X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=portfolio.py;h=1d291069bfa08c7cb497e90046de010e6d7f2e02;hp=cb14c5d6223d44751f6f99d1f886e9a8aa5de7c2;hb=HEAD;hpb=c11e42744cb0355ea4c5bd2c99c7fee5fc5d647c diff --git a/portfolio.py b/portfolio.py index cb14c5d..1d29106 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,77 +1,29 @@ -import ccxt -import time -from decimal import Decimal as D -# Put your poloniex api key in market.py -from market import market +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 Portfolio: - URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" - liquidities = {} - data = None - - @classmethod - def repartition_pertenthousand(cls, liquidity="medium"): - cls.parse_cryptoportfolio() - liquidities = cls.liquidities[liquidity] - cls.last_date = sorted(liquidities.keys())[-1] - return liquidities[cls.last_date] - - @classmethod - def get_cryptoportfolio(cls): - import json - import urllib3 - urllib3.disable_warnings() - http = urllib3.PoolManager() +class Computation: + @staticmethod + def eat_several(market): + return lambda x, y: market.ccxt.fetch_nth_order_book(x["symbol"], y, 15) - try: - r = http.request("GET", cls.URL) - except Exception: - return - try: - cls.data = json.loads(r.data, - parse_int=D, - parse_float=D) - except json.JSONDecodeError: - cls.data = None + computations = { + "default": lambda x, y: x[y], + "average": lambda x, y: x["average"], + "bid": lambda x, y: x["bid"], + "ask": lambda x, y: x["ask"], + } @classmethod - def parse_cryptoportfolio(cls): - if cls.data is None: - cls.get_cryptoportfolio() - - def filter_weights(weight_hash): - if weight_hash[1] == 0: - return False - if weight_hash[0] == "_row": - return False - return True - - def clean_weights(i): - def clean_weights_(h): - if type(h[1][i]) == str: - return [h[0], h[1][i]] - else: - return [h[0], int(h[1][i] * 10000)] - return clean_weights_ - - def parse_weights(portfolio_hash): - # FIXME: we'll need shorts at some point - assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"])) - weights_hash = portfolio_hash["weights"] - weights = {} - for i in range(len(weights_hash["_row"])): - weights[weights_hash["_row"][i]] = 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, - } + def compute_value(cls, ticker, action, compute_value="default"): + if action == "buy": + action = "ask" + if action == "sell": + action = "bid" + if isinstance(compute_value, str): + compute_value = cls.computations[compute_value] + return compute_value(ticker, action) class Amount: def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): @@ -81,9 +33,6 @@ class Amount: self.ticker = ticker self.rate = rate - self.ticker_cache = {} - self.ticker_cache_timestamp = time.time() - def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): if other_currency == self.currency: return self @@ -93,9 +42,9 @@ class Amount: self.value * rate, linked_to=self, rate=rate) - asset_ticker = Trade.get_ticker(self.currency, other_currency, market) + asset_ticker = market.get_ticker(self.currency, other_currency) if asset_ticker is not None: - rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value) + rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) return Amount( other_currency, self.value * rate, @@ -103,12 +52,23 @@ 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 { + "currency": self.currency, + "value": round(self).value.normalize(), + } + + def __round__(self, n=8): + return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) def __abs__(self): return Amount(self.currency, abs(self.value)) def __add__(self, other): + if other == 0: + return self if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") return Amount(self.currency, self.value + other.value) @@ -120,12 +80,20 @@ class Amount: return self.__add__(other) def __sub__(self, other): + if other == 0: + return self if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") return Amount(self.currency, self.value - other.value) + def __rsub__(self, other): + if other == 0: + return -self + else: + return -self.__sub__(other) + def __mul__(self, value): - if type(value) != int and type(value) != float and type(value) != D: + if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be multiplied by numbers") return Amount(self.currency, self.value * value) @@ -133,18 +101,29 @@ class Amount: return self.__mul__(value) def __floordiv__(self, value): - if type(value) != int and type(value) != float and type(value) != D: - raise TypeError("Amount may only be multiplied by integers") + if not isinstance(value, (int, float, D)): + raise TypeError("Amount may only be divided by numbers") return Amount(self.currency, self.value / value) def __truediv__(self, value): return self.__floordiv__(value) def __lt__(self, other): + if other == 0: + return self.value < 0 if self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") return self.value < other.value + def __le__(self, other): + return self == other or self < other + + def __gt__(self, other): + return not self <= other + + def __ge__(self, other): + return not self < other + def __eq__(self, other): if other == 0: return self.value == 0 @@ -152,6 +131,12 @@ class Amount: raise Exception("Comparing amounts must be done with same currencies") return self.value == other.value + def __ne__(self, other): + return not self == other + + def __neg__(self): + return Amount(self.currency, - self.value) + def __str__(self): if self.linked_to is None: return "{:.8f} {}".format(self.value, self.currency) @@ -165,99 +150,64 @@ class Amount: return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) class Balance: - known_balances = {} + base_keys = ["total", "exchange_total", "exchange_used", + "exchange_free", "margin_total", "margin_in_position", + "margin_available", "margin_borrowed", "margin_pending_gain"] - def __init__(self, currency, total_value, free_value, used_value): + def __init__(self, currency, hash_): self.currency = currency - self.total = Amount(currency, total_value) - self.free = Amount(currency, free_value) - self.used = Amount(currency, used_value) - - @classmethod - def from_hash(cls, currency, hash_): - return cls(currency, hash_["total"], hash_["free"], hash_["used"]) - - @classmethod - def in_currency(cls, other_currency, market, compute_value="average", type="total"): - amounts = {} - for currency in cls.known_balances: - balance = cls.known_balances[currency] - other_currency_amount = getattr(balance, type)\ - .in_currency(other_currency, market, compute_value=compute_value) - amounts[currency] = other_currency_amount - return amounts - - @classmethod - def currencies(cls): - return cls.known_balances.keys() - - @classmethod - def _fill_balances(cls, hash_): - for key in hash_: - if key in ["info", "free", "used", "total"]: - continue - if hash_[key]["total"] > 0 or key in cls.known_balances: - cls.known_balances[key] = cls.from_hash(key, hash_[key]) + for key in self.base_keys: + setattr(self, key, Amount(currency, hash_.get(key, 0))) - @classmethod - def fetch_balances(cls, market): - cls._fill_balances(market.fetch_balance()) - return cls.known_balances + self.margin_position_type = hash_.get("margin_position_type") - @classmethod - def dispatch_assets(cls, amount, repartition=None): - if repartition is None: - repartition = Portfolio.repartition_pertenthousand() - sum_pertenthousand = sum([v for k, v in repartition.items()]) - amounts = {} - for currency, ptt in repartition.items(): - amounts[currency] = ptt * amount / sum_pertenthousand - if currency not in cls.known_balances: - cls.known_balances[currency] = cls(currency, 0, 0, 0) - return amounts + if hash_.get("margin_borrowed_base_currency") is not None: + base_currency = hash_["margin_borrowed_base_currency"] + for key in [ + "margin_liquidation_price", + "margin_lending_fees", + "margin_pending_base_gain", + "margin_borrowed_base_price" + ]: + setattr(self, key, Amount(base_currency, hash_.get(key, 0))) - @classmethod - def prepare_trades(cls, market, base_currency="BTC", compute_value="average"): - cls.fetch_balances(market) - values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) - total_base_value = sum(values_in_base.values()) - new_repartition = cls.dispatch_assets(total_base_value) - # Recompute it in case we have new currencies - values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) - Trade.compute_trades(values_in_base, new_repartition, market=market) - - @classmethod - def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None): - cls.fetch_balances(market) - values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) - total_base_value = sum(values_in_base.values()) - new_repartition = cls.dispatch_assets(total_base_value) - Trade.compute_trades(values_in_base, new_repartition, only=only, market=market) - - @classmethod - def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"): - cls.fetch_balances(market) - values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value) - total_base_value = sum(values_in_base.values()) - new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: 1 }) - Trade.compute_trades(values_in_base, new_repartition, market=market) + def as_json(self): + return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys)) def __repr__(self): - return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total)) + if self.exchange_total > 0: + if self.exchange_free > 0 and self.exchange_used > 0: + exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) + elif self.exchange_free > 0: + exchange = " Exch: [✔{}]".format(str(self.exchange_free)) + else: + exchange = " Exch: [❌{}]".format(str(self.exchange_used)) + else: + exchange = "" -class Computation: - computations = { - "default": lambda x, y: x[y], - "average": lambda x, y: x["average"], - "bid": lambda x, y: x["bid"], - "ask": lambda x, y: x["ask"], - } + if self.margin_total > 0: + if self.margin_available != 0 and self.margin_in_position != 0: + margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total)) + elif self.margin_available != 0: + margin = " Margin: [✔{}]".format(str(self.margin_available)) + else: + margin = " Margin: [❌{}]".format(str(self.margin_in_position)) + elif self.margin_total < 0: + margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), + str(self.margin_borrowed_base_price), + str(self.margin_lending_fees)) + else: + margin = "" + if self.margin_total != 0 and self.exchange_total != 0: + total = " Total: [{}]".format(str(self.total)) + else: + total = "" -class Trade: - trades = {} + return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" - def __init__(self, value_from, value_to, currency, market=None): +class Trade: + def __init__(self, value_from, value_to, currency, market): # We have value_from of currency, and want to finish with value_to of # that currency. value_* may not be in currency's terms self.currency = currency @@ -265,74 +215,19 @@ class Trade: self.value_to = value_to self.orders = [] self.market = market + self.closed = False + self.inverted = None + assert self.value_from.value * self.value_to.value >= 0 assert self.value_from.currency == self.value_to.currency - assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency + if self.value_from != 0: + assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency + elif self.value_from.linked_to is None: + self.value_from.linked_to = Amount(self.currency, 0) self.base_currency = self.value_from.currency - fees_cache = {} - @classmethod - def fetch_fees(cls, market): - if market.__class__ not in cls.fees_cache: - cls.fees_cache[market.__class__] = market.fetch_fees() - return cls.fees_cache[market.__class__] - - ticker_cache = {} - ticker_cache_timestamp = time.time() - @classmethod - def get_ticker(cls, c1, c2, market, refresh=False): - def invert(ticker): - return { - "inverted": True, - "average": (1/ticker["bid"] + 1/ticker["ask"]) / 2, - "original": ticker, - } - def augment_ticker(ticker): - ticker.update({ - "inverted": False, - "average": (ticker["bid"] + ticker["ask"] ) / 2, - }) - - if time.time() - cls.ticker_cache_timestamp > 5: - cls.ticker_cache = {} - cls.ticker_cache_timestamp = time.time() - elif not refresh: - if (c1, c2, market.__class__) in cls.ticker_cache: - return cls.ticker_cache[(c1, c2, market.__class__)] - if (c2, c1, market.__class__) in cls.ticker_cache: - return invert(cls.ticker_cache[(c2, c1, market.__class__)]) - - try: - cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2)) - augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)]) - except ccxt.ExchangeError: - try: - cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1)) - augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)]) - except ccxt.ExchangeError: - cls.ticker_cache[(c1, c2, market.__class__)] = None - return cls.get_ticker(c1, c2, market) - - @classmethod - def compute_trades(cls, values_in_base, new_repartition, only=None, market=None): - base_currency = sum(values_in_base.values()).currency - for currency in Balance.currencies(): - if currency == base_currency: - continue - trade = cls( - values_in_base.get(currency, Amount(base_currency, 0)), - new_repartition.get(currency, Amount(base_currency, 0)), - currency, - market=market - ) - if only is None or trade.action == only: - cls.trades[currency] = trade - return cls.trades - - @classmethod - def prepare_orders(cls, only=None, compute_value="default"): - for currency, trade in cls.trades.items(): - if only is None or trade.action == only: - trade.prepare_order(compute_value=compute_value) + @property + def delta(self): + return self.value_to - self.value_from @property def action(self): @@ -341,200 +236,485 @@ class Trade: if self.base_currency == self.currency: return None - if self.value_from < self.value_to: + if abs(self.value_from) < abs(self.value_to): + return "acquire" + else: + return "dispose" + + def order_action(self): + if (self.value_from < self.value_to) != self.inverted: return "buy" else: return "sell" - def