market.py

   1 from ccxt import ExchangeError, NotSupported
   2 import ccxt_wrapper as ccxt
   3 import time
   4 from store import *
   5 from cachetools.func import ttl_cache
   6 from datetime import datetime
   7 import portfolio
   8
   9 class Market:
  10     debug = False
  11     ccxt = None
  12     report = None
  13     trades = None
  14     balances = None
  15
  16     def __init__(self, ccxt_instance, args, user_id=None, report_path=None):
  17         self.args = args
  18         self.debug = args.debug
  19         self.ccxt = ccxt_instance
  20         self.ccxt._market = self
  21         self.report = ReportStore(self, verbose_print=(not args.quiet))
  22         self.trades = TradeStore(self)
  23         self.balances = BalanceStore(self)
  24         self.processor = Processor(self)
  25
  26         self.user_id = user_id
  27         self.report_path = report_path
  28
  29     @classmethod
  30     def from_config(cls, config, args, user_id=None, report_path=None):
  31         config["apiKey"] = config.pop("key", None)
  32
  33         ccxt_instance = ccxt.poloniexE(config)
  34
  35         # For requests logging
  36         ccxt_instance.session.origin_request = ccxt_instance.session.request
  37         ccxt_instance.session._parent = ccxt_instance
  38
  39         def request_wrap(self, *args, **kwargs):
  40             r = self.origin_request(*args, **kwargs)
  41             self._parent._market.report.log_http_request(args[0],
  42                     args[1], kwargs["data"], kwargs["headers"], r)
  43             return r
  44         ccxt_instance.session.request = request_wrap.__get__(ccxt_instance.session,
  45                 ccxt_instance.session.__class__)
  46
  47         return cls(ccxt_instance, args, user_id=user_id, report_path=report_path)
  48
  49     def store_report(self):
  50         self.report.merge(Portfolio.report)
  51         try:
  52             if self.report_path is not None:
  53                 report_file = "{}/{}_{}".format(self.report_path, datetime.now().isoformat(), self.user_id)
  54                 with open(report_file + ".json", "w") as f:
  55                     f.write(self.report.to_json())
  56                 with open(report_file + ".log", "w") as f:
  57                     f.write("\n".join(map(lambda x: x[1], self.report.print_logs)))
  58         except Exception as e:
  59             print("impossible to store report file: {}; {}".format(e.__class__.__name__, e))
  60
  61     def process(self, actions, before=False, after=False):
  62         try:
  63             if len(actions or []) == 0:
  64                 if before:
  65                     self.processor.process("sell_all", steps="before")
  66                 if after:
  67                     self.processor.process("sell_all", steps="after")
  68             else:
  69                 for action in actions:
  70                     if hasattr(self, action):
  71                         getattr(self, action)()
  72                     else:
  73                         self.report.log_error("market_process", message="Unknown action {}".format(action))
  74         except Exception as e:
  75             self.report.log_error("market_process", exception=e)
  76         finally:
  77             self.store_report()
  78
  79     def move_balances(self):
  80         needed_in_margin = {}
  81         moving_to_margin = {}
  82
  83         for currency, balance in self.balances.all.items():
  84             needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain
  85         for trade in self.trades.pending:
  86             needed_in_margin.setdefault(trade.base_currency, 0)
  87             if trade.trade_type == "short":
  88                 needed_in_margin[trade.base_currency] -= trade.delta
  89         for currency, needed in needed_in_margin.items():
  90             current_balance = self.balances.all[currency].margin_available
  91             moving_to_margin[currency] = (needed - current_balance)
  92             delta = moving_to_margin[currency].value
  93             if self.debug and delta != 0:
  94                 self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency]))
  95                 continue
  96             if delta > 0:
  97                 self.ccxt.transfer_balance(currency, delta, "exchange", "margin")
  98             elif delta < 0:
  99                 self.ccxt.transfer_balance(currency, -delta, "margin", "exchange")
 100         self.report.log_move_balances(needed_in_margin, moving_to_margin)
 101
 102         self.balances.fetch_balances()
 103
 104     @ttl_cache(ttl=3600)
 105     def fetch_fees(self):
 106         return self.ccxt.fetch_fees()
 107
 108     @ttl_cache(maxsize=20, ttl=5)
 109     def get_tickers(self, refresh=False):
 110         try:
 111             return self.ccxt.fetch_tickers()
 112         except NotSupported:
 113             return None
 114
 115     @ttl_cache(maxsize=20, ttl=5)
 116     def get_ticker(self, c1, c2, refresh=False):
 117         def invert(ticker):
 118             return {
 119                     "inverted": True,
 120                     "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2,
 121                     "original": ticker,
 122                     }
 123         def augment_ticker(ticker):
 124             ticker.update({
 125                 "inverted": False,
 126                 "average": (ticker["bid"] + ticker["ask"] ) / 2,
 127                 })
 128             return ticker
 129
 130         tickers = self.get_tickers()
 131         if tickers is None:
 132             try:
 133                 ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2)))
 134             except ExchangeError:
 135                 try:
 136                     ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1))))
 137                 except ExchangeError:
 138                     ticker = None
 139         else:
 140             if "{}/{}".format(c1, c2) in tickers:
 141                 ticker = augment_ticker(tickers["{}/{}".format(c1, c2)])
 142             elif "{}/{}".format(c2, c1) in tickers:
 143                 ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)]))
 144             else:
 145                 ticker = None
 146         return ticker
 147
 148     def follow_orders(self, sleep=None):
 149         if sleep is None:
 150             sleep = 7 if self.debug else 30
 151             if self.debug:
 152                 self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep))
 153         tick = 0
 154         self.report.log_stage("follow_orders_begin")
 155         while len(self.trades.all_orders(state="open")) > 0:
 156             time.sleep(sleep)
 157             tick += 1
 158             open_orders = self.trades.all_orders(state="open")
 159             self.report.log_stage("follow_orders_tick_{}".format(tick))
 160             self.report.log_orders(open_orders, tick=tick)
 161             for order in open_orders:
 162                 if order.get_status() != "open":
 163                     self.report.log_order(order, tick, finished=True)
 164                 else:
 165                     order.trade.update_order(order, tick)
 166         self.report.log_stage("follow_orders_end")
 167
 168     def prepare_trades(self, base_currency="BTC", liquidity="medium",
 169             compute_value="average", repartition=None, only=None):
 170
 171         self.report.log_stage("prepare_trades",
 172                 base_currency=base_currency, liquidity=liquidity,
 173                 compute_value=compute_value, only=only,
 174                 repartition=repartition)
 175
 176         values_in_base = self.balances.in_currency(base_currency,
 177                 compute_value=compute_value)
 178         total_base_value = sum(values_in_base.values())
 179         new_repartition = self.balances.dispatch_assets(total_base_value,
 180                 liquidity=liquidity, repartition=repartition)
 181         self.trades.compute_trades(values_in_base, new_repartition, only=only)
 182
 183     # Helpers
 184     def print_orders(self, base_currency="BTC"):
 185         self.report.log_stage("print_orders")
 186         self.balances.fetch_balances(tag="print_orders")
 187         self.prepare_trades(base_currency=base_currency, compute_value="average")
 188         self.trades.prepare_orders(compute_value="average")
 189
 190     def print_balances(self, base_currency="BTC"):
 191         self.report.log_stage("print_balances")
 192         self.balances.fetch_balances()
 193         if base_currency is not None:
 194             self.report.print_log("total:")
 195             self.report.print_log(sum(self.balances.in_currency(base_currency).values()))
 196
 197 class Processor:
 198     scenarios = {
 199             "wait_for_cryptoportfolio": [
 200                 {
 201                     "name": "wait",
 202                     "number": 1,
 203                     "before": False,
 204                     "after": True,
 205                     "wait_for_recent": {},
 206                     },
 207                 ],
 208             "print_orders": [
 209                 {
 210                     "name": "wait",
 211                     "number": 1,
 212                     "before": False,
 213                     "after": True,
 214                     "wait_for_recent": {},
 215                     },
 216                 {
 217                     "name": "make_orders",
 218                     "number": 2,
 219                     "before": False,
 220                     "after": True,
 221                     "fetch_balances": ["begin"],
 222                     "prepare_trades": { "compute_value": "average" },
 223                     "prepare_orders": { "compute_value": "average" },
 224                     },
 225                 ],
 226             "sell_needed": [
 227                 {
 228                     "name": "wait",
 229                     "number": 0,
 230                     "before": False,
 231                     "after": True,
 232                     "wait_for_recent": {},
 233                     },
 234                 {
 235                     "name": "sell",
 236                     "number": 1,
 237                     "before": False,
 238                     "after": True,
 239                     "fetch_balances": ["begin", "end"],
 240                     "prepare_trades": {},
 241                     "prepare_orders": { "only": "dispose", "compute_value": "average" },
 242                     "run_orders": {},
 243                     "follow_orders": {},
 244                     "close_trades": {},
 245                     },
 246                 {
 247                     "name": "buy",
 248                     "number": 2,
 249                     "before": False,
 250                     "after": True,
 251                     "fetch_balances": ["begin", "end"],
 252                     "prepare_trades": { "only": "acquire" },
