X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=portfolio.py;h=1d291069bfa08c7cb497e90046de010e6d7f2e02;hp=9dae23eeb09a58755376da51e12cfe81dd67cc6d;hb=HEAD;hpb=b47d7b54cca8ff142eaadf38c8bb425bf11af2cd diff --git a/portfolio.py b/portfolio.py index 9dae23e..1d29106 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,9 +1,13 @@ -from datetime import datetime +import datetime from retry import retry 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"], @@ -48,7 +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 { @@ -261,31 +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 @@ -307,13 +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) @@ -488,7 +502,7 @@ class Order: self.market.report.log_debug_action(action) self.results.append({"debug": True, "id": -1}) else: - self.start_date = datetime.now() + 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: @@ -542,6 +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)) @@ -565,17 +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: @@ -595,13 +617,14 @@ 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 @@ -633,7 +656,6 @@ class Order: return True similar_trades = self.market.ccxt.fetch_my_trades(symbol=symbol, since=start_timestamp) - # FIXME: use set instead of sorted(list(...)) 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): @@ -664,7 +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))