portfolio.py

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