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, checkpoint=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                 "checkpoint": checkpoint,
 112                 "balances": self.market.balances.as_json()
 113                 }
 114
 115         if tickers is not None:
 116             log["tickers"] = self._ticker_hash(tickers, ticker_currency,
 117                     compute_value, type)
 118
 119         self.add_log(log.copy())
 120         self.add_redis_status(log)
 121
 122     def log_tickers(self, amounts, other_currency,
 123             compute_value, type):
 124         log = self._ticker_hash(amounts, other_currency, compute_value,
 125                 type)
 126         log["type"] = "tickers"
 127
 128         self.add_log(log)
 129
 130     def _ticker_hash(self, amounts, other_currency, compute_value, type):
 131         values = {}
 132         rates = {}
 133         if callable(compute_value):
 134             compute_value = inspect.getsource(compute_value).strip()
 135
 136         for currency, amount in amounts.items():
 137             values[currency] = amount.as_json()["value"]
 138             rates[currency] = amount.rate
 139         return {
 140                 "compute_value": compute_value,
 141                 "balance_type": type,
 142                 "currency": other_currency,
 143                 "balances": values,
 144                 "rates": rates,
 145                 "total": sum(amounts.values()).as_json()["value"]
 146                 }
 147
 148     def log_dispatch(self, amount, amounts, liquidity, repartition):
 149         self.add_log({
 150             "type": "dispatch",
 151             "liquidity": liquidity,
 152             "repartition_ratio": repartition,
 153             "total_amount": amount.as_json(),
 154             "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
 155             })
 156
 157     def log_trades(self, matching_and_trades, only):
 158         trades = []
 159         for matching, trade in matching_and_trades:
 160             trade_json = trade.as_json()
 161             trade_json["skipped"] = not matching
 162             trades.append(trade_json)
 163
 164         self.add_log({
 165             "type": "trades",
 166             "only": only,
 167             "debug": self.market.debug,
 168             "trades": trades
 169             })
 170
 171     def log_orders(self, orders, tick=None, only=None, compute_value=None):
 172         if callable(compute_value):
 173             compute_value = inspect.getsource(compute_value).strip()
 174         self.print_log("[Orders]")
 175         self.market.trades.print_all_with_order(ind="\t")
 176         self.add_log({
 177             "type": "orders",
 178             "only": only,
 179             "compute_value": compute_value,
 180             "tick": tick,
 181             "orders": [order.as_json() for order in orders if order is not None]
 182             })
 183
 184     def log_order(self, order, tick, finished=False, update=None,
 185             new_order=None, compute_value=None):
 186         if callable(compute_value):
 187             compute_value = inspect.getsource(compute_value).strip()
 188         if finished:
 189             self.print_log("[Order] Finished {}".format(order))
 190         elif update == "waiting":
 191             self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
 192         elif update == "adjusting":
 193             self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
 194         elif update == "market_fallback":
 195             self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
 196         elif update == "market_adjust":
 197             self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
 198
 199         self.add_log({
 200             "type": "order",
 201             "tick": tick,
 202             "update": update,
 203             "order": order.as_json(),
 204             "compute_value": compute_value,
 205             "new_order": new_order.as_json() if new_order is not None else None
 206             })
 207
 208     def log_move_balances(self, needed, moving):
 209         self.add_log({
 210             "type": "move_balances",
 211             "debug": self.market.debug,
 212             "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
 213             "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
 214             })
 215
 216     def log_http_request(self, method, url, body, headers, response):
 217         if isinstance(response, Exception):
 218             self.add_log({
 219                 "type": "http_request",
 220                 "method": method,
 221                 "url": url,
 222                 "body": body,
 223                 "headers": headers,
 224                 "status": -1,
 225                 "response": None,
 226                 "error": response.__class__.__name__,
 227                 "error_message": str(response),
 228                 })
 229             self.last_http = None
 230         elif self.no_http_dup and \
 231                 self.last_http is not None and \
 232                 self.last_http["url"] == url and \
 233                 self.last_http["method"] == method and \
 234                 self.last_http["response"] == response.text:
 235             self.add_log({
 236                 "type": "http_request",
 237                 "method": method,
 238                 "url": url,
 239                 "body": body,
 240                 "headers": headers,
 241                 "status": response.status_code,
 242                 "duration": response.elapsed.total_seconds(),
 243                 "response": None,
 244                 "response_same_as": self.last_http["date"]
 245                 })
 246         else:
 247             self.last_http = self.add_log({
 248                 "type": "http_request",
 249                 "method": method,
 250                 "url": url,
 251                 "body": body,
 252                 "headers": headers,
 253                 "status": response.status_code,
 254                 "duration": response.elapsed.total_seconds(),
 255                 "response": response.text,
 256                 "response_same_as": None,
 257                 })
 258
 259     def log_error(self, action, message=None, exception=None):
 260         self.print_log("[Error] {}".format(action))
 261         if exception is not None:
 262             self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
 263         if message is not None:
 264             self.print_log("\t{}".format(message))
 265
 266         self.add_log({
 267             "type": "error",
 268             "action": action,
 269             "exception_class": exception.__class__.__name__ if exception is not None else None,
 270             "exception_message": str(exception) if exception is not None else None,
 271             "message": message,
 272             })
 273
 274     def log_debug_action(self, action):
 275         self.print_log("[Debug] {}".format(action))
 276
 277         self.add_log({
 278             "type": "debug_action",
 279             "action": action,
 280             })
 281
 282     def log_market(self, args):
 283         self.add_log({
 284             "type": "market",
 285             "commit": "$Format:%H$",
 286             "args": vars(args),
 287             })
 288
 289 class BalanceStore:
 290     def __init__(self, market):
 291         self.market = market
 292         self.all = {}
 293
 294     def currencies(self):
 295         return self.all.keys()
 296
 297     def in_currency(self, other_currency, compute_value="average", type="total"):
 298         amounts = {}
 299         for currency, balance in self.all.items():
 300             other_currency_amount = getattr(balance, type)\
 301                     .in_currency(other_currency, self.market, compute_value=compute_value)
 302             amounts[currency] = other_currency_amount
 303         self.market.report.log_tickers(amounts, other_currency,
 304                 compute_value, type)
 305         return amounts
 306
 307     def fetch_balances(self, tag=None, add_portfolio=False,
 308             checkpoint=None, log_tickers=False,
 309             ticker_currency="BTC", ticker_compute_value="average", ticker_type="total"):
 310         all_balances = self.market.ccxt.fetch_all_balances()
 311         for currency, balance in all_balances.items():
 312             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
 313                     currency in self.all:
 314                 self.all[currency] = portfolio.Balance(currency, balance)
 315         if add_portfolio:
 316             for currency in Portfolio.repartition(from_cache=True):
 317                 self.all.setdefault(currency, portfolio.Balance(currency, {}))
 318         if log_tickers:
 319             tickers = self.in_currency(ticker_currency, compute_value=ticker_compute_value, type=ticker_type)
 320             self.market.report.log_balances(tag=tag, checkpoint=checkpoint,
 321                     tickers=tickers, ticker_currency=ticker_currency,
 322                     compute_value=ticker_compute_value, type=ticker_type)
 323         else:
 324             self.market.report.log_balances(tag=tag, checkpoint=checkpoint)
 325
 326     def dispatch_assets(self, amount, liquidity="medium", repartition=None):
 327         if repartition is None:
 328             repartition = Portfolio.repartition(liquidity=liquidity)
 329         sum_ratio = sum([v[0] for k, v in repartition.items()])
 330         amounts = {}
 331         for currency, (ptt, trade_type) in repartition.items():
 332             amounts[currency] = ptt * amount / sum_ratio
 333             if trade_type == "short":
 334                 amounts[currency] = - amounts[currency]
 335             self.all.setdefault(currency, portfolio.Balance(currency, {}))
 336         self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
 337         return amounts
 338
 339     def as_json(self):
 340         return { k: v.as_json() for k, v in self.all.items() }
 341
 342 class TradeStore:
 343     def __init__(self, market):
 344         self.market = market
 345         self.all = []
 346
 347     @property
 348     def pending(self):
 349         return list(filter(lambda t: t.pending, self.all))
 350
 351     def compute_trades(self, values_in_base, new_repartition, only=None):
