X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=blobdiff_plain;f=store.py;h=425f08d7ce85f322addb44219ed7ab0341926132;hp=841a0fc9e4f581ad468a2c3e8664507b003b4232;hb=HEAD;hpb=1aa7d4fa2ec3c2b3268bef31a666ca6e1aaa6563 diff --git a/store.py b/store.py index 841a0fc..425f08d 100644 --- a/store.py +++ b/store.py @@ -1,107 +1,685 @@ +import time +import requests import portfolio +import simplejson as json +from decimal import Decimal as D, ROUND_DOWN +import datetime +import inspect +from json import JSONDecodeError +from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError +import dbs -__all__ = ["BalanceStore", "TradeStore"] +__all__ = ["Portfolio", "BalanceStore", "ReportStore", "TradeStore"] + +class ReportStore: + def __init__(self, market, verbose_print=True, no_http_dup=False): + self.market = market + self.verbose_print = verbose_print + + self.print_logs = [] + self.logs = [] + self.redis_status = [] + + self.no_http_dup = no_http_dup + self.last_http = None + + 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.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.datetime.now() + if self.market is not None: + hash_["user_id"] = self.market.user_id + hash_["market_id"] = self.market.market_id + else: + hash_["user_id"] = None + hash_["market_id"] = None + 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)): + 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 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 + + 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, 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)) + + 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): + compute_value = inspect.getsource(compute_value).strip() + + for currency, amount in amounts.items(): + values[currency] = amount.as_json()["value"] + rates[currency] = amount.rate + 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({ + "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): + if isinstance(response, Exception): + self.add_log({ + "type": "http_request", + "method": method, + "url": url, + "body": body, + "headers": headers, + "status": -1, + "response": None, + "error": response.__class__.__name__, + "error_message": str(response), + }) + self.last_http = None + elif self.no_http_dup and \ + self.last_http is not None and \ + self.last_http["url"] == url and \ + self.last_http["method"] == method and \ + self.last_http["response"] == response.text: + self.add_log({ + "type": "http_request", + "method": method, + "url": url, + "body": body, + "headers": headers, + "status": response.status_code, + "duration": response.elapsed.total_seconds(), + "response": None, + "response_same_as": self.last_http["date"] + }) + else: + self.last_http = self.add_log({ + "type": "http_request", + "method": method, + "url": url, + "body": body, + "headers": headers, + "status": response.status_code, + "duration": response.elapsed.total_seconds(), + "response": response.text, + "response_same_as": None, + }) + + 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): + self.add_log({ + "type": "market", + "commit": "$Format:%H$", + "args": vars(args), + }) 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, 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 cls.all: - cls.all[currency] = portfolio.Balance(currency, balance) + currency in self.all: + self.all[currency] = portfolio.Balance(currency, balance) + 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) - @classmethod - def dispatch_assets(cls, amount, repartition=None): + def available_balances_for_repartition(self, + compute_value="average", base_currency="BTC", + liquidity="medium", repartition=None): if repartition is None: - repartition = portfolio.Portfolio.repartition() + 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: + 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, no_http_dup=True)) + worker = None + worker_tag = "" + worker_started = False + worker_notify = None + callback = None + poll_started_at = None + + @classmethod + 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) + cls.worker_notify = threading.Event() + cls.callback = threading.Event() + + cls.last_date.start_lock() + cls.liquidities.start_lock() + cls.report.start_lock() + + cls.worker_tag = "[Worker] " + 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): + 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("[Worker] Fetching cryptoportfolio") + cls.get_cryptoportfolio(refetch=True) + cls.callback.set() + try: + time.sleep(cls.next_wait_time()) + except Exception: + cls.stop_worker() + + @classmethod + def stop_worker(cls): + cls.worker_started = False + cls.worker_notify.set() + + @classmethod + def notify_and_wait(cls): + cls.callback.clear() + cls.worker_notify.set() + cls.callback.wait() + + @classmethod + 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(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", from_cache=False): + if from_cache: + cls.retrieve_cryptoportfolio() + cls.get_cryptoportfolio() + liquidities = cls.liquidities.get(liquidity) + 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: + 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".format(cls.worker_tag), exception=e) + return + try: + cls.data.set(r.json(parse_int=D, parse_float=D)) + cls.parse_cryptoportfolio() + 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): + 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.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")) + + assert len(high_liquidity) > 0 + assert len(medium_liquidity) > 0 + cls.liquidities.set({ + "medium": medium_liquidity, + "high": high_liquidity, + }) + cls.last_date.set(max( + max(medium_liquidity.keys(), default=datetime.datetime(1, 1, 1)), + max(high_liquidity.keys(), default=datetime.datetime(1, 1, 1)) + ))