X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=portfolio.py;h=535aaa843c22789dacc50d9eaf3a2371e6766297;hp=ed50b570ea2c31d310c6a3d271f37f7f413c43c0;hb=882d55e99489d9131b5171f23e505b0dfd1c8738;hpb=3faa0d739e599daafacf948534d2e66292387d02 diff --git a/portfolio.py b/portfolio.py index ed50b57..535aaa8 100644 --- a/portfolio.py +++ b/portfolio.py @@ -1,86 +1,7 @@ -import time -from datetime import datetime, timedelta -from decimal import Decimal as D, ROUND_DOWN -from json import JSONDecodeError -from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError -from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound +from datetime import datetime from retry import retry -import requests - -# FIXME: correctly handle web call timeouts - -class Portfolio: - URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json" - liquidities = {} - data = None - last_date = None - - @classmethod - def wait_for_recent(cls, market, delta=4): - cls.repartition(market, refetch=True) - while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta): - time.sleep(30) - market.report.print_log("Attempt to fetch up-to-date cryptoportfolio") - cls.repartition(market, refetch=True) - - @classmethod - def repartition(cls, market, liquidity="medium", refetch=False): - cls.parse_cryptoportfolio(market, refetch=refetch) - liquidities = cls.liquidities[liquidity] - return liquidities[cls.last_date] - - @classmethod - def get_cryptoportfolio(cls, market): - try: - r = requests.get(cls.URL) - market.report.log_http_request(r.request.method, - r.request.url, r.request.body, r.request.headers, r) - except Exception as e: - market.report.log_error("get_cryptoportfolio", exception=e) - return - try: - cls.data = r.json(parse_int=D, parse_float=D) - except (JSONDecodeError, SimpleJSONDecodeError): - cls.data = None - - @classmethod - def parse_cryptoportfolio(cls, market, refetch=False): - if refetch or cls.data is None: - cls.get_cryptoportfolio(market) - - 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())) +from decimal import Decimal as D, ROUND_DOWN +from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce class Computation: computations = { @@ -348,20 +269,24 @@ class Trade: filled_amount += order.filled_amount(in_base_currency=in_base_currency) 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" @@ -491,6 +416,9 @@ 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): @@ -507,6 +435,7 @@ class Order: self.close_if_possible = close_if_possible self.id = None self.tries = 0 + self.start_date = None def as_json(self): return { @@ -552,18 +481,18 @@ 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.now() try: self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) except InvalidOrder: @@ -571,6 +500,27 @@ 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) @@ -596,6 +546,12 @@ 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)) @@ -619,6 +575,8 @@ class Order: self.fetch_mouvements() + self.mark_disappeared_order() + self.mark_finished_order() # FIXME: consider open order with dust remaining as closed @@ -649,6 +607,7 @@ 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: @@ -662,6 +621,54 @@ class Order: 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) + # 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): + 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