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, tickers=None,
 102             ticker_currency=None, compute_value=None, type=None):
 103         self.print_log("[Balance]")
 104         for currency, balance in self.market.balances.all.items():
 105             self.print_log("\t{}".format(balance))
 106
 107         log = {
 108                 "type": "balance",
 109                 "tag": tag,
 110                 "balances": self.market.balances.as_json()
 111                 }
 112
 113         if tickers is not None:
 114             log["tickers"] = self._ticker_hash(tickers, ticker_currency,
 115                     compute_value, type)
 116
 117         self.add_log(log.copy())
 118         self.add_redis_status(log)
 119
 120     def log_tickers(self, amounts, other_currency,
 121             compute_value, type):
 122         log = self._ticker_hash(amounts, other_currency, compute_value,
 123                 type)
 124         log["type"] = "tickers"
 125
 126         self.add_log(log)
 127
 128     def _ticker_hash(self, amounts, other_currency, compute_value, type):
 129         values = {}
 130         rates = {}
 131         if callable(compute_value):
 132             compute_value = inspect.getsource(compute_value).strip()
 133
 134         for currency, amount in amounts.items():
 135             values[currency] = amount.as_json()["value"]
 136             rates[currency] = amount.rate
 137         return {
 138                 "compute_value": compute_value,
 139                 "balance_type": type,
 140                 "currency": other_currency,
 141                 "balances": values,
 142                 "rates": rates,
 143                 "total": sum(amounts.values()).as_json()["value"]
 144                 }
 145
 146     def log_dispatch(self, amount, amounts, liquidity, repartition):
 147         self.add_log({
 148             "type": "dispatch",
 149             "liquidity": liquidity,
 150             "repartition_ratio": repartition,
 151             "total_amount": amount.as_json(),
 152             "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
 153             })
 154
 155     def log_trades(self, matching_and_trades, only):
 156         trades = []
 157         for matching, trade in matching_and_trades:
 158             trade_json = trade.as_json()
 159             trade_json["skipped"] = not matching
 160             trades.append(trade_json)
 161
 162         self.add_log({
 163             "type": "trades",
 164             "only": only,
 165             "debug": self.market.debug,
 166             "trades": trades
 167             })
 168
 169     def log_orders(self, orders, tick=None, only=None, compute_value=None):
 170         if callable(compute_value):
 171             compute_value = inspect.getsource(compute_value).strip()
 172         self.print_log("[Orders]")
 173         self.market.trades.print_all_with_order(ind="\t")
 174         self.add_log({
 175             "type": "orders",
 176             "only": only,
 177             "compute_value": compute_value,
 178             "tick": tick,
 179             "orders": [order.as_json() for order in orders if order is not None]
 180             })
 181
 182     def log_order(self, order, tick, finished=False, update=None,
 183             new_order=None, compute_value=None):
 184         if callable(compute_value):
 185             compute_value = inspect.getsource(compute_value).strip()
 186         if finished:
 187             self.print_log("[Order] Finished {}".format(order))
 188         elif update == "waiting":
 189             self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
 190         elif update == "adjusting":
 191             self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
 192         elif update == "market_fallback":
 193             self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
 194         elif update == "market_adjust":
 195             self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
 196
 197         self.add_log({
 198             "type": "order",
 199             "tick": tick,
 200             "update": update,
 201             "order": order.as_json(),
 202             "compute_value": compute_value,
 203             "new_order": new_order.as_json() if new_order is not None else None
 204             })
 205
 206     def log_move_balances(self, needed, moving):
 207         self.add_log({
 208             "type": "move_balances",
 209             "debug": self.market.debug,
 210             "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
 211             "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
 212             })
 213
 214     def log_http_request(self, method, url, body, headers, response):
 215         if isinstance(response, Exception):
 216             self.add_log({
