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