order_action(self, inverted): - if self.value_from < self.value_to: - return "buy" if not inverted else "sell" + @property + def trade_type(self): + if self.value_from + self.value_to < 0: + return "short" + else: + return "long" + + @property + def pending(self): + return not (self.is_fullfiled or self.closed) + + def close(self): + for order in self.orders: + order.cancel() + self.closed = True + + @property + def is_fullfiled(self): + return abs(self.filled_amount(in_base_currency=(not self.inverted), refetch=True)) >= abs(self.delta) + + 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, refetch=refetch) + return filled_amount + + 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] + + def update_order(self, order, tick): + if tick in self.tick_actions: + update, compute_value = self.tick_actions[tick] + elif tick % 3 == 1: + if tick < 20: + update = "market_adjust" + compute_value = "default" + else: + update = "market_adjust_eat" + compute_value = Computation.eat_several(self.market) else: - return "sell" if not inverted else "buy" + update = "waiting" + compute_value = None + + if compute_value is not None: + order.cancel() + new_order = self.prepare_order(compute_value=compute_value) + else: + new_order = None + + self.market.report.log_order(order, tick, update=update, + compute_value=compute_value, new_order=new_order) - def prepare_order(self, compute_value="default"): + if new_order is not None: + new_order.run() + self.market.report.log_order(order, tick, new_order=new_order) + + def prepare_order(self, close_if_possible=None, compute_value="default"): if self.action is None: - return - ticker = self.value_from.ticker - inverted = ticker["inverted"] - if inverted: + 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 = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value) - # 0.1 + rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value) - delta_in_base = abs(self.value_from - self.value_to) + delta_in_base = abs(self.delta) # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) - if not inverted: - if self.action == "sell": - # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it - # At rate 1 Foo = 0.1 BTC - value_from = self.value_from.linked_to - # value_from = 100 FOO - value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate) - # value_to = 10 FOO (1 BTC * 1/0.1) - delta = abs(value_to - value_from) - # delta = 90 FOO - # Action: "sell" "90 FOO" at rate "0.1" "BTC" on "market" - - # Note: no rounding error possible: if we have value_to == 0, then delta == value_from + if not self.inverted: + base_currency = self.base_currency + # BTC + if self.action == "dispose": + filled = self.filled_amount(in_base_currency=False) + delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) + # I have 10 BTC worth of FOO, and I want to sell 9 BTC + # worth of it, computed first with rate 10 FOO = 1 BTC. + # -> I "sell" "90" FOO at proposed rate "rate". + + delta = delta - filled + # I already sold 60 FOO, 30 left else: - delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate) - # I want to buy 9 / 0.1 FOO - # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market" + filled = self.filled_amount(in_base_currency=True) + delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate) + # I want to buy 9 BTC worth of FOO, computed with rate + # 10 FOO = 1 BTC + # -> I "buy" "9 / rate" FOO at proposed rate "rate" - # FIXME: Need to round up to the correct amount of FOO in case - # we want to use all BTC - currency = self.base_currency - # BTC + # I already bought 3 / rate FOO, 6 / rate left else: - if self.action == "sell": + base_currency = self.currency + # FOO + if self.action == "dispose": + filled = self.filled_amount(in_base_currency=True) + # Base is FOO + + delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) + - filled).in_currency(self.base_currency, self.market, rate=1/rate) # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it - # At rate 1 Foo = 0.1 BTC - delta = delta_in_base - # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market + # computed at rate 1 Foo = 0.01 BTC + # Computation says I should sell it at 125 FOO / BTC + # -> delta_in_base = 9 BTC + # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC + # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market - # FIXME: Need to round up to the correct amount of FOO in case - # we want to sell all + # I already bought 300/125 BTC, only 600/125 left else: + filled = self.filled_amount(in_base_currency=False) + # Base is FOO + delta = delta_in_base - # I want to buy 9 / 0.1 FOO - # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market" + # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it + # At rate 100 Foo / BTC + # Computation says I should buy it at 125 FOO / BTC + # -> delta_in_base = 9 BTC + # Action: "sell" "9 BTC" at rate "125" "FOO" on market - # FIXME: Need to round up to the correct amount of FOO in case - # we want to use all BTC + delta = delta - filled + # I already sold 4 BTC, only 5 left - currency = self.currency - # FOO + if close_if_possible is None: + close_if_possible = (self.value_to == 0) - self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market)) + if delta <= 0: + self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) + return None - @classmethod - def compute_value(cls, ticker, action, compute_value="default"): - if type(compute_value) == str: - compute_value = Computation.computations[compute_value] - return compute_value(ticker, action) + order = Order(self.order_action(), + delta, rate, base_currency, self.trade_type, + self.market, self, close_if_possible=close_if_possible) + self.orders.append(order) + return order + + def as_json(self): + return { + "action": self.action, + "from": self.value_from.as_json()["value"], + "to": self.value_to.as_json()["value"], + "currency": self.currency, + "base_currency": self.base_currency, + } - @classmethod - def all_orders(cls, state=None): - all_orders = sum(map(lambda v: v.orders, cls.trades.values()), []) - if state is None: - return all_orders + def __repr__(self): + if self.closed and not self.is_fullfiled: + closed = " ❌" + elif self.is_fullfiled: + closed = " ✔" else: - return list(filter(lambda o: o.status == state, all_orders)) - - @classmethod - def run_orders(cls): - for order in cls.all_orders(state="pending"): - order.run() - - @classmethod - def follow_orders(cls, verbose=True, sleep=30): - orders = cls.all_orders() - finished_orders = [] - while len(orders) != len(finished_orders): - time.sleep(sleep) - for order in orders: - if order in finished_orders: - continue - if order.get_status() != "open": - finished_orders.append(order) - if verbose: - print("finished {}".format(order)) - if verbose: - print("All orders finished") - - @classmethod - def update_all_orders_status(cls): - for order in cls.all_orders(state="open"): - order.get_status() + closed = "" - def __repr__(self): - return "Trade({} -> {} in {}, {})".format( + return "Trade({} -> {} in {}, {}{})".format( self.value_from, self.value_to, self.currency, - self.action) - - @classmethod - def print_all_with_order(cls): - for trade in cls.trades.values(): - trade.print_with_order() + self.action, + closed) - def print_with_order(self): - print(self) + def print_with_order(self, ind=""): + self.market.report.print_log("{}{}".format(ind, self)) for order in self.orders: - print("\t", order, sep="") + self.market.report.print_log("{}\t{}".format(ind, order)) + 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, market): + def __init__(self, action, amount, rate, base_currency, trade_type, market, + trade, close_if_possible=False): self.action = action self.amount = amount self.rate = rate self.base_currency = base_currency self.market = market - self.result = None + self.trade_type = trade_type + self.results = [] + self.mouvements = [] self.status = "pending" + self.trade = trade + self.close_if_possible = close_if_possible + self.id = None + self.tries = 0 + self.start_date = None + + def as_json(self): + return { + "action": self.action, + "trade_type": self.trade_type, + "amount": self.amount.as_json()["value"], + "currency": self.amount.as_json()["currency"], + "base_currency": self.base_currency, + "rate": self.rate, + "status": self.status, + "close_if_possible": self.close_if_possible, + "id": self.id, + "mouvements": list(map(lambda x: x.as_json(), self.mouvements)) + } def __repr__(self): - return "Order({} {} at {} {} [{}])".format( + return "Order({} {} {} at {} {} [{}]{})".format( self.action, + self.trade_type, self.amount, self.rate, self.base_currency, - self.status + self.status, + " ✂" if self.close_if_possible else "", ) + @property + def account(self): + if self.trade_type == "long": + return "exchange" + else: + return "margin" + + @property + def open(self): + return self.status == "open" + @property def pending(self): return self.status == "pending" @property def finished(self): - return self.status == "closed" or self.status == "canceled" or self.status == "error" + return self.status.startswith("closed") or self.status == "canceled" or self.status == "error" - def run(self, debug=False): + @retry((InsufficientFunds, RetryException, InvalidNonce)) + def run(self): + self.tries += 1 symbol = "{}/{}".format(self.amount.currency, self.base_currency) - amount = self.amount.value + amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value - if debug: - print("market.create_order('{}', 'limit', '{}', {}, price={})".format( - symbol, self.action, amount, self.rate)) + 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(action) + self.results.append({"debug": True, "id": -1}) else: + self.start_date = datetime.datetime.now() try: - self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate) - self.status = "open" + self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) + except InvalidOrder: + # Impossible to honor the order (dust amount) + 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) + self.amount = self.amount * D("0.99") + raise e + else: + self.market.report.log_error(action, message="Giving up {}".format(self), exception=e) + self.status = "error" + return except Exception as e: self.status = "error" - print("error when running market.create_order('{}', 'limit', '{}', {}, price={})".format( - symbol, self.action, amount, self.rate)) - self.error_message = str("{}: {}".format(e.__class__.__name__, e)) - print(self.error_message) + self.market.report.log_error(action, exception=e) + return + self.id = self.results[0]["id"] + self.status = "open" def get_status(self): + if self.market.debug: + self.market.report.log_debug_action("Getting {} status".format(self)) + return self.status # other states are "closed" and "canceled" - if self.status == "open": - result = self.market.fetch_order(self.result['id']) - self.status = result["status"] + if not self.finished: + 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)) + return + if self.status.startswith("closed"): + if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: + self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency) + + def fetch(self): + if self.market.debug: + self.market.report.log_debug_action("Fetching {}".format(self)) + return + try: + result = self.market.ccxt.fetch_order(self.id) + self.results.append(result) + self.status = result["status"] + # Time at which the order started + self.timestamp = result["datetime"] + except OrderNotCached: + self.status = "closed_unknown" + + self.fetch_mouvements() + + self.mark_disappeared_order() + self.mark_dust_amount_remaining_order() + self.mark_finished_order() + + 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, refetch=False): + return self.amount - self.filled_amount(refetch=refetch) + + 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: + if in_base_currency: + filled_amount += mouvement.total_in_base + else: + filled_amount += mouvement.total + return filled_amount + + def fetch_mouvements(self): + try: + mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id}) + except ExchangeError: + mouvements = [] + self.mouvements = [] + + 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): - self.market.cancel_order(self.result['id']) - -def print_orders(market, base_currency="BTC"): - Balance.prepare_trades(market, base_currency=base_currency, compute_value="average") - Trade.prepare_orders(compute_value="average") - for currency, balance in Balance.known_balances.items(): - print(balance) - portfolio.Trade.print_all_with_order() - -def make_orders(market, base_currency="BTC"): - Balance.prepare_trades(market, base_currency=base_currency) - for currency, trade in Trade.trades.items(): - print(trade) - for order in trade.orders: - print("\t", order, sep="") - order.run() - -if __name__ == '__main__': - print_orders(market) + if self.market.debug: + self.market.report.log_debug_action("Mark {} as cancelled".format(self)) + self.status = "canceled" + return + 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 + self.base_currency = base_currency + self.id = hash_.get("tradeID") + self.action = hash_.get("type") + self.fee_rate = D(hash_.get("fee", -1)) + try: + 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)) + self.total = Amount(currency, hash_.get("amount", 0)) + # rate * total = total_in_base + self.total_in_base = Amount(base_currency, hash_.get("total", 0)) + + def as_json(self): + return { + "fee_rate": self.fee_rate, + "date": self.date, + "action": self.action, + "total": self.total.value, + "currency": self.currency, + "total_in_base": self.total_in_base.value, + "base_currency": self.base_currency + } + + def __repr__(self): + if self.fee_rate > 0: + fee_rate = " fee: {}%".format(self.fee_rate * 100) + else: + fee_rate = "" + if self.date is None: + date = "No date" + else: + date = self.date + return "Mouvement({} ; {} {} ({}){})".format( + date, self.action, self.total, self.total_in_base, + fee_rate) +