store.py

   1 import time
   2 import requests
   3 import portfolio
   4 import simplejson as json
   5 from decimal import Decimal as D, ROUND_DOWN
   6 import datetime
   7 import inspect
   8 from json import JSONDecodeError
   9 from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
  10
  11 __all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"]
  12
  13 class ReportStore:
  14     def __init__(self, market, verbose_print=True, no_http_dup=False):
  15         self.market = market
  16         self.verbose_print = verbose_print
  17
  18         self.print_logs = []
  19         self.logs = []
  20         self.redis_status = []
  21
  22         self.no_http_dup = no_http_dup
  23         self.last_http = None
  24
  25     def merge(self, other_report):
  26         self.logs += other_report.logs
  27         self.logs.sort(key=lambda x: x["date"])
  28
  29         self.print_logs += other_report.print_logs
  30         self.print_logs.sort(key=lambda x: x[0])
  31
  32     def print_log(self, message):
  33         now = datetime.datetime.now()
  34         message = "{:%Y-%m-%d %H:%M:%S}: {}".format(now, str(message))
  35         self.print_logs.append([now, message])
  36         if self.verbose_print:
  37             print(message)
  38
  39     def add_log(self, hash_):
  40         hash_["date"] = datetime.datetime.now()
  41         if self.market is not None:
  42             hash_["user_id"] = self.market.user_id
  43             hash_["market_id"] = self.market.market_id
  44         else:
  45             hash_["user_id"] = None
  46             hash_["market_id"] = None
  47         self.logs.append(hash_)
  48         return hash_
  49
  50     def add_redis_status(self, hash_):
  51         self.redis_status.append(hash_)
  52         return hash_
  53
  54     @staticmethod
  55     def default_json_serial(obj):
  56         if isinstance(obj, (datetime.datetime, datetime.date)):
  57             return obj.isoformat()
  58         return str(obj)
  59
  60     def to_json(self):
  61         return json.dumps(self.logs, default=self.default_json_serial, indent="  ")
  62
  63     def to_json_array(self):
  64         for log in (x.copy() for x in self.logs):
  65             yield (
  66                     log.pop("date"),
  67                     log.pop("type"),
  68                     json.dumps(log, default=self.default_json_serial, indent="  ")
  69                     )
  70
  71     def to_json_redis(self):
  72         for log in (x.copy() for x in self.redis_status):
  73             yield (
  74                     log.pop("type"),
  75                     json.dumps(log, default=self.default_json_serial)
  76                     )
  77
  78     def set_verbose(self, verbose_print):
  79         self.verbose_print = verbose_print
  80
  81     def log_stage(self, stage, **kwargs):
  82         def as_json(element):
  83             if callable(element):
  84                 return inspect.getsource(element).strip()
  85             elif hasattr(element, "as_json"):
  86                 return element.as_json()
  87             else:
  88                 return element
  89
  90         args = { k: as_json(v) for k, v in kwargs.items() }
  91         args_str = ["{}={}".format(k, v) for k, v in args.items()]
  92         self.print_log("-" * (len(stage) + 8))
  93         self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str)))
  94
  95         self.add_log({
  96             "type": "stage",
  97             "stage": stage,
  98             "args": args,
  99             })
 100
 101     def log_balances(self, tag=None):
 102         self.print_log("[Balance]")
 103         for currency, balance in self.market.balances.all.items():
 104             self.print_log("\t{}".format(balance))
 105
 106         log = {
 107                 "type": "balance",
 108                 "tag": tag,
 109                 "balances": self.market.balances.as_json()
 110                 }
 111
 112         self.add_log(log.copy())
 113         self.add_redis_status(log)
 114
 115     def log_tickers(self, amounts, other_currency,
 116             compute_value, type):
 117         values = {}
 118         rates = {}
 119         if callable(compute_value):
 120             compute_value = inspect.getsource(compute_value).strip()
 121
 122         for currency, amount in amounts.items():
 123             values[currency] = amount.as_json()["value"]
 124             rates[currency] = amount.rate
 125         log = {
 126                 "type": "tickers",
 127                 "compute_value": compute_value,
 128                 "balance_type": type,
 129                 "currency": other_currency,
 130                 "balances": values,
 131                 "rates": rates,
 132                 "total": sum(amounts.values()).as_json()["value"]
 133                 }
 134
 135         self.add_log(log.copy())
 136         self.add_redis_status(log)
 137
 138     def log_dispatch(self, amount, amounts, liquidity, repartition):
 139         self.add_log({
 140             "type": "dispatch",
 141             "liquidity": liquidity,
 142             "repartition_ratio": repartition,
 143             "total_amount": amount.as_json(),
 144             "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
 145             })
 146
 147     def log_trades(self, matching_and_trades, only):
 148         trades = []
 149         for matching, trade in matching_and_trades:
 150             trade_json = trade.as_json()
