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