import portfolio import simplejson as json from decimal import Decimal as D, ROUND_DOWN from datetime import date, datetime __all__ = ["BalanceStore", "ReportStore", "TradeStore"] class ReportStore: logs = [] verbose_print = True @classmethod def print_log(cls, message): message = str(message) if cls.verbose_print: print(message) @classmethod def add_log(cls, hash_): hash_["date"] = datetime.now() cls.logs.append(hash_) @classmethod def to_json(cls): def default_json_serial(obj): if isinstance(obj, (datetime, date)): return obj.isoformat() raise TypeError ("Type %s not serializable" % type(obj)) return json.dumps(cls.logs, default=default_json_serial) @classmethod def set_verbose(cls, verbose_print): cls.verbose_print = verbose_print @classmethod def log_stage(cls, stage): cls.print_log("-" * (len(stage) + 8)) cls.print_log("[Stage] {}".format(stage)) cls.add_log({ "type": "stage", "stage": stage, }) @classmethod def log_balances(cls, market, tag=None): cls.print_log("[Balance]") for currency, balance in BalanceStore.all.items(): cls.print_log("\t{}".format(balance)) cls.add_log({ "type": "balance", "tag": tag, "balances": BalanceStore.as_json() }) @classmethod def log_tickers(cls, market, amounts, other_currency, compute_value, type): values = {} rates = {} for currency, amount in amounts.items(): values[currency] = amount.as_json()["value"] rates[currency] = amount.rate cls.add_log({ "type": "tickers", "compute_value": compute_value, "balance_type": type, "currency": other_currency, "balances": values, "rates": rates, "total": sum(amounts.values()).as_json()["value"] }) @classmethod def log_dispatch(cls, amount, amounts, liquidity, repartition): cls.add_log({ "type": "dispatch", "liquidity": liquidity, "repartition_ratio": repartition, "total_amount": amount.as_json(), "repartition": { k: v.as_json()["value"] for k, v in amounts.items() } }) @classmethod def log_trades(cls, matching_and_trades, only, debug): trades = [] for matching, trade in matching_and_trades: trade_json = trade.as_json() trade_json["skipped"] = not matching trades.append(trade_json) cls.add_log({ "type": "trades", "only": only, "debug": debug, "trades": trades }) @classmethod def log_orders(cls, orders, tick=None, only=None, compute_value=None): cls.print_log("[Orders]") TradeStore.print_all_with_order(ind="\t") cls.add_log({ "type": "orders", "only": only, "compute_value": compute_value, "tick": tick, "orders": [order.as_json() for order in orders if order is not None] }) @classmethod def log_order(cls, order, tick, finished=False, update=None, new_order=None, compute_value=None): if finished: cls.print_log("[Order] Finished {}".format(order)) elif update == "waiting": cls.print_log("[Order] {}, tick {}, waiting".format(order, tick)) elif update == "adjusting": cls.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) elif update == "market_fallback": cls.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick)) elif update == "market_adjust": cls.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) cls.add_log({ "type": "order", "tick": tick, "update": update, "order": order.as_json(), "compute_value": compute_value, "new_order": new_order.as_json() if new_order is not None else None }) @classmethod def log_move_balances(cls, needed, moving, debug): cls.add_log({ "type": "move_balances", "debug": debug, "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() }, "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() }, }) @classmethod def log_http_request(cls, method, url, body, headers, response): cls.add_log({ "type": "http_request", "method": method, "url": url, "body": body, "headers": headers, "status": response.status_code, "response": response.text }) @classmethod def log_error(cls, action, message=None, exception=None): cls.print_log("[Error] {}".format(action)) if exception is not None: cls.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception))) if message is not None: cls.print_log("\t{}".format(message)) cls.add_log({ "type": "error", "action": action, "exception_class": exception.__class__.__name__ if exception is not None else None, "exception_message": str(exception) if exception is not None else None, "message": message, }) @classmethod def log_debug_action(cls, action): cls.print_log("[Debug] {}".format(action)) cls.add_log({ "type": "debug_action", "action": action, }) class BalanceStore: all = {} @classmethod def currencies(cls): return cls.all.keys() @classmethod def in_currency(cls, other_currency, market, compute_value="average", type="total"): amounts = {} for currency, balance in cls.all.items(): other_currency_amount = getattr(balance, type)\ .in_currency(other_currency, market, compute_value=compute_value) amounts[currency] = other_currency_amount ReportStore.log_tickers(market, amounts, other_currency, compute_value, type) return amounts @classmethod def fetch_balances(cls, market, tag=None): 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.all: cls.all[currency] = portfolio.Balance(currency, balance) ReportStore.log_balances(market, tag=tag) @classmethod def dispatch_assets(cls, amount, liquidity="medium", repartition=None): if repartition is None: repartition = portfolio.Portfolio.repartition(liquidity=liquidity) 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 BalanceStore.all: cls.all[currency] = portfolio.Balance(currency, {}) ReportStore.log_dispatch(amount, amounts, liquidity, repartition) return amounts @classmethod def as_json(cls): return { k: v.as_json() for k, v in cls.all.items() } class TradeStore: all = [] debug = False @classmethod def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False): computed_trades = [] cls.debug = cls.debug or debug base_currency = sum(values_in_base.values()).currency for currency in BalanceStore.currencies(): if currency == base_currency: continue value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0)) value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0)) if value_from.value * value_to.value < 0: computed_trades.append(cls.trade_if_matching( value_from, portfolio.Amount(base_currency, 0), currency, only=only, market=market)) computed_trades.append(cls.trade_if_matching( portfolio.Amount(base_currency, 0), value_to, currency, only=only, market=market)) else: computed_trades.append(cls.trade_if_matching( value_from, value_to, currency, only=only, market=market)) for matching, trade in computed_trades: if matching: cls.all.append(trade) ReportStore.log_trades(computed_trades, only, cls.debug) @classmethod def trade_if_matching(cls, value_from, value_to, currency, only=None, market=None): trade = portfolio.Trade(value_from, value_to, currency, market=market) matching = only is None or trade.action == only return [matching, trade] @classmethod def prepare_orders(cls, only=None, compute_value="default"): orders = [] for trade in cls.all: if only is None or trade.action == only: orders.append(trade.prepare_order(compute_value=compute_value)) ReportStore.log_orders(orders, only, compute_value) @classmethod def print_all_with_order(cls, ind=""): for trade in cls.all: trade.print_with_order(ind=ind) @classmethod def run_orders(cls): orders = cls.all_orders(state="pending") for order in orders: order.run() ReportStore.log_stage("run_orders") ReportStore.log_orders(orders) @classmethod def all_orders(cls, state=None): all_orders = sum(map(lambda v: v.orders, cls.all), []) if state is None: return all_orders else: return list(filter(lambda o: o.status == state, all_orders)) @classmethod def update_all_orders_status(cls): for order in cls.all_orders(state="open"): order.get_status()