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 from datetime import date, datetime, timedelta
   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):
  15         self.market = market
  16         self.verbose_print = verbose_print
  17
  18         self.logs = []
  19
  20     def print_log(self, message):
  21         message = str(message)
  22         if self.verbose_print:
  23             print(message)
  24
  25     def add_log(self, hash_):
  26         hash_["date"] = datetime.now()
  27         self.logs.append(hash_)
  28
  29     def to_json(self):
  30         def default_json_serial(obj):
  31             if isinstance(obj, (datetime, date)):
  32                 return obj.isoformat()
  33             return str(obj)
  34         return json.dumps(self.logs, default=default_json_serial, indent="  ")
  35
  36     def set_verbose(self, verbose_print):
  37         self.verbose_print = verbose_print
  38
  39     def log_stage(self, stage, **kwargs):
  40         def as_json(element):
  41             if callable(element):
  42                 return inspect.getsource(element).strip()
  43             elif hasattr(element, "as_json"):
  44                 return element.as_json()
  45             else:
  46                 return element
  47
  48         args = { k: as_json(v) for k, v in kwargs.items() }
  49         args_str = ["{}={}".format(k, v) for k, v in args.items()]
  50         self.print_log("-" * (len(stage) + 8))
  51         self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str)))
  52
  53         self.add_log({
  54             "type": "stage",
  55             "stage": stage,
  56             "args": args,
  57             })
  58
  59     def log_balances(self, tag=None):
  60         self.print_log("[Balance]")
  61         for currency, balance in self.market.balances.all.items():
  62             self.print_log("\t{}".format(balance))
  63
  64         self.add_log({
  65             "type": "balance",
  66             "tag": tag,
  67             "balances": self.market.balances.as_json()
  68             })
  69
  70     def log_tickers(self, amounts, other_currency,
  71             compute_value, type):
  72         values = {}
  73         rates = {}
  74         if callable(compute_value):
  75             compute_value = inspect.getsource(compute_value).strip()
  76
  77         for currency, amount in amounts.items():
  78             values[currency] = amount.as_json()["value"]
  79             rates[currency] = amount.rate
  80         self.add_log({
  81             "type": "tickers",
  82             "compute_value": compute_value,
  83             "balance_type": type,
  84             "currency": other_currency,
  85             "balances": values,
  86             "rates": rates,
  87             "total": sum(amounts.values()).as_json()["value"]
  88             })
  89
  90     def log_dispatch(self, amount, amounts, liquidity, repartition):
  91         self.add_log({
  92             "type": "dispatch",
  93             "liquidity": liquidity,
  94             "repartition_ratio": repartition,
  95             "total_amount": amount.as_json(),
  96             "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
  97             })
  98
  99     def log_trades(self, matching_and_trades, only):
 100         trades = []
 101         for matching, trade in matching_and_trades:
 102             trade_json = trade.as_json()
 103             trade_json["skipped"] = not matching
 104             trades.append(trade_json)
 105
 106         self.add_log({
 107             "type": "trades",
 108             "only": only,
 109             "debug": self.market.debug,
 110             "trades": trades
 111             })
 112
 113     def log_orders(self, orders, tick=None, only=None, compute_value=None):
 114         if callable(compute_value):
 115             compute_value = inspect.getsource(compute_value).strip()
 116         self.print_log("[Orders]")
 117         self.market.trades.print_all_with_order(ind="\t")
 118         self.add_log({
 119             "type": "orders",
 120             "only": only,
 121             "compute_value": compute_value,
 122             "tick": tick,
 123             "orders": [order.as_json() for order in orders if order is not None]
 124             })
 125
 126     def log_order(self, order, tick, finished=False, update=None,
 127             new_order=None, compute_value=None):
 128         if callable(compute_value):
 129             compute_value = inspect.getsource(compute_value).strip()
 130         if finished:
 131             self.print_log("[Order] Finished {}".format(order))
 132         elif update == "waiting":
 133             self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
 134         elif update == "adjusting":
 135             self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
 136         elif update == "market_fallback":
 137             self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
 138         elif update == "market_adjust":
