-from datetime import datetime
+import datetime
from retry import retry
from decimal import Decimal as D, ROUND_DOWN
-from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout
+from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce
class Computation:
+ @staticmethod
+ def eat_several(market):
+ return lambda x, y: market.ccxt.fetch_nth_order_book(x["symbol"], y, 15)
+
computations = {
"default": lambda x, y: x[y],
"average": lambda x, y: x["average"],
ticker=asset_ticker,
rate=rate)
else:
- raise Exception("This asset is not available in the chosen market")
+ return Amount(other_currency, 0, linked_to=self, ticker=None, rate=0)
def as_json(self):
return {
@property
def is_fullfiled(self):
- return abs(self.filled_amount(in_base_currency=(not self.inverted))) >= abs(self.delta)
+ return abs(self.filled_amount(in_base_currency=(not self.inverted), refetch=True)) >= abs(self.delta)
- def filled_amount(self, in_base_currency=False):
+ def filled_amount(self, in_base_currency=False, refetch=False):
filled_amount = 0
for order in self.orders:
- filled_amount += order.filled_amount(in_base_currency=in_base_currency)
+ filled_amount += order.filled_amount(in_base_currency=in_base_currency, refetch=refetch)
return filled_amount
- def update_order(self, order, tick):
- actions = {
- 0: ["waiting", None],
- 1: ["waiting", None],
- 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2],
- 3: ["waiting", None],
- 4: ["waiting", None],
- 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3],
- 6: ["waiting", None],
- 7: ["market_fallback", "default"],
- }
+ tick_actions = {
+ 0: ["waiting", None],
+ 1: ["waiting", None],
+ 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2],
+ 3: ["waiting", None],
+ 4: ["waiting", None],
+ 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3],
+ 6: ["waiting", None],
+ 7: ["market_fallback", "default"],
+ }
- if tick in actions:
- update, compute_value = actions[tick]
+ def tick_actions_recreate(self, tick, default="average"):
+ return ([default] + \
+ [ y[1] for x, y in self.tick_actions.items() if x <= tick and y[1] is not None ])[-1]
+
+ def update_order(self, order, tick):
+ if tick in self.tick_actions:
+ update, compute_value = self.tick_actions[tick]
elif tick % 3 == 1:
- update = "market_adjust"
- compute_value = "default"
+ if tick < 20:
+ update = "market_adjust"
+ compute_value = "default"
+ else:
+ update = "market_adjust_eat"
+ compute_value = Computation.eat_several(self.market)
else:
update = "waiting"
compute_value = None
if self.action is None:
return None
ticker = self.market.get_ticker(self.currency, self.base_currency)
+ if ticker is None:
+ self.market.report.log_error("prepare_order",
+ message="Unknown ticker {}/{}".format(self.currency, self.base_currency))
+ return None
self.inverted = ticker["inverted"]
if self.inverted:
ticker = ticker["original"]
rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value)
- # FIXME: Dust amount should be removed from there if they werent
- # honored in other sales
delta_in_base = abs(self.delta)
# 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
def finished(self):
return self.status.startswith("closed") or self.status == "canceled" or self.status == "error"
- @retry((InsufficientFunds, RetryException))
+ @retry((InsufficientFunds, RetryException, InvalidNonce))
def run(self):
self.tries += 1
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
self.market.report.log_debug_action(action)
self.results.append({"debug": True, "id": -1})
else:
- self.start_date = datetime.now()
+ self.start_date = datetime.datetime.now()
try:
self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
except InvalidOrder:
self.status = "closed"
self.mark_finished_order()
return
+ except InvalidNonce as e:
+ if self.tries < 5:
+ self.market.report.log_error(action, message="Retrying after invalid nonce", exception=e)
+ raise e
+ else:
+ self.market.report.log_error(action, message="Giving up {} after invalid nonce".format(self), exception=e)
+ self.status = "error"
+ return
except RequestTimeout as e:
if not self.retrieve_order():
if self.tries < 5:
self.fetch()
return self.status
+ def mark_disappeared_order(self):
+ if self.status.startswith("closed") and \
+ len(self.mouvements) > 0 and \
+ self.mouvements[-1].total_in_base == 0:
+ self.status = "error_disappeared"
+
def mark_finished_order(self):
if self.status.startswith("closed") and self.market.debug:
self.market.report.log_debug_action("Mark {} as finished".format(self))
self.fetch_mouvements()
+ self.mark_disappeared_order()
+ self.mark_dust_amount_remaining_order()
self.mark_finished_order()
- # FIXME: consider open order with dust remaining as closed
- def dust_amount_remaining(self):
- return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))
+ def mark_dust_amount_remaining_order(self):
+ if self.status == "open" and self.market.ccxt.is_dust_trade(self.remaining_amount().value, self.rate):
+ self.status = "closed_dust_remaining"
- def remaining_amount(self):
- return self.amount - self.filled_amount()
+ def remaining_amount(self, refetch=False):
+ return self.amount - self.filled_amount(refetch=refetch)
- def filled_amount(self, in_base_currency=False):
- if self.status == "open":
+ def filled_amount(self, in_base_currency=False, refetch=False):
+ if refetch and self.status == "open":
self.fetch()
filled_amount = 0
for mouvement in self.mouvements:
for mouvement_hash in mouvements:
self.mouvements.append(Mouvement(self.amount.currency,
self.base_currency, mouvement_hash))
+ self.mouvements.sort(key= lambda x: x.date)
def cancel(self):
if self.market.debug:
self.market.report.log_debug_action("Mark {} as cancelled".format(self))
self.status = "canceled"
return
- if self.open and self.id is not None:
+ if (self.status == "closed_dust_remaining" or self.open) and self.id is not None:
try:
self.market.ccxt.cancel_order(self.id)
except OrderNotFound as e: # Closed inbetween
return True
similar_trades = self.market.ccxt.fetch_my_trades(symbol=symbol, since=start_timestamp)
- # FIXME: use set instead of sorted(list(...))
for order_id in sorted(list(map(lambda x: x["order"], similar_trades))):
trades = list(filter(lambda x: x["order"] == order_id, similar_trades))
if any(x["timestamp"] < start_timestamp for x in trades):
self.action = hash_.get("type")
self.fee_rate = D(hash_.get("fee", -1))
try:
- self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S')
+ self.date = datetime.datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S')
except ValueError:
self.date = None
self.rate = D(hash_.get("rate", 0))
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff