1 from ccxt
import ExchangeError
, NotSupported
, RequestTimeout
, InvalidNonce
2 import ccxt_wrapper
as ccxt
6 from cachetools
.func
import ttl_cache
7 from datetime
import datetime
9 from retry
import retry
19 def __init__(self
, ccxt_instance
, args
, **kwargs
):
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
)
29 for key
in ["user_id", "market_id", "pg_config"]:
30 setattr(self
, key
, kwargs
.get(key
, None))
32 self
.report
.log_market(self
.args
)
35 def from_config(cls
, config
, args
, **kwargs
):
36 config
["apiKey"] = config
.pop("key", None)
38 ccxt_instance
= ccxt
.poloniexE(config
)
40 return cls(ccxt_instance
, args
, **kwargs
)
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 self
.pg_config
is not None and self
.args
.report_db
:
48 self
.store_database_report(date
)
50 def store_file_report(self
, date
):
52 report_file
= "{}/{}_{}".format(self
.args
.report_path
, date
.isoformat(), self
.user_id
)
53 with open(report_file
+ ".json", "w") as f
:
54 f
.write(self
.report
.to_json())
55 with open(report_file
+ ".log", "w") as f
:
56 f
.write("\n".join(map(lambda x
: x
[1], self
.report
.print_logs
)))
57 except Exception as e
:
58 print("impossible to store report file: {}; {}".format(e
.__class
__.__name
__, e
))
60 def store_database_report(self
, date
):
62 report_query
= 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
63 line_query
= 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
64 connection
= psycopg2
.connect(**self
.pg_config
)
65 cursor
= connection
.cursor()
66 cursor
.execute(report_query
, (date
, self
.market_id
, self
.debug
))
67 report_id
= cursor
.fetchone()[0]
68 for date
, type_
, payload
in self
.report
.to_json_array():
69 cursor
.execute(line_query
, (date
, report_id
, type_
, payload
))
74 except Exception as e
:
75 print("impossible to store report to database: {}; {}".format(e
.__class
__.__name
__, e
))
77 def process(self
, actions
, before
=False, after
=False):
79 for action
in actions
:
80 if bool(before
) is bool(after
):
81 self
.processor
.process(action
, steps
="all")
83 self
.processor
.process(action
, steps
="before")
85 self
.processor
.process(action
, steps
="after")
86 except Exception as e
:
87 self
.report
.log_error("market_process", exception
=e
)
91 @retry((RequestTimeout
, InvalidNonce
), tries
=5)
92 def move_balances(self
):
96 for currency
, balance
in self
.balances
.all
.items():
97 needed_in_margin
[currency
] = balance
.margin_in_position
- balance
.margin_pending_gain
98 for trade
in self
.trades
.pending
:
99 needed_in_margin
.setdefault(trade
.base_currency
, 0)
100 if trade
.trade_type
== "short":
101 needed_in_margin
[trade
.base_currency
] -= trade
.delta
102 for currency
, needed
in needed_in_margin
.items():
103 current_balance
= self
.balances
.all
[currency
].margin_available
104 moving_to_margin
[currency
] = (needed
- current_balance
)
105 delta
= moving_to_margin
[currency
].value
106 action
= "Moving {} from exchange to margin".format(moving_to_margin
[currency
])
108 if self
.debug
and delta
!= 0:
109 self
.report
.log_debug_action(action
)
113 self
.ccxt
.transfer_balance(currency
, delta
, "exchange", "margin")
115 self
.ccxt
.transfer_balance(currency
, -delta
, "margin", "exchange")
116 except (RequestTimeout
, InvalidNonce
) as e
:
117 self
.report
.log_error(action
, message
="Retrying", exception
=e
)
118 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
119 self
.balances
.fetch_balances()
121 self
.report
.log_move_balances(needed_in_margin
, moving_to_margin
)
123 self
.balances
.fetch_balances()
126 def fetch_fees(self
):
127 return self
.ccxt
.fetch_fees()
129 @ttl_cache(maxsize
=20, ttl
=5)
130 def get_tickers(self
, refresh
=False):
132 return self
.ccxt
.fetch_tickers()
136 @ttl_cache(maxsize
=20, ttl
=5)
137 def get_ticker(self
, c1
, c2
, refresh
=False):
141 "average": (1/ticker
["bid"] + 1/ticker
["ask"]) / 2,
144 def augment_ticker(ticker
):
147 "average": (ticker
["bid"] + ticker
["ask"] ) / 2,
151 tickers
= self
.get_tickers()
154 ticker
= augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c1
, c2
)))
155 except ExchangeError
:
157 ticker
= invert(augment_ticker(self
.ccxt
.fetch_ticker("{}/{}".format(c2
, c1
))))
158 except ExchangeError
:
161 if "{}/{}".format(c1
, c2
) in tickers
:
162 ticker
= augment_ticker(tickers
["{}/{}".format(c1
, c2
)])
163 elif "{}/{}".format(c2
, c1
) in tickers
:
164 ticker
= invert(augment_ticker(tickers
["{}/{}".format(c2
, c1
)]))
169 def follow_orders(self
, sleep
=None):
171 sleep
= 7 if self
.debug
else 30
173 self
.report
.log_debug_action("Set follow_orders tick to {}s".format(sleep
))
175 self
.report
.log_stage("follow_orders_begin")
176 while len(self
.trades
.all_orders(state
="open")) > 0:
179 open_orders
= self
.trades
.all_orders(state
="open")
180 self
.report
.log_stage("follow_orders_tick_{}".format(tick
))
181 self
.report
.log_orders(open_orders
, tick
=tick
)
182 for order
in open_orders
:
183 status
= order
.get_status()
185 self
.report
.log_order(order
, tick
, finished
=True)
187 order
.trade
.update_order(order
, tick
)
188 if status
== "error_disappeared":
189 self
.report
.log_error("follow_orders",
190 message
="{} disappeared, recreating it".format(order
))
191 order
.trade
.prepare_order(
192 compute_value
=order
.trade
.tick_actions_recreate(tick
))
194 self
.report
.log_stage("follow_orders_end")
196 def prepare_trades(self
, base_currency
="BTC", liquidity
="medium",
197 compute_value
="average", repartition
=None, only
=None):
199 self
.report
.log_stage("prepare_trades",
200 base_currency
=base_currency
, liquidity
=liquidity
,
201 compute_value
=compute_value
, only
=only
,
202 repartition
=repartition
)
204 values_in_base
= self
.balances
.in_currency(base_currency
,
205 compute_value
=compute_value
)
206 total_base_value
= sum(values_in_base
.values())
207 new_repartition
= self
.balances
.dispatch_assets(total_base_value
,
208 liquidity
=liquidity
, repartition
=repartition
)
209 self
.trades
.compute_trades(values_in_base
, new_repartition
, only
=only
)
211 def print_tickers(self
, base_currency
="BTC"):
212 if base_currency
is not None:
213 self
.report
.print_log("total:")
214 self
.report
.print_log(sum(self
.balances
.in_currency(base_currency
).values()))
218 "wait_for_cryptoportfolio": [
224 "wait_for_recent": {},
229 "name": "print_balances",
231 "fetch_balances": ["begin"],
232 "print_tickers": { "base_currency": "BTC" }
,
241 "wait_for_recent": {},
244 "name": "make_orders",
248 "fetch_balances": ["begin"],
249 "prepare_trades": { "compute_value": "average" }
,
250 "prepare_orders": { "compute_value": "average" }
,
259 "wait_for_recent": {},
266 "fetch_balances": ["begin", "end"],
267 "prepare_trades": {},
268 "prepare_orders": { "only": "dispose", "compute_value": "average" }
,
278 "fetch_balances": ["begin", "end"],
279 "prepare_trades": { "only": "acquire" }
,
280 "prepare_orders": { "only": "acquire", "compute_value": "average" }
,
293 "fetch_balances": ["begin", "end"],
294 "prepare_trades": { "repartition": { "base_currency": (1, "long") }
},
295 "prepare_orders": { "compute_value": "average" }
,
305 "wait_for_recent": {},
312 "fetch_balances": ["begin", "end"],
313 "prepare_trades": {},
314 "prepare_orders": { "compute_value": "average" }
,
324 "wait_for_recent", "prepare_trades", "prepare_orders",
325 "move_balances", "run_orders", "follow_orders",
326 "close_trades", "print_tickers"]
328 def __init__(self
, market
):
331 def select_steps(self
, scenario
, step
):
334 elif step
== "before" or step
== "after":
335 return list(filter(lambda x
: x
.get(step
, False), scenario
))
336 elif type(step
) == int:
337 return [scenario
[step
-1]]
338 elif type(step
) == str:
339 return list(filter(lambda x
: x
["name"] == step
, scenario
))
341 raise TypeError("Unknown step {}".format(step
))
343 def can_process(self
, scenario_name
):
344 return scenario_name
in self
.scenarios
346 def process(self
, scenario_name
, steps
="all", **kwargs
):
347 if not self
.can_process(scenario_name
):
348 raise TypeError("Unknown scenario {}".format(scenario_name
))
349 scenario
= self
.scenarios
[scenario_name
]
352 if type(steps
) == str or type(steps
) == int:
353 selected_steps
+= self
.select_steps(scenario
, steps
)
356 selected_steps
+= self
.select_steps(scenario
, step
)
357 for step
in selected_steps
:
358 self
.process_step(scenario_name
, step
, kwargs
)
360 def process_step(self
, scenario_name
, step
, kwargs
):
361 process_name
= "process_{}__{}_{}".format(scenario_name
, step
["number"], step
["name"])
362 self
.market
.report
.log_stage("{}_begin".format(process_name
))
363 if "begin" in step
.get("fetch_balances", []):
364 self
.market
.balances
.fetch_balances(tag
="{}_begin".format(process_name
))
366 for action
in self
.ordered_actions
:
368 self
.run_action(action
, step
[action
], kwargs
)
370 if "end" in step
.get("fetch_balances", []):
371 self
.market
.balances
.fetch_balances(tag
="{}_end".format(process_name
))
372 self
.market
.report
.log_stage("{}_end".format(process_name
))
374 def method_arguments(self
, action
):
377 if action
== "wait_for_recent":
378 method
= Portfolio
.wait_for_recent
379 elif action
== "prepare_trades":
380 method
= self
.market
.prepare_trades
381 elif action
== "prepare_orders":
382 method
= self
.market
.trades
.prepare_orders
383 elif action
== "move_balances":
384 method
= self
.market
.move_balances
385 elif action
== "run_orders":
386 method
= self
.market
.trades
.run_orders
387 elif action
== "follow_orders":
388 method
= self
.market
.follow_orders
389 elif action
== "close_trades":
390 method
= self
.market
.trades
.close_trades
391 elif action
== "print_tickers":
392 method
= self
.market
.print_tickers
394 signature
= inspect
.getfullargspec(method
)
395 defaults
= signature
.defaults
or []
396 kwargs
= signature
.args
[-len(defaults
):]
398 return [method
, kwargs
]
400 def parse_args(self
, action
, default_args
, kwargs
):
401 method
, allowed_arguments
= self
.method_arguments(action
)
402 args
= {k: v for k, v in {**default_args, **kwargs}
.items() if k
in allowed_arguments
}
404 if "repartition" in args
and "base_currency" in args
["repartition"]:
405 r
= args
["repartition"]
406 r
[args
.get("base_currency", "BTC")] = r
.pop("base_currency")
410 def run_action(self
, action
, default_args
, kwargs
):
411 method
, args
= self
.parse_args(action
, default_args
, kwargs
)