]> git.immae.eu Git - perso/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Trader.git/blobdiff - portfolio.py
WIP: handle more balance information
[perso/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Trader.git] / portfolio.py
index d9d2d4dc3d2bd2d41235c5b8d650be0a0add44c4..0ab16fd0854a5042ac7c7a611e482e6d7baa9dbe 100644 (file)
@@ -141,11 +141,22 @@ class Amount:
     def __truediv__(self, value):
         return self.__floordiv__(value)
 
+    def __le__(self, other):
+        return self == other or self < other
+
     def __lt__(self, other):
+        if other == 0:
+            return self.value < 0
         if self.currency != other.currency:
             raise Exception("Comparing amounts must be done with same currencies")
         return self.value < other.value
 
+    def __gt__(self, other):
+        return not self <= other
+
+    def __ge__(self, other):
+        return not self < other
+
     def __eq__(self, other):
         if other == 0:
             return self.value == 0
@@ -153,6 +164,12 @@ class Amount:
             raise Exception("Comparing amounts must be done with same currencies")
         return self.value == other.value
 
+    def __ne__(self, other):
+        return not self == other
+
+    def __neg__(self):
+        return Amount(self.currency, - self.value)
+
     def __str__(self):
         if self.linked_to is None:
             return "{:.8f} {}".format(self.value, self.currency)
@@ -168,15 +185,24 @@ class Amount:
 class Balance:
     known_balances = {}
 
-    def __init__(self, currency, total_value, free_value, used_value):
+    def __init__(self, currency, hash_):
         self.currency = currency
-        self.total = Amount(currency, total_value)
-        self.free = Amount(currency, free_value)
-        self.used = Amount(currency, used_value)
-
-    @classmethod
-    def from_hash(cls, currency, hash_):
-        return cls(currency, hash_["total"], hash_["free"], hash_["used"])
+        for key in ["total",
+                "exchange_total", "exchange_used", "exchange_free",
+                "margin_total", "margin_borrowed", "margin_free"]:
+            setattr(self, key, Amount(currency, hash_.get(key, 0)))
+
+        self.margin_position_type = hash_["margin_position_type"]
+
+        if hash_["margin_borrowed_base_currency"] is not None:
+            base_currency = hash_["margin_borrowed_base_currency"]
+            for key in [
+                    "margin_liquidation_price",
+                    "margin_pending_gain",
+                    "margin_lending_fees",
+                    "margin_borrowed_base_price"
+                    ]:
+                setattr(self, key, Amount(base_currency, hash_[key]))
 
     @classmethod
     def in_currency(cls, other_currency, market, compute_value="average", type="total"):
@@ -192,20 +218,14 @@ class Balance:
     def currencies(cls):
         return cls.known_balances.keys()
 
-    @classmethod
-    def _fill_balances(cls, hash_):
-        for key in hash_:
-            if key in ["info", "free", "used", "total"]:
-                continue
-            if hash_[key]["total"] != 0 or key in cls.known_balances:
-                cls.known_balances[key] = cls.from_hash(key, hash_[key])
-
     @classmethod
     def fetch_balances(cls, market):
-        cls._fill_balances(market.fetch_balance())
+        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.known_balances:
+                cls.known_balances[currency] = cls(currency, balance)
         return cls.known_balances
-    # FIXME:Separate balances per trade type and in position
-    # Need to check how balances in position are represented
 
 
     @classmethod
@@ -216,31 +236,21 @@ class Balance:
         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 cls.known_balances:
                 cls.known_balances[currency] = cls(currency, 0, 0, 0)
         return amounts
 
-    @classmethod
-    def dispatch_trade_types(cls, repartition=None):
-        if repartition is None:
-            repartition = Portfolio.repartition()
-        trade_types = {}
-        for currency, (ptt, trade_type) in repartition.items():
-            trade_types[currency] = trade_type
-        return trade_types
-        # FIXME: once we know the repartition and sold everything, we can move
-        # the necessary part to the margin account
-
     @classmethod
     def prepare_trades(cls, market, base_currency="BTC", compute_value="average"):
         cls.fetch_balances(market)
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
         total_base_value = sum(values_in_base.values())
         new_repartition = cls.dispatch_assets(total_base_value)
-        trade_types = cls.dispatch_trade_types()
         # Recompute it in case we have new currencies
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
-        Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
+        Trade.compute_trades(values_in_base, new_repartition, market=market)
 
     @classmethod
     def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None):
@@ -248,8 +258,7 @@ class Balance:
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
         total_base_value = sum(values_in_base.values())
         new_repartition = cls.dispatch_assets(total_base_value)
-        trade_types = cls.dispatch_trade_types()
-        Trade.compute_trades(values_in_base, new_repartition, trade_types, only=only, market=market)
+        Trade.compute_trades(values_in_base, new_repartition, only=only, market=market)
 
     @classmethod
     def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"):
@@ -257,11 +266,39 @@ class Balance:
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
         total_base_value = sum(values_in_base.values())
         new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") })
-        trade_types = cls.dispatch_trade_types()
-        Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
+        Trade.compute_trades(values_in_base, new_repartition, market=market)
 
     def __repr__(self):
-        return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total))
+        if self.exchange_total > 0:
+            if self.exchange_free > 0 and self.exchange_used > 0:
+                exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total))
+            elif self.exchange_free > 0:
+                exchange = " Exch: [✔{}]".format(str(self.exchange_free))
+            else:
+                exchange = " Exch: [❌{}]".format(str(self.exchange_used))
+        else:
+            exchange = ""
+
+        if self.margin_total > 0:
+            if self.margin_free != 0 and self.margin_borrowed != 0:
+                margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total))
+            elif self.margin_free != 0:
+                margin = " Margin: [✔{}]".format(str(self.margin_free))
+            else:
+                margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed))
+        elif self.margin_total < 0:
+            margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total),
+                    str(self.margin_borrowed_base_price),
+                    str(self.margin_lending_fees))
+        else:
+            margin = ""
+
+        if self.margin_total != 0 and self.exchange_total != 0:
+            total = " Total: [{}]".format(str(self.total))
+        else:
+            total = ""
+
+        return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")"
 
 class Computation:
     computations = {
@@ -272,19 +309,21 @@ class Computation:
             }
 
 class Trade:
-    trades = {}
+    trades = []
 
-    def __init__(self, value_from, value_to, currency, trade_type, market=None):
+    def __init__(self, value_from, value_to, currency, market=None):
         # We have value_from of currency, and want to finish with value_to of
         # that currency. value_* may not be in currency's terms
         self.currency = currency
         self.value_from = value_from
         self.value_to = value_to
-        self.trade_type = trade_type
         self.orders = []
         self.market = market
         assert self.value_from.currency == self.value_to.currency
-        assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
+        if self.value_from != 0:
+            assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
+        elif self.value_from.linked_to is None:
+            self.value_from.linked_to = Amount(self.currency, 0)
         self.base_currency = self.value_from.currency
 
     fees_cache = {}
@@ -331,28 +370,60 @@ class Trade:
         return cls.get_ticker(c1, c2, market)
 
     @classmethod
-    def compute_trades(cls, values_in_base, new_repartition, trade_types, only=None, market=None):
+    def compute_trades(cls, values_in_base, new_repartition, only=None, market=None):
         base_currency = sum(values_in_base.values()).currency
         for currency in Balance.currencies():
             if currency == base_currency:
                 continue
-            trade = cls(
-                values_in_base.get(currency, Amount(base_currency, 0)), 
-                new_repartition.get(currency, Amount(base_currency, 0)),
-                currency,
-                trade_types.get(currency, "long"),
-                market=market
-                )
-            if only is None or trade.action == only:
-                cls.trades[currency] = trade
+            value_from = values_in_base.get(currency, Amount(base_currency, 0))
+            value_to = new_repartition.get(currency, Amount(base_currency, 0))
+            if value_from.value * value_to.value < 0:
+                trade_1 = cls(value_from, Amount(base_currency, 0), currency, market=market)
+                if only is None or trade_1.action == only:
+                    cls.trades.append(trade_1)
+                trade_2 = cls(Amount(base_currency, 0), value_to, currency, market=market)
+                if only is None or trade_2.action == only:
+                    cls.trades.append(trade_2)
+            else:
+                trade = cls(
+                    value_from,
+                    value_to,
+                    currency,
+                    market=market
+                    )
+                if only is None or trade.action == only:
+                    cls.trades.append(trade)
         return cls.trades
 
     @classmethod
     def prepare_orders(cls, only=None, compute_value="default"):
-        for currency, trade in cls.trades.items():
+        for trade in cls.trades:
             if only is None or trade.action == only:
                 trade.prepare_order(compute_value=compute_value)
 
+    @classmethod
+    def move_balances(cls, market, debug=False):
+        needed_in_margin = {} 
+        for trade in cls.trades:
+            if trade.trade_type == "short":
+                if trade.value_to.currency not in needed_in_margin:
+                    needed_in_margin[trade.value_to.currency] = 0
+                needed_in_margin[trade.value_to.currency] += abs(trade.value_to)
+        for currency, needed in needed_in_margin.items():
+            current_balance = Balance.known_balances[currency].margin_free
+            delta = (needed - current_balance).value
+            # FIXME: don't remove too much if there are open margin position
+            if delta > 0:
+                if debug:
+                    print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta))
+                else:
+                    market.transfer_balance(currency, delta, "exchange", "margin")
+            elif delta < 0:
+                if debug:
+                    print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta))
+                else:
+                    market.transfer_balance(currency, -delta, "margin", "exchange")
+
     @property
     def action(self):
         if self.value_from == self.value_to:
@@ -361,17 +432,23 @@ class Trade:
             return None
 
         if self.value_from < self.value_to:
-            return "buy"
+            return "acquire"
         else:
-            return "sell"
+            return "dispose"
 
     def order_action(self, inverted):
-        # a xor b xor c
-        if (self.trade_type == "short") != ((self.value_from < self.value_to) != inverted):
+        if (self.value_from < self.value_to) != inverted:
             return "buy"
         else:
             return "sell"
 