 151             trade_json["skipped"] = not matching
 152             trades.append(trade_json)
 153
 154         self.add_log({
 155             "type": "trades",
 156             "only": only,
 157             "debug": self.market.debug,
 158             "trades": trades
 159             })
 160
 161     def log_orders(self, orders, tick=None, only=None, compute_value=None):
 162         if callable(compute_value):
 163             compute_value = inspect.getsource(compute_value).strip()
 164         self.print_log("[Orders]")
 165         self.market.trades.print_all_with_order(ind="\t")
 166         self.add_log({
 167             "type": "orders",
 168             "only": only,
 169             "compute_value": compute_value,
 170             "tick": tick,
 171             "orders": [order.as_json() for order in orders if order is not None]
 172             })
 173
 174     def log_order(self, order, tick, finished=False, update=None,
 175             new_order=None, compute_value=None):
 176         if callable(compute_value):
 177             compute_value = inspect.getsource(compute_value).strip()
 178         if finished:
 179             self.print_log("[Order] Finished {}".format(order))
 180         elif update == "waiting":
 181             self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
 182         elif update == "adjusting":
 183             self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
 184         elif update == "market_fallback":
 185             self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
 186         elif update == "market_adjust":
 187             self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
 188
 189         self.add_log({
 190             "type": "order",
 191             "tick": tick,
 192             "update": update,
 193             "order": order.as_json(),
 194             "compute_value": compute_value,
 195             "new_order": new_order.as_json() if new_order is not None else None
 196             })
 197
 198     def log_move_balances(self, needed, moving):
 199         self.add_log({
 200             "type": "move_balances",
 201             "debug": self.market.debug,
 202             "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
 203             "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
 204             })
 205
 206     def log_http_request(self, method, url, body, headers, response):
 207         if isinstance(response, Exception):
 208             self.add_log({
 209                 "type": "http_request",
 210                 "method": method,
 211                 "url": url,
 212                 "body": body,
 213                 "headers": headers,
 214                 "status": -1,
 215                 "response": None,
 216                 "error": response.__class__.__name__,
 217                 "error_message": str(response),
 218                 })
 219             self.last_http = None
 220         elif self.no_http_dup and \
 221                 self.last_http is not None and \
 222                 self.last_http["url"] == url and \
 223                 self.last_http["method"] == method and \
 224                 self.last_http["response"] == response.text:
 225             self.add_log({
 226                 "type": "http_request",
 227                 "method": method,
 228                 "url": url,
 229                 "body": body,
 230                 "headers": headers,
 231                 "status": response.status_code,
 232                 "duration": response.elapsed.total_seconds(),
 233                 "response": None,
 234                 "response_same_as": self.last_http["date"]
 235                 })
 236         else:
 237             self.last_http = self.add_log({
 238                 "type": "http_request",
 239                 "method": method,
 240                 "url": url,
 241                 "body": body,
 242                 "headers": headers,
 243                 "status": response.status_code,
 244                 "duration": response.elapsed.total_seconds(),
 245                 "response": response.text,
 246                 "response_same_as": None,
 247                 })
 248
 249     def log_error(self, action, message=None, exception=None):
 250         self.print_log("[Error] {}".format(action))
 251         if exception is not None:
 252             self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
 253         if message is not None:
 254             self.print_log("\t{}".format(message))
 255
 256         self.add_log({
 257             "type": "error",
 258             "action": action,
 259             "exception_class": exception.__class__.__name__ if exception is not None else None,
 260             "exception_message": str(exception) if exception is not None else None,
 261             "message": message,
 262             })
 263
 264     def log_debug_action(self, action):
 265         self.print_log("[Debug] {}".format(action))
 266
 267         self.add_log({
 268             "type": "debug_action",
 269             "action": action,
 270             })
 271
 272     def log_market(self, args):
 273         self.add_log({
 274             "type": "market",
 275             "commit": "$Format:%H$",
 276             "args": vars(args),
 277             })
 278
 279 class BalanceStore:
 280     def __init__(self, market):
 281         self.market = market
 282         self.all = {}
 283
 284     def currencies(self):
 285         return self.all.keys()
 286
 287     def in_currency(self, other_currency, compute_value="average", type="total"):
 288         amounts = {}
 289         for currency, balance in self.all.items():
 290             other_currency_amount = getattr(balance, type)\
 291                     .in_currency(other_currency, self.market, compute_value=compute_value)
 292             amounts[currency] = other_currency_amount
 293         self.market.report.log_tickers(amounts, other_currency,
 294                 compute_value, type)
 295         return amounts
 296
 297     def fetch_balances(self, tag=None):
 298         all_balances = self.market.ccxt.fetch_all_balances()
 299         for currency, balance in all_balances.items():
 300             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
 301                     currency in self.all:
 302                 self.all[currency] = portfolio.Balance(currency, balance)
 303         self.market.report.log_balances(tag=tag)
 304
 305     def dispatch_assets(self, amount, liquidity="medium", repartition=None):
 306         if repartition is None:
 307             repartition = Portfolio.repartition(liquidity=liquidity)
 308         sum_ratio = sum([v[0] for k, v in repartition.items()])
 309         amounts = {}
 310         for currency, (ptt, trade_type) in repartition.items():
 311             amounts[currency] = ptt * amount / sum_ratio
 312             if trade_type == "short":
 313                 amounts[currency] = - amounts[currency]
 314             self.all.setdefault(currency, portfolio.Balance(currency, {}))
 315         self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
 316         return amounts
 317
 318     def as_json(self):
 319         return { k: v.as_json() for k, v in self.all.items() }
 320
 321 class TradeStore:
 322     def __init__(self, market):
 323         self.market = market
 324         self.all = []
 325
 326     @property
 327     def pending(self):
 328         return list(filter(lambda t: t.pending, self.all))
 329
 330     def compute_trades(self, values_in_base, new_repartition, only=None):
 331         computed_trades = []
 332         base_currency = sum(values_in_base.values()).currency
 333         for currency in self.market.balances.currencies():
 334             if currency == base_currency:
 335                 continue
 336             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
 337             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 338
 339             if value_from.value * value_to.value < 0:
 340                 computed_trades.append(self.trade_if_matching(
 341                         value_from, portfolio.Amount(base_currency, 0),
 342                         currency, only=only))
 343                 computed_trades.append(self.trade_if_matching(
 344                         portfolio.Amount(base_currency, 0), value_to,
 345                         currency, only=only))
 346             else:
 347                 computed_trades.append(self.trade_if_matching(
 348                         value_from, value_to,
 349                         currency, only=only))
 350         for matching, trade in computed_trades:
 351             if matching:
 352                 self.all.append(trade)
 353         self.market.report.log_trades(computed_trades, only)
 354
 355     def trade_if_matching(self, value_from, value_to, currency,
 356             only=None):
 357         trade = portfolio.Trade(value_from, value_to, currency,
 358                 self.market)
 359         matching = only is None or trade.action == only
 360         return [matching, trade]
 361
 362     def prepare_orders(self, only=None, compute_value="default"):
 363         orders = []
 364         for trade in self.pending:
 365             if only is None or trade.action == only:
 366                 orders.append(trade.prepare_order(compute_value=compute_value))
 367         self.market.report.log_orders(orders, only, compute_value)
 368
 369     def close_trades(self):
 370         for trade in self.all:
 371             trade.close()
 372
 373     def print_all_with_order(self, ind=""):
 374         for trade in self.all:
 375             trade.print_with_order(ind=ind)
 376
 377     def run_orders(self):
 378         orders = self.all_orders(state="pending")
 379         for order in orders:
 380             order.run()
 381         self.market.report.log_stage("run_orders")
 382         self.market.report.log_orders(orders)
 383
 384     def all_orders(self, state=None):
 385         all_orders = sum(map(lambda v: v.orders, self.all), [])
 386         if state is None:
 387             return all_orders
 388         else:
 389             return list(filter(lambda o: o.status == state, all_orders))
 390
 391     def update_all_orders_status(self):
 392         for order in self.all_orders(state="open"):
 393             order.get_status()
 394
 395 class NoopLock:
 396     def __enter__(self, *args):
 397         pass
 398     def __exit__(self, *args):
 399         pass
 400
 401 class LockedVar:
 402     def __init__(self, value):
 403         self.lock = NoopLock()
 404         self.val = value
 405
 406     def start_lock(self):
 407         import threading
 408         self.lock = threading.Lock()
 409
 410     def set(self, value):
 411         with self.lock:
 412             self.val = value
 413
 414     def get(self, key=None):
 415         with self.lock:
 416             if key is not None and isinstance(self.val, dict):
 417                 return self.val.get(key)
 418             else:
