X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=store.py;h=2b5c18a1a1a65eb241af2677d322195a5202d18d;hp=841a0fc9e4f581ad468a2c3e8664507b003b4232;hb=90d7423eec074a0ed0af680c223180f8d7e1d4e6;hpb=1aa7d4fa2ec3c2b3268bef31a666ca6e1aaa6563

diff --git a/store.py b/store.py
index 841a0fc..2b5c18a 100644
--- a/store.py
+++ b/store.py
@@ -1,107 +1,500 @@
+import time
+import requests
 import portfolio
+import simplejson as json
+from decimal import Decimal as D, ROUND_DOWN
+from datetime import date, datetime, timedelta
+import inspect
+from json import JSONDecodeError
+from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
 
-__all__ = ["BalanceStore", "TradeStore"]
+__all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"]
+
+class ReportStore:
+    def __init__(self, market, verbose_print=True):
+        self.market = market
+        self.verbose_print = verbose_print
+
+        self.print_logs = []
+        self.logs = []
+
+    def merge(self, other_report):
+        self.logs += other_report.logs
+        self.logs.sort(key=lambda x: x["date"])
+
+        self.print_logs += other_report.print_logs
+        self.print_logs.sort(key=lambda x: x[0])
+
+    def print_log(self, message):
+        now = datetime.now()
+        message = "{:%Y-%m-%d %H:%M:%S}: {}".format(now, str(message))
+        self.print_logs.append([now, message])
+        if self.verbose_print:
+            print(message)
+
+    def add_log(self, hash_):
+        hash_["date"] = datetime.now()
+        self.logs.append(hash_)
+
+    @staticmethod
+    def default_json_serial(obj):
+        if isinstance(obj, (datetime, date)):
+            return obj.isoformat()
+        return str(obj)
+
+    def to_json(self):
+        return json.dumps(self.logs, default=self.default_json_serial, indent="  ")
+
+    def to_json_array(self):
+        for log in (x.copy() for x in self.logs):
+            yield (
+                    log.pop("date"),
+                    log.pop("type"),
+                    json.dumps(log, default=self.default_json_serial, indent="  ")
+                    )
+
+    def set_verbose(self, verbose_print):
+        self.verbose_print = verbose_print
+
+    def log_stage(self, stage, **kwargs):
+        def as_json(element):
+            if callable(element):
+                return inspect.getsource(element).strip()
+            elif hasattr(element, "as_json"):
+                return element.as_json()
+            else:
+                return element
+
+        args = { k: as_json(v) for k, v in kwargs.items() }
+        args_str = ["{}={}".format(k, v) for k, v in args.items()]
+        self.print_log("-" * (len(stage) + 8))
+        self.print_log("[Stage] {} {}".format(stage, ", ".join(args_str)))
+
+        self.add_log({
+            "type": "stage",
+            "stage": stage,
+            "args": args,
+            })
+
+    def log_balances(self, tag=None):
+        self.print_log("[Balance]")
+        for currency, balance in self.market.balances.all.items():
+            self.print_log("\t{}".format(balance))
+
+        self.add_log({
+            "type": "balance",
+            "tag": tag,
+            "balances": self.market.balances.as_json()
+            })
+
+    def log_tickers(self, amounts, other_currency,
+            compute_value, type):
+        values = {}
+        rates = {}
+        if callable(compute_value):
+            compute_value = inspect.getsource(compute_value).strip()
+
+        for currency, amount in amounts.items():
+            values[currency] = amount.as_json()["value"]
+            rates[currency] = amount.rate
+        self.add_log({
+            "type": "tickers",
+            "compute_value": compute_value,
+            "balance_type": type,
+            "currency": other_currency,
+            "balances": values,
+            "rates": rates,
+            "total": sum(amounts.values()).as_json()["value"]
+            })
+
+    def log_dispatch(self, amount, amounts, liquidity, repartition):
+        self.add_log({
+            "type": "dispatch",
+            "liquidity": liquidity,
+            "repartition_ratio": repartition,
+            "total_amount": amount.as_json(),
+            "repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
+            })
+
+    def log_trades(self, matching_and_trades, only):
+        trades = []
+        for matching, trade in matching_and_trades:
+            trade_json = trade.as_json()
+            trade_json["skipped"] = not matching
+            trades.append(trade_json)
+
+        self.add_log({
+            "type": "trades",
+            "only": only,
+            "debug": self.market.debug,
+            "trades": trades
+            })
+
+    def log_orders(self, orders, tick=None, only=None, compute_value=None):
+        if callable(compute_value):
+            compute_value = inspect.getsource(compute_value).strip()
+        self.print_log("[Orders]")
+        self.market.trades.print_all_with_order(ind="\t")
+        self.add_log({
+            "type": "orders",
+            "only": only,
+            "compute_value": compute_value,
+            "tick": tick,
+            "orders": [order.as_json() for order in orders if order is not None]
+            })
+
+    def log_order(self, order, tick, finished=False, update=None,
+            new_order=None, compute_value=None):
+        if callable(compute_value):
+            compute_value = inspect.getsource(compute_value).strip()
+        if finished:
+            self.print_log("[Order] Finished {}".format(order))
+        elif update == "waiting":
+            self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
+        elif update == "adjusting":
+            self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
+        elif update == "market_fallback":
+            self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
+        elif update == "market_adjust":
+            self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
+
+        self.add_log({
+            "type": "order",
+            "tick": tick,
+            "update": update,
+            "order": order.as_json(),
+            "compute_value": compute_value,
+            "new_order": new_order.as_json() if new_order is not None else None
+            })
+
+    def log_move_balances(self, needed, moving):
+        self.add_log({
+            "type": "move_balances",
+            "debug": self.market.debug,
+            "needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
+            "moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
+            })
+
+    def log_http_request(self, method, url, body, headers, response):
+        self.add_log({
+            "type": "http_request",
+            "method": method,
+            "url": url,
+            "body": body,
+            "headers": headers,
+            "status": response.status_code,
+            "response": response.text
+            })
+
+    def log_error(self, action, message=None, exception=None):
+        self.print_log("[Error] {}".format(action))
+        if exception is not None:
+            self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
+        if message is not None:
+            self.print_log("\t{}".format(message))
+
+        self.add_log({
+            "type": "error",
+            "action": action,
+            "exception_class": exception.__class__.__name__ if exception is not None else None,
+            "exception_message": str(exception) if exception is not None else None,
+            "message": message,
+            })
+
+    def log_debug_action(self, action):
+        self.print_log("[Debug] {}".format(action))
+
+        self.add_log({
+            "type": "debug_action",
+            "action": action,
+            })
+
+    def log_market(self, args, user_id, market_id, report_path, debug):
+        self.add_log({
+            "type": "market",
+            "commit": "$Format:%H$",
+            "args": vars(args),
+            "user_id": user_id,
+            "market_id": market_id,
+            "report_path": report_path,
+            "debug": debug,
+            })
 
 class BalanceStore:
-    all = {}
+    def __init__(self, market):
+        self.market = market
+        self.all = {}
 
-    @classmethod
-    def currencies(cls):
-        return cls.all.keys()
+    def currencies(self):
+        return self.all.keys()
 
-    @classmethod
-    def in_currency(cls, other_currency, market, compute_value="average", type="total"):
+    def in_currency(self, other_currency, compute_value="average", type="total"):
         amounts = {}
-        for currency, balance in cls.all.items():
+        for currency, balance in self.all.items():
             other_currency_amount = getattr(balance, type)\
-                    .in_currency(other_currency, market, compute_value=compute_value)
+                    .in_currency(other_currency, self.market, compute_value=compute_value)
             amounts[currency] = other_currency_amount
+        self.market.report.log_tickers(amounts, other_currency,
+                compute_value, type)
         return amounts
 
-    @classmethod
-    def fetch_balances(cls, market):
-        all_balances = market.fetch_all_balances()
+    def fetch_balances(self, tag=None):
+        all_balances = self.market.ccxt.fetch_all_balances()
         for currency, balance in all_balances.items():
             if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
-                    currency in cls.all:
-                cls.all[currency] = portfolio.Balance(currency, balance)
+                    currency in self.all:
+                self.all[currency] = portfolio.Balance(currency, balance)
+        self.market.report.log_balances(tag=tag)
 
-    @classmethod
-    def dispatch_assets(cls, amount, repartition=None):
+    def dispatch_assets(self, amount, liquidity="medium", repartition=None):
         if repartition is None:
-            repartition = portfolio.Portfolio.repartition()
+            repartition = Portfolio.repartition(liquidity=liquidity)
         sum_ratio = sum([v[0] for k, v in repartition.items()])
         amounts = {}
         for currency, (ptt, trade_type) in repartition.items():
             amounts[currency] = ptt * amount / sum_ratio
             if trade_type == "short":
                 amounts[currency] = - amounts[currency]
-            if currency not in BalanceStore.all:
-                cls.all[currency] = portfolio.Balance(currency, {})
+            self.all.setdefault(currency, portfolio.Balance(currency, {}))
+        self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
         return amounts
 
+    def as_json(self):
+        return { k: v.as_json() for k, v in self.all.items() }
+
 class TradeStore:
-    all = []
-    debug = False
+    def __init__(self, market):
+        self.market = market
+        self.all = []
 
-    @classmethod
-    def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False):
-        cls.debug = cls.debug or debug
+    @property
+    def pending(self):
+        return list(filter(lambda t: t.pending, self.all))
+
+    def compute_trades(self, values_in_base, new_repartition, only=None):
+        computed_trades = []
         base_currency = sum(values_in_base.values()).currency
-        for currency in BalanceStore.currencies():
+        for currency in self.market.balances.currencies():
             if currency == base_currency:
                 continue
             value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
             value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
 
             if value_from.value * value_to.value < 0:
-                cls.add_trade_if_matching(
+                computed_trades.append(self.trade_if_matching(
                         value_from, portfolio.Amount(base_currency, 0),
-                        currency, only=only, market=market)
-                cls.add_trade_if_matching(
+                        currency, only=only))
+                computed_trades.append(self.trade_if_matching(
                         portfolio.Amount(base_currency, 0), value_to,
-                        currency, only=only, market=market)
+                        currency, only=only))
             else:
-                cls.add_trade_if_matching(value_from, value_to,
-                        currency, only=only, market=market)
+                computed_trades.append(self.trade_if_matching(
+                        value_from, value_to,
+                        currency, only=only))
+        for matching, trade in computed_trades:
+            if matching:
+                self.all.append(trade)
+        self.market.report.log_trades(computed_trades, only)
 
-    @classmethod
-    def add_trade_if_matching(cls, value_from, value_to, currency,
-            only=None, market=None):
+    def trade_if_matching(self, value_from, value_to, currency,
+            only=None):
         trade = portfolio.Trade(value_from, value_to, currency,
-                market=market)
-        if only is None or trade.action == only:
-            cls.all.append(trade)
-            return True
-        return False
+                self.market)
+        matching = only is None or trade.action == only
+        return [matching, trade]
 
-    @classmethod
-    def prepare_orders(cls, only=None, compute_value="default"):
-        for trade in cls.all:
+    def prepare_orders(self, only=None, compute_value="default"):
+        orders = []
+        for trade in self.pending:
             if only is None or trade.action == only:
-                trade.prepare_order(compute_value=compute_value)
+                orders.append(trade.prepare_order(compute_value=compute_value))
+        self.market.report.log_orders(orders, only, compute_value)
 
-    @classmethod
-    def print_all_with_order(cls):
-        for trade in cls.all:
-            trade.print_with_order()
+    def close_trades(self):
+        for trade in self.all:
+            trade.close()
 
-    @classmethod
-    def run_orders(cls):
-        for order in cls.all_orders(state="pending"):
+    def print_all_with_order(self, ind=""):
+        for trade in self.all:
+            trade.print_with_order(ind=ind)
+
+    def run_orders(self):
+        orders = self.all_orders(state="pending")
+        for order in orders:
             order.run()
+        self.market.report.log_stage("run_orders")
+        self.market.report.log_orders(orders)
 
-    @classmethod
-    def all_orders(cls, state=None):
-        all_orders = sum(map(lambda v: v.orders, cls.all), [])
+    def all_orders(self, state=None):
+        all_orders = sum(map(lambda v: v.orders, self.all), [])
         if state is None:
             return all_orders
         else:
             return list(filter(lambda o: o.status == state, all_orders))
 
-    @classmethod
-    def update_all_orders_status(cls):
-        for order in cls.all_orders(state="open"):
+    def update_all_orders_status(self):
+        for order in self.all_orders(state="open"):
             order.get_status()
 
+class NoopLock:
+    def __enter__(self, *args):
+        pass
+    def __exit__(self, *args):
+        pass
+
+class LockedVar:
+    def __init__(self, value):
+        self.lock = NoopLock()
+        self.val = value
+
+    def start_lock(self):
+        import threading
+        self.lock = threading.Lock()
+
+    def set(self, value):
+        with self.lock:
+            self.val = value
+
+    def get(self, key=None):
+        with self.lock:
+            if key is not None and isinstance(self.val, dict):
+                return self.val.get(key)
+            else:
+                return self.val
+
+    def __getattr__(self, key):
+        with self.lock:
+            return getattr(self.val, key)
+
+class Portfolio:
+    URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
+    data = LockedVar(None)
+    liquidities = LockedVar({})
+    last_date = LockedVar(None)
+    report = LockedVar(ReportStore(None))
+    worker = None
+    worker_started = False
+    worker_notify = None
+    callback = None
+
+    @classmethod
+    def start_worker(cls, poll=30):
+        import threading
+
+        cls.worker = threading.Thread(name="portfolio", daemon=True,
+                target=cls.wait_for_notification, kwargs={"poll": poll})
+        cls.worker_notify = threading.Event()
+        cls.callback = threading.Event()
+
+        cls.last_date.start_lock()
+        cls.liquidities.start_lock()
+        cls.report.start_lock()
+
+        cls.worker_started = True
+        cls.worker.start()
+
+    @classmethod
+    def is_worker_thread(cls):
+        if cls.worker is None:
+            return False
+        else:
+            import threading
+            return cls.worker == threading.current_thread()
+
+    @classmethod
+    def wait_for_notification(cls, poll=30):
+        if not cls.is_worker_thread():
+            raise RuntimeError("This method needs to be ran with the worker")
+        while cls.worker_started:
+            cls.worker_notify.wait()
+            cls.worker_notify.clear()
+            cls.report.print_log("Fetching cryptoportfolio")
+            cls.get_cryptoportfolio(refetch=True)
+            cls.callback.set()
+            time.sleep(poll)
+
+    @classmethod
+    def notify_and_wait(cls):
+        cls.callback.clear()
+        cls.worker_notify.set()
+        cls.callback.wait()
+
+    @classmethod
+    def wait_for_recent(cls, delta=4, poll=30):
+        cls.get_cryptoportfolio()
+        while cls.last_date.get() is None or datetime.now() - cls.last_date.get() > timedelta(delta):
+            if cls.worker is None:
+                time.sleep(poll)
+                cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio")
+            cls.get_cryptoportfolio(refetch=True)
+
+    @classmethod
+    def repartition(cls, liquidity="medium"):
+        cls.get_cryptoportfolio()
+        liquidities = cls.liquidities.get(liquidity)
+        return liquidities[cls.last_date.get()]
+
+    @classmethod
+    def get_cryptoportfolio(cls, refetch=False):
+        if cls.data.get() is not None and not refetch:
+            return
+        if cls.worker is not None and not cls.is_worker_thread():
+            cls.notify_and_wait()
+            return
+        try:
+            r = requests.get(cls.URL)
+            cls.report.log_http_request(r.request.method,
+                    r.request.url, r.request.body, r.request.headers, r)
+        except Exception as e:
+            cls.report.log_error("get_cryptoportfolio", exception=e)
+            return
+        try:
+            cls.data.set(r.json(parse_int=D, parse_float=D))
+            cls.parse_cryptoportfolio()
+        except (JSONDecodeError, SimpleJSONDecodeError):
+            cls.data.set(None)
+            cls.last_date.set(None)
+            cls.liquidities.set({})
+
+    @classmethod
+    def parse_cryptoportfolio(cls):
+        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):
+            if "weights" not in portfolio_hash:
+                return {}
+            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.get("portfolio_1"))
+        medium_liquidity = parse_weights(cls.data.get("portfolio_2"))
+
+        cls.liquidities.set({
+            "medium": medium_liquidity,
+            "high":   high_liquidity,
+            })
+        cls.last_date.set(max(
+            max(medium_liquidity.keys(), default=datetime(1, 1, 1)),
+            max(high_liquidity.keys(), default=datetime(1, 1, 1))
+            ))
+