market.py

   1 from ccxt import ExchangeError, NotSupported, RequestTimeout
   2 import ccxt_wrapper as ccxt
   3 import time
   4 import psycopg2
   5 from store import *
   6 from cachetools.func import ttl_cache
   7 from datetime import datetime
   8 from retry import retry
   9 import portfolio
  10
  11 class Market:
  12     debug = False
  13     ccxt = None
  14     report = None
  15     trades = None
  16     balances = None
  17
  18     def __init__(self, ccxt_instance, args, **kwargs):
  19         self.args = args
  20         self.debug = args.debug
  21         self.ccxt = ccxt_instance
  22         self.ccxt._market = self
  23         self.report = ReportStore(self, verbose_print=(not args.quiet))
  24         self.trades = TradeStore(self)
  25         self.balances = BalanceStore(self)
  26         self.processor = Processor(self)
  27
  28         for key in ["user_id", "market_id", "report_path", "pg_config"]:
  29             setattr(self, key, kwargs.get(key, None))
  30
  31     @classmethod
  32     def from_config(cls, config, args, **kwargs):
  33         config["apiKey"] = config.pop("key", None)
  34
  35         ccxt_instance = ccxt.poloniexE(config)
  36
  37         return cls(ccxt_instance, args, **kwargs)
  38
  39     def store_report(self):
  40         self.report.merge(Portfolio.report)
  41         date = datetime.now()
  42         if self.report_path is not None:
  43             self.store_file_report(date)
  44         if self.pg_config is not None:
  45             self.store_database_report(date)
  46
  47     def store_file_report(self, date):
  48         try:
  49             report_file = "{}/{}_{}".format(self.report_path, date.isoformat(), self.user_id)
  50             with open(report_file + ".json", "w") as f:
  51                 f.write(self.report.to_json())
  52             with open(report_file + ".log", "w") as f:
  53                 f.write("\n".join(map(lambda x: x[1], self.report.print_logs)))
  54         except Exception as e:
  55             print("impossible to store report file: {}; {}".format(e.__class__.__name__, e))
  56
  57     def store_database_report(self, date):
  58         try:
  59             report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
  60             line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
  61             connection = psycopg2.connect(**self.pg_config)
  62             cursor = connection.cursor()
  63             cursor.execute(report_query, (date, self.market_id, self.debug))
  64             report_id = cursor.fetchone()[0]
  65             for date, type_, payload in self.report.to_json_array():
  66                 cursor.execute(line_query, (date, report_id, type_, payload))
  67
  68             connection.commit()
  69             cursor.close()
  70             connection.close()
  71         except Exception as e:
  72             print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e))
  73
  74     def process(self, actions, before=False, after=False):
  75         try:
  76             if len(actions or []) == 0:
  77                 if before:
  78                     self.processor.process("sell_all", steps="before")
  79                 if after:
  80                     self.processor.process("sell_all", steps="after")
  81             else:
  82                 for action in actions:
  83                     if hasattr(self, action):
  84                         getattr(self, action)()
  85                     else:
  86                         self.report.log_error("market_process", message="Unknown action {}".format(action))
  87         except Exception as e:
  88             self.report.log_error("market_process", exception=e)
  89         finally:
  90             self.store_report()
  91
  92     @retry(RequestTimeout, tries=5)
  93     def move_balances(self):
  94         needed_in_margin = {}
  95         moving_to_margin = {}
  96
  97         for currency, balance in self.balances.all.items():
  98             needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain
  99         for trade in self.trades.pending:
 100             needed_in_margin.setdefault(trade.base_currency, 0)
 101             if trade.trade_type == "short":
 102                 needed_in_margin[trade.base_currency] -= trade.delta
 103         for currency, needed in needed_in_margin.items():
 104             current_balance = self.balances.all[currency].margin_available
 105             moving_to_margin[currency] = (needed - current_balance)
 106             delta = moving_to_margin[currency].value
 107             action = "Moving {} from exchange to margin".format(moving_to_margin[currency])
 108
 109             if self.debug and delta != 0:
 110                 self.report.log_debug_action(action)
 111                 continue
 112             try:
 113                 if delta > 0:
 114                     self.ccxt.transfer_balance(currency, delta, "exchange", "margin")
 115                 elif delta < 0:
 116                     self.ccxt.transfer_balance(currency, -delta, "margin", "exchange")
 117             except RequestTimeout as e:
 118                 self.report.log_error(action, message="Retrying", exception=e)
 119                 self.report.log_move_balances(needed_in_margin, moving_to_margin)
 120                 self.balances.fetch_balances()
 121                 raise e
 122         self.report.log_move_balances(needed_in_margin, moving_to_margin)
 123
 124         self.balances.fetch_balances()
 125
 126     @ttl_cache(ttl=3600)
 127     def fetch_fees(self):
 128         return self.ccxt.fetch_fees()
 129
 130     @ttl_cache(maxsize=20, ttl=5)
 131     def get_tickers(self, refresh=False):
 132         try:
 133             return self.ccxt.fetch_tickers()
 134         except NotSupported:
 135             return None
 136
 137     @ttl_cache(maxsize=20, ttl=5)
 138     def get_ticker(self, c1, c2, refresh=False):
 139         def invert(ticker):
 140             return {
 141                     "inverted": True,
 142                     "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2,
 143                     "original": ticker,
 144                     }
 145         def augment_ticker(ticker):
 146             ticker.update({
 147                 "inverted": False,
 148                 "average": (ticker["bid"] + ticker["ask"] ) / 2,
 149                 })
 150             return ticker
 151
 152         tickers = self.get_tickers()
 153         if tickers is None:
 154             try:
 155                 ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2)))
 156             except ExchangeError:
 157                 try:
 158                     ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1))))
 159                 except ExchangeError:
 160                     ticker = None
 161         else:
 162             if "{}/{}".format(c1, c2) in tickers:
 163                 ticker = augment_ticker(tickers["{}/{}".format(c1, c2)])
 164             elif "{}/{}".format(c2, c1) in tickers:
 165                 ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)]))
 166             else:
 167                 ticker = None
 168         return ticker
 169
 170     def follow_orders(self, sleep=None):
 171         if sleep is None:
 172             sleep = 7 if self.debug else 30
 173             if self.debug:
 174                 self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep))
 175         tick = 0
 176         self.report.log_stage("follow_orders_begin")
 177         while len(self.trades.all_orders(state="open")) > 0:
 178             time.sleep(sleep)
 179             tick += 1
 180             open_orders = self.trades.all_orders(state="open")
 181             self.report.log_stage("follow_orders_tick_{}".format(tick))
 182             self.report.log_orders(open_orders, tick=tick)
 183             for order in open_orders:
 184                 if order.get_status() != "open":
 185                     self.report.log_order(order, tick, finished=True)
 186                 else:
 187                     order.trade.update_order(order, tick)
 188         self.report.log_stage("follow_orders_end")
 189
 190     def prepare_trades(self, base_currency="BTC", liquidity="medium",
 191             compute_value="average", repartition=None, only=None):
 192
 193         self.report.log_stage("prepare_trades",
 194                 base_currency=base_currency, liquidity=liquidity,
 195                 compute_value=compute_value, only=only,
 196                 repartition=repartition)
 197
 198         values_in_base = self.balances.in_currency(base_currency,
 199                 compute_value=compute_value)
 200         total_base_value = sum(values_in_base.values())
 201         new_repartition = self.balances.dispatch_assets(total_base_value,
 202                 liquidity=liquidity, repartition=repartition)
 203         self.trades.compute_trades(values_in_base, new_repartition, only=only)
 204
 205     # Helpers
 206     def print_orders(self, base_currency="BTC"):
 207         self.report.log_stage("print_orders")
 208         self.balances.fetch_balances(tag="print_orders")
 209         self.prepare_trades(base_currency=base_currency, compute_value="average")
 210         self.trades.prepare_orders(compute_value="average")
 211
 212     def print_balances(self, base_currency="BTC"):
 213         self.report.log_stage("print_balances")
 214         self.balances.fetch_balances()
 215         if base_currency is not None:
 216             self.report.print_log("total:")
 217             self.report.print_log(sum(self.balances.in_currency(base_currency).values()))
 218
 219 class Processor:
 220     scenarios = {
 221             "wait_for_cryptoportfolio": [
 222                 {
 223                     "name": "wait",
 224                     "number": 1,
 225                     "before": False,
 226                     "after": True,
 227                     "wait_for_recent": {},
 228                     },
 229                 ],
 230             "print_orders": [
 231                 {
 232                     "name": "wait",
 233                     "number": 1,
 234                     "before": False,
 235                     "after": True,
 236                     "wait_for_recent": {},
 237                     },
 238                 {
 239                     "name": "make_orders",
 240                     "number": 2,
 241                     "before": False,
 242                     "after": True,
 243                     "fetch_balances": ["begin"],
 244                     "prepare_trades": { "compute_value": "average" },
 245                     "prepare_orders": { "compute_value": "average" },
 246                     },
 247                 ],
 248             "sell_needed": [
 249                 {
 250                     "name": "wait",
 251                     "number": 0,
 252                     "before": False,
 253                     "after": True,
 254                     "wait_for_recent": {},
 255                     },
 256                 {
 257                     "name": "sell",
 258                     "number": 1,
 259                     "before": False,
 260                     "after": True,
 261                     "fetch_balances": ["begin", "end"],
 262                     "prepare_trades": {},
 263                     "prepare_orders": { "only": "dispose", "compute_value": "average" },
 264                     "run_orders": {},
 265                     "follow_orders": {},
 266                     "close_trades": {},
 267                     },
 268                 {
 269                     "name": "buy",
 270                     "number": 2,
 271                     "before": False,
 272                     "after": True,
 273                     "fetch_balances": ["begin", "end"],
 274                     "prepare_trades": { "only": "acquire" },
 275                     "prepare_orders": { "only": "acquire", "compute_value": "average" },
 276                     "move_balances": {},
 277                     "run_orders": {},
 278                     "follow_orders": {},
 279                     "close_trades": {},
 280                     },
 281                 ],
 282             "sell_all": [
 283                 {
 284                     "name": "all_sell",
 285                     "number": 1,
 286                     "before": True,
 287                     "after": False,
 288                     "fetch_balances": ["begin", "end"],
 289                     "prepare_trades": { "repartition": { "base_currency": (1, "long") } },
 290                     "prepare_orders": { "compute_value": "average" },
 291                     "run_orders": {},
 292                     "follow_orders": {},
 293                     "close_trades": {},
 294                     },
 295                 {
 296                     "name": "wait",
 297                     "number": 2,
 298                     "before": False,
 299                     "after": True,
 300                     "wait_for_recent": {},
 301                     },
 302                 {
 303                     "name": "all_buy",
 304                     "number": 3,
 305                     "before": False,
 306                     "after": True,
 307                     "fetch_balances": ["begin", "end"],
 308                     "prepare_trades": {},
 309                     "prepare_orders": { "compute_value": "average" },
 310                     "move_balances": {},
 311                     "run_orders": {},
 312                     "follow_orders": {},
 313                     "close_trades": {},
 314                     },
 315                 ]
 316             }
 317
 318     ordered_actions = [
 319             "wait_for_recent", "prepare_trades", "prepare_orders",
 320             "move_balances", "run_orders", "follow_orders",
 321             "close_trades"]
 322
 323     def __init__(self, market):
 324         self.market = market
 325
 326     def select_steps(self, scenario, step):
 327         if step == "all":
 328             return scenario
 329         elif step == "before" or step == "after":
 330             return list(filter(lambda x: step in x and x[step], scenario))
 331         elif type(step) == int:
 332             return [scenario[step-1]]
 333         elif type(step) == str:
 334             return list(filter(lambda x: x["name"] == step, scenario))
 335         else:
 336             raise TypeError("Unknown step {}".format(step))
 337
 338     def process(self, scenario_name, steps="all", **kwargs):
 339         scenario = self.scenarios[scenario_name]
 340         selected_steps = []
 341
 342         if type(steps) == str or type(steps) == int:
 343             selected_steps += self.select_steps(scenario, steps)
 344         else:
 345             for step in steps:
 346                 selected_steps += self.select_steps(scenario, step)
 347         for step in selected_steps:
 348             self.process_step(scenario_name, step, kwargs)
 349
 350     def process_step(self, scenario_name, step, kwargs):
 351         process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"])
 352         self.market.report.log_stage("{}_begin".format(process_name))
 353         if "begin" in step.get("fetch_balances", []):
 354             self.market.balances.fetch_balances(tag="{}_begin".format(process_name))
 355
 356         for action in self.ordered_actions:
 357             if action in step:
 358                 self.run_action(action, step[action], kwargs)
 359
 360         if "end" in step.get("fetch_balances", []):
 361             self.market.balances.fetch_balances(tag="{}_end".format(process_name))
 362         self.market.report.log_stage("{}_end".format(process_name))
 363
 364     def method_arguments(self, action):
 365         import inspect
 366
 367         if action == "wait_for_recent":
 368             method = Portfolio.wait_for_recent
 369         elif action == "prepare_trades":
 370             method = self.market.prepare_trades
 371         elif action == "prepare_orders":
 372             method = self.market.trades.prepare_orders
 373         elif action == "move_balances":
 374             method = self.market.move_balances
 375         elif action == "run_orders":
 376             method = self.market.trades.run_orders
 377         elif action == "follow_orders":
 378             method = self.market.follow_orders
 379         elif action == "close_trades":
 380             method = self.market.trades.close_trades
 381
 382         signature = inspect.getfullargspec(method)
 383         defaults = signature.defaults or []
 384         kwargs = signature.args[-len(defaults):]
 385
 386         return [method, kwargs]
 387
 388     def parse_args(self, action, default_args, kwargs):
 389         method, allowed_arguments = self.method_arguments(action)
 390         args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments }
 391
 392         if "repartition" in args and "base_currency" in args["repartition"]:
 393             r = args["repartition"]
 394             r[args.get("base_currency", "BTC")] = r.pop("base_currency")
 395
 396         return method, args
 397
 398     def run_action(self, action, default_args, kwargs):
 399         method, args = self.parse_args(action, default_args, kwargs)
 400
 401         method(**args)