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