X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=market.py;h=9612b17406de5b45bec1e6dabb59e3e3c870d16d;hp=0cb3e67e5fc8bd1efd3542f4a06c6b0f08a46285;hb=HEAD;hpb=d24bb10c3cad1f144b76022481f46b4524873f4b diff --git a/market.py b/market.py index 0cb3e67..9612b17 100644 --- a/market.py +++ b/market.py @@ -1,7 +1,13 @@ -from ccxt import ExchangeError +from ccxt import AuthenticationError, ExchangeError, NotSupported, RequestTimeout, InvalidNonce import ccxt_wrapper as ccxt import time +import dbs from store import * +from cachetools.func import ttl_cache +from datetime import datetime +import datetime +from retry import retry +import portfolio class Market: debug = False @@ -9,70 +15,143 @@ class Market: report = None trades = None balances = None + options = None - def __init__(self, ccxt_instance, debug=False): - self.debug = debug + def __init__(self, ccxt_instance, args, **kwargs): + self.args = args + self.debug = args.debug self.ccxt = ccxt_instance self.ccxt._market = self - self.report = ReportStore(self) + self.report = ReportStore(self, verbose_print=(not args.quiet)) self.trades = TradeStore(self) self.balances = BalanceStore(self) + self.processor = Processor(self) + + self.options = kwargs.get("options", {}) + for key in ["user_id", "market_id"]: + setattr(self, key, kwargs.get(key, None)) + + self.report.log_market(self.args) @classmethod - def from_config(cls, config, debug=False): - config["apiKey"] = config.pop("key") + def from_config(cls, config, args, **kwargs): + config["apiKey"] = config.pop("key", None) ccxt_instance = ccxt.poloniexE(config) - # For requests logging - ccxt_instance.session.origin_request = ccxt_instance.session.request - ccxt_instance.session._parent = ccxt_instance + return cls(ccxt_instance, args, **kwargs) + + def store_report(self): + self.report.merge(Portfolio.report) + date = datetime.datetime.now() + if self.args.report_path is not None: + self.store_file_report(date) + if dbs.psql_connected() and self.args.report_db: + self.store_database_report(date) + if dbs.redis_connected() and self.args.report_redis: + self.store_redis_report(date) - def request_wrap(self, *args, **kwargs): - r = self.origin_request(*args, **kwargs) - self._parent._market.report.log_http_request(args[0], - args[1], kwargs["data"], kwargs["headers"], r) - return r - ccxt_instance.session.request = request_wrap.__get__(ccxt_instance.session, - ccxt_instance.session.__class__) + def store_file_report(self, date): + try: + report_file = "{}/{}_{}".format(self.args.report_path, date.isoformat(), self.user_id) + with open(report_file + ".json", "w") as f: + f.write(self.report.to_json()) + with open(report_file + ".log", "w") as f: + f.write("\n".join(map(lambda x: x[1], self.report.print_logs))) + except Exception as e: + print("impossible to store report file: {}; {}".format(e.__class__.__name__, e)) + + def store_database_report(self, date): + try: + report_query = 'INSERT INTO reports("date", "market_config_id", "debug") VALUES (%s, %s, %s) RETURNING id;' + line_query = 'INSERT INTO report_lines("date", "report_id", "type", "payload") VALUES (%s, %s, %s, %s);' + cursor = dbs.psql.cursor() + cursor.execute(report_query, (date, self.market_id, self.debug)) + report_id = cursor.fetchone()[0] + for date, type_, payload in self.report.to_json_array(): + cursor.execute(line_query, (date, report_id, type_, payload)) - return cls(ccxt_instance, debug=debug) + dbs.psql.commit() + cursor.close() + except Exception as e: + print("impossible to store report to database: {}; {}".format(e.__class__.__name__, e)) + def store_redis_report(self, date): + try: + for type_, log in self.report.to_json_redis(): + key = "/cryptoportfolio/{}/{}/{}".format(self.market_id, date.isoformat(), type_) + dbs.redis.set(key, log, ex=31*24*60*60) + key = "/cryptoportfolio/{}/latest/{}".format(self.market_id, type_) + dbs.redis.set(key, log) + key = "/cryptoportfolio/{}/latest/date".format(self.market_id) + dbs.redis.set(key, date.isoformat()) + except Exception as e: + print("impossible to store report to redis: {}; {}".format(e.__class__.__name__, e)) + + def process(self, actions, before=False, after=False): + try: + self.ccxt.check_required_credentials() + for action in actions: + if bool(before) is bool(after): + self.processor.process(action, steps="all", options=self.options) + elif before: + self.processor.process(action, steps="before", options=self.options) + elif after: + self.processor.process(action, steps="after", options=self.options) + except AuthenticationError: + self.report.log_error("market_authentication", message="Impossible to authenticate to market") + except Exception as e: + import traceback + self.report.log_error("market_process", exception=e, message=traceback.format_exc()) + finally: + self.store_report() + + @retry((RequestTimeout, InvalidNonce), tries=5) def move_balances(self): needed_in_margin = {} moving_to_margin = {} - for currency in self.balances.all: - if self.balances.all[currency].margin_free != 0: - needed_in_margin[currency] = 0 - for trade in self.trades.all: - if trade.value_to.currency not in needed_in_margin: - needed_in_margin[trade.value_to.currency] = 0 + for currency, balance in self.balances.all.items(): + needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain + for trade in self.trades.pending: + needed_in_margin.setdefault(trade.base_currency, 0) if trade.trade_type == "short": - needed_in_margin[trade.value_to.currency] += abs(trade.value_to) + needed_in_margin[trade.base_currency] -= trade.delta for currency, needed in needed_in_margin.items(): - current_balance = self.balances.all[currency].margin_free + current_balance = self.balances.all[currency].margin_available moving_to_margin[currency] = (needed - current_balance) delta = moving_to_margin[currency].value - if self.debug: - self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency])) + action = "Moving {} from exchange to margin".format(moving_to_margin[currency]) + + if self.debug and delta != 0: + self.report.log_debug_action(action) continue - if delta > 0: - self.ccxt.transfer_balance(currency, delta, "exchange", "margin") - elif delta < 0: - self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") + try: + if delta > 0: + self.ccxt.transfer_balance(currency, delta, "exchange", "margin") + elif delta < 0: + self.ccxt.transfer_balance(currency, -delta, "margin", "exchange") + except (RequestTimeout, InvalidNonce) as e: + self.report.log_error(action, message="Retrying", exception=e) + self.report.log_move_balances(needed_in_margin, moving_to_margin) + self.balances.fetch_balances() + raise e self.report.log_move_balances(needed_in_margin, moving_to_margin) self.balances.fetch_balances() - fees_cache = {} + @ttl_cache(ttl=3600) def fetch_fees(self): - if self.ccxt.__class__ not in self.fees_cache: - self.fees_cache[self.ccxt.__class__] = self.ccxt.fetch_fees() - return self.fees_cache[self.ccxt.__class__] + return self.ccxt.fetch_fees() - ticker_cache = {} - ticker_cache_timestamp = time.time() + @ttl_cache(maxsize=20, ttl=5) + def get_tickers(self, refresh=False): + try: + return self.ccxt.fetch_tickers() + except NotSupported: + return None + + @ttl_cache(maxsize=20, ttl=5) def get_ticker(self, c1, c2, refresh=False): def invert(ticker): return { @@ -85,26 +164,25 @@ class Market: "inverted": False, "average": (ticker["bid"] + ticker["ask"] ) / 2, }) + return ticker - if time.time() - self.ticker_cache_timestamp > 5: - self.ticker_cache = {} - self.ticker_cache_timestamp = time.time() - elif not refresh: - if (c1, c2, self.ccxt.__class__) in self.ticker_cache: - return self.ticker_cache[(c1, c2, self.ccxt.__class__)] - if (c2, c1, self.ccxt.__class__) in self.ticker_cache: - return invert(self.ticker_cache[(c2, c1, self.ccxt.__class__)]) - - try: - self.ticker_cache[(c1, c2, self.ccxt.__class__)] = self.ccxt.fetch_ticker("{}/{}".format(c1, c2)) - augment_ticker(self.ticker_cache[(c1, c2, self.ccxt.__class__)]) - except ExchangeError: + tickers = self.get_tickers() + if tickers is None: try: - self.ticker_cache[(c2, c1, self.ccxt.__class__)] = self.ccxt.fetch_ticker("{}/{}".format(c2, c1)) - augment_ticker(self.ticker_cache[(c2, c1, self.ccxt.__class__)]) + ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2))) except ExchangeError: - self.ticker_cache[(c1, c2, self.ccxt.__class__)] = None - return self.get_ticker(c1, c2) + try: + ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1)))) + except ExchangeError: + ticker = None + else: + if "{}/{}".format(c1, c2) in tickers: + ticker = augment_ticker(tickers["{}/{}".format(c1, c2)]) + elif "{}/{}".format(c2, c1) in tickers: + ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)])) + else: + ticker = None + return ticker def follow_orders(self, sleep=None): if sleep is None: @@ -120,33 +198,287 @@ class Market: self.report.log_stage("follow_orders_tick_{}".format(tick)) self.report.log_orders(open_orders, tick=tick) for order in open_orders: - if order.get_status() != "open": + status = order.get_status() + if status != "open": self.report.log_order(order, tick, finished=True) else: order.trade.update_order(order, tick) + if status == "error_disappeared": + self.report.log_error("follow_orders", + message="{} disappeared, recreating it".format(order)) + new_order = order.trade.prepare_order( + compute_value=order.trade.tick_actions_recreate(tick)) + if new_order is not None: + new_order.run() + self.report.log_order(order, tick, new_order=new_order) + self.report.log_stage("follow_orders_end") - def prepare_trades(self, base_currency="BTC", liquidity="medium", compute_value="average"): - self.report.log_stage("prepare_trades") - values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value) - total_base_value = sum(values_in_base.values()) - new_repartition = self.balances.dispatch_assets(total_base_value, liquidity=liquidity) - # Recompute it in case we have new currencies - values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value) - self.trades.compute_trades(values_in_base, new_repartition) - - def update_trades(self, base_currency="BTC", liquidity="medium", compute_value="average", only=None): - self.report.log_stage("update_trades") - values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value) - total_base_value = sum(values_in_base.values()) - new_repartition = self.balances.dispatch_assets(total_base_value, liquidity=liquidity) + def prepare_trades(self, base_currency="BTC", liquidity="medium", + compute_value="average", repartition=None, only=None, + available_balance_only=False): + + self.report.log_stage("prepare_trades", + base_currency=base_currency, liquidity=liquidity, + compute_value=compute_value, only=only, + repartition=repartition, available_balance_only=available_balance_only) + + if available_balance_only: + repartition, total_base_value, values_in_base = self.balances.available_balances_for_repartition( + base_currency=base_currency, liquidity=liquidity, + repartition=repartition, compute_value=compute_value) + else: + values_in_base = self.balances.in_currency(base_currency, + compute_value=compute_value) + total_base_value = sum(values_in_base.values()) + new_repartition = self.balances.dispatch_assets(total_base_value, + liquidity=liquidity, repartition=repartition) + if available_balance_only: + for currency, amount in values_in_base.items(): + if currency != base_currency and currency not in new_repartition: + new_repartition[currency] = amount + self.trades.compute_trades(values_in_base, new_repartition, only=only) - def prepare_trades_to_sell_all(self, base_currency="BTC", compute_value="average"): - self.report.log_stage("prepare_trades_to_sell_all") - values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value) - total_base_value = sum(values_in_base.values()) - new_repartition = self.balances.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") }) - self.trades.compute_trades(values_in_base, new_repartition) + def print_tickers(self, base_currency="BTC"): + if base_currency is not None: + self.report.print_log("total:") + self.report.print_log(sum(self.balances.in_currency(base_currency).values())) + +class Processor: + scenarios = { + "wait_for_cryptoportfolio": [ + { + "name": "wait", + "number": 1, + "before": False, + "after": True, + "wait_for_recent": {}, + }, + ], + "print_balances": [ + { + "name": "print_balances", + "number": 1, + "fetch_balances_begin": { + "log_tickers": True, + "add_usdt": True, + "add_portfolio": True + }, + "print_tickers": { "base_currency": "BTC" }, + } + ], + "print_orders": [ + { + "name": "wait", + "number": 1, + "before": True, + "after": False, + "wait_for_recent": {}, + }, + { + "name": "make_orders", + "number": 2, + "before": False, + "after": True, + "fetch_balances_begin": {}, + "prepare_trades": { "compute_value": "average" }, + "prepare_orders": { "compute_value": "average" }, + }, + ], + "sell_needed": [ + { + "name": "print_balances", + "number": 0, + "before": True, + "after": False, + "fetch_balances_begin": { + "checkpoint": "end", + "log_tickers": True, + "add_usdt": True, + "add_portfolio": True + }, + }, + { + "name": "wait", + "number": 1, + "before": False, + "after": True, + "wait_for_recent": {}, + }, + { + "name": "sell", + "number": 2, + "before": False, + "after": True, + "fetch_balances_begin": {}, + "fetch_balances_end": {}, + "prepare_trades": {}, + "prepare_orders": { "only": "dispose", "compute_value": "average" }, + "run_orders": {}, + "follow_orders": {}, + "close_trades": {}, + }, + { + "name": "buy", + "number": 3, + "before": False, + "after": True, + "fetch_balances_begin": {}, + "fetch_balances_end": { + "checkpoint": "begin", + "add_usdt": True, + "log_tickers": True + }, + "prepare_trades": { "only": "acquire", "available_balance_only": True }, + "prepare_orders": { "only": "acquire", "compute_value": "average" }, + "move_balances": {}, + "run_orders": {}, + "follow_orders": {}, + "close_trades": {}, + }, + ], + "sell_all": [ + { + "name": "all_sell", + "number": 1, + "before": True, + "after": False, + "fetch_balances_begin": { + "checkpoint": "end", + "log_tickers": True, + "add_usdt": True, + "add_portfolio": True + }, + "fetch_balances_end": {}, + "prepare_trades": { "repartition": { "base_currency": (1, "long") } }, + "prepare_orders": { "compute_value": "average" }, + "run_orders": {}, + "follow_orders": {}, + "close_trades": {}, + }, + { + "name": "wait", + "number": 2, + "before": False, + "after": True, + "wait_for_recent": {}, + }, + { + "name": "all_buy", + "number": 3, + "before": False, + "after": True, + "fetch_balances_begin": {}, + "fetch_balances_end": { + "checkpoint": "begin", + "add_usdt": True, + "log_tickers": True + }, + "prepare_trades": { "available_balance_only": True }, + "prepare_orders": { "compute_value": "average" }, + "move_balances": {}, + "run_orders": {}, + "follow_orders": {}, + "close_trades": {}, + }, + ] + } + + ordered_actions = [ + "wait_for_recent", "prepare_trades", "prepare_orders", + "move_balances", "run_orders", "follow_orders", + "close_trades", "print_tickers"] + + def __init__(self, market): + self.market = market + + def select_steps(self, scenario, step): + if step == "all": + return scenario + elif step == "before" or step == "after": + return list(filter(lambda x: x.get(step, False), scenario)) + elif type(step) == int: + return [scenario[step-1]] + elif type(step) == str: + return list(filter(lambda x: x["name"] == step, scenario)) + else: + raise TypeError("Unknown step {}".format(step)) + + def can_process(self, scenario_name): + return scenario_name in self.scenarios + + def process(self, scenario_name, steps="all", options={}): + if not self.can_process(scenario_name): + raise TypeError("Unknown scenario {}".format(scenario_name)) + scenario = self.scenarios[scenario_name] + selected_steps = [] + + if type(steps) == str or type(steps) == int: + selected_steps += self.select_steps(scenario, steps) + else: + for step in steps: + selected_steps += self.select_steps(scenario, step) + for step in selected_steps: + self.process_step(scenario_name, step, options) + + def process_step(self, scenario_name, step, options): + process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"]) + self.market.report.log_stage("{}_begin".format(process_name)) + + if "fetch_balances_begin" in step: + self.run_action("fetch_balances", step["fetch_balances_begin"], + dict(options, tag="{}_begin".format(process_name))) + + for action in self.ordered_actions: + if action in step: + self.run_action(action, step[action], options) + + if "fetch_balances_end" in step: + self.run_action("fetch_balances", step["fetch_balances_end"], + dict(options, tag="{}_end".format(process_name))) + + self.market.report.log_stage("{}_end".format(process_name)) + + def method_arguments(self, action): + import inspect + + if action == "wait_for_recent": + method = Portfolio.wait_for_recent + elif action == "prepare_trades": + method = self.market.prepare_trades + elif action == "prepare_orders": + method = self.market.trades.prepare_orders + elif action == "move_balances": + method = self.market.move_balances + elif action == "run_orders": + method = self.market.trades.run_orders + elif action == "follow_orders": + method = self.market.follow_orders + elif action == "close_trades": + method = self.market.trades.close_trades + elif action == "print_tickers": + method = self.market.print_tickers + elif action == "fetch_balances": + method = self.market.balances.fetch_balances + + signature = inspect.getfullargspec(method) + defaults = signature.defaults or [] + kwargs = signature.args[-len(defaults):] + + return [method, kwargs] + + def parse_args(self, action, default_args, options): + method, allowed_arguments = self.method_arguments(action) + args = {k: v for k, v in {**default_args, **options}.items() if k in allowed_arguments } + + if "repartition" in args and "base_currency" in args["repartition"]: + r = args["repartition"] + r[args.get("base_currency", "BTC")] = r.pop("base_currency") + + return method, args + def run_action(self, action, default_args, options): + method, args = self.parse_args(action, default_args, options) + method(**args)