 253                     "prepare_orders": { "only": "acquire", "compute_value": "average" },
 254                     "move_balances": {},
 255                     "run_orders": {},
 256                     "follow_orders": {},
 257                     "close_trades": {},
 258                     },
 259                 ],
 260             "sell_all": [
 261                 {
 262                     "name": "all_sell",
 263                     "number": 1,
 264                     "before": True,
 265                     "after": False,
 266                     "fetch_balances": ["begin", "end"],
 267                     "prepare_trades": { "repartition": { "base_currency": (1, "long") } },
 268                     "prepare_orders": { "compute_value": "average" },
 269                     "run_orders": {},
 270                     "follow_orders": {},
 271                     "close_trades": {},
 272                     },
 273                 {
 274                     "name": "wait",
 275                     "number": 2,
 276                     "before": False,
 277                     "after": True,
 278                     "wait_for_recent": {},
 279                     },
 280                 {
 281                     "name": "all_buy",
 282                     "number": 3,
 283                     "before": False,
 284                     "after": True,
 285                     "fetch_balances": ["begin", "end"],
 286                     "prepare_trades": {},
 287                     "prepare_orders": { "compute_value": "average" },
 288                     "move_balances": {},
 289                     "run_orders": {},
 290                     "follow_orders": {},
 291                     "close_trades": {},
 292                     },
 293                 ]
 294             }
 295
 296     ordered_actions = [
 297             "wait_for_recent", "prepare_trades", "prepare_orders",
 298             "move_balances", "run_orders", "follow_orders",
 299             "close_trades"]
 300
 301     def __init__(self, market):
 302         self.market = market
 303
 304     def select_steps(self, scenario, step):
 305         if step == "all":
 306             return scenario
 307         elif step == "before" or step == "after":
 308             return list(filter(lambda x: step in x and x[step], scenario))
 309         elif type(step) == int:
 310             return [scenario[step-1]]
 311         elif type(step) == str:
 312             return list(filter(lambda x: x["name"] == step, scenario))
 313         else:
 314             raise TypeError("Unknown step {}".format(step))
 315
 316     def process(self, scenario_name, steps="all", **kwargs):
 317         scenario = self.scenarios[scenario_name]
 318         selected_steps = []
 319
 320         if type(steps) == str or type(steps) == int:
 321             selected_steps += self.select_steps(scenario, steps)
 322         else:
 323             for step in steps:
 324                 selected_steps += self.select_steps(scenario, step)
 325         for step in selected_steps:
 326             self.process_step(scenario_name, step, kwargs)
 327
 328     def process_step(self, scenario_name, step, kwargs):
 329         process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"])
 330         self.market.report.log_stage("{}_begin".format(process_name))
 331         if "begin" in step.get("fetch_balances", []):
 332             self.market.balances.fetch_balances(tag="{}_begin".format(process_name))
 333
 334         for action in self.ordered_actions:
 335             if action in step:
 336                 self.run_action(action, step[action], kwargs)
 337
 338         if "end" in step.get("fetch_balances", []):
 339             self.market.balances.fetch_balances(tag="{}_end".format(process_name))
 340         self.market.report.log_stage("{}_end".format(process_name))
 341
 342     def method_arguments(self, action):
 343         import inspect
 344
 345         if action == "wait_for_recent":
 346             method = Portfolio.wait_for_recent
 347         elif action == "prepare_trades":
 348             method = self.market.prepare_trades
 349         elif action == "prepare_orders":
 350             method = self.market.trades.prepare_orders
 351         elif action == "move_balances":
 352             method = self.market.move_balances
 353         elif action == "run_orders":
 354             method = self.market.trades.run_orders
 355         elif action == "follow_orders":
 356             method = self.market.follow_orders
 357         elif action == "close_trades":
 358             method = self.market.trades.close_trades
 359
 360         signature = inspect.getfullargspec(method)
 361         defaults = signature.defaults or []
 362         kwargs = signature.args[-len(defaults):]
 363
 364         return [method, kwargs]
 365
 366     def parse_args(self, action, default_args, kwargs):
 367         method, allowed_arguments = self.method_arguments(action)
 368         args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments }
 369
 370         if "repartition" in args and "base_currency" in args["repartition"]:
 371             r = args["repartition"]
 372             r[args.get("base_currency", "BTC")] = r.pop("base_currency")
 373
 374         return method, args
 375
 376     def run_action(self, action, default_args, kwargs):
 377         method, args = self.parse_args(action, default_args, kwargs)
 378
 379         method(**args)