1 from ccxt
import ExchangeError
, NotSupported
2 import ccxt_wrapper
as ccxt
6 from cachetools
.func
import ttl_cache
7 from datetime
import datetime
17 def __init__(self
, ccxt_instance
, args
, **kwargs
):
19 self
.debug
= args
.debug
20 self
.ccxt
= ccxt_instance
21 self
.ccxt
._market
= self
22 self
.report
= ReportStore(self
, verbose_print
=(not args
.quiet
))
23 self
.trades
= TradeStore(self
)
24 self
.balances
= BalanceStore(self
)
25 self
.processor
= Processor(self
)
27 for key
in ["user_id", "market_id", "report_path", "pg_config"]:
28 setattr(self
, key
, kwargs
.get(key
, None))
31 def from_config(cls
, config
, args
, **kwargs
):
32 config
["apiKey"] = config
.pop("key", None)
34 ccxt_instance
= ccxt
.poloniexE(config
)
36 # For requests logging
37 ccxt_instance
.session
.origin_request
= ccxt_instance
.session
.request
38 ccxt_instance
.session
._parent
= ccxt_instance
40 def request_wrap(self
, *args
, **kwargs
):
41 r
= self
.origin_request(*args
, **kwargs
)
42 self
._parent
._market
.report
.log_http_request(args
[0],
43 args
[1], kwargs
["data"], kwargs
["headers"], r
)
45 ccxt_instance
.session
.request
= request_wrap
.__get
__(ccxt_instance
.session
,
46 ccxt_instance
.session
.__class
__)
48 return cls(ccxt_instance
, args
, **kwargs
)
50 def store_report(self
):
51 self
.report
.merge(Portfolio
.report
)
53 if self
.report_path
is not None:
54 self
.store_file_report(date
)
55 if self
.pg_config
is not None:
56 self
.store_database_report(date
)
58 def store_file_report(self
, date
):
60 report_file
= "{}/{}_{}".format(self
.report_path
, date
.isoformat(), self
.user_id
)
61 with open(report_file
+ ".json", "w") as f
:
62 f
.write(self
.report
.to_json())
63 with open(report_file
+ ".log", "w") as f
:
64 f
.write("\n".join(map(lambda x
: x
[1], self
.report
.print_logs
)))
65 except Exception as e
:
66 print("impossible to store report file: {}; {}".format(e
.__class
__.__name
__, e
))
68 def store_database_report(self
, date
):
70 report_query
= 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
71 line_query
= 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
72 connection
= psycopg2
.connect(**self
.pg_config
)
73 cursor
= connection
.cursor()
74 cursor
.execute(report_query
, (date
, self
.market_id
, self
.debug
))
75 report_id
= cursor
.fetchone()[0]
76 for date
, type_
, payload
in self
.report
.to_json_array():
77 cursor
.execute(line_query
, (date
, report_id
, type_
, payload
))
82 except Exception as e
:
83 print("impossible to store report to database: {}; {}".format(e
.__class
__.__name
__, e
))
85 def process(self
, actions
, before
=False, after
=False):
87 if len(actions
or []) == 0:
89 self
.processor
.process("sell_all", steps
="before")
91 self
.processor
.process("sell_all", steps
="after")
93 for action
in actions
:
94 if hasattr(self
, action
):
95 getattr(self
, action
)()
97 self
.report
.log_error("market_process", message
="Unknown action {}".format(action
))
98 except Exception as e
:
99 self
.report
.log_error("market_process", exception
=e
)
103 def move_balances(self
):
104 needed_in_margin
= {}
105 moving_to_margin
= {}
107 for currency
, balance
in self
.balances
.all
.items():
108 needed_in_margin
[currency
] = balance
.margin_in_position
- balance
.margin_pending_gain
109 for trade
in self
.trades
.pending
:
110 needed_in_margin
.setdefault(trade
.base_currency
, 0)
111 if trade
.trade_type
== "short":
112 needed_in_margin
[trade
.base_currency
] -= trade
.delta
113 for currency
, needed
in needed_in_margin
.items():
114 current_balance
= self
.balances
.all
[currency
].margin_available
115 moving_to_margin
[currency
] = (needed
- current_balance
)
116 delta
= moving_to_margin
[currency
].value
117 if self
.debug
and delta
!= 0:
118 self
.report
.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin
[currency
]))
121 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
123 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
124 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
126 self
.balances
.fetch_balances()
129 def fetch_fees(self
):
130 return self
.ccxt
.fetch_fees()
132 @ttl_cache(maxsize
=20, ttl
=5)
133 def get_tickers(self
, refresh
=False):
135 return self
.ccxt
.fetch_tickers()
139 @ttl_cache(maxsize
=20, ttl
=5)
140 def get_ticker(self
, c1
, c2
, refresh
=False):
144 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
147 def augment_ticker(ticker
):
150 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
154 tickers
= self
.get_tickers()
157 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
158 except ExchangeError
:
160 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
161 except ExchangeError
:
164 if "{}/{}".format(c1
, c2
) in tickers
:
165 ticker
= augment_ticker(tickers
["{}/{}".format(c1
, c2
)])
166 elif "{}/{}".format(c2
, c1
) in tickers
:
167 ticker
= invert(augment_ticker(tickers
["{}/{}".format(c2
, c1
)]))
172 def follow_orders(self
, sleep
=None):
174 sleep
= 7 if self
.debug
else 30
176 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
178 self
.report
.log_stage("follow_orders_begin")
179 while len(self
.trades
.all_orders(state
="open")) > 0:
182 open_orders
= self
.trades
.all_orders(state
="open")
183 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