+    @property
+    def trade_type(self):
+        if self.value_from + self.value_to < 0:
+            return "short"
+        else:
+            return "long"
+
     def prepare_order(self, compute_value="default"):
         if self.action is None:
             return
@@ -382,15 +459,13 @@ class Trade:
         rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
         # 0.1
 
-        # FIXME: optimize if value_to == 0 or value_from == 0?)
-
         delta_in_base = abs(self.value_from - self.value_to)
         # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
 
         if not inverted:
             currency = self.base_currency
             # BTC
-            if self.action == "sell":
+            if self.action == "dispose":
                 # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
                 # At rate 1 Foo = 0.1 BTC
                 value_from = self.value_from.linked_to
@@ -418,7 +493,11 @@ class Trade:
             #   I want to buy 9 / 0.1 FOO
             #   Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
 
-        self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.trade_type, self.market))
+        close_if_possible = (self.value_to == 0)
+
+        self.orders.append(Order(self.order_action(inverted),
+            delta, rate, currency, self.trade_type, self.market,
+            close_if_possible=close_if_possible))
 
     @classmethod
     def compute_value(cls, ticker, action, compute_value="default"):
@@ -432,7 +511,7 @@ class Trade:
 
     @classmethod
     def all_orders(cls, state=None):
-        all_orders = sum(map(lambda v: v.orders, cls.trades.values()), [])
+        all_orders = sum(map(lambda v: v.orders, cls.trades), [])
         if state is None:
             return all_orders
         else:
@@ -465,16 +544,15 @@ class Trade:
             order.get_status()
 
     def __repr__(self):
-        return "Trade({} -> {} in {}, {} {})".format(
+        return "Trade({} -> {} in {}, {})".format(
                 self.value_from,
                 self.value_to,
                 self.currency,
-                self.action,
-                self.trade_type)
+                self.action)
 
     @classmethod
     def print_all_with_order(cls):
-        for trade in cls.trades.values():
+        for trade in cls.trades:
             trade.print_with_order()
 
     def print_with_order(self):
@@ -483,7 +561,8 @@ class Trade:
             print("\t", order, sep="")
 
 class Order:
-    def __init__(self, action, amount, rate, base_currency, trade_type, market):
+    def __init__(self, action, amount, rate, base_currency, trade_type, market,
+            close_if_possible=False):
         self.action = action
         self.amount = amount
         self.rate = rate
@@ -492,15 +571,17 @@ class Order:
         self.trade_type = trade_type
         self.result = None
         self.status = "pending"
+        self.close_if_possible = close_if_possible
 
     def __repr__(self):
-        return "Order({} {} {} at {} {} [{}])".format(
+        return "Order({} {} {} at {} {} [{}]{})".format(
                 self.action,
                 self.trade_type,
                 self.amount,
                 self.rate,
                 self.base_currency,
-                self.status
+                self.status,
+                " ✂" if self.close_if_possible else "",
                 )
 
     @property
@@ -527,8 +608,6 @@ class Order:
                 symbol, self.action, amount, self.rate, self.account))
         else:
             try:
-                if self.action == "sell" and self.trade_type == "short":
-                    assert self.market.transfer_balance(self.base_currency, amount * self.rate, "exchange", "margin")
                 self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)
                 self.status = "open"
             except Exception as e:
@@ -542,9 +621,17 @@ class Order:
         # other states are "closed" and "canceled"
         if self.status == "open":
             result = self.market.fetch_order(self.result['id'])
-            self.status = result["status"]
+            if result["status"] != "open":
+                self.mark_finished_order(result["status"])
         return self.status
 
+    def mark_finished_order(self, status):
+        if status == "closed":
+            if self.trade_type == "short" and self.action == "buy" and self.close_if_possible:
+                self.market.close_margin_position(self.amount.currency, self.base_currency)
+
+        self.status = result["status"]
+
     def cancel(self):
         self.market.cancel_order(self.result['id'])
 
@@ -557,11 +644,23 @@ def print_orders(market, base_currency="BTC"):
 
 def make_orders(market, base_currency="BTC"):
     Balance.prepare_trades(market, base_currency=base_currency)
-    for currency, trade in Trade.trades.items():
+    for trade in Trade.trades:
         print(trade)
         for order in trade.orders:
             print("\t", order, sep="")
             order.run()
 
+def sell_all(market, base_currency="BTC"):
+    Balance.prepare_trades_to_sell_all(market)
+    Trade.prepare_orders(compute_value="average")
+    Trade.run_orders()
+    Trade.follow_orders()
+
+    Balance.update_trades(market, only="acquire")
+    Trade.prepare_orders(only="acquire")
+    Trade.move_balances(market)
+    Trade.run_orders()
+    Trade.follow_orders()
+
 if __name__ == '__main__':
     print_orders(market)