-import ccxt
+from ccxt import ExchangeError
import time
+from decimal import Decimal as D
# Put your poloniex api key in market.py
from market import market
-# FIXME: Améliorer le bid/ask
-# FIXME: J'essayais d'utiliser plus de bitcoins que j'en avais à disposition
-# FIXME: better compute moves to avoid rounding errors
-
-def static_var(varname, value):
- def decorate(func):
- setattr(func, varname, value)
- return func
- return decorate
-
class Portfolio:
URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
liquidities = {}
def repartition_pertenthousand(cls, liquidity="medium"):
cls.parse_cryptoportfolio()
liquidities = cls.liquidities[liquidity]
- last_date = sorted(liquidities.keys())[-1]
- return liquidities[last_date]
+ cls.last_date = sorted(liquidities.keys())[-1]
+ return liquidities[cls.last_date]
@classmethod
def get_cryptoportfolio(cls):
try:
r = http.request("GET", cls.URL)
except Exception:
- return
+ return None
try:
- cls.data = json.loads(r.data)
+ cls.data = json.loads(r.data,
+ parse_int=D,
+ parse_float=D)
except json.JSONDecodeError:
cls.data = None
def clean_weights(i):
def clean_weights_(h):
- if type(h[1][i]) == str:
+ if isinstance(h[1][i], str):
return [h[0], h[1][i]]
else:
return [h[0], int(h[1][i] * 10000)]
}
class Amount:
- MAX_DIGITS = 18
-
- def __init__(self, currency, value, int_val=None, linked_to=None, ticker=None):
+ def __init__(self, currency, value, linked_to=None, ticker=None, rate=None):
self.currency = currency
- if int_val is None:
- self._value = int(value * 10**self.MAX_DIGITS)
- else:
- self._value = int_val
+ self.value = D(value)
self.linked_to = linked_to
self.ticker = ticker
+ self.rate = rate
self.ticker_cache = {}
self.ticker_cache_timestamp = time.time()
- @property
- def value(self):
- return self._value / 10 ** self.MAX_DIGITS
-
- def in_currency(self, other_currency, market, action="average"):
+ def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"):
if other_currency == self.currency:
return self
- asset_ticker = self.get_ticker(other_currency, market)
+ if rate is not None:
+ return Amount(
+ other_currency,
+ self.value * rate,
+ linked_to=self,
+ rate=rate)
+ asset_ticker = Trade.get_ticker(self.currency, other_currency, market)
if asset_ticker is not None:
+ rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value)
return Amount(
other_currency,
- 0,
- int_val=int(self._value * asset_ticker[action]),
+ self.value * rate,
linked_to=self,
- ticker=asset_ticker)
+ ticker=asset_ticker,
+ rate=rate)
else:
raise Exception("This asset is not available in the chosen market")
- def get_ticker(self, c2, market, refresh=False):
- c1 = self.currency
-
- def invert(ticker):
- return {
- "inverted": True,
- "average": (float(1/ticker["bid"]) + float(1/ticker["ask"]) ) / 2,
- "notInverted": 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, market.__class__) in self.ticker_cache:
- return self.ticker_cache[(c1, c2, market.__class__)]
- if (c2, c1, market.__class__) in self.ticker_cache:
- return invert(self.ticker_cache[(c2, c1, market.__class__)])
-
- try:
- self.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2))
- augment_ticker(self.ticker_cache[(c1, c2, market.__class__)])
- except ccxt.ExchangeError:
- try:
- self.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1))
- augment_ticker(self.ticker_cache[(c2, c1, market.__class__)])
- except ccxt.ExchangeError:
- self.ticker_cache[(c1, c2, market.__class__)] = None
- return self.get_ticker(c2, market)
-
def __abs__(self):
- return Amount(self.currency, 0, int_val=abs(self._value))
+ return Amount(self.currency, abs(self.value))
def __add__(self, other):
- if other.currency != self.currency and other._value * self._value != 0:
+ if other.currency != self.currency and other.value * self.value != 0:
raise Exception("Summing amounts must be done with same currencies")
- return Amount(self.currency, 0, int_val=self._value + other._value)
+ return Amount(self.currency, self.value + other.value)
def __radd__(self, other):
if other == 0:
return self.__add__(other)
def __sub__(self, other):
- if other.currency != self.currency and other._value * self._value != 0:
+ if other.currency != self.currency and other.value * self.value != 0:
raise Exception("Summing amounts must be done with same currencies")
- return Amount(self.currency, 0, int_val=self._value - other._value)
-
- def __int__(self):
- return self._value
+ return Amount(self.currency, self.value - other.value)
def __mul__(self, value):
- if type(value) != int and type(value) != float:
+ if not isinstance(value, (int, float, D)):
raise TypeError("Amount may only be multiplied by numbers")
- return Amount(self.currency, 0, int_val=(self._value * value))
+ return Amount(self.currency, self.value * value)
def __rmul__(self, value):
return self.__mul__(value)
def __floordiv__(self, value):
- if type(value) != int:
+ if not isinstance(value, (int, float, D)):
raise TypeError("Amount may only be multiplied by integers")
- return Amount(self.currency, 0, int_val=(self._value // value))
+ return Amount(self.currency, self.value / value)
def __truediv__(self, value):
return self.__floordiv__(value)
def __lt__(self, other):
if self.currency != other.currency:
raise Exception("Comparing amounts must be done with same currencies")
- return self._value < other._value
+ return self.value < other.value
def __eq__(self, other):
if other == 0:
- return self._value == 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
+ return self.value == other.value
def __str__(self):
if self.linked_to is None:
class Balance:
known_balances = {}
- trades = {}
def __init__(self, currency, total_value, free_value, used_value):
self.currency = currency
return cls(currency, hash_["total"], hash_["free"], hash_["used"])
@classmethod
- def in_currency(cls, other_currency, market, action="average", type="total"):
+ def in_currency(cls, other_currency, market, compute_value="average", type="total"):
amounts = {}
for currency in cls.known_balances:
balance = cls.known_balances[currency]
other_currency_amount = getattr(balance, type)\
- .in_currency(other_currency, market, action=action)
+ .in_currency(other_currency, market, compute_value=compute_value)
amounts[currency] = other_currency_amount
return amounts
for key in hash_:
if key in ["info", "free", "used", "total"]:
continue
- if hash_[key]["total"] > 0:
+ if hash_[key]["total"] > 0 or key in cls.known_balances:
cls.known_balances[key] = cls.from_hash(key, hash_[key])
@classmethod
return cls.known_balances
@classmethod
- def dispatch_assets(cls, amount):
- repartition_pertenthousand = Portfolio.repartition_pertenthousand()
- sum_pertenthousand = sum([v for k, v in repartition_pertenthousand.items()])
+ def dispatch_assets(cls, amount, repartition=None):
+ if repartition is None:
+ repartition = Portfolio.repartition_pertenthousand()
+ sum_pertenthousand = sum([v for k, v in repartition.items()])
amounts = {}
- for currency, ptt in repartition_pertenthousand.items():
+ for currency, ptt in repartition.items():
amounts[currency] = ptt * amount / sum_pertenthousand
if currency not in cls.known_balances:
cls.known_balances[currency] = cls(currency, 0, 0, 0)
return amounts
@classmethod
- def prepare_trades(cls, market, base_currency="BTC"):
+ def prepare_trades(cls, market, base_currency="BTC", compute_value="average"):
cls.fetch_balances(market)
- values_in_base = cls.in_currency(base_currency, 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)
+ # 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, market=market)
+
+ @classmethod
+ def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None):
+ 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.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"):
+ 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, repartition={ base_currency: 1 })
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))
+class Computation:
+ computations = {
+ "default": lambda x, y: x[y],
+ "average": lambda x, y: x["average"],
+ "bid": lambda x, y: x["bid"],
+ "ask": lambda x, y: x["ask"],
+ }
+
+
class Trade:
trades = {}
self.value_from = value_from
self.value_to = value_to
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
self.base_currency = self.value_from.currency
- if market is not None:
- self.prepare_order(market)
+ fees_cache = {}
+ @classmethod
+ def fetch_fees(cls, market):
+ if market.__class__ not in cls.fees_cache:
+ cls.fees_cache[market.__class__] = market.fetch_fees()
+ return cls.fees_cache[market.__class__]
+ ticker_cache = {}
+ ticker_cache_timestamp = time.time()
@classmethod
- def compute_trades(cls, values_in_base, new_repartition, market=None):
+ def get_ticker(cls, c1, c2, market, 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() - cls.ticker_cache_timestamp > 5:
+ cls.ticker_cache = {}
+ cls.ticker_cache_timestamp = time.time()
+ elif not refresh:
+ if (c1, c2, market.__class__) in cls.ticker_cache:
+ return cls.ticker_cache[(c1, c2, market.__class__)]
+ if (c2, c1, market.__class__) in cls.ticker_cache:
+ return invert(cls.ticker_cache[(c2, c1, market.__class__)])
+
+ try:
+ cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2))
+ augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)])
+ except ExchangeError:
+ try:
+ cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1))
+ augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)])
+ except ExchangeError:
+ cls.ticker_cache[(c1, c2, market.__class__)] = None
+ return cls.get_ticker(c1, c2, market)
+
+ @classmethod
+ 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
- cls.trades[currency] = cls(
+ trade = cls(
values_in_base.get(currency, Amount(base_currency, 0)),
new_repartition.get(currency, Amount(base_currency, 0)),
currency,
market=market
)
+ if only is None or trade.action == only:
+ cls.trades[currency] = trade
return cls.trades
+ @classmethod
+ def prepare_orders(cls, only=None, compute_value="default"):
+ for currency, trade in cls.trades.items():
+ if only is None or trade.action == only:
+ trade.prepare_order(compute_value=compute_value)
+
@property
def action(self):
if self.value_from == self.value_to:
else:
return "sell"
- def ticker_action(self, inverted):
+ def order_action(self, inverted):
if self.value_from < self.value_to:
- return "ask" if not inverted else "bid"
+ return "buy" if not inverted else "sell"
else:
- return "bid" if not inverted else "ask"
+ return "sell" if not inverted else "buy"
- def prepare_order(self, market):
+ def prepare_order(self, compute_value="default"):
if self.action is None:
return
ticker = self.value_from.ticker
inverted = ticker["inverted"]
+ if inverted:
+ ticker = ticker["original"]
+ rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
+ # 0.1
+
+ 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:
- value_from = self.value_from.linked_to
- value_to = self.value_to.in_currency(self.currency, market)
- delta = abs(value_to - value_from)
+ if self.action == "sell":
+ # 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
+ # value_from = 100 FOO
+ value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
+ # value_to = 10 FOO (1 BTC * 1/0.1)
+ delta = abs(value_to - value_from)
+ # delta = 90 FOO
+ # Action: "sell" "90 FOO" at rate "0.1" "BTC" on "market"
+
+ # Note: no rounding error possible: if we have value_to == 0, then delta == value_from
+ else:
+ delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate)
+ # I want to buy 9 / 0.1 FOO
+ # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market"
+
+ # FIXME: Need to round up to the correct amount of FOO in case
+ # we want to use all BTC
currency = self.base_currency
+ # BTC
else:
- ticker = ticker["notInverted"]
- delta = abs(self.value_to - self.value_from)
+ if self.action == "sell":
+ # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
+ # At rate 1 Foo = 0.1 BTC
+ delta = delta_in_base
+ # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market
+
+ # FIXME: Need to round up to the correct amount of FOO in case
+ # we want to sell all
+ else:
+ delta = delta_in_base
+ # I want to buy 9 / 0.1 FOO
+ # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
+
+ # FIXME: Need to round up to the correct amount of FOO in case
+ # we want to use all BTC
+
currency = self.currency
+ # FOO
- rate = ticker[self.ticker_action(inverted)]
+ self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market))
- self.orders.append(Order(self.ticker_action(inverted), delta, rate, currency))
+ @classmethod
+ def compute_value(cls, ticker, action, compute_value="default"):
+ if isinstance(compute_value, str):
+ compute_value = Computation.computations[compute_value]
+ return compute_value(ticker, action)
+
+ @classmethod
+ def all_orders(cls, state=None):
+ all_orders = sum(map(lambda v: v.orders, cls.trades.values()), [])
+ if state is None:
+ return all_orders
+ else:
+ return list(filter(lambda o: o.status == state, all_orders))
@classmethod
- def all_orders(cls):
- return sum(map(lambda v: v.orders, cls.trades.values()), [])
+ def run_orders(cls):
+ for order in cls.all_orders(state="pending"):
+ order.run()
@classmethod
- def follow_orders(cls, market):
+ def follow_orders(cls, verbose=True, sleep=30):
orders = cls.all_orders()
finished_orders = []
while len(orders) != len(finished_orders):
- time.sleep(30)
+ time.sleep(sleep)
for order in orders:
if order in finished_orders:
continue
- if order.get_status(market) != "open":
+ if order.get_status() != "open":
finished_orders.append(order)
- print("finished {}".format(order))
- print("All orders finished")
+ if verbose:
+ print("finished {}".format(order))
+ if verbose:
+ print("All orders finished")
+
+ @classmethod
+ def update_all_orders_status(cls):
+ for order in cls.all_orders(state="open"):
+ order.get_status()
def __repr__(self):
return "Trade({} -> {} in {}, {})".format(
self.currency,
self.action)
-class Order:
- DEBUG = True
+ @classmethod
+ def print_all_with_order(cls):
+ for trade in cls.trades.values():
+ trade.print_with_order()
- def __init__(self, action, amount, rate, base_currency):
+ def print_with_order(self):
+ print(self)
+ for order in self.orders:
+ print("\t", order, sep="")
+
+class Order:
+ def __init__(self, action, amount, rate, base_currency, market):
self.action = action
self.amount = amount
self.rate = rate
self.base_currency = base_currency
+ self.market = market
self.result = None
- self.status = "not run"
+ self.status = "pending"
def __repr__(self):
return "Order({} {} at {} {} [{}])".format(
self.status
)
- def run(self, market):
+ @property
+ def pending(self):
+ return self.status == "pending"
+
+ @property
+ def finished(self):
+ return self.status == "closed" or self.status == "canceled" or self.status == "error"
+
+ def run(self, debug=False):
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
amount = self.amount.value
- if self.DEBUG:
+ if debug:
print("market.create_order('{}', 'limit', '{}', {}, price={})".format(
symbol, self.action, amount, self.rate))
else:
try:
- self.result = market.create_order(symbol, 'limit', self.action, amount, price=self.rate)
+ self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate)
self.status = "open"
- except Exception:
- pass
-
- def get_status(self, market):
+ except Exception as e:
+ self.status = "error"
+ print("error when running market.create_order('{}', 'limit', '{}', {}, price={})".format(
+ symbol, self.action, amount, self.rate))
+ self.error_message = str("{}: {}".format(e.__class__.__name__, e))
+ print(self.error_message)
+
+ def get_status(self):
# other states are "closed" and "canceled"
if self.status == "open":
- result = market.fetch_order(self.result['id'])
+ result = self.market.fetch_order(self.result['id'])
self.status = result["status"]
return self.status
-@static_var("cache", {})
-def fetch_fees(market):
- if market.__class__ not in fetch_fees.cache:
- fetch_fees.cache[market.__class__] = market.fetch_fees()
- return fetch_fees.cache[market.__class__]
+ def cancel(self):
+ self.market.cancel_order(self.result['id'])
def print_orders(market, base_currency="BTC"):
- Balance.prepare_trades(market, base_currency=base_currency)
- for currency, trade in Trade.trades.items():
- print(trade)
- for order in trade.orders:
- print("\t", order, sep="")
+ Balance.prepare_trades(market, base_currency=base_currency, compute_value="average")
+ Trade.prepare_orders(compute_value="average")
+ for currency, balance in Balance.known_balances.items():
+ print(balance)
+ portfolio.Trade.print_all_with_order()
def make_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency)
print(trade)
for order in trade.orders:
print("\t", order, sep="")
- order.run(market)
+ order.run()
if __name__ == '__main__':
print_orders(market)
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff