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                 "response": None,
 215                 "response_same_as": self.last_http["date"]
 216                 })
 217         else:
 218             self.last_http = self.add_log({
 219                 "type": "http_request",
 220                 "method": method,
 221                 "url": url,
 222                 "body": body,
 223                 "headers": headers,
 224                 "status": response.status_code,
 225                 "response": response.text,
 226                 "response_same_as": None,
 227                 })
 228
 229     def log_error(self, action, message=None, exception=None):
 230         self.print_log("[Error] {}".format(action))
 231         if exception is not None:
 232             self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
 233         if message is not None:
 234             self.print_log("\t{}".format(message))
 235
 236         self.add_log({
 237             "type": "error",
 238             "action": action,
 239             "exception_class": exception.__class__.__name__ if exception is not None else None,
 240             "exception_message": str(exception) if exception is not None else None,
 241             "message": message,
 242             })
 243
 244     def log_debug_action(self, action):
 245         self.print_log("[Debug] {}".format(action))
 246
 247         self.add_log({
 248             "type": "debug_action",
 249             "action": action,
 250             })
 251
 252     def log_market(self, args):
 253         self.add_log({
 254             "type": "market",
 255             "commit": "$Format:%H$",
 256             "args": vars(args),
 257             })
 258
 259 class BalanceStore:
 260     def __init__(self, market):
 261         self.market = market
 262         self.all = {}
 263
 264     def currencies(self):
 265         return self.all.keys()
 266
 267     def in_currency(self, other_currency, compute_value="average", type="total"):
 268         amounts = {}
 269         for currency, balance in self.all.items():
 270             other_currency_amount = getattr(balance, type)\
 271                     .in_currency(other_currency, self.market, compute_value=compute_value)
 272             amounts[currency] = other_currency_amount
 273         self.market.report.log_tickers(amounts, other_currency,
 274                 compute_value, type)
 275         return amounts
 276
 277     def fetch_balances(self, tag=None):
 278         all_balances = self.market.ccxt.fetch_all_balances()
 279         for currency, balance in all_balances.items():
 280             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
 281                     currency in self.all:
 282                 self.all[currency] = portfolio.Balance(currency, balance)
 283         self.market.report.log_balances(tag=tag)
 284
 285     def dispatch_assets(self, amount, liquidity="medium", repartition=None):
 286         if repartition is None:
 287             repartition = Portfolio.repartition(liquidity=liquidity)
 288         sum_ratio = sum([v[0] for k, v in repartition.items()])
 289         amounts = {}
 290         for currency, (ptt, trade_type) in repartition.items():
 291             amounts[currency] = ptt * amount / sum_ratio
 292             if trade_type == "short":
 293                 amounts[currency] = - amounts[currency]
 294             self.all.setdefault(currency, portfolio.Balance(currency, {}))
 295         self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
 296         return amounts
 297
 298     def as_json(self):
 299         return { k: v.as_json() for k, v in self.all.items() }
 300
 301 class TradeStore:
 302     def __init__(self, market):
 303         self.market = market
 304         self.all = []
 305
 306     @property
 307     def pending(self):
 308         return list(filter(lambda t: t.pending, self.all))
 309
 310     def compute_trades(self, values_in_base, new_repartition, only=None):
 311         computed_trades = []
 312         base_currency = sum(values_in_base.values()).currency
 313         for currency in self.market.balances.currencies():
 314             if currency == base_currency:
 315                 continue
 316             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
 317             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 318
 319             if value_from.value * value_to.value < 0:
 320                 computed_trades.append(self.trade_if_matching(
 321                         value_from, portfolio.Amount(base_currency, 0),
 322                         currency, only=only))
 323                 computed_trades.append(self.trade_if_matching(
 324                         portfolio.Amount(base_currency, 0), value_to,
 325                         currency, only=only))
 326             else:
 327                 computed_trades.append(self.trade_if_matching(
 328                         value_from, value_to,
 329                         currency, only=only))
 330         for matching, trade in computed_trades:
 331             if matching:
 332                 self.all.append(trade)
 333         self.market.report.log_trades(computed_trades, only)
 334
 335     def trade_if_matching(self, value_from, value_to, currency,
 336             only=None):
 337         trade = portfolio.Trade(value_from, value_to, currency,
 338                 self.market)
 339         matching = only is None or trade.action == only
 340         return [matching, trade]
 341
 342     def prepare_orders(self, only=None, compute_value="default"):
 343         orders = []
 344         for trade in self.pending:
 345             if only is None or trade.action == only:
 346                 orders.append(trade.prepare_order(compute_value=compute_value))
 347         self.market.report.log_orders(orders, only, compute_value)
 348
 349     def close_trades(self):
 350         for trade in self.all:
 351             trade.close()
 352
 353     def print_all_with_order(self, ind=""):
 354         for trade in self.all:
 355             trade.print_with_order(ind=ind)
 356
 357     def run_orders(self):
 358         orders = self.all_orders(state="pending")
 359         for order in orders:
 360             order.run()
 361         self.market.report.log_stage("run_orders")
 362         self.market.report.log_orders(orders)
 363
 364     def all_orders(self, state=None):
 365         all_orders = sum(map(lambda v: v.orders, self.all), [])
 366         if state is None:
 367             return all_orders
 368         else:
 369             return list(filter(lambda o: o.status == state, all_orders))
 370
 371     def update_all_orders_status(self):
 372         for order in self.all_orders(state="open"):
 373             order.get_status()
 374
 375 class NoopLock:
 376     def __enter__(self, *args):
 377         pass
 378     def __exit__(self, *args):
 379         pass
 380
 381 class LockedVar:
 382     def __init__(self, value):
 383         self.lock = NoopLock()
 384         self.val = value
 385
 386     def start_lock(self):
 387         import threading
 388         self.lock = threading.Lock()
 389
 390     def set(self, value):
 391         with self.lock:
 392             self.val = value
 393
 394     def get(self, key=None):
 395         with self.lock:
 396             if key is not None and isinstance(self.val, dict):
 397                 return self.val.get(key)
 398             else:
 399                 return self.val
 400
 401     def __getattr__(self, key):
 402         with self.lock:
 403             return getattr(self.val, key)
 404
 405 class Portfolio:
 406     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
 407     data = LockedVar(None)
 408     liquidities = LockedVar({})
 409     last_date = LockedVar(None)
 410     report = LockedVar(ReportStore(None, no_http_dup=True))
 411     worker = None
 412     worker_started = False
 413     worker_notify = None
 414     callback = None
 415
 416     @classmethod
 417     def start_worker(cls, poll=30):
 418         import threading
 419
 420         cls.worker = threading.Thread(name="portfolio", daemon=True,
 421                 target=cls.wait_for_notification, kwargs={"poll": poll})
 422         cls.worker_notify = threading.Event()
 423         cls.callback = threading.Event()
 424
 425         cls.last_date.start_lock()
 426         cls.liquidities.start_lock()
 427         cls.report.start_lock()
 428
 429         cls.worker_started = True
 430         cls.worker.start()
 431
 432     @classmethod
 433     def is_worker_thread(cls):
 434         if cls.worker is None:
 435             return False
 436         else:
 437             import threading
 438             return cls.worker == threading.current_thread()
 439
 440     @classmethod
 441     def wait_for_notification(cls, poll=30):
 442         if not cls.is_worker_thread():
 443             raise RuntimeError("This method needs to be ran with the worker")
 444         while cls.worker_started:
 445             cls.worker_notify.wait()
 446             if cls.worker_started:
 447                 cls.worker_notify.clear()
 448                 cls.report.print_log("Fetching cryptoportfolio")
 449                 cls.get_cryptoportfolio(refetch=True)
 450                 cls.callback.set()
 451                 time.sleep(poll)
 452
 453     @classmethod
 454     def stop_worker(cls):
 455         cls.worker_started = False
 456         cls.worker_notify.set()
 457
 458     @classmethod
 459     def notify_and_wait(cls):
 460         cls.callback.clear()
 461         cls.worker_notify.set()
 462         cls.callback.wait()
 463
 464     @classmethod
 465     def wait_for_recent(cls, delta=4, poll=30):
 466         cls.get_cryptoportfolio()
 467         while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta):
 468             if cls.worker is None:
 469                 time.sleep(poll)
 470                 cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
 471             cls.get_cryptoportfolio(refetch=True)
 472
 473     @classmethod
 474     def repartition(cls, liquidity="medium"):
 475         cls.get_cryptoportfolio()
 476         liquidities = cls.liquidities.get(liquidity)
 477         return liquidities[cls.last_date.get()]
 478
 479     @classmethod
 480     def get_cryptoportfolio(cls, refetch=False):
 481         if cls.data.get() is not None and not refetch:
 482             return
 483         if cls.worker is not None and not cls.is_worker_thread():
 484             cls.notify_and_wait()
 485             return
 486         try:
 487             r = requests.get(cls.URL)
 488             cls.report.log_http_request(r.request.method,
 489                     r.request.url, r.request.body, r.request.headers, r)
 490         except Exception as e:
 491             cls.report.log_error("get_cryptoportfolio", exception=e)
 492             return
 493         try:
 494             cls.data.set(r.json(parse_int=D, parse_float=D))
 495             cls.parse_cryptoportfolio()
 496         except (JSONDecodeError, SimpleJSONDecodeError):
 497             cls.data.set(None)
 498             cls.last_date.set(None)
 499             cls.liquidities.set({})
 500
 501     @classmethod
 502     def parse_cryptoportfolio(cls):
 503         def filter_weights(weight_hash):
 504             if weight_hash[1][0] == 0:
 505                 return False
 506             if weight_hash[0] == "_row":
 507                 return False
 508             return True
 509
 510         def clean_weights(i):
 511             def clean_weights_(h):
 512                 if h[0].endswith("s"):
 513                     return [h[0][0:-1], (h[1][i], "short")]
 514                 else:
 515                     return [h[0], (h[1][i], "long")]
 516             return clean_weights_
 517
 518         def parse_weights(portfolio_hash):
 519             if "weights" not in portfolio_hash:
 520                 return {}
 521             weights_hash = portfolio_hash["weights"]
 522             weights = {}
 523             for i in range(len(weights_hash["_row"])):
 524                 date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
 525                 weights[date] = dict(filter(
 526                         filter_weights,
 527                         map(clean_weights(i), weights_hash.items())))
 528             return weights
 529
 530         high_liquidity = parse_weights(cls.data.get("portfolio_1"))
 531         medium_liquidity = parse_weights(cls.data.get("portfolio_2"))
 532
 533         cls.liquidities.set({
 534             "medium": medium_liquidity,
 535             "high":   high_liquidity,
 536             })
 537         cls.last_date.set(max(
 538             max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)),
 539             max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1))
 540             ))
 541