 217                 "type": "http_request",
 218                 "method": method,
 219                 "url": url,
 220                 "body": body,
 221                 "headers": headers,
 222                 "status": -1,
 223                 "response": None,
 224                 "error": response.__class__.__name__,
 225                 "error_message": str(response),
 226                 })
 227             self.last_http = None
 228         elif self.no_http_dup and \
 229                 self.last_http is not None and \
 230                 self.last_http["url"] == url and \
 231                 self.last_http["method"] == method and \
 232                 self.last_http["response"] == response.text:
 233             self.add_log({
 234                 "type": "http_request",
 235                 "method": method,
 236                 "url": url,
 237                 "body": body,
 238                 "headers": headers,
 239                 "status": response.status_code,
 240                 "duration": response.elapsed.total_seconds(),
 241                 "response": None,
 242                 "response_same_as": self.last_http["date"]
 243                 })
 244         else:
 245             self.last_http = self.add_log({
 246                 "type": "http_request",
 247                 "method": method,
 248                 "url": url,
 249                 "body": body,
 250                 "headers": headers,
 251                 "status": response.status_code,
 252                 "duration": response.elapsed.total_seconds(),
 253                 "response": response.text,
 254                 "response_same_as": None,
 255                 })
 256
 257     def log_error(self, action, message=None, exception=None):
 258         self.print_log("[Error] {}".format(action))
 259         if exception is not None:
 260             self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
 261         if message is not None:
 262             self.print_log("\t{}".format(message))
 263
 264         self.add_log({
 265             "type": "error",
 266             "action": action,
 267             "exception_class": exception.__class__.__name__ if exception is not None else None,
 268             "exception_message": str(exception) if exception is not None else None,
 269             "message": message,
 270             })
 271
 272     def log_debug_action(self, action):
 273         self.print_log("[Debug] {}".format(action))
 274
 275         self.add_log({
 276             "type": "debug_action",
 277             "action": action,
 278             })
 279
 280     def log_market(self, args):
 281         self.add_log({
 282             "type": "market",
 283             "commit": "$Format:%H$",
 284             "args": vars(args),
 285             })
 286
 287 class BalanceStore:
 288     def __init__(self, market):
 289         self.market = market
 290         self.all = {}
 291
 292     def currencies(self):
 293         return self.all.keys()
 294
 295     def in_currency(self, other_currency, compute_value="average", type="total"):
 296         amounts = {}
 297         for currency, balance in self.all.items():
 298             other_currency_amount = getattr(balance, type)\
 299                     .in_currency(other_currency, self.market, compute_value=compute_value)
 300             amounts[currency] = other_currency_amount
 301         self.market.report.log_tickers(amounts, other_currency,
 302                 compute_value, type)
 303         return amounts
 304
 305     def fetch_balances(self, tag=None, log_tickers=False,
 306             ticker_currency="BTC", ticker_compute_value="average", ticker_type="total"):
 307         all_balances = self.market.ccxt.fetch_all_balances()
 308         for currency, balance in all_balances.items():
 309             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
 310                     currency in self.all:
 311                 self.all[currency] = portfolio.Balance(currency, balance)
 312         if log_tickers:
 313             tickers = self.in_currency(ticker_currency, compute_value=ticker_compute_value, type=ticker_type)
 314             self.market.report.log_balances(tag=tag,
 315                     tickers=tickers, ticker_currency=ticker_currency,
 316                     compute_value=ticker_compute_value, type=ticker_type)
 317         else:
 318             self.market.report.log_balances(tag=tag)
 319
 320     def dispatch_assets(self, amount, liquidity="medium", repartition=None):
 321         if repartition is None:
 322             repartition = Portfolio.repartition(liquidity=liquidity)
 323         sum_ratio = sum([v[0] for k, v in repartition.items()])
 324         amounts = {}
 325         for currency, (ptt, trade_type) in repartition.items():
 326             amounts[currency] = ptt * amount / sum_ratio
 327             if trade_type == "short":
 328                 amounts[currency] = - amounts[currency]
 329             self.all.setdefault(currency, portfolio.Balance(currency, {}))
 330         self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
 331         return amounts
 332
 333     def as_json(self):
 334         return { k: v.as_json() for k, v in self.all.items() }
 335
 336 class TradeStore:
 337     def __init__(self, market):
 338         self.market = market
 339         self.all = []
 340
 341     @property
 342     def pending(self):
 343         return list(filter(lambda t: t.pending, self.all))
 344
 345     def compute_trades(self, values_in_base, new_repartition, only=None):
 346         computed_trades = []
 347         base_currency = sum(values_in_base.values()).currency
 348         for currency in self.market.balances.currencies():
 349             if currency == base_currency:
 350                 continue
 351             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
 352             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 353
 354             if value_from.value * value_to.value < 0:
 355                 computed_trades.append(self.trade_if_matching(
 356                         value_from, portfolio.Amount(base_currency, 0),
 357                         currency, only=only))
 358                 computed_trades.append(self.trade_if_matching(
 359                         portfolio.Amount(base_currency, 0), value_to,
 360                         currency, only=only))
 361             else:
 362                 computed_trades.append(self.trade_if_matching(
 363                         value_from, value_to,
 364                         currency, only=only))
 365         for matching, trade in computed_trades:
 366             if matching:
 367                 self.all.append(trade)
 368         self.market.report.log_trades(computed_trades, only)
 369
 370     def trade_if_matching(self, value_from, value_to, currency,
 371             only=None):
 372         trade = portfolio.Trade(value_from, value_to, currency,
 373                 self.market)
 374         matching = only is None or trade.action == only
 375         return [matching, trade]
 376
 377     def prepare_orders(self, only=None, compute_value="default"):
 378         orders = []
 379         for trade in self.pending:
 380             if only is None or trade.action == only:
 381                 orders.append(trade.prepare_order(compute_value=compute_value))
 382         self.market.report.log_orders(orders, only, compute_value)
 383
 384     def close_trades(self):
 385         for trade in self.all:
 386             trade.close()
 387
 388     def print_all_with_order(self, ind=""):
 389         for trade in self.all:
 390             trade.print_with_order(ind=ind)
 391
 392     def run_orders(self):
 393         orders = self.all_orders(state="pending")
 394         for order in orders:
 395             order.run()
 396         self.market.report.log_stage("run_orders")
 397         self.market.report.log_orders(orders)
 398
 399     def all_orders(self, state=None):
 400         all_orders = sum(map(lambda v: v.orders, self.all), [])
 401         if state is None:
 402             return all_orders
 403         else:
 404             return list(filter(lambda o: o.status == state, all_orders))
 405
 406     def update_all_orders_status(self):
 407         for order in self.all_orders(state="open"):
 408             order.get_status()
 409
 410 class NoopLock:
 411     def __enter__(self, *args):
 412         pass
 413     def __exit__(self, *args):
 414         pass
 415
 416 class LockedVar:
 417     def __init__(self, value):
 418         self.lock = NoopLock()
 419         self.val = value
 420
 421     def start_lock(self):
 422         import threading
 423         self.lock = threading.Lock()
 424
 425     def set(self, value):
 426         with self.lock:
 427             self.val = value
 428
 429     def get(self, key=None):
 430         with self.lock:
 431             if key is not None and isinstance(self.val, dict):
 432                 return self.val.get(key)
 433             else:
 434                 return self.val
 435
 436     def __getattr__(self, key):
 437         with self.lock:
 438             return getattr(self.val, key)
 439
 440 class Portfolio:
 441     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
 442     data = LockedVar(None)
 443     liquidities = LockedVar({})
 444     last_date = LockedVar(None)
 445     report = LockedVar(ReportStore(None, no_http_dup=True))
 446     worker = None
 447     worker_tag = ""
 448     worker_started = False
 449     worker_notify = None
 450     callback = None
 451
 452     @classmethod
 453     def start_worker(cls, poll=30):
 454         import threading
 455
 456         cls.worker = threading.Thread(name="portfolio", daemon=True,
 457                 target=cls.wait_for_notification, kwargs={"poll": poll})
 458         cls.worker_notify = threading.Event()
 459         cls.callback = threading.Event()
 460
 461         cls.last_date.start_lock()
 462         cls.liquidities.start_lock()
 463         cls.report.start_lock()
 464
 465         cls.worker_tag = "[Worker] "
 466         cls.worker_started = True
 467         cls.worker.start()
 468
 469     @classmethod
 470     def is_worker_thread(cls):
 471         if cls.worker is None:
 472             return False
 473         else:
 474             import threading
 475             return cls.worker == threading.current_thread()
 476
 477     @classmethod
 478     def wait_for_notification(cls, poll=30):
 479         if not cls.is_worker_thread():
 480             raise RuntimeError("This method needs to be ran with the worker")
 481         while cls.worker_started:
 482             cls.worker_notify.wait()
 483             if cls.worker_started:
 484                 cls.worker_notify.clear()
 485                 cls.report.print_log("[Worker] Fetching cryptoportfolio")
 486                 cls.get_cryptoportfolio(refetch=True)
 487                 cls.callback.set()
 488                 time.sleep(poll)
 489
 490     @classmethod
 491     def stop_worker(cls):
 492         cls.worker_started = False
 493         cls.worker_notify.set()
 494
 495     @classmethod
 496     def notify_and_wait(cls):
 497         cls.callback.clear()
 498         cls.worker_notify.set()
 499         cls.callback.wait()
 500
 501     @classmethod
 502     def wait_for_recent(cls, delta=4, poll=30):
 503         cls.get_cryptoportfolio()
 504         while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta):
 505             if cls.worker is None:
 506                 time.sleep(poll)
 507                 cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
 508             cls.get_cryptoportfolio(refetch=True)
 509
 510     @classmethod
 511     def repartition(cls, liquidity="medium"):
 512         cls.get_cryptoportfolio()
 513         liquidities = cls.liquidities.get(liquidity)
 514         return liquidities[cls.last_date.get()]
 515
 516     @classmethod
 517     def get_cryptoportfolio(cls, refetch=False):
 518         if cls.data.get() is not None and not refetch:
 519             return
 520         if cls.worker is not None and not cls.is_worker_thread():
 521             cls.notify_and_wait()
 522             return
 523         try:
 524             r = requests.get(cls.URL)
 525             cls.report.log_http_request(r.request.method,
 526                     r.request.url, r.request.body, r.request.headers, r)
 527         except Exception as e:
 528             cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e)
 529             return
 530         try:
 531             cls.data.set(r.json(parse_int=D, parse_float=D))
 532             cls.parse_cryptoportfolio()
 533         except (JSONDecodeError, SimpleJSONDecodeError):
 534             cls.data.set(None)
 535             cls.last_date.set(None)
 536             cls.liquidities.set({})
 537
 538     @classmethod
 539     def parse_cryptoportfolio(cls):
 540         def filter_weights(weight_hash):
 541             if weight_hash[1][0] == 0:
 542                 return False
 543             if weight_hash[0] == "_row":
 544                 return False
 545             return True
 546
 547         def clean_weights(i):
 548             def clean_weights_(h):
 549                 if h[0].endswith("s"):
 550                     return [h[0][0:-1], (h[1][i], "short")]
 551                 else:
 552                     return [h[0], (h[1][i], "long")]
 553             return clean_weights_
 554
 555         def parse_weights(portfolio_hash):
 556             if "weights" not in portfolio_hash:
 557                 return {}
 558             weights_hash = portfolio_hash["weights"]
 559             weights = {}
 560             for i in range(len(weights_hash["_row"])):
 561                 date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
 562                 weights[date] = dict(filter(
 563                         filter_weights,
 564                         map(clean_weights(i), weights_hash.items())))
 565             return weights
 566
 567         high_liquidity = parse_weights(cls.data.get("portfolio_1"))
 568         medium_liquidity = parse_weights(cls.data.get("portfolio_2"))
 569
 570         cls.liquidities.set({
 571             "medium": medium_liquidity,
 572             "high":   high_liquidity,
 573             })
 574         cls.last_date.set(max(
 575             max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)),
 576             max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1))
 577             ))
 578