Store currency conversion rate and use it in trade computations

[perso/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Trader.git] / portfolio.py

diff --git a/portfolio.py b/portfolio.py
index e1ee1f8671c4bc9d479b15e01f5e2f14572d7804..6d51989e2ae39d55f9f54f86291a6b4820e96782 100644 (file)
--- a/portfolio.py
+++ b/portfolio.py
@@ -8,12 +8,6 @@ from market import market
 # 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 = {}
@@ -86,25 +80,34 @@ class Portfolio:
 class Amount:
     MAX_DIGITS = 18
 
-    def __init__(self, currency, value, linked_to=None, ticker=None):
+    def __init__(self, currency, value, linked_to=None, ticker=None, rate=None):
         self.currency = currency
         self.value = D(value)
         self.linked_to = linked_to
         self.ticker = ticker
+        self.rate = rate
 
         self.ticker_cache = {}
         self.ticker_cache_timestamp = time.time()
 
-    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
+        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,
-                    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")
 
@@ -181,12 +184,12 @@ class Balance:
         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
 
@@ -219,16 +222,27 @@ class Balance:
         return amounts
 
     @classmethod
-    def prepare_trades(cls, market, base_currency="BTC"):
+    def prepare_trades(cls, market, base_currency="BTC", compute_value=None):
         cls.fetch_balances(market)
         values_in_base = cls.in_currency(base_currency, market)
         total_base_value = sum(values_in_base.values())
         new_repartition = cls.dispatch_assets(total_base_value)
-        Trade.compute_trades(values_in_base, new_repartition, market=market)
+        # Recompute it in case we have new currencies
+        values_in_base = cls.in_currency(base_currency, market)
+        Trade.compute_trades(values_in_base, new_repartition, market=market, compute_value=compute_value)
 
     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 = {}
 
@@ -288,7 +302,7 @@ class Trade:
         return cls.get_ticker(c1, c2, market)
 
     @classmethod
-    def compute_trades(cls, values_in_base, new_repartition, market=None):
+    def compute_trades(cls, values_in_base, new_repartition, market=None, compute_value=None):
         base_currency = sum(values_in_base.values()).currency
         for currency in Balance.currencies():
             if currency == base_currency:
@@ -299,7 +313,8 @@ class Trade:
                 currency,
                 market=market
                 )
-            cls.trades[currency].prepare_order()
+            if compute_value is not None:
+                cls.trades[currency].prepare_order(compute_value=compute_value)
         return cls.trades
 
     @property
@@ -320,7 +335,7 @@ class Trade:
         else:
             return "bid" if not inverted else "ask"
 
-    def prepare_order(self):
+    def prepare_order(self, compute_value="default"):
         if self.action is None:
             return
         ticker = self.value_from.ticker
@@ -328,7 +343,7 @@ class Trade:
 
         if not inverted:
             value_from = self.value_from.linked_to
-            value_to = self.value_to.in_currency(self.currency, self.market)
+            value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
             delta = abs(value_to - value_from)
             currency = self.base_currency
         else:
@@ -336,10 +351,16 @@ class Trade:
             delta = abs(self.value_to - self.value_from)
             currency = self.currency
 
-        rate = ticker[self.order_action(inverted)]
+        rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
 
         self.orders.append(Order(self.order_action(inverted), delta, rate, currency))
 
+    @classmethod
+    def compute_value(cls, ticker, action, compute_value="default"):
+        if type(compute_value) == str:
+            compute_value = Computation.computations[compute_value]
+        return compute_value(ticker, action)
+
     @classmethod
     def all_orders(cls):
         return sum(map(lambda v: v.orders, cls.trades.values()), [])
@@ -407,7 +428,7 @@ class Order:
         return self.status
 
 def print_orders(market, base_currency="BTC"):
-    Balance.prepare_trades(market, base_currency=base_currency)
+    Balance.prepare_trades(market, base_currency=base_currency, compute_value="average")
     for currency, balance in Balance.known_balances.items():
         print(balance)
     for currency, trade in Trade.trades.items():