from ccxt import ExchangeError import time from decimal import Decimal as D, ROUND_DOWN # Put your poloniex api key in market.py from market import market from json import JSONDecodeError import requests # FIXME: correctly handle web call timeouts class Portfolio: URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" liquidities = {} data = None @classmethod def repartition(cls, liquidity="medium"): cls.parse_cryptoportfolio() liquidities = cls.liquidities[liquidity] cls.last_date = sorted(liquidities.keys())[-1] return liquidities[cls.last_date] @classmethod def get_cryptoportfolio(cls): try: r = requests.get(cls.URL) except Exception: return try: cls.data = r.json(parse_int=D, parse_float=D) except JSONDecodeError: cls.data = None @classmethod def parse_cryptoportfolio(cls): if cls.data is None: cls.get_cryptoportfolio() def filter_weights(weight_hash): if weight_hash[1][0] == 0: return False if weight_hash[0] == "_row": return False return True def clean_weights(i): def clean_weights_(h): if h[0].endswith("s"): return [h[0][0:-1], (h[1][i], "short")] else: return [h[0], (h[1][i], "long")] return clean_weights_ def parse_weights(portfolio_hash): weights_hash = portfolio_hash["weights"] weights = {} for i in range(len(weights_hash["_row"])): weights[weights_hash["_row"][i]] = dict(filter( filter_weights, map(clean_weights(i), weights_hash.items()))) return weights high_liquidity = parse_weights(cls.data["portfolio_1"]) medium_liquidity = parse_weights(cls.data["portfolio_2"]) cls.liquidities = { "medium": medium_liquidity, "high": high_liquidity, } class Amount: def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): self.currency = currency self.value = D(value) self.linked_to = linked_to self.ticker = ticker self.rate = rate def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): if other_currency == self.currency: return self if rate is not None: return Amount( other_currency, self.value * rate, linked_to=self, rate=rate) asset_ticker = Trade.get_ticker(self.currency, other_currency, market) if asset_ticker is not None: rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value) return Amount( other_currency, self.value * rate, linked_to=self, ticker=asset_ticker, rate=rate) else: raise Exception("This asset is not available in the chosen market") def __round__(self, n=8): return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) def __abs__(self): return Amount(self.currency, abs(self.value)) def __add__(self, other): if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") return Amount(self.currency, self.value + other.value) def __radd__(self, other): if other == 0: return self else: return self.__add__(other) def __sub__(self, other): if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") return Amount(self.currency, self.value - other.value) def __mul__(self, value): if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be multiplied by numbers") return Amount(self.currency, self.value * value) def __rmul__(self, value): return self.__mul__(value) def __floordiv__(self, value): if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be multiplied by integers") return Amount(self.currency, self.value / value) def __truediv__(self, value): return self.__floordiv__(value) def __lt__(self, other): if other == 0: return self.value < 0 if self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") return self.value < other.value def __le__(self, other): return self == other or self < other def __gt__(self, other): return not self <= other def __ge__(self, other): return not self < other def __eq__(self, other): if other == 0: return self.value == 0 if self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") return self.value == other.value def __ne__(self, other): return not self == other def __neg__(self): return Amount(self.currency, - self.value) def __str__(self): if self.linked_to is None: return "{:.8f} {}".format(self.value, self.currency) else: return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) def __repr__(self): if self.linked_to is None: return "Amount({:.8f} {})".format(self.value, self.currency) else: return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) class Balance: known_balances = {} def __init__(self, currency, hash_): self.currency = currency for key in ["total", "exchange_total", "exchange_used", "exchange_free", "margin_total", "margin_borrowed", "margin_free"]: setattr(self, key, Amount(currency, hash_.get(key, 0))) self.margin_position_type = hash_.get("margin_position_type") if hash_.get("margin_borrowed_base_currency") is not None: base_currency = hash_["margin_borrowed_base_currency"] for key in [ "margin_liquidation_price", "margin_pending_gain", "margin_lending_fees", "margin_borrowed_base_price" ]: setattr(self, key, Amount(base_currency, hash_[key])) @classmethod def in_currency(cls, other_currency, market, compute_value="average", type="total"): amounts = {} for currency in cls.known_balances: balance = cls.known_balances[currency] other_currency_amount = getattr(balance, type)\ .in_currency(other_currency, market, compute_value=compute_value) amounts[currency] = other_currency_amount return amounts @classmethod def currencies(cls): return cls.known_balances.keys() @classmethod def fetch_balances(cls, market): all_balances = market.fetch_all_balances() for currency, balance in all_balances.items(): if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \ currency in cls.known_balances: cls.known_balances[currency] = cls(currency, balance) return cls.known_balances @classmethod def dispatch_assets(cls, amount, repartition=None): if repartition is None: repartition = Portfolio.repartition() sum_ratio = sum([v[0] for k, v in repartition.items()]) amounts = {} for currency, (ptt, trade_type) in repartition.items(): amounts[currency] = ptt * amount / sum_ratio if trade_type == "short": amounts[currency] = - amounts[currency] if currency not in cls.known_balances: cls.known_balances[currency] = cls(currency, {}) return amounts @classmethod def prepare_trades(cls, market, base_currency="BTC", compute_value="average", debug=False): cls.fetch_balances(market) values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) total_base_value = sum(values_in_base.values()) new_repartition = cls.dispatch_assets(total_base_value) # Recompute it in case we have new currencies values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug) @classmethod def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None, debug=False): cls.fetch_balances(market) values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) total_base_value = sum(values_in_base.values()) new_repartition = cls.dispatch_assets(total_base_value) Trade.compute_trades(values_in_base, new_repartition, only=only, market=market, debug=debug) @classmethod def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average", debug=False): cls.fetch_balances(market) values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) total_base_value = sum(values_in_base.values()) new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") }) Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug) def __repr__(self): if self.exchange_total > 0: if self.exchange_free > 0 and self.exchange_used > 0: exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) elif self.exchange_free > 0: exchange = " Exch: [✔{}]".format(str(self.exchange_free)) else: exchange = " Exch: [❌{}]".format(str(self.exchange_used)) else: exchange = "" if self.margin_total > 0: if self.margin_free != 0 and self.margin_borrowed != 0: margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total)) elif self.margin_free != 0: margin = " Margin: [✔{}]".format(str(self.margin_free)) else: margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed)) elif self.margin_total < 0: margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), str(self.margin_borrowed_base_price), str(self.margin_lending_fees)) else: margin = "" if self.margin_total != 0 and self.exchange_total != 0: total = " Total: [{}]".format(str(self.total)) else: total = "" return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" class Computation: computations = { "default": lambda x, y: x[y], "average": lambda x, y: x["average"], "bid": lambda x, y: x["bid"], "ask": lambda x, y: x["ask"], } class Trade: debug = False trades = [] def __init__(self, value_from, value_to, currency, market=None): # We have value_from of currency, and want to finish with value_to of # that currency. value_* may not be in currency's terms self.currency = currency self.value_from = value_from self.value_to = value_to self.orders = [] self.market = market assert self.value_from.currency == self.value_to.currency if self.value_from != 0: assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency elif self.value_from.linked_to is None: self.value_from.linked_to = Amount(self.currency, 0) self.base_currency = self.value_from.currency fees_cache = {} @classmethod def fetch_fees(cls, market): if market.__class__ not in cls.fees_cache: cls.fees_cache[market.__class__] = market.fetch_fees() return cls.fees_cache[market.__class__] ticker_cache = {} ticker_cache_timestamp = time.time() @classmethod def get_ticker(cls, c1, c2, market, refresh=False): def invert(ticker): return { "inverted": True, "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, "original": ticker, } def augment_ticker(ticker): ticker.update({ "inverted": False, "average": (ticker["bid"] + ticker["ask"] ) / 2, }) if time.time() - cls.ticker_cache_timestamp > 5: cls.ticker_cache = {} cls.ticker_cache_timestamp = time.time() elif not refresh: if (c1, c2, market.__class__) in cls.ticker_cache: return cls.ticker_cache[(c1, c2, market.__class__)] if (c2, c1, market.__class__) in cls.ticker_cache: return invert(cls.ticker_cache[(c2, c1, market.__class__)]) try: cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) except ExchangeError: try: cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)]) except ExchangeError: cls.ticker_cache[(c1, c2, market.__class__)] = None return cls.get_ticker(c1, c2, market) @classmethod def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False): cls.debug = cls.debug or debug base_currency = sum(values_in_base.values()).currency for currency in Balance.currencies(): if currency == base_currency: continue value_from = values_in_base.get(currency, Amount(base_currency, 0)) value_to = new_repartition.get(currency, Amount(base_currency, 0)) if value_from.value * value_to.value < 0: trade_1 = cls(value_from, Amount(base_currency, 0), currency, market=market) if only is None or trade_1.action == only: cls.trades.append(trade_1) trade_2 = cls(Amount(base_currency, 0), value_to, currency, market=market) if only is None or trade_2.action == only: cls.trades.append(trade_2) else: trade = cls( value_from, value_to, currency, market=market ) if only is None or trade.action == only: cls.trades.append(trade) return cls.trades @classmethod def prepare_orders(cls, only=None, compute_value="default"): for trade in cls.trades: if only is None or trade.action == only: trade.prepare_order(compute_value=compute_value) @classmethod def move_balances(cls, market): needed_in_margin = {} for trade in cls.trades: if trade.trade_type == "short": if trade.value_to.currency not in needed_in_margin: needed_in_margin[trade.value_to.currency] = 0 needed_in_margin[trade.value_to.currency] += abs(trade.value_to) for currency, needed in needed_in_margin.items(): current_balance = Balance.known_balances[currency].margin_free delta = (needed - current_balance).value # FIXME: don't remove too much if there are open margin position if delta > 0: if cls.debug: print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta)) else: market.transfer_balance(currency, delta, "exchange", "margin") elif delta < 0: if cls.debug: print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta)) else: market.transfer_balance(currency, -delta, "margin", "exchange") @property def action(self): if self.value_from == self.value_to: return None if self.base_currency == self.currency: return None if self.value_from < self.value_to: return "acquire" else: return "dispose" def order_action(self, inverted): if (self.value_from < self.value_to) != inverted: return "buy" else: return "sell" @property def trade_type(self): if self.value_from + self.value_to < 0: return "short" else: return "long" @property def filled_amount(self): filled_amount = 0 for order in self.orders: filled_amount += order.filled_amount return filled_amount def update_order(self, order, tick): new_order = None if tick in [0, 1, 3, 4, 6]: print("{}, tick {}, waiting".format(order, tick)) elif tick == 2: self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2) new_order = self.orders[-1] print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) elif tick ==5: self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3) new_order = self.orders[-1] print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) elif tick >= 7: if tick == 7: print("{}, tick {}, fallbacking to market value".format(order, tick)) if (tick - 7) % 3 == 0: self.prepare_order(compute_value="default") new_order = self.orders[-1] print("{}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) if new_order is not None: order.cancel() new_order.run() def prepare_order(self, compute_value="default"): if self.action is None: return ticker = Trade.get_ticker(self.currency, self.base_currency, self.market) inverted = ticker["inverted"] if inverted: ticker = ticker["original"] rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) # 0.1 delta_in_base = abs(self.value_from - self.value_to) # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) if not inverted: currency = self.base_currency # BTC if self.action == "dispose": # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it # At rate 1 Foo = 0.1 BTC value_from = self.value_from.linked_to # value_from = 100 FOO value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate) # value_to = 10 FOO (1 BTC * 1/0.1) delta = abs(value_to - value_from) # delta = 90 FOO # Action: "sell" "90 FOO" at rate "0.1" "BTC" on "market" # Note: no rounding error possible: if we have value_to == 0, then delta == value_from else: delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate) # I want to buy 9 / 0.1 FOO # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market" else: currency = self.currency # FOO delta = delta_in_base # sell: # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it # At rate 1 Foo = 0.1 BTC # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market # buy: # I want to buy 9 / 0.1 FOO # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market" if self.value_to == 0: rate = self.value_from.linked_to.value / self.value_from.value # Recompute the rate to avoid any rounding error close_if_possible = (self.value_to == 0) if delta <= self.filled_amount: print("Less to do than already filled: {} <= {}".format(delta, self.filled_amount)) return self.orders.append(Order(self.order_action(inverted), delta - self.filled_amount, rate, currency, self.trade_type, self.market, self, close_if_possible=close_if_possible)) @classmethod def compute_value(cls, ticker, action, compute_value="default"): if action == "buy": action = "ask" if action == "sell": action = "bid" if isinstance(compute_value, str): compute_value = Computation.computations[compute_value] return compute_value(ticker, action) @classmethod def all_orders(cls, state=None): all_orders = sum(map(lambda v: v.orders, cls.trades), []) if state is None: return all_orders else: return list(filter(lambda o: o.status == state, all_orders)) @classmethod def run_orders(cls): for order in cls.all_orders(state="pending"): order.run() @classmethod def follow_orders(cls, verbose=True, sleep=None): if sleep is None: sleep = 7 if cls.debug else 30 tick = 0 while len(cls.all_orders(state="open")) > 0: time.sleep(sleep) tick += 1 for order in cls.all_orders(state="open"): if order.get_status() != "open": if verbose: print("finished {}".format(order)) else: order.trade.update_order(order, tick) if verbose: print("All orders finished") @classmethod def update_all_orders_status(cls): for order in cls.all_orders(state="open"): order.get_status() def __repr__(self): return "Trade({} -> {} in {}, {})".format( self.value_from, self.value_to, self.currency, self.action) @classmethod def print_all_with_order(cls): for trade in cls.trades: trade.print_with_order() def print_with_order(self): print(self) for order in self.orders: print("\t", order, sep="") class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, trade, close_if_possible=False): self.action = action self.amount = amount self.rate = rate self.base_currency = base_currency self.market = market self.trade_type = trade_type self.results = [] self.mouvements = [] self.status = "pending" self.trade = trade self.close_if_possible = close_if_possible self.debug = trade.debug def __repr__(self): return "Order({} {} {} at {} {} [{}]{})".format( self.action, self.trade_type, self.amount, self.rate, self.base_currency, self.status, " ✂" if self.close_if_possible else "", ) @property def account(self): if self.trade_type == "long": return "exchange" else: return "margin" @property def pending(self): return self.status == "pending" @property def finished(self): return self.status == "closed" or self.status == "canceled" or self.status == "error" @property def id(self): return self.results[0]["id"] def run(self): symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = round(self.amount, self.market.order_precision(symbol)).value if self.debug: print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( symbol, self.action, amount, self.rate, self.account)) self.status = "open" self.results.append({"debug": True, "id": -1}) else: try: self.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) self.status = "open" except Exception as e: self.status = "error" print("error when running market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( symbol, self.action, amount, self.rate, self.account)) self.error_message = str("{}: {}".format(e.__class__.__name__, e)) print(self.error_message) def get_status(self): if self.debug: return self.status # other states are "closed" and "canceled" if self.status == "open": self.fetch() if self.status != "open": self.mark_finished_order() return self.status def mark_finished_order(self): if self.debug: return if self.status == "closed": if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: self.market.close_margin_position(self.amount.currency, self.base_currency) fetch_cache_timestamp = None def fetch(self, force=False): if self.debug or (not force and self.fetch_cache_timestamp is not None and time.time() - self.fetch_cache_timestamp < 10): return self.fetch_cache_timestamp = time.time() self.results.append(self.market.fetch_order(self.id)) result = self.results[-1] self.status = result["status"] # Time at which the order started self.timestamp = result["datetime"] self.fetch_mouvements() # FIXME: consider open order with dust remaining as closed @property def dust_amount_remaining(self): return self.remaining_amount < 0.001 @property def remaining_amount(self): if self.status == "open": self.fetch() return self.amount - self.filled_amount @property def filled_amount(self): if self.status == "open": self.fetch() filled_amount = Amount(self.amount.currency, 0) for mouvement in self.mouvements: filled_amount += mouvement.total return filled_amount def fetch_mouvements(self): mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id}) self.mouvements = [] for mouvement_hash in mouvements: self.mouvements.append(Mouvement(self.amount.currency, self.base_currency, mouvement_hash)) def cancel(self): if self.debug: self.status = "canceled" return self.market.cancel_order(self.result['id']) self.fetch() class Mouvement: def __init__(self, currency, base_currency, hash_): self.currency = currency self.base_currency = base_currency self.id = hash_["id"] self.action = hash_["type"] self.fee_rate = D(hash_["fee"]) self.date = datetime.strptime(hash_["date"], '%Y-%m-%d %H:%M:%S') self.rate = D(hash_["rate"]) self.total = Amount(currency, hash_["amount"]) # rate * total = total_in_base self.total_in_base = Amount(base_currency, hash_["total"]) def print_orders(market, base_currency="BTC"): Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") Trade.prepare_orders(compute_value="average") for currency, balance in Balance.known_balances.items(): print(balance) Trade.print_all_with_order() def make_orders(market, base_currency="BTC"): Balance.prepare_trades(market, base_currency=base_currency) for trade in Trade.trades: print(trade) for order in trade.orders: print("\t", order, sep="") order.run() def process_sell_all_sell(market, base_currency="BTC", debug=False): Balance.prepare_trades_to_sell_all(market, debug=debug) Trade.prepare_orders(compute_value="average") print("------------------") for currency, balance in Balance.known_balances.items(): print(balance) print("------------------") Trade.print_all_with_order() print("------------------") Trade.run_orders() Trade.follow_orders() def process_sell_all_buy(market, base_currency="BTC", debug=False): Balance.prepare_trades(market, debug=debug) Trade.prepare_orders() print("------------------") for currency, balance in Balance.known_balances.items(): print(balance) print("------------------") Trade.print_all_with_order() print("------------------") Trade.move_balances(market) Trade.run_orders() Trade.follow_orders() if __name__ == '__main__': print_orders(market)