 419                 return self.val
 420
 421     def __getattr__(self, key):
 422         with self.lock:
 423             return getattr(self.val, key)
 424
 425 class Portfolio:
 426     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
 427     data = LockedVar(None)
 428     liquidities = LockedVar({})
 429     last_date = LockedVar(None)
 430     report = LockedVar(ReportStore(None, no_http_dup=True))
 431     worker = None
 432     worker_tag = ""
 433     worker_started = False
 434     worker_notify = None
 435     callback = None
 436
 437     @classmethod
 438     def start_worker(cls, poll=30):
 439         import threading
 440
 441         cls.worker = threading.Thread(name="portfolio", daemon=True,
 442                 target=cls.wait_for_notification, kwargs={"poll": poll})
 443         cls.worker_notify = threading.Event()
 444         cls.callback = threading.Event()
 445
 446         cls.last_date.start_lock()
 447         cls.liquidities.start_lock()
 448         cls.report.start_lock()
 449
 450         cls.worker_tag = "[Worker] "
 451         cls.worker_started = True
 452         cls.worker.start()
 453
 454     @classmethod
 455     def is_worker_thread(cls):
 456         if cls.worker is None:
 457             return False
 458         else:
 459             import threading
 460             return cls.worker == threading.current_thread()
 461
 462     @classmethod
 463     def wait_for_notification(cls, poll=30):
 464         if not cls.is_worker_thread():
 465             raise RuntimeError("This method needs to be ran with the worker")
 466         while cls.worker_started:
 467             cls.worker_notify.wait()
 468             if cls.worker_started:
 469                 cls.worker_notify.clear()
 470                 cls.report.print_log("[Worker] Fetching cryptoportfolio")
 471                 cls.get_cryptoportfolio(refetch=True)
 472                 cls.callback.set()
 473                 time.sleep(poll)
 474
 475     @classmethod
 476     def stop_worker(cls):
 477         cls.worker_started = False
 478         cls.worker_notify.set()
 479
 480     @classmethod
 481     def notify_and_wait(cls):
 482         cls.callback.clear()
 483         cls.worker_notify.set()
 484         cls.callback.wait()
 485
 486     @classmethod
 487     def wait_for_recent(cls, delta=4, poll=30):
 488         cls.get_cryptoportfolio()
 489         while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta):
 490             if cls.worker is None:
 491                 time.sleep(poll)
 492                 cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
 493             cls.get_cryptoportfolio(refetch=True)
 494
 495     @classmethod
 496     def repartition(cls, liquidity="medium"):
 497         cls.get_cryptoportfolio()
 498         liquidities = cls.liquidities.get(liquidity)
 499         return liquidities[cls.last_date.get()]
 500
 501     @classmethod
 502     def get_cryptoportfolio(cls, refetch=False):
 503         if cls.data.get() is not None and not refetch:
 504             return
 505         if cls.worker is not None and not cls.is_worker_thread():
 506             cls.notify_and_wait()
 507             return
 508         try:
 509             r = requests.get(cls.URL)
 510             cls.report.log_http_request(r.request.method,
 511                     r.request.url, r.request.body, r.request.headers, r)
 512         except Exception as e:
 513             cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e)
 514             return
 515         try:
 516             cls.data.set(r.json(parse_int=D, parse_float=D))
 517             cls.parse_cryptoportfolio()
 518         except (JSONDecodeError, SimpleJSONDecodeError):
 519             cls.data.set(None)
 520             cls.last_date.set(None)
 521             cls.liquidities.set({})
 522
 523     @classmethod
 524     def parse_cryptoportfolio(cls):
 525         def filter_weights(weight_hash):
 526             if weight_hash[1][0] == 0:
 527                 return False
 528             if weight_hash[0] == "_row":
 529                 return False
 530             return True
 531
 532         def clean_weights(i):
 533             def clean_weights_(h):
 534                 if h[0].endswith("s"):
 535                     return [h[0][0:-1], (h[1][i], "short")]
 536                 else:
 537                     return [h[0], (h[1][i], "long")]
 538             return clean_weights_
 539
 540         def parse_weights(portfolio_hash):
 541             if "weights" not in portfolio_hash:
 542                 return {}
 543             weights_hash = portfolio_hash["weights"]
 544             weights = {}
 545             for i in range(len(weights_hash["_row"])):
 546                 date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
 547                 weights[date] = dict(filter(
 548                         filter_weights,
 549                         map(clean_weights(i), weights_hash.items())))
 550             return weights
 551
 552         high_liquidity = parse_weights(cls.data.get("portfolio_1"))
 553         medium_liquidity = parse_weights(cls.data.get("portfolio_2"))
 554
 555         cls.liquidities.set({
 556             "medium": medium_liquidity,
 557             "high":   high_liquidity,
 558             })
 559         cls.last_date.set(max(
 560             max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)),
 561             max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1))
 562             ))
 563