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 import dbs
  11
  12 __all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"]
  13
  14 class ReportStore:
  15     def __init__(self, market, verbose_print=True, no_http_dup=False):
  16         self.market = market
  17         self.verbose_print = verbose_print
  18
  19         self.print_logs = []
  20         self.logs = []
  21         self.redis_status = []
  22
  23         self.no_http_dup = no_http_dup
  24         self.last_http = None
  25
  26     def merge(self, other_report):
  27         self.logs += other_report.logs
  28         self.logs.sort(key=lambda x: x["date"])
  29
  30         self.print_logs += other_report.print_logs
  31         self.print_logs.sort(key=lambda x: x[0])
  32
  33     def print_log(self, message):
  34         now = datetime.datetime.now()
  35         message = "{:%Y-%m-%d %H:%M:%S}: {}".format(now, str(message))
  36         self.print_logs.append([now, message])
  37         if self.verbose_print:
  38             print(message)
  39
  40     def add_log(self, hash_):
  41         hash_["date"] = datetime.datetime.now()
  42         if self.market is not None:
  43             hash_["user_id"] = self.market.user_id
  44             hash_["market_id"] = self.market.market_id
  45         else:
  46             hash_["user_id"] = None
  47             hash_["market_id"] = None
  48         self.logs.append(hash_)
  49         return hash_
  50
  51     def add_redis_status(self, hash_):
  52         self.redis_status.append(hash_)
  53         return hash_
  54
  55     @staticmethod
  56     def default_json_serial(obj):
  57         if isinstance(obj, (datetime.datetime, datetime.date)):
  58             return obj.isoformat()
  59         return str(obj)
  60
  61     def to_json(self):
  62         return json.dumps(self.logs, default=self.default_json_serial, indent="  ")
  63
  64     def to_json_array(self):
  65         for log in (x.copy() for x in self.logs):
  66             yield (
  67                     log.pop("date"),
  68                     log.pop("type"),
  69                     json.dumps(log, default=self.default_json_serial, indent="  ")
  70                     )
  71
  72     def to_json_redis(self):
  73         for log in (x.copy() for x in self.redis_status):
  74             yield (
  75                     log.pop("type"),
  76                     json.dumps(log, default=self.default_json_serial)
  77                     )
  78
  79     def set_verbose(self, verbose_print):
  80         self.verbose_print = verbose_print
  81
  82     def log_stage(self, stage, **kwargs):
  83         def as_json(element):
  84             if callable(element):
  85                 return inspect.getsource(element).strip()
  86             elif hasattr(element, "as_json"):
  87                 return element.as_json()
  88             else:
  89                 return element
  90
  91         args = { k: as_json(v) for k, v in kwargs.items() }
  92         args_str = ["{}={}".format(k, v) for k, v in args.items()]
  93         self.print_log("-" * (len(stage) + 8))
  94         self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str)))
  95
  96         self.add_log({
  97             "type": "stage",
  98             "stage": stage,
  99             "args": args,
 100             })
 101
 102     def log_balances(self, tag=None, tickers=None,
 103             ticker_currency=None, compute_value=None, type=None):
 104         self.print_log("[Balance]")
 105         for currency, balance in self.market.balances.all.items():
 106             self.print_log("\t{}".format(balance))
 107
 108         log = {
 109                 "type": "balance",
 110                 "tag": tag,
 111                 "balances": self.market.balances.as_json()
 112                 }
 113
 114         if tickers is not None:
 115             log["tickers"] = self._ticker_hash(tickers, ticker_currency,
 116                     compute_value, type)
 117
 118         self.add_log(log.copy())
 119         self.add_redis_status(log)
 120
 121     def log_tickers(self, amounts, other_currency,
 122             compute_value, type):
 123         log = self._ticker_hash(amounts, other_currency, compute_value,
 124                 type)
 125         log["type"] = "tickers"
 126
 127         self.add_log(log)
 128
 129     def _ticker_hash(self, amounts, other_currency, compute_value, type):
 130         values = {}
 131         rates = {}
 132         if callable(compute_value):
 133             compute_value = inspect.getsource(compute_value).strip()
 134
 135         for currency, amount in amounts.items():
 136             values[currency] = amount.as_json()["value"]
 137             rates[currency] = amount.rate
 138         return {
 139                 "compute_value": compute_value,
 140                 "balance_type": type,
 141                 "currency": other_currency,
 142                 "balances": values,
 143                 "rates": rates,
 144                 "total": sum(amounts.values()).as_json()["value"]
 145                 }
 146
 147     def log_dispatch(self, amount, amounts, liquidity, repartition):
 148         self.add_log({
 149             "type": "dispatch",
 150             "liquidity": liquidity,
 151             "repartition_ratio": repartition,
 152             "total_amount": amount.as_json(),
 153             "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
 154             })
 155
 156     def log_trades(self, matching_and_trades, only):
 157         trades = []
 158         for matching, trade in matching_and_trades:
 159             trade_json = trade.as_json()
 160             trade_json["skipped"] = not matching
 161             trades.append(trade_json)
 162
 163         self.add_log({
 164             "type": "trades",
 165             "only": only,
 166             "debug": self.market.debug,
 167             "trades": trades
 168             })
 169
 170     def log_orders(self, orders, tick=None, only=None, compute_value=None):
 171         if callable(compute_value):
 172             compute_value = inspect.getsource(compute_value).strip()
 173         self.print_log("[Orders]")
 174         self.market.trades.print_all_with_order(ind="\t")
 175         self.add_log({
 176             "type": "orders",
 177             "only": only,
 178             "compute_value": compute_value,
 179             "tick": tick,
 180             "orders": [order.as_json() for order in orders if order is not None]
 181             })
 182
 183     def log_order(self, order, tick, finished=False, update=None,
 184             new_order=None, compute_value=None):
 185         if callable(compute_value):
 186             compute_value = inspect.getsource(compute_value).strip()
 187         if finished:
 188             self.print_log("[Order] Finished {}".format(order))
 189         elif update == "waiting":
 190             self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
 191         elif update == "adjusting":
 192             self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
 193         elif update == "market_fallback":
 194             self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
 195         elif update == "market_adjust":
 196             self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
 197
 198         self.add_log({
 199             "type": "order",
 200             "tick": tick,
 201             "update": update,
 202             "order": order.as_json(),
 203             "compute_value": compute_value,
 204             "new_order": new_order.as_json() if new_order is not None else None
 205             })
 206
 207     def log_move_balances(self, needed, moving):
 208         self.add_log({
 209             "type": "move_balances",
 210             "debug": self.market.debug,
 211             "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
 212             "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
 213             })
 214
 215     def log_http_request(self, method, url, body, headers, response):
 216         if isinstance(response, Exception):
 217             self.add_log({
 218                 "type": "http_request",
 219                 "method": method,
 220                 "url": url,
 221                 "body": body,
 222                 "headers": headers,
 223                 "status": -1,
 224                 "response": None,
 225                 "error": response.__class__.__name__,
 226                 "error_message": str(response),
 227                 })
 228             self.last_http = None
 229         elif self.no_http_dup and \
 230                 self.last_http is not None and \
 231                 self.last_http["url"] == url and \
 232                 self.last_http["method"] == method and \
 233                 self.last_http["response"] == response.text:
 234             self.add_log({
 235                 "type": "http_request",
 236                 "method": method,
 237                 "url": url,
 238                 "body": body,
 239                 "headers": headers,
 240                 "status": response.status_code,
 241                 "duration": response.elapsed.total_seconds(),
 242                 "response": None,
 243                 "response_same_as": self.last_http["date"]
 244                 })
 245         else:
 246             self.last_http = self.add_log({
 247                 "type": "http_request",
 248                 "method": method,
 249                 "url": url,
 250                 "body": body,
 251                 "headers": headers,
 252                 "status": response.status_code,
 253                 "duration": response.elapsed.total_seconds(),
 254                 "response": response.text,
 255                 "response_same_as": None,
 256                 })
 257
 258     def log_error(self, action, message=None, exception=None):
 259         self.print_log("[Error] {}".format(action))
 260         if exception is not None:
 261             self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
 262         if message is not None:
 263             self.print_log("\t{}".format(message))
 264
 265         self.add_log({
 266             "type": "error",
 267             "action": action,
 268             "exception_class": exception.__class__.__name__ if exception is not None else None,
 269             "exception_message": str(exception) if exception is not None else None,
 270             "message": message,
 271             })
 272
 273     def log_debug_action(self, action):
 274         self.print_log("[Debug] {}".format(action))
 275
 276         self.add_log({
 277             "type": "debug_action",
 278             "action": action,
 279             })
 280
 281     def log_market(self, args):
 282         self.add_log({
 283             "type": "market",
 284             "commit": "$Format:%H$",
 285             "args": vars(args),
 286             })
 287
 288 class BalanceStore:
 289     def __init__(self, market):
 290         self.market = market
 291         self.all = {}
 292
 293     def currencies(self):
 294         return self.all.keys()
 295
 296     def in_currency(self, other_currency, compute_value="average", type="total"):
 297         amounts = {}
 298         for currency, balance in self.all.items():
 299             other_currency_amount = getattr(balance, type)\
 300                     .in_currency(other_currency, self.market, compute_value=compute_value)
 301             amounts[currency] = other_currency_amount
 302         self.market.report.log_tickers(amounts, other_currency,
 303                 compute_value, type)
 304         return amounts
 305
 306     def fetch_balances(self, tag=None, log_tickers=False,
 307             ticker_currency="BTC", ticker_compute_value="average", ticker_type="total"):
 308         all_balances = self.market.ccxt.fetch_all_balances()
 309         for currency, balance in all_balances.items():
 310             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
 311                     currency in self.all:
 312                 self.all[currency] = portfolio.Balance(currency, balance)
 313         if log_tickers:
 314             tickers = self.in_currency(ticker_currency, compute_value=ticker_compute_value, type=ticker_type)
 315             self.market.report.log_balances(tag=tag,
 316                     tickers=tickers, ticker_currency=ticker_currency,
 317                     compute_value=ticker_compute_value, type=ticker_type)
 318         else:
 319             self.market.report.log_balances(tag=tag)
 320
 321     def dispatch_assets(self, amount, liquidity="medium", repartition=None):
 322         if repartition is None:
 323             repartition = Portfolio.repartition(liquidity=liquidity)
 324         sum_ratio = sum([v[0] for k, v in repartition.items()])
 325         amounts = {}
 326         for currency, (ptt, trade_type) in repartition.items():
 327             amounts[currency] = ptt * amount / sum_ratio
 328             if trade_type == "short":
 329                 amounts[currency] = - amounts[currency]
 330             self.all.setdefault(currency, portfolio.Balance(currency, {}))
 331         self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
 332         return amounts
 333
 334     def as_json(self):
 335         return { k: v.as_json() for k, v in self.all.items() }
 336
 337 class TradeStore:
 338     def __init__(self, market):
 339         self.market = market
 340         self.all = []
 341
 342     @property
 343     def pending(self):
 344         return list(filter(lambda t: t.pending, self.all))
 345
 346     def compute_trades(self, values_in_base, new_repartition, only=None):
 347         computed_trades = []
 348         base_currency = sum(values_in_base.values()).currency
 349         for currency in self.market.balances.currencies():
 350             if currency == base_currency:
 351                 continue
 352             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
 353             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 354
 355             if value_from.value * value_to.value < 0:
 356                 computed_trades.append(self.trade_if_matching(
 357                         value_from, portfolio.Amount(base_currency, 0),
 358                         currency, only=only))
 359                 computed_trades.append(self.trade_if_matching(
 360                         portfolio.Amount(base_currency, 0), value_to,
 361                         currency, only=only))
 362             else:
 363                 computed_trades.append(self.trade_if_matching(
 364                         value_from, value_to,
 365                         currency, only=only))
 366         for matching, trade in computed_trades:
 367             if matching:
 368                 self.all.append(trade)
 369         self.market.report.log_trades(computed_trades, only)
 370
 371     def trade_if_matching(self, value_from, value_to, currency,
 372             only=None):
 373         trade = portfolio.Trade(value_from, value_to, currency,
 374                 self.market)
 375         matching = only is None or trade.action == only
 376         return [matching, trade]
 377
 378     def prepare_orders(self, only=None, compute_value="default"):
 379         orders = []
 380         for trade in self.pending:
 381             if only is None or trade.action == only:
 382                 orders.append(trade.prepare_order(compute_value=compute_value))
 383         self.market.report.log_orders(orders, only, compute_value)
 384
 385     def close_trades(self):
 386         for trade in self.all:
 387             trade.close()
 388
 389     def print_all_with_order(self, ind=""):
 390         for trade in self.all:
 391             trade.print_with_order(ind=ind)
 392
 393     def run_orders(self):
 394         orders = self.all_orders(state="pending")
 395         for order in orders:
 396             order.run()
 397         self.market.report.log_stage("run_orders")
 398         self.market.report.log_orders(orders)
 399
 400     def all_orders(self, state=None):
 401         all_orders = sum(map(lambda v: v.orders, self.all), [])
 402         if state is None:
 403             return all_orders
 404         else:
 405             return list(filter(lambda o: o.status == state, all_orders))
 406
 407     def update_all_orders_status(self):
 408         for order in self.all_orders(state="open"):
 409             order.get_status()
 410
 411 class NoopLock:
 412     def __enter__(self, *args):
 413         pass
 414     def __exit__(self, *args):
 415         pass
 416
 417 class LockedVar:
 418     def __init__(self, value):
 419         self.lock = NoopLock()
 420         self.val = value
 421
 422     def start_lock(self):
 423         import threading
 424         self.lock = threading.Lock()
 425
 426     def set(self, value):
 427         with self.lock:
 428             self.val = value
 429
 430     def get(self, key=None):
 431         with self.lock:
 432             if key is not None and isinstance(self.val, dict):
 433                 return self.val.get(key)
 434             else:
 435                 return self.val
 436
 437     def __getattr__(self, key):
 438         with self.lock:
 439             return getattr(self.val, key)
 440
 441 class Portfolio:
 442     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
 443     data = LockedVar(None)
 444     liquidities = LockedVar({})
 445     last_date = LockedVar(None)
 446     report = LockedVar(ReportStore(None, no_http_dup=True))
 447     worker = None
 448     worker_tag = ""
 449     worker_started = False
 450     worker_notify = None
 451     callback = None
 452
 453     @classmethod
 454     def start_worker(cls, poll=30):
 455         import threading
 456
 457         cls.worker = threading.Thread(name="portfolio", daemon=True,
 458                 target=cls.wait_for_notification, kwargs={"poll": poll})
 459         cls.worker_notify = threading.Event()
 460         cls.callback = threading.Event()
 461
 462         cls.last_date.start_lock()
 463         cls.liquidities.start_lock()
 464         cls.report.start_lock()
 465
 466         cls.worker_tag = "[Worker] "
 467         cls.worker_started = True
 468         cls.worker.start()
 469
 470     @classmethod
 471     def is_worker_thread(cls):
 472         if cls.worker is None:
 473             return False
 474         else:
 475             import threading
 476             return cls.worker == threading.current_thread()
 477
 478     @classmethod
 479     def wait_for_notification(cls, poll=30):