184 self
.report
.log_orders(open_orders
, tick
=tick
)
185 for order
in open_orders
:
186 if order
.get_status() != "open":
187 self
.report
.log_order(order
, tick
, finished
=True)
189 order
.trade
.update_order(order
, tick
)
190 self
.report
.log_stage("follow_orders_end")
192 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium",
193 compute_value
="average", repartition
=None, only
=None):
195 self
.report
.log_stage("prepare_trades",
196 base_currency
=base_currency
, liquidity
=liquidity
,
197 compute_value
=compute_value
, only
=only
,
198 repartition
=repartition
)
200 values_in_base
= self
.balances
.in_currency(base_currency
,
201 compute_value
=compute_value
)
202 total_base_value
= sum(values_in_base
.values())
203 new_repartition
= self
.balances
.dispatch_assets(total_base_value
,
204 liquidity
=liquidity
, repartition
=repartition
)
205 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
208 def print_orders(self
, base_currency
="BTC"):
209 self
.report
.log_stage("print_orders")
210 self
.balances
.fetch_balances(tag
="print_orders")
211 self
.prepare_trades(base_currency
=base_currency
, compute_value
="average")
212 self
.trades
.prepare_orders(compute_value
="average")
214 def print_balances(self
, base_currency
="BTC"):
215 self
.report
.log_stage("print_balances")
216 self
.balances
.fetch_balances()
217 if base_currency
is not None:
218 self
.report
.print_log("total:")
219 self
.report
.print_log(sum(self
.balances
.in_currency(base_currency
).values()))
223 "wait_for_cryptoportfolio": [
229 "wait_for_recent": {},
238 "wait_for_recent": {},
241 "name": "make_orders",
245 "fetch_balances": ["begin"],
246 "prepare_trades": { "compute_value": "average" }
,
247 "prepare_orders": { "compute_value": "average" }
,
256 "wait_for_recent": {},
263 "fetch_balances": ["begin", "end"],
264 "prepare_trades": {},
265 "prepare_orders": { "only": "dispose", "compute_value": "average" }
,
275 "fetch_balances": ["begin", "end"],
276 "prepare_trades": { "only": "acquire" }
,
277 "prepare_orders": { "only": "acquire", "compute_value": "average" }
,
290 "fetch_balances": ["begin", "end"],
291 "prepare_trades": { "repartition": { "base_currency": (1, "long") }
},
292 "prepare_orders": { "compute_value": "average" }
,
302 "wait_for_recent": {},
309 "fetch_balances": ["begin", "end"],
310 "prepare_trades": {},
311 "prepare_orders": { "compute_value": "average" }
,
321 "wait_for_recent", "prepare_trades", "prepare_orders",
322 "move_balances", "run_orders", "follow_orders",
325 def __init__(self
, market
):
328 def select_steps(self
, scenario
, step
):
331 elif step
== "before" or step
== "after":
332 return list(filter(lambda x
: step
in x
and x
[step
], scenario
))
333 elif type(step
) == int:
334 return [scenario
[step
-1]]
335 elif type(step
) == str:
336 return list(filter(lambda x
: x
["name"] == step
, scenario
))
338 raise TypeError("Unknown step {}".format(step
))
340 def process(self
, scenario_name
, steps
="all", **kwargs
):
341 scenario
= self
.scenarios
[scenario_name
]
344 if type(steps
) == str or type(steps
) == int:
345 selected_steps
+= self
.select_steps(scenario
, steps
)
348 selected_steps
+= self
.select_steps(scenario
, step
)
349 for step
in selected_steps
:
350 self
.process_step(scenario_name
, step
, kwargs
)
352 def process_step(self
, scenario_name
, step
, kwargs
):
353 process_name
= "process_{}__{}_{}".format(scenario_name
, step
["number"], step
["name"])
354 self
.market
.report
.log_stage("{}_begin".format(process_name
))
355 if "begin" in step
.get("fetch_balances", []):
356 self
.market
.balances
.fetch_balances(tag
="{}_begin".format(process_name
))
358 for action
in self
.ordered_actions
:
360 self
.run_action(action
, step
[action
], kwargs
)
362 if "end" in step
.get("fetch_balances", []):
363 self
.market
.balances
.fetch_balances(tag
="{}_end".format(process_name
))
364 self
.market
.report
.log_stage("{}_end".format(process_name
))
366 def method_arguments(self
, action
):
369 if action
== "wait_for_recent":
370 method
= Portfolio
.wait_for_recent
371 elif action
== "prepare_trades":
372 method
= self
.market
.prepare_trades
373 elif action
== "prepare_orders":
374 method
= self
.market
.trades
.prepare_orders
375 elif action
== "move_balances":
376 method
= self
.market
.move_balances
377 elif action
== "run_orders":
378 method
= self
.market
.trades
.run_orders
379 elif action
== "follow_orders":
380 method
= self
.market
.follow_orders
381 elif action
== "close_trades":
382 method
= self
.market
.trades
.close_trades
384 signature
= inspect
.getfullargspec(method
)
385 defaults
= signature
.defaults
or []
386 kwargs
= signature
.args
[-len(defaults
):]
388 return [method
, kwargs
]
390 def parse_args(self
, action
, default_args
, kwargs
):
391 method
, allowed_arguments
= self
.method_arguments(action
)
392 args
= {k: v for k, v in {**default_args, **kwargs}
.items() if k
in allowed_arguments
}
394 if "repartition" in args
and "base_currency" in args
["repartition"]:
395 r
= args
["repartition"]
396 r
[args
.get("base_currency", "BTC")] = r
.pop("base_currency")
400 def run_action(self
, action
, default_args
, kwargs
):
401 method
, args
= self
.parse_args(action
, default_args
, kwargs
)