X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=portfolio.py;h=1d291069bfa08c7cb497e90046de010e6d7f2e02;hp=69e37557fd9cd355fbdccabcd1fb993fbf9adef1;hb=HEAD;hpb=83c698c925db9dcb2d347c2a625de88d85cfeb21 diff --git a/portfolio.py b/portfolio.py index 69e3755..1d29106 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,11 +1,13 @@ -from datetime import datetime -from decimal import Decimal as D, ROUND_DOWN -from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound +import datetime from retry import retry - -# FIXME: correctly handle web call timeouts +from decimal import Decimal as D, ROUND_DOWN +from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce class Computation: + @staticmethod + def eat_several(market): + return lambda x, y: market.ccxt.fetch_nth_order_book(x["symbol"], y, 15) + computations = { "default": lambda x, y: x[y], "average": lambda x, y: x["average"], @@ -50,7 +52,7 @@ class Amount: ticker=asset_ticker, rate=rate) else: - raise Exception("This asset is not available in the chosen market") + return Amount(other_currency, 0, linked_to=self, ticker=None, rate=0) def as_json(self): return { @@ -263,31 +265,39 @@ class Trade: @property def is_fullfiled(self): - return abs(self.filled_amount(in_base_currency=(not self.inverted))) >= abs(self.delta) + return abs(self.filled_amount(in_base_currency=(not self.inverted), refetch=True)) >= abs(self.delta) - def filled_amount(self, in_base_currency=False): + def filled_amount(self, in_base_currency=False, refetch=False): filled_amount = 0 for order in self.orders: - filled_amount += order.filled_amount(in_base_currency=in_base_currency) + filled_amount += order.filled_amount(in_base_currency=in_base_currency, refetch=refetch) return filled_amount - def update_order(self, order, tick): - actions = { - 0: ["waiting", None], - 1: ["waiting", None], - 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2], - 3: ["waiting", None], - 4: ["waiting", None], - 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3], - 6: ["waiting", None], - 7: ["market_fallback", "default"], - } + tick_actions = { + 0: ["waiting", None], + 1: ["waiting", None], + 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2], + 3: ["waiting", None], + 4: ["waiting", None], + 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3], + 6: ["waiting", None], + 7: ["market_fallback", "default"], + } + + def tick_actions_recreate(self, tick, default="average"): + return ([default] + \ + [ y[1] for x, y in self.tick_actions.items() if x <= tick and y[1] is not None ])[-1] - if tick in actions: - update, compute_value = actions[tick] + def update_order(self, order, tick): + if tick in self.tick_actions: + update, compute_value = self.tick_actions[tick] elif tick % 3 == 1: - update = "market_adjust" - compute_value = "default" + if tick < 20: + update = "market_adjust" + compute_value = "default" + else: + update = "market_adjust_eat" + compute_value = Computation.eat_several(self.market) else: update = "waiting" compute_value = None @@ -309,13 +319,15 @@ class Trade: if self.action is None: return None ticker = self.market.get_ticker(self.currency, self.base_currency) + if ticker is None: + self.market.report.log_error("prepare_order", + message="Unknown ticker {}/{}".format(self.currency, self.base_currency)) + return None self.inverted = ticker["inverted"] if self.inverted: ticker = ticker["original"] rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value) - # FIXME: Dust amount should be removed from there if they werent - # honored in other sales delta_in_base = abs(self.delta) # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) @@ -414,6 +426,9 @@ class Trade: for mouvement in order.mouvements: self.market.report.print_log("{}\t\t{}".format(ind, mouvement)) +class RetryException(Exception): + pass + class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, trade, close_if_possible=False): @@ -430,6 +445,7 @@ class Order: self.close_if_possible = close_if_possible self.id = None self.tries = 0 + self.start_date = None def as_json(self): return { @@ -475,18 +491,18 @@ class Order: def finished(self): return self.status.startswith("closed") or self.status == "canceled" or self.status == "error" - @retry(InsufficientFunds) + @retry((InsufficientFunds, RetryException, InvalidNonce)) def run(self): self.tries += 1 symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value + action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) if self.market.debug: - self.market.report.log_debug_action("market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format( - symbol, self.action, amount, self.rate, self.account)) + self.market.report.log_debug_action(action) self.results.append({"debug": True, "id": -1}) else: - action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) + self.start_date = datetime.datetime.now() try: self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) except InvalidOrder: @@ -494,6 +510,27 @@ class Order: self.status = "closed" self.mark_finished_order() return + except InvalidNonce as e: + if self.tries < 5: + self.market.report.log_error(action, message="Retrying after invalid nonce", exception=e) + raise e + else: + self.market.report.log_error(action, message="Giving up {} after invalid nonce".format(self), exception=e) + self.status = "error" + return + except RequestTimeout as e: + if not self.retrieve_order(): + if self.tries < 5: + self.market.report.log_error(action, message="Retrying after timeout", exception=e) + # We make a specific call in case retrieve_order + # would raise itself + raise RetryException + else: + self.market.report.log_error(action, message="Giving up {} after timeouts".format(self), exception=e) + self.status = "error" + return + else: + self.market.report.log_error(action, message="Timeout, found the order") except InsufficientFunds as e: if self.tries < 5: self.market.report.log_error(action, message="Retrying with reduced amount", exception=e) @@ -519,6 +556,12 @@ class Order: self.fetch() return self.status + def mark_disappeared_order(self): + if self.status.startswith("closed") and \ + len(self.mouvements) > 0 and \ + self.mouvements[-1].total_in_base == 0: + self.status = "error_disappeared" + def mark_finished_order(self): if self.status.startswith("closed") and self.market.debug: self.market.report.log_debug_action("Mark {} as finished".format(self)) @@ -542,17 +585,19 @@ class Order: self.fetch_mouvements() + self.mark_disappeared_order() + self.mark_dust_amount_remaining_order() self.mark_finished_order() - # FIXME: consider open order with dust remaining as closed - def dust_amount_remaining(self): - return self.remaining_amount() < Amount(self.amount.currency, D("0.001")) + def mark_dust_amount_remaining_order(self): + if self.status == "open" and self.market.ccxt.is_dust_trade(self.remaining_amount().value, self.rate): + self.status = "closed_dust_remaining" - def remaining_amount(self): - return self.amount - self.filled_amount() + def remaining_amount(self, refetch=False): + return self.amount - self.filled_amount(refetch=refetch) - def filled_amount(self, in_base_currency=False): - if self.status == "open": + def filled_amount(self, in_base_currency=False, refetch=False): + if refetch and self.status == "open": self.fetch() filled_amount = 0 for mouvement in self.mouvements: @@ -572,19 +617,67 @@ class Order: for mouvement_hash in mouvements: self.mouvements.append(Mouvement(self.amount.currency, self.base_currency, mouvement_hash)) + self.mouvements.sort(key= lambda x: x.date) def cancel(self): if self.market.debug: self.market.report.log_debug_action("Mark {} as cancelled".format(self)) self.status = "canceled" return - if self.open and self.id is not None: + if (self.status == "closed_dust_remaining" or self.open) and self.id is not None: try: self.market.ccxt.cancel_order(self.id) except OrderNotFound as e: # Closed inbetween self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e) self.fetch() + def retrieve_order(self): + symbol = "{}/{}".format(self.amount.currency, self.base_currency) + amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value + start_timestamp = self.start_date.timestamp() - 5 + + similar_open_orders = self.market.ccxt.fetch_orders(symbol=symbol, since=start_timestamp) + for order in similar_open_orders: + if (order["info"]["margin"] == 1 and self.account == "exchange") or\ + (order["info"]["margin"] != 1 and self.account == "margin"): + i_m_tested = True # coverage bug ?! + continue + if order["info"]["side"] != self.action: + continue + amount_diff = round( + abs(D(order["info"]["startingAmount"]) - amount), + self.market.ccxt.order_precision(symbol)) + rate_diff = round( + abs(D(order["info"]["rate"]) - self.rate), + self.market.ccxt.order_precision(symbol)) + if amount_diff != 0 or rate_diff != 0: + continue + self.results.append({"id": order["id"]}) + return True + + similar_trades = self.market.ccxt.fetch_my_trades(symbol=symbol, since=start_timestamp) + for order_id in sorted(list(map(lambda x: x["order"], similar_trades))): + trades = list(filter(lambda x: x["order"] == order_id, similar_trades)) + if any(x["timestamp"] < start_timestamp for x in trades): + continue + if any(x["side"] != self.action for x in trades): + continue + if any(x["info"]["category"] == "exchange" and self.account == "margin" for x in trades) or\ + any(x["info"]["category"] == "marginTrade" and self.account == "exchange" for x in trades): + continue + trade_sum = sum(D(x["info"]["amount"]) for x in trades) + amount_diff = round(abs(trade_sum - amount), + self.market.ccxt.order_precision(symbol)) + if amount_diff != 0: + continue + if (self.action == "sell" and any(D(x["info"]["rate"]) < self.rate for x in trades)) or\ + (self.action == "buy" and any(D(x["info"]["rate"]) > self.rate for x in trades)): + continue + self.results.append({"id": order_id}) + return True + + return False + class Mouvement: def __init__(self, currency, base_currency, hash_): self.currency = currency @@ -593,7 +686,7 @@ class Mouvement: self.action = hash_.get("type") self.fee_rate = D(hash_.get("fee", -1)) try: - self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') + self.date = datetime.datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') except ValueError: self.date = None self.rate = D(hash_.get("rate", 0))