market.py

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