 139             self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
 140
 141         self.add_log({
 142             "type": "order",
 143             "tick": tick,
 144             "update": update,
 145             "order": order.as_json(),
 146             "compute_value": compute_value,
 147             "new_order": new_order.as_json() if new_order is not None else None
 148             })
 149
 150     def log_move_balances(self, needed, moving):
 151         self.add_log({
 152             "type": "move_balances",
 153             "debug": self.market.debug,
 154             "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
 155             "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
 156             })
 157
 158     def log_http_request(self, method, url, body, headers, response):
 159         self.add_log({
 160             "type": "http_request",
 161             "method": method,
 162             "url": url,
 163             "body": body,
 164             "headers": headers,
 165             "status": response.status_code,
 166             "response": response.text
 167             })
 168
 169     def log_error(self, action, message=None, exception=None):
 170         self.print_log("[Error] {}".format(action))
 171         if exception is not None:
 172             self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
 173         if message is not None:
 174             self.print_log("\t{}".format(message))
 175
 176         self.add_log({
 177             "type": "error",
 178             "action": action,
 179             "exception_class": exception.__class__.__name__ if exception is not None else None,
 180             "exception_message": str(exception) if exception is not None else None,
 181             "message": message,
 182             })
 183
 184     def log_debug_action(self, action):
 185         self.print_log("[Debug] {}".format(action))
 186
 187         self.add_log({
 188             "type": "debug_action",
 189             "action": action,
 190             })
 191
 192 class BalanceStore:
 193     def __init__(self, market):
 194         self.market = market
 195         self.all = {}
 196
 197     def currencies(self):
 198         return self.all.keys()
 199
 200     def in_currency(self, other_currency, compute_value="average", type="total"):
 201         amounts = {}
 202         for currency, balance in self.all.items():
 203             other_currency_amount = getattr(balance, type)\
 204                     .in_currency(other_currency, self.market, compute_value=compute_value)
 205             amounts[currency] = other_currency_amount
 206         self.market.report.log_tickers(amounts, other_currency,
 207                 compute_value, type)
 208         return amounts
 209
 210     def fetch_balances(self, tag=None):
 211         all_balances = self.market.ccxt.fetch_all_balances()
 212         for currency, balance in all_balances.items():
 213             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
 214                     currency in self.all:
 215                 self.all[currency] = portfolio.Balance(currency, balance)
 216         self.market.report.log_balances(tag=tag)
 217
 218     def dispatch_assets(self, amount, liquidity="medium", repartition=None):
 219         if repartition is None:
 220             repartition = Portfolio.repartition(liquidity=liquidity)
 221         sum_ratio = sum([v[0] for k, v in repartition.items()])
 222         amounts = {}
 223         for currency, (ptt, trade_type) in repartition.items():
 224             amounts[currency] = ptt * amount / sum_ratio
 225             if trade_type == "short":
 226                 amounts[currency] = - amounts[currency]
 227             self.all.setdefault(currency, portfolio.Balance(currency, {}))
 228         self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
 229         return amounts
 230
 231     def as_json(self):
 232         return { k: v.as_json() for k, v in self.all.items() }
 233
 234 class TradeStore:
 235     def __init__(self, market):
 236         self.market = market
 237         self.all = []
 238
 239     @property
 240     def pending(self):
 241         return list(filter(lambda t: t.pending, self.all))
 242
 243     def compute_trades(self, values_in_base, new_repartition, only=None):
 244         computed_trades = []
 245         base_currency = sum(values_in_base.values()).currency
 246         for currency in self.market.balances.currencies():
 247             if currency == base_currency:
 248                 continue
 249             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
 250             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 251
 252             if value_from.value * value_to.value < 0:
 253                 computed_trades.append(self.trade_if_matching(
 254                         value_from, portfolio.Amount(base_currency, 0),
 255                         currency, only=only))
 256                 computed_trades.append(self.trade_if_matching(
