X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=store.py;h=425f08d7ce85f322addb44219ed7ab0341926132;hp=467dd4b40cfd9ef05a9a0974c88e40f1560d8c1b;hb=HEAD;hpb=e7d7c0e5645da35adcbfec9e51deb68f012c422f diff --git a/store.py b/store.py index 467dd4b..425f08d 100644 --- a/store.py +++ b/store.py @@ -7,6 +7,7 @@ import datetime import inspect from json import JSONDecodeError from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError +import dbs __all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"] @@ -17,6 +18,7 @@ class ReportStore: self.print_logs = [] self.logs = [] + self.redis_status = [] self.no_http_dup = no_http_dup self.last_http = None @@ -46,6 +48,10 @@ class ReportStore: self.logs.append(hash_) return hash_ + def add_redis_status(self, hash_): + self.redis_status.append(hash_) + return hash_ + @staticmethod def default_json_serial(obj): if isinstance(obj, (datetime.datetime, datetime.date)): @@ -63,6 +69,13 @@ class ReportStore: json.dumps(log, default=self.default_json_serial, indent=" ") ) + def to_json_redis(self): + for log in (x.copy() for x in self.redis_status): + yield ( + log.pop("type"), + json.dumps(log, default=self.default_json_serial) + ) + def set_verbose(self, verbose_print): self.verbose_print = verbose_print @@ -86,19 +99,35 @@ class ReportStore: "args": args, }) - def log_balances(self, tag=None): + def log_balances(self, tag=None, checkpoint=None, tickers=None, + ticker_currency=None, compute_value=None, type=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() - }) + log = { + "type": "balance", + "tag": tag, + "checkpoint": checkpoint, + "balances": self.market.balances.as_json() + } + + if tickers is not None: + log["tickers"] = self._ticker_hash(tickers, ticker_currency, + compute_value, type) + + self.add_log(log.copy()) + self.add_redis_status(log) def log_tickers(self, amounts, other_currency, compute_value, type): + log = self._ticker_hash(amounts, other_currency, compute_value, + type) + log["type"] = "tickers" + + self.add_log(log) + + def _ticker_hash(self, amounts, other_currency, compute_value, type): values = {} rates = {} if callable(compute_value): @@ -107,15 +136,14 @@ class ReportStore: 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"] - }) + return { + "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({ @@ -211,6 +239,7 @@ class ReportStore: "body": body, "headers": headers, "status": response.status_code, + "duration": response.elapsed.total_seconds(), "response": None, "response_same_as": self.last_http["date"] }) @@ -222,6 +251,7 @@ class ReportStore: "body": body, "headers": headers, "status": response.status_code, + "duration": response.elapsed.total_seconds(), "response": response.text, "response_same_as": None, }) @@ -274,13 +304,69 @@ class BalanceStore: compute_value, type) return amounts - def fetch_balances(self, tag=None): + def fetch_balances(self, tag=None, add_portfolio=False, liquidity="medium", + checkpoint=None, log_tickers=False, add_usdt=False, + ticker_currency="BTC", ticker_compute_value="average", ticker_type="total"): 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 self.all: self.all[currency] = portfolio.Balance(currency, balance) - self.market.report.log_balances(tag=tag) + if add_portfolio: + for currency in Portfolio.repartition(from_cache=True, liquidity=liquidity): + self.all.setdefault(currency, portfolio.Balance(currency, {})) + if add_usdt: + self.all.setdefault("USDT", portfolio.Balance("USDT", {})) + if log_tickers: + tickers = self.in_currency(ticker_currency, compute_value=ticker_compute_value, type=ticker_type) + self.market.report.log_balances(tag=tag, checkpoint=checkpoint, + tickers=tickers, ticker_currency=ticker_currency, + compute_value=ticker_compute_value, type=ticker_type) + else: + self.market.report.log_balances(tag=tag, checkpoint=checkpoint) + + def available_balances_for_repartition(self, + compute_value="average", base_currency="BTC", + liquidity="medium", repartition=None): + if repartition is None: + repartition = Portfolio.repartition(liquidity=liquidity) + base_currency_balance = self.all.get(base_currency) + + if base_currency_balance is None: + total_base_value = portfolio.Amount(base_currency, 0) + else: + total_base_value = base_currency_balance.exchange_free + \ + base_currency_balance.margin_available - \ + base_currency_balance.margin_in_position + + amount_in_position = {} + + # Compute balances already in the target position + for currency, (ptt, trade_type) in repartition.items(): + amount_in_position[currency] = portfolio.Amount(base_currency, 0) + balance = self.all.get(currency) + if currency != base_currency and balance is not None: + if trade_type == "short": + amount = balance.margin_borrowed + else: + amount = balance.exchange_free + balance.exchange_used + amount_in_position[currency] = amount.in_currency(base_currency, + self.market, compute_value=compute_value) + total_base_value += amount_in_position[currency] + + # recursively delete more-than-filled positions from the wanted + # repartition + did_delete = True + while did_delete: + did_delete = False + sum_ratio = sum([v[0] for k, v in repartition.items()]) + current_base_value = total_base_value + for currency, (ptt, trade_type) in repartition.copy().items(): + if amount_in_position[currency] > current_base_value * ptt / sum_ratio: + did_delete = True + del(repartition[currency]) + total_base_value -= amount_in_position[currency] + return repartition, total_base_value, amount_in_position def dispatch_assets(self, amount, liquidity="medium", repartition=None): if repartition is None: @@ -409,16 +495,36 @@ class Portfolio: last_date = LockedVar(None) report = LockedVar(ReportStore(None, no_http_dup=True)) worker = None + worker_tag = "" worker_started = False worker_notify = None callback = None + poll_started_at = None @classmethod - def start_worker(cls, poll=30): + def next_wait_time(cls): + now = datetime.datetime.now() + if cls.poll_started_at is None: + cls.poll_started_at = now + delta = now - cls.poll_started_at + + if delta < datetime.timedelta(minutes=30): + return 30 + elif delta < datetime.timedelta(hours=1): + return 60 + elif delta < datetime.timedelta(hours=4): + return 5*60 + elif delta < datetime.timedelta(days=1): + return 60*60 + else: + raise Exception("Too long waiting") + + @classmethod + def start_worker(cls): import threading cls.worker = threading.Thread(name="portfolio", daemon=True, - target=cls.wait_for_notification, kwargs={"poll": poll}) + target=cls.wait_for_notification) cls.worker_notify = threading.Event() cls.callback = threading.Event() @@ -426,6 +532,7 @@ class Portfolio: cls.liquidities.start_lock() cls.report.start_lock() + cls.worker_tag = "[Worker] " cls.worker_started = True cls.worker.start() @@ -438,17 +545,20 @@ class Portfolio: return cls.worker == threading.current_thread() @classmethod - def wait_for_notification(cls, poll=30): + def wait_for_notification(cls): 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() if cls.worker_started: cls.worker_notify.clear() - cls.report.print_log("Fetching cryptoportfolio") + cls.report.print_log("[Worker] Fetching cryptoportfolio") cls.get_cryptoportfolio(refetch=True) cls.callback.set() - time.sleep(poll) + try: + time.sleep(cls.next_wait_time()) + except Exception: + cls.stop_worker() @classmethod def stop_worker(cls): @@ -462,25 +572,30 @@ class Portfolio: cls.callback.wait() @classmethod - def wait_for_recent(cls, delta=4, poll=30): + def wait_for_recent(cls, delta=4): cls.get_cryptoportfolio() while cls.last_date.get() is None or datetime.datetime.now() - cls.last_date.get() > datetime.timedelta(delta): if cls.worker is None: - time.sleep(poll) + time.sleep(cls.next_wait_time()) cls.report.print_log("Attempt to fetch up-to-date cryptoportfolio") cls.get_cryptoportfolio(refetch=True) @classmethod - def repartition(cls, liquidity="medium"): + def repartition(cls, liquidity="medium", from_cache=False): + if from_cache: + cls.retrieve_cryptoportfolio() cls.get_cryptoportfolio() liquidities = cls.liquidities.get(liquidity) - return liquidities[cls.last_date.get()] + if liquidities is not None and cls.last_date.get() in liquidities: + return liquidities[cls.last_date.get()].copy() @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(): + if not cls.worker_started: + raise Exception("Portfolio worker is down and no usable data is present") cls.notify_and_wait() return try: @@ -488,16 +603,43 @@ class Portfolio: 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) + cls.report.log_error("{}get_cryptoportfolio".format(cls.worker_tag), exception=e) return try: cls.data.set(r.json(parse_int=D, parse_float=D)) cls.parse_cryptoportfolio() - except (JSONDecodeError, SimpleJSONDecodeError): + cls.store_cryptoportfolio() + except (AssertionError, JSONDecodeError, SimpleJSONDecodeError): cls.data.set(None) cls.last_date.set(None) cls.liquidities.set({}) + @classmethod + def retrieve_cryptoportfolio(cls): + if dbs.redis_connected(): + repartition = dbs.redis.get("/cryptoportfolio/repartition/latest") + date = dbs.redis.get("/cryptoportfolio/repartition/date") + if date is not None and repartition is not None: + date = datetime.datetime.strptime(date.decode(), "%Y-%m-%d") + repartition = json.loads(repartition, parse_int=D, parse_float=D) + repartition = { k: { date: v } for k, v in repartition.items() } + + cls.data.set("") + cls.last_date.set(date) + cls.liquidities.set(repartition) + + @classmethod + def store_cryptoportfolio(cls): + if dbs.redis_connected(): + hash_ = {} + for liquidity, repartitions in cls.liquidities.items(): + hash_[liquidity] = repartitions[cls.last_date.get()] + dump = json.dumps(hash_) + key = "/cryptoportfolio/repartition/latest" + dbs.redis.set(key, dump) + key = "/cryptoportfolio/repartition/date" + dbs.redis.set(key, cls.last_date.date().isoformat()) + @classmethod def parse_cryptoportfolio(cls): def filter_weights(weight_hash): @@ -530,6 +672,8 @@ class Portfolio: high_liquidity = parse_weights(cls.data.get("portfolio_1")) medium_liquidity = parse_weights(cls.data.get("portfolio_2")) + assert len(high_liquidity) > 0 + assert len(medium_liquidity) > 0 cls.liquidities.set({ "medium": medium_liquidity, "high": high_liquidity,