portfolio.py

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