 257                         portfolio.Amount(base_currency, 0), value_to,
 258                         currency, only=only))
 259             else:
 260                 computed_trades.append(self.trade_if_matching(
 261                         value_from, value_to,
 262                         currency, only=only))
 263         for matching, trade in computed_trades:
 264             if matching:
 265                 self.all.append(trade)
 266         self.market.report.log_trades(computed_trades, only)
 267
 268     def trade_if_matching(self, value_from, value_to, currency,
 269             only=None):
 270         trade = portfolio.Trade(value_from, value_to, currency,
 271                 self.market)
 272         matching = only is None or trade.action == only
 273         return [matching, trade]
 274
 275     def prepare_orders(self, only=None, compute_value="default"):
 276         orders = []
 277         for trade in self.pending:
 278             if only is None or trade.action == only:
 279                 orders.append(trade.prepare_order(compute_value=compute_value))
 280         self.market.report.log_orders(orders, only, compute_value)
 281
 282     def close_trades(self):
 283         for trade in self.all:
 284             trade.close()
 285
 286     def print_all_with_order(self, ind=""):
 287         for trade in self.all:
 288             trade.print_with_order(ind=ind)
 289
 290     def run_orders(self):
 291         orders = self.all_orders(state="pending")
 292         for order in orders:
 293             order.run()
 294         self.market.report.log_stage("run_orders")
 295         self.market.report.log_orders(orders)
 296
 297     def all_orders(self, state=None):
 298         all_orders = sum(map(lambda v: v.orders, self.all), [])
 299         if state is None:
 300             return all_orders
 301         else:
 302             return list(filter(lambda o: o.status == state, all_orders))
 303
 304     def update_all_orders_status(self):
 305         for order in self.all_orders(state="open"):
 306             order.get_status()
 307
 308 class Portfolio:
 309     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
 310     liquidities = {}
 311     data = None
 312     last_date = None
 313     report = ReportStore(None)
 314
 315     @classmethod
 316     def wait_for_recent(cls, delta=4):
 317         cls.get_cryptoportfolio()
 318         while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta):
 319             time.sleep(30)
 320             cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
 321             cls.get_cryptoportfolio(refetch=True)
 322
 323     @classmethod
 324     def repartition(cls, liquidity="medium"):
 325         cls.get_cryptoportfolio()
 326         liquidities = cls.liquidities[liquidity]
 327         return liquidities[cls.last_date]
 328
 329     @classmethod
 330     def get_cryptoportfolio(cls, refetch=False):
 331         if cls.data is not None and not refetch:
 332             return
 333         try:
 334             r = requests.get(cls.URL)
 335             cls.report.log_http_request(r.request.method,
 336                     r.request.url, r.request.body, r.request.headers, r)
 337         except Exception as e:
 338             cls.report.log_error("get_cryptoportfolio", exception=e)
 339             return
 340         try:
 341             cls.data = r.json(parse_int=D, parse_float=D)
 342             cls.parse_cryptoportfolio()
 343         except (JSONDecodeError, SimpleJSONDecodeError):
 344             cls.data = None
 345             cls.liquidities = {}
 346
 347     @classmethod
 348     def parse_cryptoportfolio(cls):
 349         def filter_weights(weight_hash):
 350             if weight_hash[1][0] == 0:
 351                 return False
 352             if weight_hash[0] == "_row":
 353                 return False
 354             return True
 355
 356         def clean_weights(i):
 357             def clean_weights_(h):
 358                 if h[0].endswith("s"):
 359                     return [h[0][0:-1], (h[1][i], "short")]
 360                 else:
 361                     return [h[0], (h[1][i], "long")]
 362             return clean_weights_
 363
 364         def parse_weights(portfolio_hash):
 365             weights_hash = portfolio_hash["weights"]
 366             weights = {}
 367             for i in range(len(weights_hash["_row"])):
 368                 date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
 369                 weights[date] = dict(filter(
 370                         filter_weights,
 371                         map(clean_weights(i), weights_hash.items())))
 372             return weights
 373
 374         high_liquidity = parse_weights(cls.data["portfolio_1"])
 375         medium_liquidity = parse_weights(cls.data["portfolio_2"])
 376
 377         cls.liquidities = {
 378                 "medium": medium_liquidity,
 379                 "high":   high_liquidity,
 380                 }
 381         cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys()))
 382
 383