+++ /dev/null
-import ccxt
-# Put your poloniex api key in market.py
-from market import market
-
-def static_var(varname, value):
- def decorate(func):
- setattr(func, varname, value)
- return func
- return decorate
-
-max_digits = 18
-
-repartition_pertenthousand = {
- "BTC": 2857,
- "ZEC": 3701,
- "DOGE": 1805,
- "DGB": 1015,
- "SC": 623,
- }
-
-
-def formatted_price(value):
- return round(value / 10**max_digits, 8)
-
-@static_var("cache", {})
-def get_ticker(c1, c2, market):
- def invert(ticker):
- return {
- "inverted": True,
- "bid": float(1/ticker["ask"]),
- "ask": float(1/ticker["bid"]),
- "bidA": float(1/ticker["askA"]),
- "askA": float(1/ticker["bidA"]),
- "bidE": float(1/ticker["askE"]),
- "askE": float(1/ticker["bidE"]),
- }
- def augment_ticker(ticker):
- bid_factor = 1.01
- ask_factor = 0.99
- fees = fetch_fees(market)
- # FIXME: need to do better than just a multiplier
- ticker.update({
- "inverted": False,
- # Adjusted
- "bidA": ticker["bid"] * bid_factor,
- "askA": ticker["ask"] * ask_factor,
- # Expected in the end
- "bidE": ticker["bid"] * bid_factor * (1 - fees["maker"]),
- "askE": ticker["ask"] * ask_factor * (1 - fees["maker"]),
- # fees
- "bidF": ticker["bid"] * bid_factor * fees["maker"],
- "askF": ticker["ask"] * ask_factor * fees["maker"],
- })
-
- if (c1, c2, market.__class__) in get_ticker.cache:
- return get_ticker.cache[(c1, c2, market.__class__)]
- if (c2, c1, market.__class__) in get_ticker.cache:
- return invert(get_ticker.cache[(c2, c1, market.__class__)])
-
- try:
- get_ticker.cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2))
- augment_ticker(get_ticker.cache[(c1, c2, market.__class__)])
- except ccxt.ExchangeError:
- try:
- get_ticker.cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1))
- augment_ticker(get_ticker.cache[(c2, c1, market.__class__)])
- except ccxt.ExchangeError:
- get_ticker.cache[(c1, c2, market.__class__)] = None
- return get_ticker(c1, c2, market)
-
-def fetch_balances(market):
- balances = {}
- fetched_balance = market.fetch_balance()
- for key, value in fetched_balance["total"].items():
- if value > 0:
- balances[key] = int(value * 10**max_digits)
- return balances
-
-@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 assets_value(assets, market, base_currency="BTC"):
- repartition_in_base_currency = {}
- for currency, asset_value in assets.items():
- if currency == base_currency:
- repartition_in_base_currency[currency] = [asset_value, 0]
- else:
- asset_ticker = get_ticker(currency, base_currency, market)
- if asset_ticker is None:
- raise Exception("This asset is not available in the chosen market")
- repartition_in_base_currency[currency] = [
- int(asset_ticker["bidE"] * asset_value),
- int(asset_ticker["bidF"] * asset_value)
- ]
-
- return repartition_in_base_currency
-
-def dispatch_assets(base_currency_value, repartition_pertenthousand, market, base_currency="BTC"):
- sum_pertenthousand = sum([v for k, v in repartition_pertenthousand.items()])
- repartition_in_base_currency = {}
- for currency, ptt in repartition_pertenthousand.items():
- repartition_in_base_currency[currency] = int(ptt * base_currency_value / sum_pertenthousand)
- return repartition_in_base_currency
-
-def compute_moves(current_assets, repartition_pertenthousand, market, no_fees=True, base_currency="BTC"):
- value_in_base = assets_value(current_assets, market, base_currency=base_currency)
- total_base_value = sum([ v[0] for k, v in value_in_base.items()])
-
- new_repartition = dispatch_assets(total_base_value, repartition_pertenthousand, market, base_currency=base_currency)
- mouvements = {}
-
- if no_fees:
- for key in set(value_in_base.keys()).union(set(new_repartition.keys())):
- mouvements[key] = value_in_base.get(key, [0, 0])[0] - new_repartition.get(key, 0)
- else:
- for key in set(value_in_base.keys()).union(set(new_repartition.keys())):
- value, fee = value_in_base.get(key, [0, 0])
- mouvements[key] = [value - new_repartition.get(key, 0), fee]
-
- return mouvements
-
-def compute_order(currency, value, market, base_currency="BTC"):
- if currency == base_currency or value == 0:
- return [None, 0, False]
-
- asset_ticker = get_ticker(currency, base_currency, market)
- if asset_ticker["inverted"]:
- asset_ticker = get_ticker(base_currency, currency, market)
- if value > 0:
- rate = asset_ticker["askA"]
- return ["buy", rate, True]
- else:
- rate = asset_ticker["bidA"]
- return ["sell", rate, True]
- else:
- if value > 0:
- rate = asset_ticker["bidA"]
- return ["sell", rate, False]
- else:
- rate = asset_ticker["askA"]
- return ["buy", rate, False]
-
-def make_order(currency, value, market, base_currency="BTC"):
- action, rate, inverted = compute_order(currency, value, market, base_currency=base_currency)
- amount = formatted_price(abs(value))
- if not inverted:
- symbol = "{}/{}".format(currency, base_currency)
- else:
- symbol = "{}/{}".format(base_currency, currency)
- return market.create_order(symbol, 'limit', action, amount, price=rate)
-
-def make_orders(current_assets, repartition_pertenthousand, market, base_currency="BTC"):
- mouvements = compute_moves(
- current_assets,
- repartition_pertenthousand,
- market,
- base_currency=base_currency)
-
- results = []
- for currency, value in sorted(mouvements.items(), key=lambda x: x[1]):
- # FIXME: wait for sales to finish
- results.append(make_order(currency, value, market, base_currency=base_currency))
- return results
-
-def print_assets(assets, indent="", market=None, base_currency="BTC"):
- if market is not None:
- format_string = "{}{} {} ({} {})"
- else:
- format_string = "{}{} {}"
- base_currency_price = 0
-
- for currency, value in assets.items():
- if market is not None:
- asset_ticker = get_ticker(currency, base_currency, market)
- base_currency_price = asset_ticker["bidE"] * value
- print(format_string.format(
- indent,
- formatted_price(value),
- currency,
- formatted_price(base_currency_price),
- base_currency))
-
-def print_orders(current_assets, repartition_pertenthousand, market, base_currency="BTC"):
- mouvements = compute_moves(
- current_assets,
- repartition_pertenthousand,
- market,
- no_fees=False,
- base_currency=base_currency)
-
- for currency, [value, fee] in mouvements.items():
- action, rate, inverted = compute_order(
- currency,
- value,
- market,
- base_currency=base_currency)
- if action is not None:
- currency_price = int(value / rate)
-
- if not inverted:
- c1, c2 = [base_currency, currency]
- v1, v2 = [value, currency_price]
- else:
- c1, c2 = [currency, base_currency]
- v1, v2 = [currency_price, value]
-
- print("need to {} {} {}'s worth of {}, i.e. {} {} ( + {} {} fee)".format(
- action,
- formatted_price(abs(v1)), c1,
- c2,
- formatted_price(abs(v2)), c2,
- formatted_price(fee), c2))
-
-current_assets = fetch_balances(market)
-print_orders(current_assets, repartition_pertenthousand, market)
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff