-from ccxt import ExchangeError, NotSupported
+from ccxt import AuthenticationError, ExchangeError, NotSupported, RequestTimeout, InvalidNonce
import ccxt_wrapper as ccxt
import time
+import dbs
from store import *
from cachetools.func import ttl_cache
+from datetime import datetime
+import datetime
+from retry import retry
+import portfolio
class Market:
debug = False
report = None
trades = None
balances = None
+ options = None
- def __init__(self, ccxt_instance, debug=False):
- self.debug = debug
+ def __init__(self, ccxt_instance, args, **kwargs):
+ self.args = args
+ self.debug = args.debug
self.ccxt = ccxt_instance
self.ccxt._market = self
- self.report = ReportStore(self)
+ self.report = ReportStore(self, verbose_print=(not args.quiet))
self.trades = TradeStore(self)
self.balances = BalanceStore(self)
+ self.processor = Processor(self)
+
+ self.options = kwargs.get("options", {})
+ for key in ["user_id", "market_id"]:
+ setattr(self, key, kwargs.get(key, None))
+
+ self.report.log_market(self.args)
@classmethod
- def from_config(cls, config, debug=False):
- config["apiKey"] = config.pop("key")
+ def from_config(cls, config, args, **kwargs):
+ config["apiKey"] = config.pop("key", None)
ccxt_instance = ccxt.poloniexE(config)
- # For requests logging
- ccxt_instance.session.origin_request = ccxt_instance.session.request
- ccxt_instance.session._parent = ccxt_instance
+ return cls(ccxt_instance, args, **kwargs)
+
+ def store_report(self):
+ self.report.merge(Portfolio.report)
+ date = datetime.datetime.now()
+ if self.args.report_path is not None:
+ self.store_file_report(date)
+ if dbs.psql_connected() and self.args.report_db:
+ self.store_database_report(date)
+ if dbs.redis_connected() and self.args.report_redis:
+ self.store_redis_report(date)
+
+ def store_file_report(self, date):
+ try:
+ report_file = "{}/{}_{}".format(self.args.report_path, date.isoformat(), self.user_id)
+ with open(report_file + ".json", "w") as f:
+ f.write(self.report.to_json())
+ with open(report_file + ".log", "w") as f:
+ f.write("\n".join(map(lambda x: x[1], self.report.print_logs)))
+ except Exception as e:
+ print("impossible to store report file: {}; {}".format(e.__class__.__name__, e))
+
+ def store_database_report(self, date):
+ try:
+ report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;'
+ line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);'
+ cursor = dbs.psql.cursor()
+ cursor.execute(report_query, (date, self.market_id, self.debug))
+ report_id = cursor.fetchone()[0]
+ for date, type_, payload in self.report.to_json_array():
+ cursor.execute(line_query, (date, report_id, type_, payload))
- 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__)
+ dbs.psql.commit()
+ cursor.close()
+ except Exception as e:
+ print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e))
- return cls(ccxt_instance, debug=debug)
+ def store_redis_report(self, date):
+ try:
+ for type_, log in self.report.to_json_redis():
+ key = "/cryptoportfolio/{}/{}/{}".format(self.market_id, date.isoformat(), type_)
+ dbs.redis.set(key, log, ex=31*24*60*60)
+ key = "/cryptoportfolio/{}/latest/{}".format(self.market_id, type_)
+ dbs.redis.set(key, log)
+ key = "/cryptoportfolio/{}/latest/date".format(self.market_id)
+ dbs.redis.set(key, date.isoformat())
+ except Exception as e:
+ print("impossible to store report to redis: {}; {}".format(e.__class__.__name__, e))
+
+ def process(self, actions, before=False, after=False):
+ try:
+ self.ccxt.check_required_credentials()
+ for action in actions:
+ if bool(before) is bool(after):
+ self.processor.process(action, steps="all", options=self.options)
+ elif before:
+ self.processor.process(action, steps="before", options=self.options)
+ elif after:
+ self.processor.process(action, steps="after", options=self.options)
+ except AuthenticationError:
+ self.report.log_error("market_authentication", message="Impossible to authenticate to market")
+ except Exception as e:
+ import traceback
+ self.report.log_error("market_process", exception=e, message=traceback.format_exc())
+ finally:
+ self.store_report()
+ @retry((RequestTimeout, InvalidNonce), tries=5)
def move_balances(self):
needed_in_margin = {}
moving_to_margin = {}
current_balance = self.balances.all[currency].margin_available
moving_to_margin[currency] = (needed - current_balance)
delta = moving_to_margin[currency].value
+ action = "Moving {} from exchange to margin".format(moving_to_margin[currency])
+
if self.debug and delta != 0:
- self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency]))
+ self.report.log_debug_action(action)
continue
- if delta > 0:
- self.ccxt.transfer_balance(currency, delta, "exchange", "margin")
- elif delta < 0:
- self.ccxt.transfer_balance(currency, -delta, "margin", "exchange")
+ try:
+ if delta > 0:
+ self.ccxt.transfer_balance(currency, delta, "exchange", "margin")
+ elif delta < 0:
+ self.ccxt.transfer_balance(currency, -delta, "margin", "exchange")
+ except (RequestTimeout, InvalidNonce) as e:
+ self.report.log_error(action, message="Retrying", exception=e)
+ self.report.log_move_balances(needed_in_margin, moving_to_margin)
+ self.balances.fetch_balances()
+ raise e
self.report.log_move_balances(needed_in_margin, moving_to_margin)
self.balances.fetch_balances()
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":
+ status = order.get_status()
+ if status != "open":
self.report.log_order(order, tick, finished=True)
else:
order.trade.update_order(order, tick)
+ if status == "error_disappeared":
+ self.report.log_error("follow_orders",
+ message="{} disappeared, recreating it".format(order))
+ new_order = order.trade.prepare_order(
+ compute_value=order.trade.tick_actions_recreate(tick))
+ if new_order is not None:
+ new_order.run()
+ self.report.log_order(order, tick, new_order=new_order)
+
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)
+ def prepare_trades(self, base_currency="BTC", liquidity="medium",
+ compute_value="average", repartition=None, only=None,
+ available_balance_only=False):
+
+ self.report.log_stage("prepare_trades",
+ base_currency=base_currency, liquidity=liquidity,
+ compute_value=compute_value, only=only,
+ repartition=repartition, available_balance_only=available_balance_only)
+
+ if available_balance_only:
+ repartition, total_base_value, values_in_base = self.balances.available_balances_for_repartition(
+ base_currency=base_currency, liquidity=liquidity,
+ repartition=repartition, compute_value=compute_value)
+ else:
+ 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, repartition=repartition)
+ if available_balance_only:
+ for currency, amount in values_in_base.items():
+ if currency != base_currency and currency not in new_repartition:
+ new_repartition[currency] = amount
+
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)
+ def print_tickers(self, base_currency="BTC"):
+ if base_currency is not None:
+ self.report.print_log("total:")
+ self.report.print_log(sum(self.balances.in_currency(base_currency).values()))
+
+class Processor:
+ scenarios = {
+ "wait_for_cryptoportfolio": [
+ {
+ "name": "wait",
+ "number": 1,
+ "before": False,
+ "after": True,
+ "wait_for_recent": {},
+ },
+ ],
+ "print_balances": [
+ {
+ "name": "print_balances",
+ "number": 1,
+ "fetch_balances_begin": {
+ "log_tickers": True,
+ "add_usdt": True,
+ "add_portfolio": True
+ },
+ "print_tickers": { "base_currency": "BTC" },
+ }
+ ],
+ "print_orders": [
+ {
+ "name": "wait",
+ "number": 1,
+ "before": True,
+ "after": False,
+ "wait_for_recent": {},
+ },
+ {
+ "name": "make_orders",
+ "number": 2,
+ "before": False,
+ "after": True,
+ "fetch_balances_begin": {},
+ "prepare_trades": { "compute_value": "average" },
+ "prepare_orders": { "compute_value": "average" },
+ },
+ ],
+ "sell_needed": [
+ {
+ "name": "print_balances",
+ "number": 0,
+ "before": True,
+ "after": False,
+ "fetch_balances_begin": {
+ "checkpoint": "end",
+ "log_tickers": True,
+ "add_usdt": True,
+ "add_portfolio": True
+ },
+ },
+ {
+ "name": "wait",
+ "number": 1,
+ "before": False,
+ "after": True,
+ "wait_for_recent": {},
+ },
+ {
+ "name": "sell",
+ "number": 2,
+ "before": False,
+ "after": True,
+ "fetch_balances_begin": {},
+ "fetch_balances_end": {},
+ "prepare_trades": {},
+ "prepare_orders": { "only": "dispose", "compute_value": "average" },
+ "run_orders": {},
+ "follow_orders": {},
+ "close_trades": {},
+ },
+ {
+ "name": "buy",
+ "number": 3,
+ "before": False,
+ "after": True,
+ "fetch_balances_begin": {},
+ "fetch_balances_end": {
+ "checkpoint": "begin",
+ "add_usdt": True,
+ "log_tickers": True
+ },
+ "prepare_trades": { "only": "acquire", "available_balance_only": True },
+ "prepare_orders": { "only": "acquire", "compute_value": "average" },
+ "move_balances": {},
+ "run_orders": {},
+ "follow_orders": {},
+ "close_trades": {},
+ },
+ ],
+ "sell_all": [
+ {
+ "name": "all_sell",
+ "number": 1,
+ "before": True,
+ "after": False,
+ "fetch_balances_begin": {
+ "checkpoint": "end",
+ "log_tickers": True,
+ "add_usdt": True,
+ "add_portfolio": True
+ },
+ "fetch_balances_end": {},
+ "prepare_trades": { "repartition": { "base_currency": (1, "long") } },
+ "prepare_orders": { "compute_value": "average" },
+ "run_orders": {},
+ "follow_orders": {},
+ "close_trades": {},
+ },
+ {
+ "name": "wait",
+ "number": 2,
+ "before": False,
+ "after": True,
+ "wait_for_recent": {},
+ },
+ {
+ "name": "all_buy",
+ "number": 3,
+ "before": False,
+ "after": True,
+ "fetch_balances_begin": {},
+ "fetch_balances_end": {
+ "checkpoint": "begin",
+ "add_usdt": True,
+ "log_tickers": True
+ },
+ "prepare_trades": { "available_balance_only": True },
+ "prepare_orders": { "compute_value": "average" },
+ "move_balances": {},
+ "run_orders": {},
+ "follow_orders": {},
+ "close_trades": {},
+ },
+ ]
+ }
+
+ ordered_actions = [
+ "wait_for_recent", "prepare_trades", "prepare_orders",
+ "move_balances", "run_orders", "follow_orders",
+ "close_trades", "print_tickers"]
+
+ def __init__(self, market):
+ self.market = market
+
+ def select_steps(self, scenario, step):
+ if step == "all":
+ return scenario
+ elif step == "before" or step == "after":
+ return list(filter(lambda x: x.get(step, False), scenario))
+ elif type(step) == int:
+ return [scenario[step-1]]
+ elif type(step) == str:
+ return list(filter(lambda x: x["name"] == step, scenario))
+ else:
+ raise TypeError("Unknown step {}".format(step))
+
+ def can_process(self, scenario_name):
+ return scenario_name in self.scenarios
+
+ def process(self, scenario_name, steps="all", options={}):
+ if not self.can_process(scenario_name):
+ raise TypeError("Unknown scenario {}".format(scenario_name))
+ scenario = self.scenarios[scenario_name]
+ selected_steps = []
+
+ if type(steps) == str or type(steps) == int:
+ selected_steps += self.select_steps(scenario, steps)
+ else:
+ for step in steps:
+ selected_steps += self.select_steps(scenario, step)
+ for step in selected_steps:
+ self.process_step(scenario_name, step, options)
+
+ def process_step(self, scenario_name, step, options):
+ process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"])
+ self.market.report.log_stage("{}_begin".format(process_name))
+
+ if "fetch_balances_begin" in step:
+ self.run_action("fetch_balances", step["fetch_balances_begin"],
+ dict(options, tag="{}_begin".format(process_name)))
+
+ for action in self.ordered_actions:
+ if action in step:
+ self.run_action(action, step[action], options)
+
+ if "fetch_balances_end" in step:
+ self.run_action("fetch_balances", step["fetch_balances_end"],
+ dict(options, tag="{}_end".format(process_name)))
+
+ self.market.report.log_stage("{}_end".format(process_name))
+
+ def method_arguments(self, action):
+ import inspect
+
+ if action == "wait_for_recent":
+ method = Portfolio.wait_for_recent
+ elif action == "prepare_trades":
+ method = self.market.prepare_trades
+ elif action == "prepare_orders":
+ method = self.market.trades.prepare_orders
+ elif action == "move_balances":
+ method = self.market.move_balances
+ elif action == "run_orders":
+ method = self.market.trades.run_orders
+ elif action == "follow_orders":
+ method = self.market.follow_orders
+ elif action == "close_trades":
+ method = self.market.trades.close_trades
+ elif action == "print_tickers":
+ method = self.market.print_tickers
+ elif action == "fetch_balances":
+ method = self.market.balances.fetch_balances
+
+ signature = inspect.getfullargspec(method)
+ defaults = signature.defaults or []
+ kwargs = signature.args[-len(defaults):]
+
+ return [method, kwargs]
+
+ def parse_args(self, action, default_args, options):
+ method, allowed_arguments = self.method_arguments(action)
+ args = {k: v for k, v in {**default_args, **options}.items() if k in allowed_arguments }
+
+ if "repartition" in args and "base_currency" in args["repartition"]:
+ r = args["repartition"]
+ r[args.get("base_currency", "BTC")] = r.pop("base_currency")
+
+ return method, args
+ def run_action(self, action, default_args, options):
+ method, args = self.parse_args(action, default_args, options)
+ method(**args)
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff