]> git.immae.eu Git - perso/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Trader.git/blob - portfolio.py
Retry running order when available balance is insufficient
[perso/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Trader.git] / portfolio.py
1 import time
2 from datetime import datetime, timedelta
3 from decimal import Decimal as D, ROUND_DOWN
4 from json import JSONDecodeError
5 from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
6 from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder
7 from retry import retry
8 import requests
9
10 # FIXME: correctly handle web call timeouts
11
12 class Portfolio:
13 URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
14 liquidities = {}
15 data = None
16 last_date = None
17
18 @classmethod
19 def wait_for_recent(cls, market, delta=4):
20 cls.repartition(market, refetch=True)
21 while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta):
22 time.sleep(30)
23 market.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
24 cls.repartition(market, refetch=True)
25
26 @classmethod
27 def repartition(cls, market, liquidity="medium", refetch=False):
28 cls.parse_cryptoportfolio(market, refetch=refetch)
29 liquidities = cls.liquidities[liquidity]
30 return liquidities[cls.last_date]
31
32 @classmethod
33 def get_cryptoportfolio(cls, market):
34 try:
35 r = requests.get(cls.URL)
36 market.report.log_http_request(r.request.method,
37 r.request.url, r.request.body, r.request.headers, r)
38 except Exception as e:
39 market.report.log_error("get_cryptoportfolio", exception=e)
40 return
41 try:
42 cls.data = r.json(parse_int=D, parse_float=D)
43 except (JSONDecodeError, SimpleJSONDecodeError):
44 cls.data = None
45
46 @classmethod
47 def parse_cryptoportfolio(cls, market, refetch=False):
48 if refetch or cls.data is None:
49 cls.get_cryptoportfolio(market)
50
51 def filter_weights(weight_hash):
52 if weight_hash[1][0] == 0:
53 return False
54 if weight_hash[0] == "_row":
55 return False
56 return True
57
58 def clean_weights(i):
59 def clean_weights_(h):
60 if h[0].endswith("s"):
61 return [h[0][0:-1], (h[1][i], "short")]
62 else:
63 return [h[0], (h[1][i], "long")]
64 return clean_weights_
65
66 def parse_weights(portfolio_hash):
67 weights_hash = portfolio_hash["weights"]
68 weights = {}
69 for i in range(len(weights_hash["_row"])):
70 date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
71 weights[date] = dict(filter(
72 filter_weights,
73 map(clean_weights(i), weights_hash.items())))
74 return weights
75
76 high_liquidity = parse_weights(cls.data["portfolio_1"])
77 medium_liquidity = parse_weights(cls.data["portfolio_2"])
78
79 cls.liquidities = {
80 "medium": medium_liquidity,
81 "high": high_liquidity,
82 }
83 cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys()))
84
85 class Computation:
86 computations = {
87 "default": lambda x, y: x[y],
88 "average": lambda x, y: x["average"],
89 "bid": lambda x, y: x["bid"],
90 "ask": lambda x, y: x["ask"],
91 }
92
93 @classmethod
94 def compute_value(cls, ticker, action, compute_value="default"):
95 if action == "buy":
96 action = "ask"
97 if action == "sell":
98 action = "bid"
99 if isinstance(compute_value, str):
100 compute_value = cls.computations[compute_value]
101 return compute_value(ticker, action)
102
103 class Amount:
104 def __init__(self, currency, value, linked_to=None, ticker=None, rate=None):
105 self.currency = currency
106 self.value = D(value)
107 self.linked_to = linked_to
108 self.ticker = ticker
109 self.rate = rate
110
111 def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"):
112 if other_currency == self.currency:
113 return self
114 if rate is not None:
115 return Amount(
116 other_currency,
117 self.value * rate,
118 linked_to=self,
119 rate=rate)
120 asset_ticker = market.get_ticker(self.currency, other_currency)
121 if asset_ticker is not None:
122 rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value)
123 return Amount(
124 other_currency,
125 self.value * rate,
126 linked_to=self,
127 ticker=asset_ticker,
128 rate=rate)
129 else:
130 raise Exception("This asset is not available in the chosen market")
131
132 def as_json(self):
133 return {
134 "currency": self.currency,
135 "value": round(self).value.normalize(),
136 }
137
138 def __round__(self, n=8):
139 return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN))
140
141 def __abs__(self):
142 return Amount(self.currency, abs(self.value))
143
144 def __add__(self, other):
145 if other == 0:
146 return self
147 if other.currency != self.currency and other.value * self.value != 0:
148 raise Exception("Summing amounts must be done with same currencies")
149 return Amount(self.currency, self.value + other.value)
150
151 def __radd__(self, other):
152 if other == 0:
153 return self
154 else:
155 return self.__add__(other)
156
157 def __sub__(self, other):
158 if other == 0:
159 return self
160 if other.currency != self.currency and other.value * self.value != 0:
161 raise Exception("Summing amounts must be done with same currencies")
162 return Amount(self.currency, self.value - other.value)
163
164 def __rsub__(self, other):
165 if other == 0:
166 return -self
167 else:
168 return -self.__sub__(other)
169
170 def __mul__(self, value):
171 if not isinstance(value, (int, float, D)):
172 raise TypeError("Amount may only be multiplied by numbers")
173 return Amount(self.currency, self.value * value)
174
175 def __rmul__(self, value):
176 return self.__mul__(value)
177
178 def __floordiv__(self, value):
179 if not isinstance(value, (int, float, D)):
180 raise TypeError("Amount may only be divided by numbers")
181 return Amount(self.currency, self.value / value)
182
183 def __truediv__(self, value):
184 return self.__floordiv__(value)
185
186 def __lt__(self, other):
187 if other == 0:
188 return self.value < 0
189 if self.currency != other.currency:
190 raise Exception("Comparing amounts must be done with same currencies")
191 return self.value < other.value
192
193 def __le__(self, other):
194 return self == other or self < other
195
196 def __gt__(self, other):
197 return not self <= other
198
199 def __ge__(self, other):
200 return not self < other
201
202 def __eq__(self, other):
203 if other == 0:
204 return self.value == 0
205 if self.currency != other.currency:
206 raise Exception("Comparing amounts must be done with same currencies")
207 return self.value == other.value
208
209 def __ne__(self, other):
210 return not self == other
211
212 def __neg__(self):
213 return Amount(self.currency, - self.value)
214
215 def __str__(self):
216 if self.linked_to is None:
217 return "{:.8f} {}".format(self.value, self.currency)
218 else:
219 return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to)
220
221 def __repr__(self):
222 if self.linked_to is None:
223 return "Amount({:.8f} {})".format(self.value, self.currency)
224 else:
225 return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to))
226
227 class Balance:
228 base_keys = ["total", "exchange_total", "exchange_used",
229 "exchange_free", "margin_total", "margin_borrowed",
230 "margin_free"]
231
232 def __init__(self, currency, hash_):
233 self.currency = currency
234 for key in self.base_keys:
235 setattr(self, key, Amount(currency, hash_.get(key, 0)))
236
237 self.margin_position_type = hash_.get("margin_position_type")
238
239 if hash_.get("margin_borrowed_base_currency") is not None:
240 base_currency = hash_["margin_borrowed_base_currency"]
241 for key in [
242 "margin_liquidation_price",
243 "margin_pending_gain",
244 "margin_lending_fees",
245 "margin_borrowed_base_price"
246 ]:
247 setattr(self, key, Amount(base_currency, hash_.get(key, 0)))
248
249 def as_json(self):
250 return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys))
251
252 def __repr__(self):
253 if self.exchange_total > 0:
254 if self.exchange_free > 0 and self.exchange_used > 0:
255 exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total))
256 elif self.exchange_free > 0:
257 exchange = " Exch: [✔{}]".format(str(self.exchange_free))
258 else:
259 exchange = " Exch: [❌{}]".format(str(self.exchange_used))
260 else:
261 exchange = ""
262
263 if self.margin_total > 0:
264 if self.margin_free != 0 and self.margin_borrowed != 0:
265 margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total))
266 elif self.margin_free != 0:
267 margin = " Margin: [✔{}]".format(str(self.margin_free))
268 else:
269 margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed))
270 elif self.margin_total < 0:
271 margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total),
272 str(self.margin_borrowed_base_price),
273 str(self.margin_lending_fees))
274 else:
275 margin = ""
276
277 if self.margin_total != 0 and self.exchange_total != 0:
278 total = " Total: [{}]".format(str(self.total))
279 else:
280 total = ""
281
282 return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")"
283
284 class Trade:
285 def __init__(self, value_from, value_to, currency, market):
286 # We have value_from of currency, and want to finish with value_to of
287 # that currency. value_* may not be in currency's terms
288 self.currency = currency
289 self.value_from = value_from
290 self.value_to = value_to
291 self.orders = []
292 self.market = market
293 assert self.value_from.currency == self.value_to.currency
294 if self.value_from != 0:
295 assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
296 elif self.value_from.linked_to is None:
297 self.value_from.linked_to = Amount(self.currency, 0)
298 self.base_currency = self.value_from.currency
299
300 @property
301 def action(self):
302 if self.value_from == self.value_to:
303 return None
304 if self.base_currency == self.currency:
305 return None
306
307 if abs(self.value_from) < abs(self.value_to):
308 return "acquire"
309 else:
310 return "dispose"
311
312 def order_action(self, inverted):
313 if (self.value_from < self.value_to) != inverted:
314 return "buy"
315 else:
316 return "sell"
317
318 @property
319 def trade_type(self):
320 if self.value_from + self.value_to < 0:
321 return "short"
322 else:
323 return "long"
324
325 def filled_amount(self, in_base_currency=False):
326 filled_amount = 0
327 for order in self.orders:
328 filled_amount += order.filled_amount(in_base_currency=in_base_currency)
329 return filled_amount
330
331 def update_order(self, order, tick):
332 new_order = None
333 if tick in [0, 1, 3, 4, 6]:
334 update = "waiting"
335 compute_value = None
336 elif tick == 2:
337 update = "adjusting"
338 compute_value = 'lambda x, y: (x[y] + x["average"]) / 2'
339 new_order = self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2)
340 elif tick ==5:
341 update = "adjusting"
342 compute_value = 'lambda x, y: (x[y]*2 + x["average"]) / 3'
343 new_order = self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3)
344 elif tick >= 7:
345 if (tick - 7) % 3 == 0:
346 new_order = self.prepare_order(compute_value="default")
347 update = "market_adjust"
348 compute_value = "default"
349 else:
350 update = "waiting"
351 compute_value = None
352 if tick == 7:
353 update = "market_fallback"
354
355 self.market.report.log_order(order, tick, update=update,
356 compute_value=compute_value, new_order=new_order)
357
358 if new_order is not None:
359 order.cancel()
360 new_order.run()
361 self.market.report.log_order(order, tick, new_order=new_order)
362
363 def prepare_order(self, compute_value="default"):
364 if self.action is None:
365 return None
366 ticker = self.market.get_ticker(self.currency, self.base_currency)
367 inverted = ticker["inverted"]
368 if inverted:
369 ticker = ticker["original"]
370 rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
371
372 #TODO: store when the order is considered filled
373 # FIXME: Dust amount should be removed from there if they werent
374 # honored in other sales
375 delta_in_base = abs(self.value_from - self.value_to)
376 # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
377
378 if not inverted:
379 base_currency = self.base_currency
380 # BTC
381 if self.action == "dispose":
382 filled = self.filled_amount(in_base_currency=False)
383 delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
384 # I have 10 BTC worth of FOO, and I want to sell 9 BTC
385 # worth of it, computed first with rate 10 FOO = 1 BTC.
386 # -> I "sell" "90" FOO at proposed rate "rate".
387
388 delta = delta - filled
389 # I already sold 60 FOO, 30 left
390 else:
391 filled = self.filled_amount(in_base_currency=True)
392 delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate)
393 # I want to buy 9 BTC worth of FOO, computed with rate
394 # 10 FOO = 1 BTC
395 # -> I "buy" "9 / rate" FOO at proposed rate "rate"
396
397 # I already bought 3 / rate FOO, 6 / rate left
398 else:
399 base_currency = self.currency
400 # FOO
401 if self.action == "dispose":
402 filled = self.filled_amount(in_base_currency=True)
403 # Base is FOO
404
405 delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
406 - filled).in_currency(self.base_currency, self.market, rate=1/rate)
407 # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
408 # computed at rate 1 Foo = 0.01 BTC
409 # Computation says I should sell it at 125 FOO / BTC
410 # -> delta_in_base = 9 BTC
411 # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC
412 # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market
413
414 # I already bought 300/125 BTC, only 600/125 left
415 else:
416 filled = self.filled_amount(in_base_currency=False)
417 # Base is FOO
418
419 delta = delta_in_base
420 # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it
421 # At rate 100 Foo / BTC
422 # Computation says I should buy it at 125 FOO / BTC
423 # -> delta_in_base = 9 BTC
424 # Action: "sell" "9 BTC" at rate "125" "FOO" on market
425
426 delta = delta - filled
427 # I already sold 4 BTC, only 5 left
428
429 close_if_possible = (self.value_to == 0)
430
431 if delta <= 0:
432 self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta))
433 return None
434
435 order = Order(self.order_action(inverted),
436 delta, rate, base_currency, self.trade_type,
437 self.market, self, close_if_possible=close_if_possible)
438 self.orders.append(order)
439 return order
440
441 def as_json(self):
442 return {
443 "action": self.action,
444 "from": self.value_from.as_json()["value"],
445 "to": self.value_to.as_json()["value"],
446 "currency": self.currency,
447 "base_currency": self.base_currency,
448 }
449
450 def __repr__(self):
451 return "Trade({} -> {} in {}, {})".format(
452 self.value_from,
453 self.value_to,
454 self.currency,
455 self.action)
456
457 def print_with_order(self, ind=""):
458 self.market.report.print_log("{}{}".format(ind, self))
459 for order in self.orders:
460 self.market.report.print_log("{}\t{}".format(ind, order))
461 for mouvement in order.mouvements:
462 self.market.report.print_log("{}\t\t{}".format(ind, mouvement))
463
464 class Order:
465 def __init__(self, action, amount, rate, base_currency, trade_type, market,
466 trade, close_if_possible=False):
467 self.action = action
468 self.amount = amount
469 self.rate = rate
470 self.base_currency = base_currency
471 self.market = market
472 self.trade_type = trade_type
473 self.results = []
474 self.mouvements = []
475 self.status = "pending"
476 self.trade = trade
477 self.close_if_possible = close_if_possible
478 self.id = None
479 self.fetch_cache_timestamp = None
480 self.tries = 0
481
482 def as_json(self):
483 return {
484 "action": self.action,
485 "trade_type": self.trade_type,
486 "amount": self.amount.as_json()["value"],
487 "currency": self.amount.as_json()["currency"],
488 "base_currency": self.base_currency,
489 "rate": self.rate,
490 "status": self.status,
491 "close_if_possible": self.close_if_possible,
492 "id": self.id,
493 "mouvements": list(map(lambda x: x.as_json(), self.mouvements))
494 }
495
496 def __repr__(self):
497 return "Order({} {} {} at {} {} [{}]{})".format(
498 self.action,
499 self.trade_type,
500 self.amount,
501 self.rate,
502 self.base_currency,
503 self.status,
504 " ✂" if self.close_if_possible else "",
505 )
506
507 @property
508 def account(self):
509 if self.trade_type == "long":
510 return "exchange"
511 else:
512 return "margin"
513
514 @property
515 def open(self):
516 return self.status == "open"
517
518 @property
519 def pending(self):
520 return self.status == "pending"
521
522 @property
523 def finished(self):
524 return self.status == "closed" or self.status == "canceled" or self.status == "error"
525
526 @retry(InsufficientFunds)
527 def run(self):
528 self.tries += 1
529 symbol = "{}/{}".format(self.amount.currency, self.base_currency)
530 amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value
531
532 if self.market.debug:
533 self.market.report.log_debug_action("market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
534 symbol, self.action, amount, self.rate, self.account))
535 self.results.append({"debug": True, "id": -1})
536 else:
537 action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account)
538 try:
539 self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
540 except InvalidOrder:
541 # Impossible to honor the order (dust amount)
542 self.status = "closed"
543 self.mark_finished_order()
544 return
545 except InsufficientFunds as e:
546 if self.tries < 5:
547 self.market.report.log_error(action, message="Retrying with reduced amount", exception=e)
548 self.amount = self.amount * D("0.99")
549 raise e
550 else:
551 self.market.report.log_error(action, message="Giving up {}".format(self), exception=e)
552 self.status = "error"
553 return
554 except Exception as e:
555 self.status = "error"
556 self.market.report.log_error(action, exception=e)
557 return
558 self.id = self.results[0]["id"]
559 self.status = "open"
560
561 def get_status(self):
562 if self.market.debug:
563 self.market.report.log_debug_action("Getting {} status".format(self))
564 return self.status
565 # other states are "closed" and "canceled"
566 if not self.finished:
567 self.fetch()
568 if self.finished:
569 self.mark_finished_order()
570 return self.status
571
572 def mark_finished_order(self):
573 if self.market.debug:
574 self.market.report.log_debug_action("Mark {} as finished".format(self))
575 return
576 if self.status == "closed":
577 if self.trade_type == "short" and self.action == "buy" and self.close_if_possible:
578 self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency)
579
580 def fetch(self, force=False):
581 if self.market.debug:
582 self.market.report.log_debug_action("Fetching {}".format(self))
583 return
584 if (not force and self.fetch_cache_timestamp is not None
585 and time.time() - self.fetch_cache_timestamp < 10):
586 return
587 self.fetch_cache_timestamp = time.time()
588
589 result = self.market.ccxt.fetch_order(self.id)
590 self.results.append(result)
591
592 self.status = result["status"]
593 # Time at which the order started
594 self.timestamp = result["datetime"]
595 self.fetch_mouvements()
596
597 # FIXME: consider open order with dust remaining as closed
598
599 def dust_amount_remaining(self):
600 return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))
601
602 def remaining_amount(self):
603 if self.status == "open":
604 self.fetch()
605 return self.amount - self.filled_amount()
606
607 def filled_amount(self, in_base_currency=False):
608 if self.status == "open":
609 self.fetch()
610 filled_amount = 0
611 for mouvement in self.mouvements:
612 if in_base_currency:
613 filled_amount += mouvement.total_in_base
614 else:
615 filled_amount += mouvement.total
616 return filled_amount
617
618 def fetch_mouvements(self):
619 try:
620 mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id})
621 except ExchangeError:
622 mouvements = []
623 self.mouvements = []
624
625 for mouvement_hash in mouvements:
626 self.mouvements.append(Mouvement(self.amount.currency,
627 self.base_currency, mouvement_hash))
628
629 def cancel(self):
630 if self.market.debug:
631 self.market.report.log_debug_action("Mark {} as cancelled".format(self))
632 self.status = "canceled"
633 return
634 self.market.ccxt.cancel_order(self.id)
635 self.fetch()
636
637 class Mouvement:
638 def __init__(self, currency, base_currency, hash_):
639 self.currency = currency
640 self.base_currency = base_currency
641 self.id = hash_.get("tradeID")
642 self.action = hash_.get("type")
643 self.fee_rate = D(hash_.get("fee", -1))
644 try:
645 self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S')
646 except ValueError:
647 self.date = None
648 self.rate = D(hash_.get("rate", 0))
649 self.total = Amount(currency, hash_.get("amount", 0))
650 # rate * total = total_in_base
651 self.total_in_base = Amount(base_currency, hash_.get("total", 0))
652
653 def as_json(self):
654 return {
655 "fee_rate": self.fee_rate,
656 "date": self.date,
657 "action": self.action,
658 "total": self.total.value,
659 "currency": self.currency,
660 "total_in_base": self.total_in_base.value,
661 "base_currency": self.base_currency
662 }
663
664 def __repr__(self):
665 if self.fee_rate > 0:
666 fee_rate = " fee: {}%".format(self.fee_rate * 100)
667 else:
668 fee_rate = ""
669 if self.date is None:
670 date = "No date"
671 else:
672 date = self.date
673 return "Mouvement({} ; {} {} ({}){})".format(
674 date, self.action, self.total, self.total_in_base,
675 fee_rate)
676