-import time
-from datetime import datetime, timedelta
-from decimal import Decimal as D, ROUND_DOWN
-from json import JSONDecodeError
-from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
-from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound
+from datetime import datetime
from retry import retry
-import requests
-
-# FIXME: correctly handle web call timeouts
-
-class Portfolio:
- URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
- liquidities = {}
- data = None
- last_date = None
-
- @classmethod
- def wait_for_recent(cls, market, delta=4):
- cls.repartition(market, refetch=True)
- while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta):
- time.sleep(30)
- market.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
- cls.repartition(market, refetch=True)
-
- @classmethod
- def repartition(cls, market, liquidity="medium", refetch=False):
- cls.parse_cryptoportfolio(market, refetch=refetch)
- liquidities = cls.liquidities[liquidity]
- return liquidities[cls.last_date]
-
- @classmethod
- def get_cryptoportfolio(cls, market):
- try:
- r = requests.get(cls.URL)
- market.report.log_http_request(r.request.method,
- r.request.url, r.request.body, r.request.headers, r)
- except Exception as e:
- market.report.log_error("get_cryptoportfolio", exception=e)
- return
- try:
- cls.data = r.json(parse_int=D, parse_float=D)
- except (JSONDecodeError, SimpleJSONDecodeError):
- cls.data = None
-
- @classmethod
- def parse_cryptoportfolio(cls, market, refetch=False):
- if refetch or cls.data is None:
- cls.get_cryptoportfolio(market)
-
- def filter_weights(weight_hash):
- if weight_hash[1][0] == 0:
- return False
- if weight_hash[0] == "_row":
- return False
- return True
-
- def clean_weights(i):
- def clean_weights_(h):
- if h[0].endswith("s"):
- return [h[0][0:-1], (h[1][i], "short")]
- else:
- return [h[0], (h[1][i], "long")]
- return clean_weights_
-
- def parse_weights(portfolio_hash):
- weights_hash = portfolio_hash["weights"]
- weights = {}
- for i in range(len(weights_hash["_row"])):
- date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
- weights[date] = dict(filter(
- filter_weights,
- map(clean_weights(i), weights_hash.items())))
- return weights
-
- high_liquidity = parse_weights(cls.data["portfolio_1"])
- medium_liquidity = parse_weights(cls.data["portfolio_2"])
-
- cls.liquidities = {
- "medium": medium_liquidity,
- "high": high_liquidity,
- }
- cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys()))
+from decimal import Decimal as D, ROUND_DOWN
+from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce
class Computation:
computations = {
filled_amount += order.filled_amount(in_base_currency=in_base_currency)
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"],
+ }
+
+ 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]
- if tick in actions:
- update, compute_value = actions[tick]
+ 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"
for mouvement in order.mouvements:
self.market.report.print_log("{}\t\t{}".format(ind, mouvement))
+class RetryException(Exception):
+ pass
+
class Order:
def __init__(self, action, amount, rate, base_currency, trade_type, market,
trade, close_if_possible=False):
self.close_if_possible = close_if_possible
self.id = None
self.tries = 0
+ self.start_date = None
def as_json(self):
return {
def finished(self):
return self.status.startswith("closed") or self.status == "canceled" or self.status == "error"
- @retry(InsufficientFunds)
+ @retry((InsufficientFunds, RetryException, InvalidNonce))
def run(self):
self.tries += 1
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value
+ action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account)
if self.market.debug:
- self.market.report.log_debug_action("market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
- symbol, self.action, amount, self.rate, self.account))
+ self.market.report.log_debug_action(action)
self.results.append({"debug": True, "id": -1})
else:
- action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account)
+ self.start_date = 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.market.report.log_error(action, message="Retrying after timeout", exception=e)
+ # We make a specific call in case retrieve_order
+ # would raise itself
+ raise RetryException
+ else:
+ self.market.report.log_error(action, message="Giving up {} after timeouts".format(self), exception=e)
+ self.status = "error"
+ return
+ else:
+ self.market.report.log_error(action, message="Timeout, found the order")
except InsufficientFunds as e:
if self.tries < 5:
self.market.report.log_error(action, message="Retrying with reduced amount", exception=e)
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_finished_order()
# FIXME: consider open order with dust remaining as closed
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_error("cancel_order", message="Already cancelled order", exception=e)
self.fetch()
+ def retrieve_order(self):
+ symbol = "{}/{}".format(self.amount.currency, self.base_currency)
+ amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value
+ start_timestamp = self.start_date.timestamp() - 5
+
+ similar_open_orders = self.market.ccxt.fetch_orders(symbol=symbol, since=start_timestamp)
+ for order in similar_open_orders:
+ if (order["info"]["margin"] == 1 and self.account == "exchange") or\
+ (order["info"]["margin"] != 1 and self.account == "margin"):
+ i_m_tested = True # coverage bug ?!
+ continue
+ if order["info"]["side"] != self.action:
+ continue
+ amount_diff = round(
+ abs(D(order["info"]["startingAmount"]) - amount),
+ self.market.ccxt.order_precision(symbol))
+ rate_diff = round(
+ abs(D(order["info"]["rate"]) - self.rate),
+ self.market.ccxt.order_precision(symbol))
+ if amount_diff != 0 or rate_diff != 0:
+ continue
+ self.results.append({"id": order["id"]})
+ 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):
+ continue
+ if any(x["side"] != self.action for x in trades):
+ continue
+ if any(x["info"]["category"] == "exchange" and self.account == "margin" for x in trades) or\
+ any(x["info"]["category"] == "marginTrade" and self.account == "exchange" for x in trades):
+ continue
+ trade_sum = sum(D(x["info"]["amount"]) for x in trades)
+ amount_diff = round(abs(trade_sum - amount),
+ self.market.ccxt.order_precision(symbol))
+ if amount_diff != 0:
+ continue
+ if (self.action == "sell" and any(D(x["info"]["rate"]) < self.rate for x in trades)) or\
+ (self.action == "buy" and any(D(x["info"]["rate"]) > self.rate for x in trades)):
+ continue
+ self.results.append({"id": order_id})
+ return True
+
+ return False
+
class Mouvement:
def __init__(self, currency, base_currency, hash_):
self.currency = currency
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff