import ccxt import time from decimal import Decimal as D # Put your poloniex api key in market.py from market import market class Portfolio: URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" liquidities = {} data = None @classmethod def repartition_pertenthousand(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): import json import urllib3 urllib3.disable_warnings() http = urllib3.PoolManager() try: r = http.request("GET", cls.URL) except Exception: return try: cls.data = json.loads(r.data, parse_int=D, parse_float=D) except json.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: return False if weight_hash[0] == "_row": return False return True def clean_weights(i): def clean_weights_(h): if type(h[1][i]) == str: return [h[0], h[1][i]] else: return [h[0], int(h[1][i] * 10000)] return clean_weights_ def parse_weights(portfolio_hash): # FIXME: we'll need shorts at some point assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"])) 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 self.ticker_cache = {} self.ticker_cache_timestamp = time.time() 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 __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 type(value) != int and type(value) != float and type(value) != 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 type(value) != int and type(value) != float and type(value) != 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 self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") return self.value < other.value 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 __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, total_value, free_value, used_value): self.currency = currency self.total = Amount(currency, total_value) self.free = Amount(currency, free_value) self.used = Amount(currency, used_value) @classmethod def from_hash(cls, currency, hash_): return cls(currency, hash_["total"], hash_["free"], hash_["used"]) @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 _fill_balances(cls, hash_): for key in hash_: if key in ["info", "free", "used", "total"]: continue if hash_[key]["total"] > 0 or key in cls.known_balances: cls.known_balances[key] = cls.from_hash(key, hash_[key]) @classmethod def fetch_balances(cls, market): cls._fill_balances(market.fetch_balance()) return cls.known_balances @classmethod def dispatch_assets(cls, amount, repartition=None): if repartition is None: repartition = Portfolio.repartition_pertenthousand() sum_pertenthousand = sum([v for k, v in repartition.items()]) amounts = {} for currency, ptt in repartition.items(): amounts[currency] = ptt * amount / sum_pertenthousand if currency not in cls.known_balances: cls.known_balances[currency] = cls(currency, 0, 0, 0) return amounts @classmethod def prepare_trades(cls, market, base_currency="BTC", compute_value="average"): 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) @classmethod def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None): 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) @classmethod def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"): 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 }) Trade.compute_trades(values_in_base, new_repartition, market=market) def __repr__(self): return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.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: 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 assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency 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 ccxt.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 ccxt.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): base_currency = sum(values_in_base.values()).currency for currency in Balance.currencies(): if currency == base_currency: continue trade = cls( values_in_base.get(currency, Amount(base_currency, 0)), new_repartition.get(currency, Amount(base_currency, 0)), currency, market=market ) if only is None or trade.action == only: cls.trades[currency] = trade return cls.trades @classmethod def prepare_orders(cls, only=None, compute_value="default"): for currency, trade in cls.trades.items(): if only is None or trade.action == only: trade.prepare_order(compute_value=compute_value) @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 "buy" else: return "sell" def order_action(self, inverted): if self.value_from < self.value_to: return "buy" if not inverted else "sell" else: return "sell" if not inverted else "buy" def prepare_order(self, compute_value="default"): if self.action is None: return ticker = self.value_from.ticker 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: if self.action == "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 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" # FIXME: Need to round up to the correct amount of FOO in case # we want to use all BTC currency = self.base_currency # BTC else: if self.action == "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 delta = delta_in_base # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market # FIXME: Need to round up to the correct amount of FOO in case # we want to sell all else: delta = delta_in_base # I want to buy 9 / 0.1 FOO # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market" # FIXME: Need to round up to the correct amount of FOO in case # we want to use all BTC currency = self.currency # FOO self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market)) @classmethod def compute_value(cls, ticker, action, compute_value="default"): if type(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.values()), []) 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=30): orders = cls.all_orders() finished_orders = [] while len(orders) != len(finished_orders): time.sleep(sleep) for order in orders: if order in finished_orders: continue if order.get_status() != "open": finished_orders.append(order) if verbose: print("finished {}".format(order)) 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.values(): 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, market): self.action = action self.amount = amount self.rate = rate self.base_currency = base_currency self.market = market self.result = None self.status = "pending" def __repr__(self): return "Order({} {} at {} {} [{}])".format( self.action, self.amount, self.rate, self.base_currency, self.status ) @property def pending(self): return self.status == "pending" @property def finished(self): return self.status == "closed" or self.status == "canceled" or self.status == "error" def run(self, debug=False): symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = self.amount.value if debug: print("market.create_order('{}', 'limit', '{}', {}, price={})".format( symbol, self.action, amount, self.rate)) else: try: self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate) self.status = "open" except Exception as e: self.status = "error" print("error when running market.create_order('{}', 'limit', '{}', {}, price={})".format( symbol, self.action, amount, self.rate)) self.error_message = str("{}: {}".format(e.__class__.__name__, e)) print(self.error_message) def get_status(self): # other states are "closed" and "canceled" if self.status == "open": result = self.market.fetch_order(self.result['id']) self.status = result["status"] return self.status def cancel(self): self.market.cancel_order(self.result['id']) 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) portfolio.Trade.print_all_with_order() def make_orders(market, base_currency="BTC"): Balance.prepare_trades(market, base_currency=base_currency) for currency, trade in Trade.trades.items(): print(trade) for order in trade.orders: print("\t", order, sep="") order.run() if __name__ == '__main__': print_orders(market)