from ccxt import ExchangeError
import time
-from decimal import Decimal as D
+from decimal import Decimal as D, ROUND_DOWN
# Put your poloniex api key in market.py
from market import market
data = None
@classmethod
- def repartition_pertenthousand(cls, liquidity="medium"):
+ def repartition(cls, liquidity="medium"):
cls.parse_cryptoportfolio()
liquidities = cls.liquidities[liquidity]
cls.last_date = sorted(liquidities.keys())[-1]
cls.get_cryptoportfolio()
def filter_weights(weight_hash):
- if weight_hash[1] == 0:
+ if weight_hash[1][0] == 0:
return False
if weight_hash[0] == "_row":
return False
def clean_weights(i):
def clean_weights_(h):
- if isinstance(h[1][i], str):
- return [h[0], h[1][i]]
+ if h[0].endswith("s"):
+ return [h[0][0:-1], (h[1][i], "short")]
else:
- return [h[0], int(h[1][i] * 10000)]
+ return [h[0], (h[1][i], "long")]
return clean_weights_
def parse_weights(portfolio_hash):
- # FIXME: we'll need shorts at some point
- assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"]))
weights_hash = portfolio_hash["weights"]
weights = {}
for i in range(len(weights_hash["_row"])):
else:
raise Exception("This asset is not available in the chosen market")
+ def __round__(self, n=8):
+ return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN))
+
def __abs__(self):
return Amount(self.currency, abs(self.value))
for key in hash_:
if key in ["info", "free", "used", "total"]:
continue
- if hash_[key]["total"] > 0 or key in cls.known_balances:
+ 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())
return cls.known_balances
+ # FIXME:Separate balances per trade type and in position
+ # Need to check how balances in position are represented
+
@classmethod
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()])
+ repartition = Portfolio.repartition()
+ sum_ratio = sum([v[0] for k, v in repartition.items()])
amounts = {}
- for currency, ptt in repartition.items():
- amounts[currency] = ptt * amount / sum_pertenthousand
+ for currency, (ptt, trade_type) in repartition.items():
+ amounts[currency] = ptt * amount / sum_ratio
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, market=market)
+ Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
@classmethod
def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None):
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)
+ trade_types = cls.dispatch_trade_types()
+ Trade.compute_trades(values_in_base, new_repartition, trade_types, 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)
+ 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)
def __repr__(self):
return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total))
"ask": lambda x, y: x["ask"],
}
-
class Trade:
trades = {}
- def __init__(self, value_from, value_to, currency, market=None):
+ def __init__(self, value_from, value_to, currency, trade_type, 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
return cls.get_ticker(c1, c2, market)
@classmethod
- def compute_trades(cls, values_in_base, new_repartition, only=None, market=None):
+ def compute_trades(cls, values_in_base, new_repartition, trade_types, only=None, market=None):
base_currency = sum(values_in_base.values()).currency
for currency in Balance.currencies():
if currency == base_currency:
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:
return "sell"
def order_action(self, inverted):
- if self.value_from < self.value_to:
- return "buy" if not inverted else "sell"
+ # a xor b xor c
+ if (self.trade_type == "short") != ((self.value_from < self.value_to) != inverted):
+ return "buy"
else:
- return "sell" if not inverted else "buy"
+ return "sell"
def prepare_order(self, compute_value="default"):
if self.action is None:
return
- ticker = self.value_from.ticker
+ ticker = Trade.get_ticker(self.currency, self.base_currency, self.market)
inverted = ticker["inverted"]
if inverted:
ticker = ticker["original"]
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":
# 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.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:
- 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
+ delta = delta_in_base
+ # 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
+ # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market
+ # buy:
+ # 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.market))
+ self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.trade_type, self.market))
@classmethod
def compute_value(cls, ticker, action, compute_value="default"):
+ if action == "buy":
+ action = "ask"
+ if action == "sell":
+ action = "bid"
if isinstance(compute_value, str):
compute_value = Computation.computations[compute_value]
return compute_value(ticker, action)
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.action,
+ self.trade_type)
@classmethod
def print_all_with_order(cls):
print("\t", order, sep="")
class Order:
- def __init__(self, action, amount, rate, base_currency, market, account="exchange"):
+ def __init__(self, action, amount, rate, base_currency, trade_type, market):
self.action = action
self.amount = amount
self.rate = rate
self.base_currency = base_currency
self.market = market
- self.account = account
+ self.trade_type = trade_type
self.result = None
self.status = "pending"
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
)
+ @property
+ def account(self):
+ if self.trade_type == "long":
+ return "exchange"
+ else:
+ return "margin"
+
@property
def pending(self):
return self.status == "pending"
def run(self, debug=False):
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
- amount = self.amount.value
+ amount = round(self.amount, self.market.order_precision(symbol)).value
if debug:
print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
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:
Trade.prepare_orders(compute_value="average")
for currency, balance in Balance.known_balances.items():
print(balance)
- portfolio.Trade.print_all_with_order()
+ Trade.print_all_with_order()
def make_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency)
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff