-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 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
+ ccxt = None
+ report = None
+ trades = None
+ balances = None
+ options = None
+
+ 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, 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, args, **kwargs):
+ config["apiKey"] = config.pop("key", None)
+
+ ccxt_instance = ccxt.poloniexE(config)
+
+ 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))
+
+ dbs.psql.commit()
+ cursor.close()
+ except Exception as e:
+ print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e))
+
+ 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 = {}
+
+ for currency, balance in self.balances.all.items():
+ needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain
+ for trade in self.trades.pending:
+ needed_in_margin.setdefault(trade.base_currency, 0)
+ if trade.trade_type == "short":
+ needed_in_margin[trade.base_currency] -= trade.delta
+ for currency, needed in needed_in_margin.items():
+ 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(action)
+ continue
+ 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()
+
+ @ttl_cache(ttl=3600)
+ def fetch_fees(self):
+ return self.ccxt.fetch_fees()
+
+ @ttl_cache(maxsize=20, ttl=5)
+ def get_tickers(self, refresh=False):
+ try:
+ return self.ccxt.fetch_tickers()
+ except NotSupported:
+ return None
+
+ @ttl_cache(maxsize=20, ttl=5)
+ 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,
+ })
+ return ticker
+
+ tickers = self.get_tickers()
+ if tickers is None:
+ try:
+ ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2)))
+ except ExchangeError:
+ try:
+ ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1))))
+ except ExchangeError:
+ ticker = None
+ else:
+ if "{}/{}".format(c1, c2) in tickers:
+ ticker = augment_ticker(tickers["{}/{}".format(c1, c2)])
+ elif "{}/{}".format(c2, c1) in tickers:
+ ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)]))
+ else:
+ ticker = None
+ return ticker
+
+ 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:
+ 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", 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 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