+import time
+import requests
import portfolio
+import simplejson as json
+from decimal import Decimal as D, ROUND_DOWN
+from datetime import date, datetime, timedelta
+import inspect
+from json import JSONDecodeError
+from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
-__all__ = ["BalanceStore", "TradeStore"]
+__all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"]
+
+class ReportStore:
+ def __init__(self, market, verbose_print=True):
+ self.market = market
+ self.verbose_print = verbose_print
+
+ self.logs = []
+
+ def print_log(self, message):
+ message = str(message)
+ if self.verbose_print:
+ print(message)
+
+ def add_log(self, hash_):
+ hash_["date"] = datetime.now()
+ self.logs.append(hash_)
+
+ def to_json(self):
+ def default_json_serial(obj):
+ if isinstance(obj, (datetime, date)):
+ return obj.isoformat()
+ return str(obj)
+ return json.dumps(self.logs, default=default_json_serial, indent=" ")
+
+ def set_verbose(self, verbose_print):
+ self.verbose_print = verbose_print
+
+ def log_stage(self, stage, **kwargs):
+ def as_json(element):
+ if callable(element):
+ return inspect.getsource(element).strip()
+ elif hasattr(element, "as_json"):
+ return element.as_json()
+ else:
+ return element
+
+ args = { k: as_json(v) for k, v in kwargs.items() }
+ args_str = ["{}={}".format(k, v) for k, v in args.items()]
+ self.print_log("-" * (len(stage) + 8))
+ self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str)))
+
+ self.add_log({
+ "type": "stage",
+ "stage": stage,
+ "args": args,
+ })
+
+ def log_balances(self, tag=None):
+ self.print_log("[Balance]")
+ for currency, balance in self.market.balances.all.items():
+ self.print_log("\t{}".format(balance))
+
+ self.add_log({
+ "type": "balance",
+ "tag": tag,
+ "balances": self.market.balances.as_json()
+ })
+
+ def log_tickers(self, amounts, other_currency,
+ compute_value, type):
+ values = {}
+ rates = {}
+ if callable(compute_value):
+ compute_value = inspect.getsource(compute_value).strip()
+
+ for currency, amount in amounts.items():
+ values[currency] = amount.as_json()["value"]
+ rates[currency] = amount.rate
+ self.add_log({
+ "type": "tickers",
+ "compute_value": compute_value,
+ "balance_type": type,
+ "currency": other_currency,
+ "balances": values,
+ "rates": rates,
+ "total": sum(amounts.values()).as_json()["value"]
+ })
+
+ def log_dispatch(self, amount, amounts, liquidity, repartition):
+ self.add_log({
+ "type": "dispatch",
+ "liquidity": liquidity,
+ "repartition_ratio": repartition,
+ "total_amount": amount.as_json(),
+ "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
+ })
+
+ def log_trades(self, matching_and_trades, only):
+ trades = []
+ for matching, trade in matching_and_trades:
+ trade_json = trade.as_json()
+ trade_json["skipped"] = not matching
+ trades.append(trade_json)
+
+ self.add_log({
+ "type": "trades",
+ "only": only,
+ "debug": self.market.debug,
+ "trades": trades
+ })
+
+ def log_orders(self, orders, tick=None, only=None, compute_value=None):
+ if callable(compute_value):
+ compute_value = inspect.getsource(compute_value).strip()
+ self.print_log("[Orders]")
+ self.market.trades.print_all_with_order(ind="\t")
+ self.add_log({
+ "type": "orders",
+ "only": only,
+ "compute_value": compute_value,
+ "tick": tick,
+ "orders": [order.as_json() for order in orders if order is not None]
+ })
+
+ def log_order(self, order, tick, finished=False, update=None,
+ new_order=None, compute_value=None):
+ if callable(compute_value):
+ compute_value = inspect.getsource(compute_value).strip()
+ if finished:
+ self.print_log("[Order] Finished {}".format(order))
+ elif update == "waiting":
+ self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
+ elif update == "adjusting":
+ self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
+ elif update == "market_fallback":
+ self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
+ elif update == "market_adjust":
+ self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
+
+ self.add_log({
+ "type": "order",
+ "tick": tick,
+ "update": update,
+ "order": order.as_json(),
+ "compute_value": compute_value,
+ "new_order": new_order.as_json() if new_order is not None else None
+ })
+
+ def log_move_balances(self, needed, moving):
+ self.add_log({
+ "type": "move_balances",
+ "debug": self.market.debug,
+ "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
+ "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
+ })
+
+ def log_http_request(self, method, url, body, headers, response):
+ self.add_log({
+ "type": "http_request",
+ "method": method,
+ "url": url,
+ "body": body,
+ "headers": headers,
+ "status": response.status_code,
+ "response": response.text
+ })
+
+ def log_error(self, action, message=None, exception=None):
+ self.print_log("[Error] {}".format(action))
+ if exception is not None:
+ self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
+ if message is not None:
+ self.print_log("\t{}".format(message))
+
+ self.add_log({
+ "type": "error",
+ "action": action,
+ "exception_class": exception.__class__.__name__ if exception is not None else None,
+ "exception_message": str(exception) if exception is not None else None,
+ "message": message,
+ })
+
+ def log_debug_action(self, action):
+ self.print_log("[Debug] {}".format(action))
+
+ self.add_log({
+ "type": "debug_action",
+ "action": action,
+ })
class BalanceStore:
- all = {}
+ def __init__(self, market):
+ self.market = market
+ self.all = {}
- @classmethod
- def currencies(cls):
- return cls.all.keys()
+ def currencies(self):
+ return self.all.keys()
- @classmethod
- def in_currency(cls, other_currency, market, compute_value="average", type="total"):
+ def in_currency(self, other_currency, compute_value="average", type="total"):
amounts = {}
- for currency, balance in cls.all.items():
+ for currency, balance in self.all.items():
other_currency_amount = getattr(balance, type)\
- .in_currency(other_currency, market, compute_value=compute_value)
+ .in_currency(other_currency, self.market, compute_value=compute_value)
amounts[currency] = other_currency_amount
+ self.market.report.log_tickers(amounts, other_currency,
+ compute_value, type)
return amounts
- @classmethod
- def fetch_balances(cls, market):
- all_balances = market.fetch_all_balances()
+ def fetch_balances(self, tag=None):
+ 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 cls.all:
- cls.all[currency] = portfolio.Balance(currency, balance)
+ currency in self.all:
+ self.all[currency] = portfolio.Balance(currency, balance)
+ self.market.report.log_balances(tag=tag)
- @classmethod
- def dispatch_assets(cls, amount, liquidity="medium", repartition=None):
+ def dispatch_assets(self, amount, liquidity="medium", repartition=None):
if repartition is None:
- repartition = portfolio.Portfolio.repartition(liquidity=liquidity)
+ repartition = Portfolio.repartition(liquidity=liquidity)
sum_ratio = sum([v[0] for k, v in repartition.items()])
amounts = {}
for currency, (ptt, trade_type) in repartition.items():
amounts[currency] = ptt * amount / sum_ratio
if trade_type == "short":
amounts[currency] = - amounts[currency]
- if currency not in BalanceStore.all:
- cls.all[currency] = portfolio.Balance(currency, {})
+ self.all.setdefault(currency, portfolio.Balance(currency, {}))
+ self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
return amounts
+ def as_json(self):
+ return { k: v.as_json() for k, v in self.all.items() }
+
class TradeStore:
- all = []
- debug = False
+ def __init__(self, market):
+ self.market = market
+ self.all = []
- @classmethod
- def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False):
- cls.debug = cls.debug or debug
+ @property
+ def pending(self):
+ return list(filter(lambda t: t.pending, self.all))
+
+ def compute_trades(self, values_in_base, new_repartition, only=None):
+ computed_trades = []
base_currency = sum(values_in_base.values()).currency
- for currency in BalanceStore.currencies():
+ for currency in self.market.balances.currencies():
if currency == base_currency:
continue
value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
if value_from.value * value_to.value < 0:
- cls.add_trade_if_matching(
+ computed_trades.append(self.trade_if_matching(
value_from, portfolio.Amount(base_currency, 0),
- currency, only=only, market=market)
- cls.add_trade_if_matching(
+ currency, only=only))
+ computed_trades.append(self.trade_if_matching(
portfolio.Amount(base_currency, 0), value_to,
- currency, only=only, market=market)
+ currency, only=only))
else:
- cls.add_trade_if_matching(value_from, value_to,
- currency, only=only, market=market)
+ computed_trades.append(self.trade_if_matching(
+ value_from, value_to,
+ currency, only=only))
+ for matching, trade in computed_trades:
+ if matching:
+ self.all.append(trade)
+ self.market.report.log_trades(computed_trades, only)
- @classmethod
- def add_trade_if_matching(cls, value_from, value_to, currency,
- only=None, market=None):
+ def trade_if_matching(self, value_from, value_to, currency,
+ only=None):
trade = portfolio.Trade(value_from, value_to, currency,
- market=market)
- if only is None or trade.action == only:
- cls.all.append(trade)
- return True
- return False
+ self.market)
+ matching = only is None or trade.action == only
+ return [matching, trade]
- @classmethod
- def prepare_orders(cls, only=None, compute_value="default"):
- for trade in cls.all:
+ def prepare_orders(self, only=None, compute_value="default"):
+ orders = []
+ for trade in self.pending:
if only is None or trade.action == only:
- trade.prepare_order(compute_value=compute_value)
+ orders.append(trade.prepare_order(compute_value=compute_value))
+ self.market.report.log_orders(orders, only, compute_value)
- @classmethod
- def print_all_with_order(cls):
- for trade in cls.all:
- trade.print_with_order()
+ def close_trades(self):
+ for trade in self.all:
+ trade.close()
- @classmethod
- def run_orders(cls):
- for order in cls.all_orders(state="pending"):
+ def print_all_with_order(self, ind=""):
+ for trade in self.all:
+ trade.print_with_order(ind=ind)
+
+ def run_orders(self):
+ orders = self.all_orders(state="pending")
+ for order in orders:
order.run()
+ self.market.report.log_stage("run_orders")
+ self.market.report.log_orders(orders)
- @classmethod
- def all_orders(cls, state=None):
- all_orders = sum(map(lambda v: v.orders, cls.all), [])
+ def all_orders(self, state=None):
+ all_orders = sum(map(lambda v: v.orders, self.all), [])
if state is None:
return all_orders
else:
return list(filter(lambda o: o.status == state, all_orders))
- @classmethod
- def update_all_orders_status(cls):
- for order in cls.all_orders(state="open"):
+ def update_all_orders_status(self):
+ for order in self.all_orders(state="open"):
order.get_status()
+class Portfolio:
+ URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
+ liquidities = {}
+ data = None
+ last_date = None
+ report = ReportStore(None)
+
+ @classmethod
+ def wait_for_recent(cls, delta=4):
+ cls.get_cryptoportfolio()
+ while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta):
+ time.sleep(30)
+ cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
+ cls.get_cryptoportfolio(refetch=True)
+
+ @classmethod
+ def repartition(cls, liquidity="medium"):
+ cls.get_cryptoportfolio()
+ liquidities = cls.liquidities[liquidity]
+ return liquidities[cls.last_date]
+
+ @classmethod
+ def get_cryptoportfolio(cls, refetch=False):
+ if cls.data is not None and not refetch:
+ return
+ try:
+ r = requests.get(cls.URL)
+ cls.report.log_http_request(r.request.method,
+ r.request.url, r.request.body, r.request.headers, r)
+ except Exception as e:
+ cls.report.log_error("get_cryptoportfolio", exception=e)
+ return
+ try:
+ cls.data = r.json(parse_int=D, parse_float=D)
+ cls.parse_cryptoportfolio()
+ except (JSONDecodeError, SimpleJSONDecodeError):
+ cls.data = None
+ cls.liquidities = {}
+
+ @classmethod
+ def parse_cryptoportfolio(cls):
+ 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()))
+
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / blobdiff