-import ccxt
-import decimal
-
-def exchange_sum(self, *args):
- return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))])
-ccxt.Exchange.sum = exchange_sum
-def poloniex_fetch_balance(self, params={}):
- self.load_markets()
- balances = self.privatePostReturnCompleteBalances(self.extend({
- 'account': 'all',
- }, params))
- result = {'info': balances}
- currencies = list(balances.keys())
- for c in range(0, len(currencies)):
- id = currencies[c]
- balance = balances[id]
- currency = self.common_currency_code(id)
- account = {
- 'free': decimal.Decimal(balance['available']),
- 'used': decimal.Decimal(balance['onOrders']),
- 'total': decimal.Decimal(0.0),
- }
- account['total'] = self.sum(account['free'], account['used'])
- result[currency] = account
- return self.parse_balance(result)
-ccxt.poloniex.fetch_balance = poloniex_fetch_balance
-
-def poloniex_fetch_balance_per_type(self):
- balances = self.privatePostReturnAvailableAccountBalances()
- result = {'info': balances}
- for key, balance in balances.items():
- result[key] = {}
- for currency, amount in balance.items():
- if currency not in result:
- result[currency] = {}
- result[currency][key] = decimal.Decimal(amount)
- result[key][currency] = decimal.Decimal(amount)
- return result
-ccxt.poloniex.fetch_balance_per_type = poloniex_fetch_balance_per_type
-
-def poloniex_parse_ticker(self, ticker, market=None):
- timestamp = self.milliseconds()
- symbol = None
- if market:
- symbol = market['symbol']
- return {
- 'symbol': symbol,
- 'timestamp': timestamp,
- 'datetime': self.iso8601(timestamp),
- 'high': decimal.Decimal(ticker['high24hr']),
- 'low': decimal.Decimal(ticker['low24hr']),
- 'bid': decimal.Decimal(ticker['highestBid']),
- 'ask': decimal.Decimal(ticker['lowestAsk']),
- 'vwap': None,
- 'open': None,
- 'close': None,
- 'first': None,
- 'last': decimal.Decimal(ticker['last']),
- 'change': decimal.Decimal(ticker['percentChange']),
- 'percentage': None,
- 'average': None,
- 'baseVolume': decimal.Decimal(ticker['quoteVolume']),
- 'quoteVolume': decimal.Decimal(ticker['baseVolume']),
- 'info': ticker,
- }
-ccxt.poloniex.parse_ticker = poloniex_parse_ticker
-
-def poloniex_create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}):
- if type == 'market':
- raise ccxt.ExchangeError(self.id + ' allows limit orders only')
- self.load_markets()
- method = 'privatePostMargin' + self.capitalize(side)
- market = self.market(symbol)
- price = float(price)
- amount = float(amount)
- if lending_rate is not None:
- params = self.extend({"lendingRate": lending_rate}, params)
- response = getattr(self, method)(self.extend({
- 'currencyPair': market['id'],
- 'rate': self.price_to_precision(symbol, price),
- 'amount': self.amount_to_precision(symbol, amount),
- }, params))
- timestamp = self.milliseconds()
- order = self.parse_order(self.extend({
- 'timestamp': timestamp,
- 'status': 'open',
- 'type': type,
- 'side': side,
- 'price': price,
- 'amount': amount,
- }, response), market)
- id = order['id']
- self.orders[id] = order
- return self.extend({'info': response}, order)
-
-def poloniex_create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}):
- if account == "exchange":
- return self.create_exchange_order(symbol, type, side, amount, price=price, params=params)
- elif account == "margin":
- return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params)
- else:
- raise NotImplementedError
-ccxt.poloniex.create_exchange_order = ccxt.poloniex.create_order
-ccxt.poloniex.create_order = poloniex_create_order
-
-market = ccxt.poloniex({
- "apiKey": "XXXXXXXX-XXXXXXXX-XXXXXXXX-XXXXXXXX",
- "secret": "1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef",
- })
+from ccxt import ExchangeError
+import ccxt_wrapper as ccxt
+import time
+from store import *
+
+class Market:
+ debug = False
+ ccxt = None
+ report = None
+ trades = None
+ balances = None
+
+ def __init__(self, ccxt_instance, debug=False):
+ self.debug = debug
+ self.ccxt = ccxt_instance
+ self.ccxt._market = self
+ self.report = ReportStore(self)
+ self.trades = TradeStore(self)
+ self.balances = BalanceStore(self)
+
+ @classmethod
+ def from_config(cls, config, debug=False):
+ config["apiKey"] = config.pop("key")
+
+ ccxt_instance = ccxt.poloniexE(config)
+
+ # For requests logging
+ ccxt_instance.session.origin_request = ccxt_instance.session.request
+ ccxt_instance.session._parent = ccxt_instance
+
+ def request_wrap(self, *args, **kwargs):
+ r = self.origin_request(*args, **kwargs)
+ self._parent._market.report.log_http_request(args[0],
+ args[1], kwargs["data"], kwargs["headers"], r)
+ return r
+ ccxt_instance.session.request = request_wrap.__get__(ccxt_instance.session,
+ ccxt_instance.session.__class__)
+
+ return cls(ccxt_instance, debug=debug)
+
+ def move_balances(self):
+ needed_in_margin = {}
+ moving_to_margin = {}
+
+ for currency in self.balances.all:
+ if self.balances.all[currency].margin_free != 0:
+ needed_in_margin[currency] = 0
+ for trade in self.trades.all:
+ if trade.value_to.currency not in needed_in_margin:
+ needed_in_margin[trade.value_to.currency] = 0
+ if trade.trade_type == "short":
+ needed_in_margin[trade.value_to.currency] += abs(trade.value_to)
+ for currency, needed in needed_in_margin.items():
+ current_balance = self.balances.all[currency].margin_free
+ moving_to_margin[currency] = (needed - current_balance)
+ delta = moving_to_margin[currency].value
+ if self.debug:
+ self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency]))
+ continue
+ if delta > 0:
+ self.ccxt.transfer_balance(currency, delta, "exchange", "margin")
+ elif delta < 0:
+ self.ccxt.transfer_balance(currency, -delta, "margin", "exchange")
+ self.report.log_move_balances(needed_in_margin, moving_to_margin)
+
+ self.balances.fetch_balances()
+
+ fees_cache = {}
+ def fetch_fees(self):
+ if self.ccxt.__class__ not in self.fees_cache:
+ self.fees_cache[self.ccxt.__class__] = self.ccxt.fetch_fees()
+ return self.fees_cache[self.ccxt.__class__]
+
+ ticker_cache = {}
+ ticker_cache_timestamp = time.time()
+ def get_ticker(self, c1, c2, 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() - self.ticker_cache_timestamp > 5:
+ self.ticker_cache = {}
+ self.ticker_cache_timestamp = time.time()
+ elif not refresh:
+ if (c1, c2, self.ccxt.__class__) in self.ticker_cache:
+ return self.ticker_cache[(c1, c2, self.ccxt.__class__)]
+ if (c2, c1, self.ccxt.__class__) in self.ticker_cache:
+ return invert(self.ticker_cache[(c2, c1, self.ccxt.__class__)])
+
+ try:
+ self.ticker_cache[(c1, c2, self.ccxt.__class__)] = self.ccxt.fetch_ticker("{}/{}".format(c1, c2))
+ augment_ticker(self.ticker_cache[(c1, c2, self.ccxt.__class__)])
+ except ExchangeError:
+ try:
+ self.ticker_cache[(c2, c1, self.ccxt.__class__)] = self.ccxt.fetch_ticker("{}/{}".format(c2, c1))
+ augment_ticker(self.ticker_cache[(c2, c1, self.ccxt.__class__)])
+ except ExchangeError:
+ self.ticker_cache[(c1, c2, self.ccxt.__class__)] = None
+ return self.get_ticker(c1, c2)
+
+ def follow_orders(self, sleep=None):
+ if sleep is None:
+ sleep = 7 if self.debug else 30
+ if self.debug:
+ self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep))
+ tick = 0
+ self.report.log_stage("follow_orders_begin")
+ while len(self.trades.all_orders(state="open")) > 0:
+ time.sleep(sleep)
+ tick += 1
+ open_orders = self.trades.all_orders(state="open")
+ self.report.log_stage("follow_orders_tick_{}".format(tick))
+ self.report.log_orders(open_orders, tick=tick)
+ for order in open_orders:
+ if order.get_status() != "open":
+ self.report.log_order(order, tick, finished=True)
+ else:
+ order.trade.update_order(order, tick)
+ self.report.log_stage("follow_orders_end")
+
+ def prepare_trades(self, base_currency="BTC", liquidity="medium", compute_value="average"):
+ self.report.log_stage("prepare_trades")
+ values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
+ total_base_value = sum(values_in_base.values())
+ new_repartition = self.balances.dispatch_assets(total_base_value, liquidity=liquidity)
+ # Recompute it in case we have new currencies
+ values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
+ self.trades.compute_trades(values_in_base, new_repartition)
+
+ def update_trades(self, base_currency="BTC", liquidity="medium", compute_value="average", only=None):
+ self.report.log_stage("update_trades")
+ values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
+ total_base_value = sum(values_in_base.values())
+ new_repartition = self.balances.dispatch_assets(total_base_value, liquidity=liquidity)
+ self.trades.compute_trades(values_in_base, new_repartition, only=only)
+
+ def prepare_trades_to_sell_all(self, base_currency="BTC", compute_value="average"):
+ self.report.log_stage("prepare_trades_to_sell_all")
+ values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
+ total_base_value = sum(values_in_base.values())
+ new_repartition = self.balances.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") })
+ self.trades.compute_trades(values_in_base, new_repartition)
+
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff