import time import requests import portfolio import simplejson as json from decimal import Decimal as D, ROUND_DOWN import datetime import inspect from json import JSONDecodeError from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError __all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"] class ReportStore: def __init__(self, market, verbose_print=True, no_http_dup=False): self.market = market self.verbose_print = verbose_print self.print_logs = [] self.logs = [] self.no_http_dup = no_http_dup self.last_http = None def merge(self, other_report): self.logs += other_report.logs self.logs.sort(key=lambda x: x["date"]) self.print_logs += other_report.print_logs self.print_logs.sort(key=lambda x: x[0]) def print_log(self, message): now = datetime.datetime.now() message = "{:%Y-%m-%d %H:%M:%S}: {}".format(now, str(message)) self.print_logs.append([now, message]) if self.verbose_print: print(message) def add_log(self, hash_): hash_["date"] = datetime.datetime.now() if self.market is not None: hash_["user_id"] = self.market.user_id hash_["market_id"] = self.market.market_id else: hash_["user_id"] = None hash_["market_id"] = None self.logs.append(hash_) return hash_ @staticmethod def default_json_serial(obj): if isinstance(obj, (datetime.datetime, datetime.date)): return obj.isoformat() return str(obj) def to_json(self): return json.dumps(self.logs, default=self.default_json_serial, indent=" ") def to_json_array(self): for log in (x.copy() for x in self.logs): yield ( log.pop("date"), log.pop("type"), json.dumps(log, default=self.default_json_serial, indent=" ") ) def set_verbose(self, verbose_print): self.verbose_print = verbose_print def log_stage(self, stage, **kwargs): def as_json(element): if callable(element): return inspect.getsource(element).strip() elif hasattr(element, "as_json"): return element.as_json() else: return element args = { k: as_json(v) for k, v in kwargs.items() } args_str = ["{}={}".format(k, v) for k, v in args.items()] self.print_log("-" * (len(stage) + 8)) self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str))) self.add_log({ "type": "stage", "stage": stage, "args": args, }) def log_balances(self, tag=None): self.print_log("[Balance]") for currency, balance in self.market.balances.all.items(): self.print_log("\t{}".format(balance)) self.add_log({ "type": "balance", "tag": tag, "balances": self.market.balances.as_json() }) def log_tickers(self, amounts, other_currency, compute_value, type): values = {} rates = {} if callable(compute_value): compute_value = inspect.getsource(compute_value).strip() for currency, amount in amounts.items(): values[currency] = amount.as_json()["value"] rates[currency] = amount.rate self.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"] }) def log_dispatch(self, amount, amounts, liquidity, repartition): self.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() } }) def log_trades(self, matching_and_trades, only): trades = [] for matching, trade in matching_and_trades: trade_json = trade.as_json() trade_json["skipped"] = not matching trades.append(trade_json) self.add_log({ "type": "trades", "only": only, "debug": self.market.debug, "trades": trades }) def log_orders(self, orders, tick=None, only=None, compute_value=None): if callable(compute_value): compute_value = inspect.getsource(compute_value).strip() self.print_log("[Orders]") self.market.trades.print_all_with_order(ind="\t") self.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] }) def log_order(self, order, tick, finished=False, update=None, new_order=None, compute_value=None): if callable(compute_value): compute_value = inspect.getsource(compute_value).strip() if finished: self.print_log("[Order] Finished {}".format(order)) elif update == "waiting": self.print_log("[Order] {}, tick {}, waiting".format(order, tick)) elif update == "adjusting": self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order)) elif update == "market_fallback": self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick)) elif update == "market_adjust": self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order)) self.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 }) def log_move_balances(self, needed, moving): self.add_log({ "type": "move_balances", "debug": self.market.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() }, }) def log_http_request(self, method, url, body, headers, response): if isinstance(response, Exception): self.add_log({ "type": "http_request", "method": method, "url": url, "body": body, "headers": headers, "status": -1, "response": None, "error": response.__class__.__name__, "error_message": str(response), }) self.last_http = None elif self.no_http_dup and \ self.last_http is not None and \ self.last_http["url"] == url and \ self.last_http["method"] == method and \ self.last_http["response"] == response.text: self.add_log({ "type": "http_request", "method": method, "url": url, "body": body, "headers": headers, "status": response.status_code, "duration": response.elapsed.total_seconds(), "response": None, "response_same_as": self.last_http["date"] }) else: self.last_http = self.add_log({ "type": "http_request", "method": method, "url": url, "body": body, "headers": headers, "status": response.status_code, "duration": response.elapsed.total_seconds(), "response": response.text, "response_same_as": None, }) def log_error(self, action, message=None, exception=None): self.print_log("[Error] {}".format(action)) if exception is not None: self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception))) if message is not None: self.print_log("\t{}".format(message)) self.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, }) def log_debug_action(self, action): self.print_log("[Debug] {}".format(action)) self.add_log({ "type": "debug_action", "action": action, }) def log_market(self, args): self.add_log({ "type": "market", "commit": "$Format:%H$", "args": vars(args), }) class BalanceStore: def __init__(self, market): self.market = market self.all = {} def currencies(self): return self.all.keys() def in_currency(self, other_currency, compute_value="average", type="total"): amounts = {} for currency, balance in self.all.items(): other_currency_amount = getattr(balance, type)\ .in_currency(other_currency, self.market, compute_value=compute_value) amounts[currency] = other_currency_amount self.market.report.log_tickers(amounts, other_currency, compute_value, type) return amounts def fetch_balances(self, tag=None): all_balances = self.market.ccxt.fetch_all_balances() for currency, balance in all_balances.items(): if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \ currency in self.all: self.all[currency] = portfolio.Balance(currency, balance) self.market.report.log_balances(tag=tag) def dispatch_assets(self, amount, liquidity="medium", repartition=None): if repartition is None: repartition = 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] self.all.setdefault(currency, portfolio.Balance(currency, {})) self.market.report.log_dispatch(amount, amounts, liquidity, repartition) return amounts def as_json(self): return { k: v.as_json() for k, v in self.all.items() } class TradeStore: def __init__(self, market): self.market = market self.all = [] @property def pending(self): return list(filter(lambda t: t.pending, self.all)) def compute_trades(self, values_in_base, new_repartition, only=None): computed_trades = [] base_currency = sum(values_in_base.values()).currency for currency in self.market.balances.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(self.trade_if_matching( value_from, portfolio.Amount(base_currency, 0), currency, only=only)) computed_trades.append(self.trade_if_matching( portfolio.Amount(base_currency, 0), value_to, currency, only=only)) else: computed_trades.append(self.trade_if_matching( value_from, value_to, currency, only=only)) for matching, trade in computed_trades: if matching: self.all.append(trade) self.market.report.log_trades(computed_trades, only) def trade_if_matching(self, value_from, value_to, currency, only=None): trade = portfolio.Trade(value_from, value_to, currency, self.market) matching = only is None or trade.action == only return [matching, trade] def prepare_orders(self, only=None, compute_value="default"): orders = [] for trade in self.pending: if only is None or trade.action == only: orders.append(trade.prepare_order(compute_value=compute_value)) self.market.report.log_orders(orders, only, compute_value) def close_trades(self): for trade in self.all: trade.close() def print_all_with_order(self, ind=""): for trade in self.all: trade.print_with_order(ind=ind) def run_orders(self): orders = self.all_orders(state="pending") for order in orders: order.run() self.market.report.log_stage("run_orders") self.market.report.log_orders(orders) def all_orders(self, state=None): all_orders = sum(map(lambda v: v.orders, self.all), []) if state is None: return all_orders else: return list(filter(lambda o: o.status == state, all_orders)) def update_all_orders_status(self): for order in self.all_orders(state="open"): order.get_status() class NoopLock: def __enter__(self, *args): pass def __exit__(self, *args): pass class LockedVar: def __init__(self, value): self.lock = NoopLock() self.val = value def start_lock(self): import threading self.lock = threading.Lock() def set(self, value): with self.lock: self.val = value def get(self, key=None): with self.lock: if key is not None and isinstance(self.val, dict): return self.val.get(key) else: return self.val def __getattr__(self, key): with self.lock: return getattr(self.val, key) class Portfolio: URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" data = LockedVar(None) liquidities = LockedVar({}) last_date = LockedVar(None) report = LockedVar(ReportStore(None, no_http_dup=True)) worker = None worker_tag = "" worker_started = False worker_notify = None callback = None @classmethod def start_worker(cls, poll=30): import threading cls.worker = threading.Thread(name="portfolio", daemon=True, target=cls.wait_for_notification, kwargs={"poll": poll}) cls.worker_notify = threading.Event() cls.callback = threading.Event() cls.last_date.start_lock() cls.liquidities.start_lock() cls.report.start_lock() cls.worker_tag = "[Worker] " cls.worker_started = True cls.worker.start() @classmethod def is_worker_thread(cls): if cls.worker is None: return False else: import threading return cls.worker == threading.current_thread() @classmethod def wait_for_notification(cls, poll=30): if not cls.is_worker_thread(): raise RuntimeError("This method needs to be ran with the worker") while cls.worker_started: cls.worker_notify.wait() if cls.worker_started: cls.worker_notify.clear() cls.report.print_log("[Worker] Fetching cryptoportfolio") cls.get_cryptoportfolio(refetch=True) cls.callback.set() time.sleep(poll) @classmethod def stop_worker(cls): cls.worker_started = False cls.worker_notify.set() @classmethod def notify_and_wait(cls): cls.callback.clear() cls.worker_notify.set() cls.callback.wait() @classmethod def wait_for_recent(cls, delta=4, poll=30): cls.get_cryptoportfolio() while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta): if cls.worker is None: time.sleep(poll) cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio") cls.get_cryptoportfolio(refetch=True) @classmethod def repartition(cls, liquidity="medium"): cls.get_cryptoportfolio() liquidities = cls.liquidities.get(liquidity) return liquidities[cls.last_date.get()] @classmethod def get_cryptoportfolio(cls, refetch=False): if cls.data.get() is not None and not refetch: return if cls.worker is not None and not cls.is_worker_thread(): cls.notify_and_wait() return try: r = requests.get(cls.URL) cls.report.log_http_request(r.request.method, r.request.url, r.request.body, r.request.headers, r) except Exception as e: cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e) return try: cls.data.set(r.json(parse_int=D, parse_float=D)) cls.parse_cryptoportfolio() except (JSONDecodeError, SimpleJSONDecodeError): cls.data.set(None) cls.last_date.set(None) cls.liquidities.set({}) @classmethod def parse_cryptoportfolio(cls): 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): if "weights" not in portfolio_hash: return {} weights_hash = portfolio_hash["weights"] weights = {} for i in range(len(weights_hash["_row"])): date = datetime.datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d") weights[date] = dict(filter( filter_weights, map(clean_weights(i), weights_hash.items()))) return weights high_liquidity = parse_weights(cls.data.get("portfolio_1")) medium_liquidity = parse_weights(cls.data.get("portfolio_2")) cls.liquidities.set({ "medium": medium_liquidity, "high": high_liquidity, }) cls.last_date.set(max( max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)), max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1)) ))