import inspect
from json import JSONDecodeError
from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
+import dbs
__all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"]
"args": args,
})
- def log_balances(self, tag=None):
+ def log_balances(self, tag=None, checkpoint=None, tickers=None,
+ ticker_currency=None, compute_value=None, type=None):
self.print_log("[Balance]")
for currency, balance in self.market.balances.all.items():
self.print_log("\t{}".format(balance))
log = {
"type": "balance",
"tag": tag,
+ "checkpoint": checkpoint,
"balances": self.market.balances.as_json()
}
+ if tickers is not None:
+ log["tickers"] = self._ticker_hash(tickers, ticker_currency,
+ compute_value, type)
+
self.add_log(log.copy())
self.add_redis_status(log)
def log_tickers(self, amounts, other_currency,
compute_value, type):
+ log = self._ticker_hash(amounts, other_currency, compute_value,
+ type)
+ log["type"] = "tickers"
+
+ self.add_log(log)
+
+ def _ticker_hash(self, amounts, other_currency, compute_value, type):
values = {}
rates = {}
if callable(compute_value):
for currency, amount in amounts.items():
values[currency] = amount.as_json()["value"]
rates[currency] = amount.rate
- log = {
- "type": "tickers",
+ return {
"compute_value": compute_value,
"balance_type": type,
"currency": other_currency,
"total": sum(amounts.values()).as_json()["value"]
}
- self.add_log(log.copy())
- self.add_redis_status(log)
-
def log_dispatch(self, amount, amounts, liquidity, repartition):
self.add_log({
"type": "dispatch",
compute_value, type)
return amounts
- def fetch_balances(self, tag=None):
+ def fetch_balances(self, tag=None, add_portfolio=False, liquidity="medium",
+ checkpoint=None, log_tickers=False, add_usdt=False,
+ ticker_currency="BTC", ticker_compute_value="average", ticker_type="total"):
all_balances = self.market.ccxt.fetch_all_balances()
for currency, balance in all_balances.items():
if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
currency in self.all:
self.all[currency] = portfolio.Balance(currency, balance)
- self.market.report.log_balances(tag=tag)
+ if add_portfolio:
+ for currency in Portfolio.repartition(from_cache=True, liquidity=liquidity):
+ self.all.setdefault(currency, portfolio.Balance(currency, {}))
+ if add_usdt:
+ self.all.setdefault("USDT", portfolio.Balance("USDT", {}))
+ if log_tickers:
+ tickers = self.in_currency(ticker_currency, compute_value=ticker_compute_value, type=ticker_type)
+ self.market.report.log_balances(tag=tag, checkpoint=checkpoint,
+ tickers=tickers, ticker_currency=ticker_currency,
+ compute_value=ticker_compute_value, type=ticker_type)
+ else:
+ self.market.report.log_balances(tag=tag, checkpoint=checkpoint)
+
+ def available_balances_for_repartition(self,
+ compute_value="average", base_currency="BTC",
+ liquidity="medium", repartition=None):
+ if repartition is None:
+ repartition = Portfolio.repartition(liquidity=liquidity)
+ base_currency_balance = self.all.get(base_currency)
+
+ if base_currency_balance is None:
+ total_base_value = portfolio.Amount(base_currency, 0)
+ else:
+ total_base_value = base_currency_balance.exchange_free + \
+ base_currency_balance.margin_available - \
+ base_currency_balance.margin_in_position
+
+ amount_in_position = {}
+
+ # Compute balances already in the target position
+ for currency, (ptt, trade_type) in repartition.items():
+ amount_in_position[currency] = portfolio.Amount(base_currency, 0)
+ balance = self.all.get(currency)
+ if currency != base_currency and balance is not None:
+ if trade_type == "short":
+ amount = balance.margin_borrowed
+ else:
+ amount = balance.exchange_free + balance.exchange_used
+ amount_in_position[currency] = amount.in_currency(base_currency,
+ self.market, compute_value=compute_value)
+ total_base_value += amount_in_position[currency]
+
+ # recursively delete more-than-filled positions from the wanted
+ # repartition
+ did_delete = True
+ while did_delete:
+ did_delete = False
+ sum_ratio = sum([v[0] for k, v in repartition.items()])
+ current_base_value = total_base_value
+ for currency, (ptt, trade_type) in repartition.copy().items():
+ if amount_in_position[currency] > current_base_value * ptt / sum_ratio:
+ did_delete = True
+ del(repartition[currency])
+ total_base_value -= amount_in_position[currency]
+ return repartition, total_base_value, amount_in_position
def dispatch_assets(self, amount, liquidity="medium", repartition=None):
if repartition is None:
worker_started = False
worker_notify = None
callback = None
+ poll_started_at = None
+
+ @classmethod
+ def next_wait_time(cls):
+ now = datetime.datetime.now()
+ if cls.poll_started_at is None:
+ cls.poll_started_at = now
+ delta = now - cls.poll_started_at
+
+ if delta < datetime.timedelta(minutes=30):
+ return 30
+ elif delta < datetime.timedelta(hours=1):
+ return 60
+ elif delta < datetime.timedelta(hours=4):
+ return 5*60
+ elif delta < datetime.timedelta(days=1):
+ return 60*60
+ else:
+ raise Exception("Too long waiting")
@classmethod
- def start_worker(cls, poll=30):
+ def start_worker(cls):
import threading
cls.worker = threading.Thread(name="portfolio", daemon=True,
- target=cls.wait_for_notification, kwargs={"poll": poll})
+ target=cls.wait_for_notification)
cls.worker_notify = threading.Event()
cls.callback = threading.Event()
return cls.worker == threading.current_thread()
@classmethod
- def wait_for_notification(cls, poll=30):
+ def wait_for_notification(cls):
if not cls.is_worker_thread():
raise RuntimeError("This method needs to be ran with the worker")
while cls.worker_started:
cls.report.print_log("[Worker] Fetching cryptoportfolio")
cls.get_cryptoportfolio(refetch=True)
cls.callback.set()
- time.sleep(poll)
+ try:
+ time.sleep(cls.next_wait_time())
+ except Exception:
+ cls.stop_worker()
@classmethod
def stop_worker(cls):
cls.callback.wait()
@classmethod
- def wait_for_recent(cls, delta=4, poll=30):
+ def wait_for_recent(cls, delta=4):
cls.get_cryptoportfolio()
while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta):
if cls.worker is None:
- time.sleep(poll)
+ time.sleep(cls.next_wait_time())
cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
cls.get_cryptoportfolio(refetch=True)
@classmethod
- def repartition(cls, liquidity="medium"):
+ def repartition(cls, liquidity="medium", from_cache=False):
+ if from_cache:
+ cls.retrieve_cryptoportfolio()
cls.get_cryptoportfolio()
liquidities = cls.liquidities.get(liquidity)
- return liquidities[cls.last_date.get()]
+ if liquidities is not None and cls.last_date.get() in liquidities:
+ return liquidities[cls.last_date.get()].copy()
@classmethod
def get_cryptoportfolio(cls, refetch=False):
if cls.data.get() is not None and not refetch:
return
if cls.worker is not None and not cls.is_worker_thread():
+ if not cls.worker_started:
+ raise Exception("Portfolio worker is down and no usable data is present")
cls.notify_and_wait()
return
try:
try:
cls.data.set(r.json(parse_int=D, parse_float=D))
cls.parse_cryptoportfolio()
- except (JSONDecodeError, SimpleJSONDecodeError):
+ cls.store_cryptoportfolio()
+ except (AssertionError, JSONDecodeError, SimpleJSONDecodeError):
cls.data.set(None)
cls.last_date.set(None)
cls.liquidities.set({})
+ @classmethod
+ def retrieve_cryptoportfolio(cls):
+ if dbs.redis_connected():
+ repartition = dbs.redis.get("/cryptoportfolio/repartition/latest")
+ date = dbs.redis.get("/cryptoportfolio/repartition/date")
+ if date is not None and repartition is not None:
+ date = datetime.datetime.strptime(date.decode(), "%Y-%m-%d")
+ repartition = json.loads(repartition, parse_int=D, parse_float=D)
+ repartition = { k: { date: v } for k, v in repartition.items() }
+
+ cls.data.set("")
+ cls.last_date.set(date)
+ cls.liquidities.set(repartition)
+
+ @classmethod
+ def store_cryptoportfolio(cls):
+ if dbs.redis_connected():
+ hash_ = {}
+ for liquidity, repartitions in cls.liquidities.items():
+ hash_[liquidity] = repartitions[cls.last_date.get()]
+ dump = json.dumps(hash_)
+ key = "/cryptoportfolio/repartition/latest"
+ dbs.redis.set(key, dump)
+ key = "/cryptoportfolio/repartition/date"
+ dbs.redis.set(key, cls.last_date.date().isoformat())
+
@classmethod
def parse_cryptoportfolio(cls):
def filter_weights(weight_hash):
high_liquidity = parse_weights(cls.data.get("portfolio_1"))
medium_liquidity = parse_weights(cls.data.get("portfolio_2"))
+ assert len(high_liquidity) > 0
+ assert len(medium_liquidity) > 0
cls.liquidities.set({
"medium": medium_liquidity,
"high": high_liquidity,
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff