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