market.py

   1 from ccxt import ExchangeError, NotSupported, RequestTimeout, InvalidNonce
   2 import ccxt_wrapper as ccxt
   3 import time
   4 import dbs
   5 from store import *
   6 from cachetools.func import ttl_cache
   7 from datetime import datetime
   8 import datetime
   9 from retry import retry
  10 import portfolio
  11
  12 class Market:
  13     debug = False
  14     ccxt = None
  15     report = None
  16     trades = None
  17     balances = None
  18
  19     def __init__(self, ccxt_instance, args, **kwargs):
  20         self.args = args
  21         self.debug = args.debug
  22         self.ccxt = ccxt_instance
  23         self.ccxt._market = self
  24         self.report = ReportStore(self, verbose_print=(not args.quiet))
  25         self.trades = TradeStore(self)
  26         self.balances = BalanceStore(self)
  27         self.processor = Processor(self)
  28
  29         for key in ["user_id", "market_id"]:
  30             setattr(self, key, kwargs.get(key, None))
  31
  32         self.report.log_market(self.args)
  33
  34     @classmethod
  35     def from_config(cls, config, args, **kwargs):
  36         config["apiKey"] = config.pop("key", None)
  37
  38         ccxt_instance = ccxt.poloniexE(config)
  39
  40         return cls(ccxt_instance, args, **kwargs)
  41
  42     def store_report(self):
  43         self.report.merge(Portfolio.report)
  44         date = datetime.datetime.now()
  45         if self.args.report_path is not None:
  46             self.store_file_report(date)
  47         if dbs.psql_connected() and self.args.report_db:
  48             self.store_database_report(date)
  49         if dbs.redis_connected() and self.args.report_redis:
  50             self.store_redis_report(date)
  51
  52     def store_file_report(self, date):
  53         try:
  54             report_file = "{}/{}_{}".format(self.args.report_path, date.isoformat(), self.user_id)
  55             with open(report_file + ".json", "w") as f:
  56                 f.write(self.report.to_json())
  57             with open(report_file + ".log", "w") as f:
  58                 f.write("\n".join(map(lambda x: x[1], self.report.print_logs)))
  59         except Exception as e:
  60             print("impossible to store report file: {}; {}".format(e.__class__.__name__, e))
  61
  62     def store_database_report(self, date):
  63         try:
  64             report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
  65             line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
  66             cursor = dbs.psql.cursor()
  67             cursor.execute(report_query, (date, self.market_id, self.debug))
  68             report_id = cursor.fetchone()[0]
  69             for date, type_, payload in self.report.to_json_array():
  70                 cursor.execute(line_query, (date, report_id, type_, payload))
  71
  72             dbs.psql.commit()
  73             cursor.close()
  74         except Exception as e:
  75             print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e))
  76
  77     def store_redis_report(self, date):
  78         try:
  79             for type_, log in self.report.to_json_redis():
  80                 key = "/cryptoportfolio/{}/{}/{}".format(self.market_id, date.isoformat(), type_)
  81                 dbs.redis.set(key, log, ex=31*24*60*60)
  82                 key = "/cryptoportfolio/{}/latest/{}".format(self.market_id, type_)
  83                 dbs.redis.set(key, log)
  84             key = "/cryptoportfolio/{}/latest/date".format(self.market_id)
  85             dbs.redis.set(key, date.isoformat())
  86         except Exception as e:
  87             print("impossible to store report to redis: {}; {}".format(e.__class__.__name__, e))
  88
  89     def process(self, actions, before=False, after=False):
  90         try:
  91             for action in actions:
  92                 if bool(before) is bool(after):
  93                     self.processor.process(action, steps="all")
  94                 elif before:
  95                     self.processor.process(action, steps="before")
  96                 elif after:
  97                     self.processor.process(action, steps="after")
  98         except Exception as e:
  99             self.report.log_error("market_process", exception=e)
 100         finally:
 101             self.store_report()
 102
 103     @retry((RequestTimeout, InvalidNonce), tries=5)
 104     def move_balances(self):
 105         needed_in_margin = {}
 106         moving_to_margin = {}
 107
 108         for currency, balance in self.balances.all.items():
 109             needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain
 110         for trade in self.trades.pending:
 111             needed_in_margin.setdefault(trade.base_currency, 0)
 112             if trade.trade_type == "short":
 113                 needed_in_margin[trade.base_currency] -= trade.delta
 114         for currency, needed in needed_in_margin.items():
 115             current_balance = self.balances.all[currency].margin_available
 116             moving_to_margin[currency] = (needed - current_balance)
 117             delta = moving_to_margin[currency].value
 118             action = "Moving {} from exchange to margin".format(moving_to_margin[currency])
 119
 120             if self.debug and delta != 0:
 121                 self.report.log_debug_action(action)
 122                 continue
 123             try:
 124                 if delta > 0:
 125                     self.ccxt.transfer_balance(currency, delta, "exchange", "margin")
 126                 elif delta < 0:
 127                     self.ccxt.transfer_balance(currency, -delta, "margin", "exchange")
 128             except (RequestTimeout, InvalidNonce) as e:
 129                 self.report.log_error(action, message="Retrying", exception=e)
 130                 self.report.log_move_balances(needed_in_margin, moving_to_margin)
 131                 self.balances.fetch_balances()
 132                 raise e
 133         self.report.log_move_balances(needed_in_margin, moving_to_margin)
 134
 135         self.balances.fetch_balances()
 136
 137     @ttl_cache(ttl=3600)
 138     def fetch_fees(self):
 139         return self.ccxt.fetch_fees()
 140
 141     @ttl_cache(maxsize=20, ttl=5)
 142     def get_tickers(self, refresh=False):
 143         try:
 144             return self.ccxt.fetch_tickers()
 145         except NotSupported:
 146             return None
 147
 148     @ttl_cache(maxsize=20, ttl=5)
 149     def get_ticker(self, c1, c2, refresh=False):
 150         def invert(ticker):
 151             return {
 152                     "inverted": True,
 153                     "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2,
 154                     "original": ticker,
 155                     }
 156         def augment_ticker(ticker):
 157             ticker.update({
 158                 "inverted": False,
 159                 "average": (ticker["bid"] + ticker["ask"] ) / 2,
 160                 })
 161             return ticker
 162
 163         tickers = self.get_tickers()
 164         if tickers is None:
 165             try:
 166                 ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2)))
 167             except ExchangeError:
 168                 try:
 169                     ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1))))
 170                 except ExchangeError:
 171                     ticker = None
 172         else:
 173             if "{}/{}".format(c1, c2) in tickers:
 174                 ticker = augment_ticker(tickers["{}/{}".format(c1, c2)])
 175             elif "{}/{}".format(c2, c1) in tickers:
 176                 ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)]))
 177             else:
 178                 ticker = None
 179         return ticker
 180
 181     def follow_orders(self, sleep=None):
 182         if sleep is None:
 183             sleep = 7 if self.debug else 30
 184             if self.debug:
 185                 self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep))
 186         tick = 0
 187         self.report.log_stage("follow_orders_begin")
 188         while len(self.trades.all_orders(state="open")) > 0:
 189             time.sleep(sleep)
 190             tick += 1
 191             open_orders = self.trades.all_orders(state="open")
 192             self.report.log_stage("follow_orders_tick_{}".format(tick))
 193             self.report.log_orders(open_orders, tick=tick)
 194             for order in open_orders:
 195                 status = order.get_status()
 196                 if status != "open":
 197                     self.report.log_order(order, tick, finished=True)
 198                 else:
 199                     order.trade.update_order(order, tick)
 200                 if status == "error_disappeared":
 201                     self.report.log_error("follow_orders",
 202                             message="{} disappeared, recreating it".format(order))
 203                     order.trade.prepare_order(
 204                             compute_value=order.trade.tick_actions_recreate(tick))
 205
 206         self.report.log_stage("follow_orders_end")
 207
 208     def prepare_trades(self, base_currency="BTC", liquidity="medium",
 209             compute_value="average", repartition=None, only=None,
 210             available_balance_only=False):
 211
 212         self.report.log_stage("prepare_trades",
 213                 base_currency=base_currency, liquidity=liquidity,
 214                 compute_value=compute_value, only=only,
 215                 repartition=repartition, available_balance_only=available_balance_only)
 216
 217         values_in_base = self.balances.in_currency(base_currency,
 218                 compute_value=compute_value)
 219         if available_balance_only:
 220             balance = self.balances.all.get(base_currency)
 221             if balance is None:
 222                 total_base_value = portfolio.Amount(base_currency, 0)
 223             else:
 224                 total_base_value = balance.exchange_free + balance.margin_available
 225         else:
 226             total_base_value = sum(values_in_base.values())
 227         new_repartition = self.balances.dispatch_assets(total_base_value,
 228                 liquidity=liquidity, repartition=repartition)
 229         if available_balance_only:
 230             for currency, amount in values_in_base.items():
 231                 if currency != base_currency:
 232                     new_repartition.setdefault(currency, portfolio.Amount(base_currency, 0))
 233                     new_repartition[currency] += amount
 234
 235         self.trades.compute_trades(values_in_base, new_repartition, only=only)
 236
 237     def print_tickers(self, base_currency="BTC"):
 238         if base_currency is not None:
 239             self.report.print_log("total:")
 240             self.report.print_log(sum(self.balances.in_currency(base_currency).values()))
 241
 242 class Processor:
 243     scenarios = {
 244             "wait_for_cryptoportfolio": [
 245                 {
 246                     "name": "wait",
 247                     "number": 1,
 248                     "before": False,
 249                     "after": True,
 250                     "wait_for_recent": {},
 251                     },
 252                 ],
 253             "print_balances": [
 254                 {
 255                     "name": "print_balances",
 256                     "number": 1,
 257                     "fetch_balances": ["begin"],
 258                     "print_tickers": { "base_currency": "BTC" },
 259                     }
 260                 ],
 261             "print_orders": [
 262                 {
 263                     "name": "wait",
 264                     "number": 1,
 265                     "before": True,
 266                     "after": False,
 267                     "wait_for_recent": {},
 268                     },
 269                 {
 270                     "name": "make_orders",
 271                     "number": 2,
 272                     "before": False,
 273                     "after": True,
 274                     "fetch_balances": ["begin"],
 275                     "prepare_trades": { "compute_value": "average" },
 276                     "prepare_orders": { "compute_value": "average" },
 277                     },
 278                 ],
 279             "sell_needed": [
 280                 {
 281                     "name": "wait",
 282                     "number": 0,
 283                     "before": False,
 284                     "after": True,
 285                     "wait_for_recent": {},
 286                     },
 287                 {
 288                     "name": "sell",
 289                     "number": 1,
 290                     "before": False,
 291                     "after": True,
 292                     "fetch_balances": ["begin", "end"],
 293                     "prepare_trades": {},
 294                     "prepare_orders": { "only": "dispose", "compute_value": "average" },
 295                     "run_orders": {},
 296                     "follow_orders": {},
 297                     "close_trades": {},
 298                     },
 299                 {
 300                     "name": "buy",
 301                     "number": 2,
 302                     "before": False,
 303                     "after": True,
 304                     "fetch_balances": ["begin", "end"],
 305                     "prepare_trades": { "only": "acquire", "available_balance_only": True },
 306                     "prepare_orders": { "only": "acquire", "compute_value": "average" },
 307                     "move_balances": {},
 308                     "run_orders": {},
 309                     "follow_orders": {},
 310                     "close_trades": {},
 311                     },
 312                 ],
 313             "sell_all": [
 314                 {
 315                     "name": "all_sell",
 316                     "number": 1,
 317                     "before": True,
 318                     "after": False,
 319                     "fetch_balances": ["begin", "end"],
 320                     "prepare_trades": { "repartition": { "base_currency": (1, "long") } },
 321                     "prepare_orders": { "compute_value": "average" },
 322                     "run_orders": {},
 323                     "follow_orders": {},
 324                     "close_trades": {},
 325                     },
 326                 {
 327                     "name": "wait",
 328                     "number": 2,
 329                     "before": False,
 330                     "after": True,
 331                     "wait_for_recent": {},
 332                     },
 333                 {
 334                     "name": "all_buy",
 335                     "number": 3,
 336                     "before": False,
 337                     "after": True,
 338                     "fetch_balances": ["begin", "end"],
 339                     "prepare_trades": { "available_balance_only": True },
 340                     "prepare_orders": { "compute_value": "average" },
 341                     "move_balances": {},
 342                     "run_orders": {},
 343                     "follow_orders": {},
 344                     "close_trades": {},
 345                     },
 346                 ]
 347             }
 348
 349     ordered_actions = [
 350             "wait_for_recent", "prepare_trades", "prepare_orders",
 351             "move_balances", "run_orders", "follow_orders",
 352             "close_trades", "print_tickers"]
 353
 354     def __init__(self, market):
 355         self.market = market
 356
 357     def select_steps(self, scenario, step):
 358         if step == "all":
 359             return scenario
 360         elif step == "before" or step == "after":
 361             return list(filter(lambda x: x.get(step, False), scenario))
 362         elif type(step) == int:
 363             return [scenario[step-1]]
 364         elif type(step) == str:
 365             return list(filter(lambda x: x["name"] == step, scenario))
 366         else:
 367             raise TypeError("Unknown step {}".format(step))
 368
 369     def can_process(self, scenario_name):
 370         return scenario_name in self.scenarios
 371
 372     def process(self, scenario_name, steps="all", **kwargs):
 373         if not self.can_process(scenario_name):
 374             raise TypeError("Unknown scenario {}".format(scenario_name))
 375         scenario = self.scenarios[scenario_name]
 376         selected_steps = []
 377
 378         if type(steps) == str or type(steps) == int:
 379             selected_steps += self.select_steps(scenario, steps)
 380         else:
 381             for step in steps:
 382                 selected_steps += self.select_steps(scenario, step)
 383         for step in selected_steps:
 384             self.process_step(scenario_name, step, kwargs)
 385
 386     def process_step(self, scenario_name, step, kwargs):
 387         process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"])
 388         self.market.report.log_stage("{}_begin".format(process_name))
 389         if "begin" in step.get("fetch_balances", []):
 390             self.market.balances.fetch_balances(tag="{}_begin".format(process_name), log_tickers=True)
 391
 392         for action in self.ordered_actions:
 393             if action in step:
 394                 self.run_action(action, step[action], kwargs)
 395
 396         if "end" in step.get("fetch_balances", []):
 397             self.market.balances.fetch_balances(tag="{}_end".format(process_name), log_tickers=True)
 398         self.market.report.log_stage("{}_end".format(process_name))
 399
 400     def method_arguments(self, action):
 401         import inspect
 402
 403         if action == "wait_for_recent":
 404             method = Portfolio.wait_for_recent
 405         elif action == "prepare_trades":
 406             method = self.market.prepare_trades
 407         elif action == "prepare_orders":
 408             method = self.market.trades.prepare_orders
 409         elif action == "move_balances":
 410             method = self.market.move_balances
 411         elif action == "run_orders":
 412             method = self.market.trades.run_orders
 413         elif action == "follow_orders":
 414             method = self.market.follow_orders
 415         elif action == "close_trades":
 416             method = self.market.trades.close_trades
 417         elif action == "print_tickers":
 418             method = self.market.print_tickers
 419
 420         signature = inspect.getfullargspec(method)
 421         defaults = signature.defaults or []
 422         kwargs = signature.args[-len(defaults):]
 423
 424         return [method, kwargs]
 425
 426     def parse_args(self, action, default_args, kwargs):
 427         method, allowed_arguments = self.method_arguments(action)
 428         args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments }
 429
 430         if "repartition" in args and "base_currency" in args["repartition"]:
 431             r = args["repartition"]
 432             r[args.get("base_currency", "BTC")] = r.pop("base_currency")
 433
 434         return method, args
 435
 436     def run_action(self, action, default_args, kwargs):
 437         method, args = self.parse_args(action, default_args, kwargs)
 438
 439         method(**args)