total"] += in_position
 227
 228         for currency, pl in pending_pl.items():
 229             all_balances[currency]["margin_pending_gain"] += pl
 230
 231         return all_balances
 232
 233     def create_exchange_order(self, symbol, type, side, amount, price=None, params={}):
 234         return super().create_order(symbol, type, side, amount, price=price, params=params)
 235
 236     def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}):
 237         if type == 'market':
 238             raise ExchangeError(self.id + ' allows limit orders only')
 239         self.load_markets()
 240         method = 'privatePostMargin' + self.capitalize(side)
 241         market = self.market(symbol)
 242         price = float(price)
 243         amount = float(amount)
 244         if lending_rate is not None:
 245             params = self.extend({"lendingRate": lending_rate}, params)
 246         response = getattr(self, method)(self.extend({
 247             'currencyPair': market['id'],
 248             'rate': self.price_to_precision(symbol, price),
 249             'amount': self.amount_to_precision(symbol, amount),
 250         }, params))
 251         timestamp = self.milliseconds()
 252         order = self.parse_order(self.extend({
 253             'timestamp': timestamp,
 254             'status': 'open',
 255             'type': type,
 256             'side': side,
 257             'price': price,
 258             'amount': amount,
 259         }, response), market)
 260         id = order['id']
 261         self.orders[id] = order
 262         return self.extend({'info': response}, order)
 263
 264     def order_precision(self, symbol):
 265         return 8
 266
 267     def transfer_balance(self, currency, amount, from_account, to_account):
 268         result = self.privatePostTransferBalance({
 269             "currency": currency,
 270             "amount": amount,
 271             "fromAccount": from_account,
 272             "toAccount": to_account,
 273             "confirmed": 1})
 274         return result["success"] == 1
 275
 276     def close_margin_position(self, currency, base_currency):
 277         """
 278         closeMarginPosition({"currencyPair": "BTC_DASH"})
 279         fermer la position au prix du marché
 280         """
 281         symbol = "{}_{}".format(base_currency, currency)
 282         self.privatePostCloseMarginPosition({"currencyPair": symbol})
 283
 284     def tradable_balances(self):
 285         """
 286         portfolio.market.privatePostReturnTradableBalances()
 287         Returns tradable balances in margin
 288         'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'},
 289         Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte)
 290         'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'},
 291         Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM
 292         """
 293
 294         tradable_balances = self.privatePostReturnTradableBalances()
 295         for symbol, balances in tradable_balances.items():
 296             for currency, balance in balances.items():
 297                 balances[currency] = decimal.Decimal(balance)
 298         return tradable_balances
 299
 300     def margin_summary(self):
 301         """
 302         portfolio.market.privatePostReturnMarginAccountSummary()
 303         Returns current informations for margin
 304         {'currentMargin': '1.49680968',      -> marge (ne doit pas descendre sous 20% / 0.2)
 305                                                 = netValue / totalBorrowedValue
 306         'lendingFees': '0.00000000',        -> fees totaux
 307         'netValue': '0.01008254',           -> balance + plus-value
 308         'pl': '0.00008254',                 -> plus value latente (somme des positions)
 309         'totalBorrowedValue': '0.00673602', -> valeur empruntée convertie en BTC.
 310                 (= sum(amount * ticker[lowerAsk]) pour amount dans marginposition)
 311         'totalValue': '0.01000000'}         -> balance (collateral déposé en margin)
 312         """
 313         summary = self.privatePostReturnMarginAccountSummary()
 314
 315         return {
 316                 "current_margin": decimal.Decimal(summary["currentMargin"]),
 317                 "lending_fees": decimal.Decimal(summary["lendingFees"]),
 318                 "gains": decimal.Decimal(summary["pl"]),
 319                 "total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]),
 320                 "total": decimal.Decimal(summary["totalValue"]),
 321                 }
 322
 323     def nonce(self):
 324         """
 325         Wrapped to allow nonce with other libraries
 326         """
 327         return self.nanoseconds()
 328
 329     def fetch_balance(self, params={}):
 330         """
 331         Wrapped to get decimals
 332         """
 333         self.load_markets()
 334         balances = self.privatePostReturnCompleteBalances(self.extend({
 335             'account': 'all',
 336             }, params))
 337         result = {'info': balances}
 338         currencies = list(balances.keys())
 339         for c in range(0, len(currencies)):
 340             id = currencies[c]
 341             balance = balances[id]
 342             currency = self.common_currency_code(id)
 343             account = {
 344                     'free': decimal.Decimal(balance['available']),
 345                     'used': decimal.Decimal(balance['onOrders']),
 346                     'total': decimal.Decimal(0.0),
 347                     }
 348             account['total'] = self.sum(account['free'], account['used'])
 349             result[currency] = account
 350         return self.parse_balance(result)
 351
 352     def parse_ticker(self, ticker, market=None):
 353         """
 354         Wrapped to get decimals
 355         """
 356         timestamp = self.milliseconds()
 357         symbol = None
 358         if market:
 359             symbol = market['symbol']
 360         return {
 361             'symbol': symbol,
 362             'timestamp': timestamp,
 363             'datetime': self.iso8601(timestamp),
 364             'high': decimal.Decimal(ticker['high24hr']),
 365             'low': decimal.Decimal(ticker['low24hr']),
 366             'bid': decimal.Decimal(ticker['highestBid']),
 367             'ask': decimal.Decimal(ticker['lowestAsk']),
 368             'vwap': None,
 369             'open': None,
 370             'close': None,
 371             'first': None,
 372             'last': decimal.Decimal(ticker['last']),
 373             'change': decimal.Decimal(ticker['percentChange']),
 374             'percentage': None,
 375             'average': None,
 376             'baseVolume': decimal.Decimal(ticker['quoteVolume']),
 377             'quoteVolume': decimal.Decimal(ticker['baseVolume']),
 378             'info': ticker,
 379         }
 380
 381     def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}):
 382         """
 383         Wrapped to handle margin and exchange accounts
 384         """
 385         if account == "exchange":
 386             return self.create_exchange_order(symbol, type, side, amount, price=price, params=params)
 387         elif account == "margin":
 388             return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params)
 389         else:
 390             raise NotImplementedError
 391
 392