 480         if not cls.is_worker_thread():
 481             raise RuntimeError("This method needs to be ran with the worker")
 482         while cls.worker_started:
 483             cls.worker_notify.wait()
 484             if cls.worker_started:
 485                 cls.worker_notify.clear()
 486                 cls.report.print_log("[Worker] Fetching cryptoportfolio")
 487                 cls.get_cryptoportfolio(refetch=True)
 488                 cls.callback.set()
 489                 time.sleep(poll)
 490
 491     @classmethod
 492     def stop_worker(cls):
 493         cls.worker_started = False
 494         cls.worker_notify.set()
 495
 496     @classmethod
 497     def notify_and_wait(cls):
 498         cls.callback.clear()
 499         cls.worker_notify.set()
 500         cls.callback.wait()
 501
 502     @classmethod
 503     def wait_for_recent(cls, delta=4, poll=30):
 504         cls.get_cryptoportfolio()
 505         while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta):
 506             if cls.worker is None:
 507                 time.sleep(poll)
 508                 cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
 509             cls.get_cryptoportfolio(refetch=True)
 510
 511     @classmethod
 512     def repartition(cls, liquidity="medium"):
 513         cls.get_cryptoportfolio()
 514         liquidities = cls.liquidities.get(liquidity)
 515         return liquidities[cls.last_date.get()]
 516
 517     @classmethod
 518     def get_cryptoportfolio(cls, refetch=False):
 519         if cls.data.get() is not None and not refetch:
 520             return
 521         if cls.worker is not None and not cls.is_worker_thread():
 522             cls.notify_and_wait()
 523             return
 524         try:
 525             r = requests.get(cls.URL)
 526             cls.report.log_http_request(r.request.method,
 527                     r.request.url, r.request.body, r.request.headers, r)
 528         except Exception as e:
 529             cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e)
 530             return
 531         try:
 532             cls.data.set(r.json(parse_int=D, parse_float=D))
 533             cls.parse_cryptoportfolio()
 534             cls.store_cryptoportfolio()
 535         except (JSONDecodeError, SimpleJSONDecodeError):
 536             cls.data.set(None)
 537             cls.last_date.set(None)
 538             cls.liquidities.set({})
 539
 540     @classmethod
 541     def store_cryptoportfolio(cls):
 542         if dbs.redis_connected():
 543             hash_ = {}
 544             for liquidity, repartitions in cls.liquidities.items():
 545                 hash_[liquidity] = repartitions[cls.last_date.get()]
 546             dump = json.dumps(hash_)
 547             key = "/cryptoportfolio/repartition/latest"
 548             dbs.redis.set(key, dump)
 549             key = "/cryptoportfolio/repartition/date"
 550             dbs.redis.set(key, cls.last_date.date().isoformat())
 551
 552     @classmethod
 553     def parse_cryptoportfolio(cls):
 554         def filter_weights(weight_hash):
 555             if weight_hash[1][0] == 0:
 556                 return False
 557             if weight_hash[0] == "_row":
 558                 return False
 559             return True
 560
 561         def clean_weights(i):
 562             def clean_weights_(h):
 563                 if h[0].endswith("s"):
 564                     return [h[0][0:-1], (h[1][i], "short")]
 565                 else:
 566                     return [h[0], (h[1][i], "long")]
 567             return clean_weights_
 568
 569         def parse_weights(portfolio_hash):
 570             if "weights" not in portfolio_hash:
 571                 return {}
 572             weights_hash = portfolio_hash["weights"]
 573             weights = {}
 574             for i in range(len(weights_hash["_row"])):
 575                 date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
 576                 weights[date] = dict(filter(
 577                         filter_weights,
 578                         map(clean_weights(i), weights_hash.items())))
 579             return weights
 580
 581         high_liquidity = parse_weights(cls.data.get("portfolio_1"))
 582         medium_liquidity = parse_weights(cls.data.get("portfolio_2"))
 583
 584         cls.liquidities.set({
 585             "medium": medium_liquidity,
 586             "high":   high_liquidity,
 587             })
 588         cls.last_date.set(max(
 589             max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)),
 590             max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1))
 591             ))
 592