portfolio.py

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