]> git.immae.eu Git - perso/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Trader.git/blob - portfolio.py
Fix mark finished order not alway called when necessary
[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, OrderNotCached, OrderNotFound
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_in_position",
230 "margin_available", "margin_borrowed", "margin_pending_gain"]
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_lending_fees",
244 "margin_pending_base_gain",
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_available != 0 and self.margin_in_position != 0:
265 margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total))
266 elif self.margin_available != 0:
267 margin = " Margin: [✔{}]".format(str(self.margin_available))
268 else:
269 margin = " Margin: [❌{}]".format(str(self.margin_in_position))
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 self.closed = False
294 self.inverted = None
295 assert self.value_from.value * self.value_to.value >= 0
296 assert self.value_from.currency == self.value_to.currency
297 if self.value_from != 0:
298 assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
299 elif self.value_from.linked_to is None:
300 self.value_from.linked_to = Amount(self.currency, 0)
301 self.base_currency = self.value_from.currency
302
303 @property
304 def delta(self):
305 return self.value_to - self.value_from
306
307 @property
308 def action(self):
309 if self.value_from == self.value_to:
310 return None
311 if self.base_currency == self.currency:
312 return None
313
314 if abs(self.value_from) < abs(self.value_to):
315 return "acquire"
316 else:
317 return "dispose"
318
319 def order_action(self):
320 if (self.value_from < self.value_to) != self.inverted:
321 return "buy"
322 else:
323 return "sell"
324
325 @property
326 def trade_type(self):
327 if self.value_from + self.value_to < 0:
328 return "short"
329 else:
330 return "long"
331
332 @property
333 def pending(self):
334 return not (self.is_fullfiled or self.closed)
335
336 def close(self):
337 for order in self.orders:
338 order.cancel()
339 self.closed = True
340
341 @property
342 def is_fullfiled(self):
343 return abs(self.filled_amount(in_base_currency=(not self.inverted))) >= abs(self.delta)
344
345 def filled_amount(self, in_base_currency=False):
346 filled_amount = 0
347 for order in self.orders:
348 filled_amount += order.filled_amount(in_base_currency=in_base_currency)
349 return filled_amount
350
351 def update_order(self, order, tick):
352 actions = {
353 0: ["waiting", None],
354 1: ["waiting", None],
355 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2],
356 3: ["waiting", None],
357 4: ["waiting", None],
358 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3],
359 6: ["waiting", None],
360 7: ["market_fallback", "default"],
361 }
362
363 if tick in actions:
364 update, compute_value = actions[tick]
365 elif tick % 3 == 1:
366 update = "market_adjust"
367 compute_value = "default"
368 else:
369 update = "waiting"
370 compute_value = None
371
372 if compute_value is not None:
373 order.cancel()
374 new_order = self.prepare_order(compute_value=compute_value)
375 else:
376 new_order = None
377
378 self.market.report.log_order(order, tick, update=update,
379 compute_value=compute_value, new_order=new_order)
380
381 if new_order is not None:
382 new_order.run()
383 self.market.report.log_order(order, tick, new_order=new_order)
384
385 def prepare_order(self, close_if_possible=None, compute_value="default"):
386 if self.action is None:
387 return None
388 ticker = self.market.get_ticker(self.currency, self.base_currency)
389 self.inverted = ticker["inverted"]
390 if self.inverted:
391 ticker = ticker["original"]
392 rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value)
393
394 # FIXME: Dust amount should be removed from there if they werent
395 # honored in other sales
396 delta_in_base = abs(self.delta)
397 # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
398
399 if not self.inverted:
400 base_currency = self.base_currency
401 # BTC
402 if self.action == "dispose":
403 filled = self.filled_amount(in_base_currency=False)
404 delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
405 # I have 10 BTC worth of FOO, and I want to sell 9 BTC
406 # worth of it, computed first with rate 10 FOO = 1 BTC.
407 # -> I "sell" "90" FOO at proposed rate "rate".
408
409 delta = delta - filled
410 # I already sold 60 FOO, 30 left
411 else:
412 filled = self.filled_amount(in_base_currency=True)
413 delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate)
414 # I want to buy 9 BTC worth of FOO, computed with rate
415 # 10 FOO = 1 BTC
416 # -> I "buy" "9 / rate" FOO at proposed rate "rate"
417
418 # I already bought 3 / rate FOO, 6 / rate left
419 else:
420 base_currency = self.currency
421 # FOO
422 if self.action == "dispose":
423 filled = self.filled_amount(in_base_currency=True)
424 # Base is FOO
425
426 delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
427 - filled).in_currency(self.base_currency, self.market, rate=1/rate)
428 # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
429 # computed at rate 1 Foo = 0.01 BTC
430 # Computation says I should sell it at 125 FOO / BTC
431 # -> delta_in_base = 9 BTC
432 # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC
433 # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market
434
435 # I already bought 300/125 BTC, only 600/125 left
436 else:
437 filled = self.filled_amount(in_base_currency=False)
438 # Base is FOO
439
440 delta = delta_in_base
441 # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it
442 # At rate 100 Foo / BTC
443 # Computation says I should buy it at 125 FOO / BTC
444 # -> delta_in_base = 9 BTC
445 # Action: "sell" "9 BTC" at rate "125" "FOO" on market
446
447 delta = delta - filled
448 # I already sold 4 BTC, only 5 left
449
450 if close_if_possible is None:
451 close_if_possible = (self.value_to == 0)
452
453 if delta <= 0:
454 self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta))
455 return None
456
457 order = Order(self.order_action(),
458 delta, rate, base_currency, self.trade_type,
459 self.market, self, close_if_possible=close_if_possible)
460 self.orders.append(order)
461 return order
462
463 def as_json(self):
464 return {
465 "action": self.action,
466 "from": self.value_from.as_json()["value"],
467 "to": self.value_to.as_json()["value"],
468 "currency": self.currency,
469 "base_currency": self.base_currency,
470 }
471
472 def __repr__(self):
473 if self.closed and not self.is_fullfiled:
474 closed = " ❌"
475 elif self.is_fullfiled:
476 closed = " ✔"
477 else:
478 closed = ""
479
480 return "Trade({} -> {} in {}, {}{})".format(
481 self.value_from,
482 self.value_to,
483 self.currency,
484 self.action,
485 closed)
486
487 def print_with_order(self, ind=""):
488 self.market.report.print_log("{}{}".format(ind, self))
489 for order in self.orders:
490 self.market.report.print_log("{}\t{}".format(ind, order))
491 for mouvement in order.mouvements:
492 self.market.report.print_log("{}\t\t{}".format(ind, mouvement))
493
494 class Order:
495 def __init__(self, action, amount, rate, base_currency, trade_type, market,
496 trade, close_if_possible=False):
497 self.action = action
498 self.amount = amount
499 self.rate = rate
500 self.base_currency = base_currency
501 self.market = market
502 self.trade_type = trade_type
503 self.results = []
504 self.mouvements = []
505 self.status = "pending"
506 self.trade = trade
507 self.close_if_possible = close_if_possible
508 self.id = None
509 self.tries = 0
510
511 def as_json(self):
512 return {
513 "action": self.action,
514 "trade_type": self.trade_type,
515 "amount": self.amount.as_json()["value"],
516 "currency": self.amount.as_json()["currency"],
517 "base_currency": self.base_currency,
518 "rate": self.rate,
519 "status": self.status,
520 "close_if_possible": self.close_if_possible,
521 "id": self.id,
522 "mouvements": list(map(lambda x: x.as_json(), self.mouvements))
523 }
524
525 def __repr__(self):
526 return "Order({} {} {} at {} {} [{}]{})".format(
527 self.action,
528 self.trade_type,
529 self.amount,
530 self.rate,
531 self.base_currency,
532 self.status,
533 " ✂" if self.close_if_possible else "",
534 )
535
536 @property
537 def account(self):
538 if self.trade_type == "long":
539 return "exchange"
540 else:
541 return "margin"
542
543 @property
544 def open(self):
545 return self.status == "open"
546
547 @property
548 def pending(self):
549 return self.status == "pending"
550
551 @property
552 def finished(self):
553 return self.status.startswith("closed") or self.status == "canceled" or self.status == "error"
554
555 @retry(InsufficientFunds)
556 def run(self):
557 self.tries += 1
558 symbol = "{}/{}".format(self.amount.currency, self.base_currency)
559 amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value
560
561 if self.market.debug:
562 self.market.report.log_debug_action("market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
563 symbol, self.action, amount, self.rate, self.account))
564 self.results.append({"debug": True, "id": -1})
565 else:
566 action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account)
567 try:
568 self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
569 except InvalidOrder:
570 # Impossible to honor the order (dust amount)
571 self.status = "closed"
572 self.mark_finished_order()
573 return
574 except InsufficientFunds as e:
575 if self.tries < 5:
576 self.market.report.log_error(action, message="Retrying with reduced amount", exception=e)
577 self.amount = self.amount * D("0.99")
578 raise e
579 else:
580 self.market.report.log_error(action, message="Giving up {}".format(self), exception=e)
581 self.status = "error"
582 return
583 except Exception as e:
584 self.status = "error"
585 self.market.report.log_error(action, exception=e)
586 return
587 self.id = self.results[0]["id"]
588 self.status = "open"
589
590 def get_status(self):
591 if self.market.debug:
592 self.market.report.log_debug_action("Getting {} status".format(self))
593 return self.status
594 # other states are "closed" and "canceled"
595 if not self.finished:
596 self.fetch()
597 return self.status
598
599 def mark_finished_order(self):
600 if self.status.startswith("closed") and self.market.debug:
601 self.market.report.log_debug_action("Mark {} as finished".format(self))
602 return
603 if self.status.startswith("closed"):
604 if self.trade_type == "short" and self.action == "buy" and self.close_if_possible:
605 self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency)
606
607 def fetch(self):
608 if self.market.debug:
609 self.market.report.log_debug_action("Fetching {}".format(self))
610 return
611 try:
612 result = self.market.ccxt.fetch_order(self.id)
613 self.results.append(result)
614 self.status = result["status"]
615 # Time at which the order started
616 self.timestamp = result["datetime"]
617 except OrderNotCached:
618 self.status = "closed_unknown"
619
620 self.fetch_mouvements()
621
622 self.mark_finished_order()
623 # FIXME: consider open order with dust remaining as closed
624
625 def dust_amount_remaining(self):
626 return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))
627
628 def remaining_amount(self):
629 return self.amount - self.filled_amount()
630
631 def filled_amount(self, in_base_currency=False):
632 if self.status == "open":
633 self.fetch()
634 filled_amount = 0
635 for mouvement in self.mouvements:
636 if in_base_currency:
637 filled_amount += mouvement.total_in_base
638 else:
639 filled_amount += mouvement.total
640 return filled_amount
641
642 def fetch_mouvements(self):
643 try:
644 mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id})
645 except ExchangeError:
646 mouvements = []
647 self.mouvements = []
648
649 for mouvement_hash in mouvements:
650 self.mouvements.append(Mouvement(self.amount.currency,
651 self.base_currency, mouvement_hash))
652
653 def cancel(self):
654 if self.market.debug:
655 self.market.report.log_debug_action("Mark {} as cancelled".format(self))
656 self.status = "canceled"
657 return
658 if self.open and self.id is not None:
659 try:
660 self.market.ccxt.cancel_order(self.id)
661 except OrderNotFound as e: # Closed inbetween
662 self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e)
663 self.fetch()
664
665 class Mouvement:
666 def __init__(self, currency, base_currency, hash_):
667 self.currency = currency
668 self.base_currency = base_currency
669 self.id = hash_.get("tradeID")
670 self.action = hash_.get("type")
671 self.fee_rate = D(hash_.get("fee", -1))
672 try:
673 self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S')
674 except ValueError:
675 self.date = None
676 self.rate = D(hash_.get("rate", 0))
677 self.total = Amount(currency, hash_.get("amount", 0))
678 # rate * total = total_in_base
679 self.total_in_base = Amount(base_currency, hash_.get("total", 0))
680
681 def as_json(self):
682 return {
683 "fee_rate": self.fee_rate,
684 "date": self.date,
685 "action": self.action,
686 "total": self.total.value,
687 "currency": self.currency,
688 "total_in_base": self.total_in_base.value,
689 "base_currency": self.base_currency
690 }
691
692 def __repr__(self):
693 if self.fee_rate > 0:
694 fee_rate = " fee: {}%".format(self.fee_rate * 100)
695 else:
696 fee_rate = ""
697 if self.date is None:
698 date = "No date"
699 else:
700 date = self.date
701 return "Mouvement({} ; {} {} ({}){})".format(
702 date, self.action, self.total, self.total_in_base,
703 fee_rate)
704