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 merge(self, other_report):
  21         self.logs += other_report.logs
  22         self.logs.sort(key=lambda x: x["date"])
  23
  24     def print_log(self, message):
  25         message = str(message)
  26         if self.verbose_print:
  27             print(message)
  28
  29     def add_log(self, hash_):
  30         hash_["date"] = datetime.now()
  31         self.logs.append(hash_)
  32
  33     def to_json(self):
  34         def default_json_serial(obj):
  35             if isinstance(obj, (datetime, date)):
  36                 return obj.isoformat()
  37             return str(obj)
  38         return json.dumps(self.logs, default=default_json_serial, indent="  ")
  39
  40     def set_verbose(self, verbose_print):
  41         self.verbose_print = verbose_print
  42
  43     def log_stage(self, stage, **kwargs):
  44         def as_json(element):
  45             if callable(element):
  46                 return inspect.getsource(element).strip()
  47             elif hasattr(element, "as_json"):
  48                 return element.as_json()
  49             else:
  50                 return element
  51
  52         args = { k: as_json(v) for k, v in kwargs.items() }
  53         args_str = ["{}={}".format(k, v) for k, v in args.items()]
  54         self.print_log("-" * (len(stage) + 8))
  55         self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str)))
  56
  57         self.add_log({
  58             "type": "stage",
  59             "stage": stage,
  60             "args": args,
  61             })
  62
  63     def log_balances(self, tag=None):
  64         self.print_log("[Balance]")
  65         for currency, balance in self.market.balances.all.items():
  66             self.print_log("\t{}".format(balance))
  67
  68         self.add_log({
  69             "type": "balance",
  70             "tag": tag,
  71             "balances": self.market.balances.as_json()
  72             })
  73
  74     def log_tickers(self, amounts, other_currency,
  75             compute_value, type):
  76         values = {}
  77         rates = {}
  78         if callable(compute_value):
  79             compute_value = inspect.getsource(compute_value).strip()
  80
  81         for currency, amount in amounts.items():
  82             values[currency] = amount.as_json()["value"]
  83             rates[currency] = amount.rate
  84         self.add_log({
  85             "type": "tickers",
  86             "compute_value": compute_value,
  87             "balance_type": type,
  88             "currency": other_currency,
  89             "balances": values,
  90             "rates": rates,
  91             "total": sum(amounts.values()).as_json()["value"]
  92             })
  93
  94     def log_dispatch(self, amount, amounts, liquidity, repartition):
  95         self.add_log({
  96             "type": "dispatch",
  97             "liquidity": liquidity,
  98             "repartition_ratio": repartition,
  99             "total_amount": amount.as_json(),
 100             "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
 101             })
 102
 103     def log_trades(self, matching_and_trades, only):
 104         trades = []
 105         for matching, trade in matching_and_trades:
 106             trade_json = trade.as_json()
 107             trade_json["skipped"] = not matching
 108             trades.append(trade_json)
 109
 110         self.add_log({
 111             "type": "trades",
 112             "only": only,
 113             "debug": self.market.debug,
 114             "trades": trades
 115             })
 116
 117     def log_orders(self, orders, tick=None, only=None, compute_value=None):
 118         if callable(compute_value):
 119             compute_value = inspect.getsource(compute_value).strip()
 120         self.print_log("[Orders]")
 121         self.market.trades.print_all_with_order(ind="\t")
 122         self.add_log({
 123             "type": "orders",
 124             "only": only,
 125             "compute_value": compute_value,
 126             "tick": tick,
 127             "orders": [order.as_json() for order in orders if order is not None]
 128             })
 129
 130     def log_order(self, order, tick, finished=False, update=None,
 131             new_order=None, compute_value=None):
 132         if callable(compute_value):
 133             compute_value = inspect.getsource(compute_value).strip()
 134         if finished:
 135             self.print_log("[Order] Finished {}".format(order))
 136         elif update == "waiting":
 137             self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
 138         elif update == "adjusting":
 139             self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
 140         elif update == "market_fallback":
 141             self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
 142         elif update == "market_adjust":
 143             self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
 144
 145         self.add_log({
 146             "type": "order",
 147             "tick": tick,
 148             "update": update,
 149             "order": order.as_json(),
 150             "compute_value": compute_value,
 151             "new_order": new_order.as_json() if new_order is not None else None
 152             })
 153
 154     def log_move_balances(self, needed, moving):
 155         self.add_log({
 156             "type": "move_balances",
 157             "debug": self.market.debug,
 158             "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
 159             "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
 160             })
 161
 162     def log_http_request(self, method, url, body, headers, response):
 163         self.add_log({
 164             "type": "http_request",
 165             "method": method,
 166             "url": url,
 167             "body": body,
 168             "headers": headers,
 169             "status": response.status_code,
 170             "response": response.text
 171             })
 172
 173     def log_error(self, action, message=None, exception=None):
 174         self.print_log("[Error] {}".format(action))
 175         if exception is not None:
 176             self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
 177         if message is not None:
 178             self.print_log("\t{}".format(message))
 179
 180         self.add_log({
 181             "type": "error",
 182             "action": action,
 183             "exception_class": exception.__class__.__name__ if exception is not None else None,
 184             "exception_message": str(exception) if exception is not None else None,
 185             "message": message,
 186             })
 187
 188     def log_debug_action(self, action):
 189         self.print_log("[Debug] {}".format(action))
 190
 191         self.add_log({
 192             "type": "debug_action",
 193             "action": action,
 194             })
 195
 196 class BalanceStore:
 197     def __init__(self, market):
 198         self.market = market
 199         self.all = {}
 200
 201     def currencies(self):
 202         return self.all.keys()
 203
 204     def in_currency(self, other_currency, compute_value="average", type="total"):
 205         amounts = {}
 206         for currency, balance in self.all.items():
 207             other_currency_amount = getattr(balance, type)\
 208                     .in_currency(other_currency, self.market, compute_value=compute_value)
 209             amounts[currency] = other_currency_amount
 210         self.market.report.log_tickers(amounts, other_currency,
 211                 compute_value, type)
 212         return amounts
 213
 214     def fetch_balances(self, tag=None):
 215         all_balances = self.market.ccxt.fetch_all_balances()
 216         for currency, balance in all_balances.items():
 217             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
 218                     currency in self.all:
 219                 self.all[currency] = portfolio.Balance(currency, balance)
 220         self.market.report.log_balances(tag=tag)
 221
 222     def dispatch_assets(self, amount, liquidity="medium", repartition=None):
 223         if repartition is None:
 224             repartition = Portfolio.repartition(liquidity=liquidity)
 225         sum_ratio = sum([v[0] for k, v in repartition.items()])
 226         amounts = {}
 227         for currency, (ptt, trade_type) in repartition.items():
 228             amounts[currency] = ptt * amount / sum_ratio
 229             if trade_type == "short":
 230                 amounts[currency] = - amounts[currency]
 231             self.all.setdefault(currency, portfolio.Balance(currency, {}))
 232         self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
 233         return amounts
 234
 235     def as_json(self):
 236         return { k: v.as_json() for k, v in self.all.items() }
 237
 238 class TradeStore:
 239     def __init__(self, market):
 240         self.market = market
 241         self.all = []
 242
 243     @property
 244     def pending(self):
 245         return list(filter(lambda t: t.pending, self.all))
 246
 247     def compute_trades(self, values_in_base, new_repartition, only=None):
 248         computed_trades = []
 249         base_currency = sum(values_in_base.values()).currency
 250         for currency in self.market.balances.currencies():
 251             if currency == base_currency:
 252                 continue
 253             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
 254             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 255
 256             if value_from.value * value_to.value < 0:
 257                 computed_trades.append(self.trade_if_matching(
 258                         value_from, portfolio.Amount(base_currency, 0),
 259                         currency, only=only))
 260                 computed_trades.append(self.trade_if_matching(
 261                         portfolio.Amount(base_currency, 0), value_to,
 262                         currency, only=only))
 263             else:
 264                 computed_trades.append(self.trade_if_matching(
 265                         value_from, value_to,
 266                         currency, only=only))
 267         for matching, trade in computed_trades:
 268             if matching:
 269                 self.all.append(trade)
 270         self.market.report.log_trades(computed_trades, only)
 271
 272     def trade_if_matching(self, value_from, value_to, currency,
 273             only=None):
 274         trade = portfolio.Trade(value_from, value_to, currency,
 275                 self.market)
 276         matching = only is None or trade.action == only
 277         return [matching, trade]
 278
 279     def prepare_orders(self, only=None, compute_value="default"):
 280         orders = []
 281         for trade in self.pending:
 282             if only is None or trade.action == only:
 283                 orders.append(trade.prepare_order(compute_value=compute_value))
 284         self.market.report.log_orders(orders, only, compute_value)
 285
 286     def close_trades(self):
 287         for trade in self.all:
 288             trade.close()
 289
 290     def print_all_with_order(self, ind=""):
 291         for trade in self.all:
 292             trade.print_with_order(ind=ind)
 293
 294     def run_orders(self):
 295         orders = self.all_orders(state="pending")
 296         for order in orders:
 297             order.run()
 298         self.market.report.log_stage("run_orders")
 299         self.market.report.log_orders(orders)
 300
 301     def all_orders(self, state=None):
 302         all_orders = sum(map(lambda v: v.orders, self.all), [])
 303         if state is None:
 304             return all_orders
 305         else:
 306             return list(filter(lambda o: o.status == state, all_orders))
 307
 308     def update_all_orders_status(self):
 309         for order in self.all_orders(state="open"):
 310             order.get_status()
 311
 312 class Portfolio:
 313     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
 314     liquidities = {}
 315     data = None
 316     last_date = None
 317     report = ReportStore(None)
 318
 319     @classmethod
 320     def wait_for_recent(cls, delta=4):
 321         cls.get_cryptoportfolio()
 322         while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta):
 323             time.sleep(30)
 324             cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
 325             cls.get_cryptoportfolio(refetch=True)
 326
 327     @classmethod
 328     def repartition(cls, liquidity="medium"):
 329         cls.get_cryptoportfolio()
 330         liquidities = cls.liquidities[liquidity]
 331         return liquidities[cls.last_date]
 332
 333     @classmethod
 334     def get_cryptoportfolio(cls, refetch=False):
 335         if cls.data is not None and not refetch:
 336             return
 337         try:
 338             r = requests.get(cls.URL)
 339             cls.report.log_http_request(r.request.method,
 340                     r.request.url, r.request.body, r.request.headers, r)
 341         except Exception as e:
 342             cls.report.log_error("get_cryptoportfolio", exception=e)
 343             return
 344         try:
 345             cls.data = r.json(parse_int=D, parse_float=D)
 346             cls.parse_cryptoportfolio()
 347         except (JSONDecodeError, SimpleJSONDecodeError):
 348             cls.data = None
 349             cls.liquidities = {}
 350
 351     @classmethod
 352     def parse_cryptoportfolio(cls):
 353         def filter_weights(weight_hash):
 354             if weight_hash[1][0] == 0:
 355                 return False
 356             if weight_hash[0] == "_row":
 357                 return False
 358             return True
 359
 360         def clean_weights(i):
 361             def clean_weights_(h):
 362                 if h[0].endswith("s"):
 363                     return [h[0][0:-1], (h[1][i], "short")]
 364                 else:
 365                     return [h[0], (h[1][i], "long")]
 366             return clean_weights_
 367
 368         def parse_weights(portfolio_hash):
 369             weights_hash = portfolio_hash["weights"]
 370             weights = {}
 371             for i in range(len(weights_hash["_row"])):
 372                 date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
 373                 weights[date] = dict(filter(
 374                         filter_weights,
 375                         map(clean_weights(i), weights_hash.items())))
 376             return weights
 377
 378         high_liquidity = parse_weights(cls.data["portfolio_1"])
 379         medium_liquidity = parse_weights(cls.data["portfolio_2"])
 380
 381         cls.liquidities = {
 382                 "medium": medium_liquidity,
 383                 "high":   high_liquidity,
 384                 }
 385         cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys()))
 386
 387