 352         computed_trades = []
 353         base_currency = sum(values_in_base.values()).currency
 354         for currency in self.market.balances.currencies():
 355             if currency == base_currency:
 356                 continue
 357             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
 358             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 359
 360             if value_from.value * value_to.value < 0:
 361                 computed_trades.append(self.trade_if_matching(
 362                         value_from, portfolio.Amount(base_currency, 0),
 363                         currency, only=only))
 364                 computed_trades.append(self.trade_if_matching(
 365                         portfolio.Amount(base_currency, 0), value_to,
 366                         currency, only=only))
 367             else:
 368                 computed_trades.append(self.trade_if_matching(
 369                         value_from, value_to,
 370                         currency, only=only))
 371         for matching, trade in computed_trades:
 372             if matching:
 373                 self.all.append(trade)
 374         self.market.report.log_trades(computed_trades, only)
 375
 376     def trade_if_matching(self, value_from, value_to, currency,
 377             only=None):
 378         trade = portfolio.Trade(value_from, value_to, currency,
 379                 self.market)
 380         matching = only is None or trade.action == only
 381         return [matching, trade]
 382
 383     def prepare_orders(self, only=None, compute_value="default"):
 384         orders = []
 385         for trade in self.pending:
 386             if only is None or trade.action == only:
 387                 orders.append(trade.prepare_order(compute_value=compute_value))
 388         self.market.report.log_orders(orders, only, compute_value)
 389
 390     def close_trades(self):
 391         for trade in self.all:
 392             trade.close()
 393
 394     def print_all_with_order(self, ind=""):
 395         for trade in self.all:
 396             trade.print_with_order(ind=ind)
 397
 398     def run_orders(self):
 399         orders = self.all_orders(state="pending")
 400         for order in orders:
 401             order.run()
 402         self.market.report.log_stage("run_orders")
 403         self.market.report.log_orders(orders)
 404
 405     def all_orders(self, state=None):
 406         all_orders = sum(map(lambda v: v.orders, self.all), [])
 407         if state is None:
 408             return all_orders
 409         else:
 410             return list(filter(lambda o: o.status == state, all_orders))
 411
 412     def update_all_orders_status(self):
 413         for order in self.all_orders(state="open"):
 414             order.get_status()
 415
 416 class NoopLock:
 417     def __enter__(self, *args):
 418         pass
 419     def __exit__(self, *args):
 420         pass
 421
 422 class LockedVar:
 423     def __init__(self, value):
 424         self.lock = NoopLock()
 425         self.val = value
 426
 427     def start_lock(self):
 428         import threading
 429         self.lock = threading.Lock()
 430
 431     def set(self, value):
 432         with self.lock:
 433             self.val = value
 434
 435     def get(self, key=None):
 436         with self.lock:
 437             if key is not None and isinstance(self.val, dict):
 438                 return self.val.get(key)
 439             else:
 440                 return self.val
 441
 442     def __getattr__(self, key):
 443         with self.lock:
 444             return getattr(self.val, key)
 445
 446 class Portfolio:
 447     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
 448     data = LockedVar(None)
 449     liquidities = LockedVar({})
 450     last_date = LockedVar(None)
 451     report = LockedVar(ReportStore(None, no_http_dup=True))
 452     worker = None
 453     worker_tag = ""
 454     worker_started = False
 455     worker_notify = None
 456     callback = None
 457
 458     @classmethod
 459     def start_worker(cls, poll=30):
 460         import threading
 461
 462         cls.worker = threading.Thread(name="portfolio", daemon=True,
 463                 target=cls.wait_for_notification, kwargs={"poll": poll})
 464         cls.worker_notify = threading.Event()
 465         cls.callback = threading.Event()
 466
 467         cls.last_date.start_lock()
 468         cls.liquidities.start_lock()
 469         cls.report.start_lock()
 470
 471         cls.worker_tag = "[Worker] "
 472         cls.worker_started = True
 473         cls.worker.start()
 474
 475     @classmethod
 476     def is_worker_thread(cls):
 477         if cls.worker is None:
 478             return False
 479         else:
 480             import threading
 481             return cls.worker == threading.current_thread()
 482
 483     @classmethod
 484     def wait_for_notification(cls, poll=30):
 485         if not cls.is_worker_thread():
 486             raise RuntimeError("This method needs to be ran with the worker")
 487         while cls.worker_started:
 488             cls.worker_notify.wait()
 489             if cls.worker_started:
 490                 cls.worker_notify.clear()
 491                 cls.report.print_log("[Worker] Fetching cryptoportfolio")
 492                 cls.get_cryptoportfolio(refetch=True)
 493                 cls.callback.set()
 494                 time.sleep(poll)
 495
 496     @classmethod
 497     def stop_worker(cls):
 498         cls.worker_started = False
 499         cls.worker_notify.set()
 500
 501     @classmethod
 502     def notify_and_wait(cls):
 503         cls.callback.clear()
 504         cls.worker_notify.set()
 505         cls.callback.wait()
 506
 507     @classmethod
 508     def wait_for_recent(cls, delta=4, poll=30):
 509         cls.get_cryptoportfolio()
 510         while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta):
 511             if cls.worker is None:
 512                 time.sleep(poll)
 513                 cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
 514             cls.get_cryptoportfolio(refetch=True)
 515
 516     @classmethod
 517     def repartition(cls, liquidity="medium", from_cache=False):
 518         if from_cache:
 519             cls.retrieve_cryptoportfolio()
 520         cls.get_cryptoportfolio()
 521         liquidities = cls.liquidities.get(liquidity)
 522         return liquidities[cls.last_date.get()]
 523
 524     @classmethod
 525     def get_cryptoportfolio(cls, refetch=False):
 526         if cls.data.get() is not None and not refetch:
 527             return
 528         if cls.worker is not None and not cls.is_worker_thread():
 529             cls.notify_and_wait()
 530             return
 531         try:
 532             r = requests.get(cls.URL)
 533             cls.report.log_http_request(r.request.method,
 534                     r.request.url, r.request.body, r.request.headers, r)
 535         except Exception as e:
 536             cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e)
 537             return
 538         try:
 539             cls.data.set(r.json(parse_int=D, parse_float=D))
 540             cls.parse_cryptoportfolio()
 541             cls.store_cryptoportfolio()
 542         except (JSONDecodeError, SimpleJSONDecodeError):
 543             cls.data.set(None)
 544             cls.last_date.set(None)
 545             cls.liquidities.set({})
 546
 547     @classmethod
 548     def retrieve_cryptoportfolio(cls):
 549         if dbs.redis_connected():
 550             repartition = dbs.redis.get("/cryptoportfolio/repartition/latest")
 551             date = dbs.redis.get("/cryptoportfolio/repartition/date")
 552             if date is not None and repartition is not None:
 553                 date = datetime.datetime.strptime(date.decode(), "%Y-%m-%d")
 554                 repartition = json.loads(repartition, parse_int=D, parse_float=D)
 555                 repartition = { k: { date: v } for k, v in repartition.items() }
 556
 557                 cls.data.set("")
 558                 cls.last_date.set(date)
 559                 cls.liquidities.set(repartition)
 560
 561     @classmethod
 562     def store_cryptoportfolio(cls):
 563         if dbs.redis_connected():
 564             hash_ = {}
 565             for liquidity, repartitions in cls.liquidities.items():
 566                 hash_[liquidity] = repartitions[cls.last_date.get()]
 567             dump = json.dumps(hash_)
 568             key = "/cryptoportfolio/repartition/latest"
 569             dbs.redis.set(key, dump)
 570             key = "/cryptoportfolio/repartition/date"
 571             dbs.redis.set(key, cls.last_date.date().isoformat())
 572
 573     @classmethod
 574     def parse_cryptoportfolio(cls):
 575         def filter_weights(weight_hash):
 576             if weight_hash[1][0] == 0:
 577                 return False
 578             if weight_hash[0] == "_row":
 579                 return False
 580             return True
 581
 582         def clean_weights(i):
 583             def clean_weights_(h):
 584                 if h[0].endswith("s"):
 585                     return [h[0][0:-1], (h[1][i], "short")]
 586                 else:
 587                     return [h[0], (h[1][i], "long")]
 588             return clean_weights_
 589
 590         def parse_weights(portfolio_hash):
 591             if "weights" not in portfolio_hash:
 592                 return {}
 593             weights_hash = portfolio_hash["weights"]
 594             weights = {}
 595             for i in range(len(weights_hash["_row"])):
 596                 date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
 597                 weights[date] = dict(filter(
 598                         filter_weights,
 599                         map(clean_weights(i), weights_hash.items())))
 600             return weights
 601
 602         high_liquidity = parse_weights(cls.data.get("portfolio_1"))
 603         medium_liquidity = parse_weights(cls.data.get("portfolio_2"))
 604
 605         cls.liquidities.set({
 606             "medium": medium_liquidity,
 607             "high":   high_liquidity,
 608             })
 609         cls.last_date.set(max(
 610             max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)),
 611             max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1))
 612             ))
 613