return self.parse_balance(result)
ccxt.poloniex.fetch_balance = poloniex_fetch_balance
-def poloniex_fetch_margin_balances(self):
+def poloniex_fetch_margin_balance(self):
+ """
+ portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
+ See DASH/BTC positions
+ {'amount': '-0.10000000', -> DASH empruntés
+ 'basePrice': '0.06818560', -> à ce prix là (0.06828800 demandé * (1-0.15%))
+ 'lendingFees': '0.00000000', -> ce que je dois à mon créditeur
+ 'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin)
+ 'pl': '-0.00000371', -> plus-value latente si je rachète tout de suite (négatif = perdu)
+ 'total': '0.00681856', -> valeur totale empruntée en BTC
+ 'type': 'short'}
+ """
positions = self.privatePostGetMarginPosition({"currencyPair": "all"})
parsed = {}
for symbol, position in positions.items():
"liquidationPrice": decimal.Decimal(position["liquidationPrice"]),
"type": position["type"],
"total": decimal.Decimal(position["total"]),
- "base_currency": base_currency,
+ "baseCurrency": base_currency,
}
return parsed
-ccxt.poloniex.fetch_margin_balances = poloniex_fetch_margin_balances
-
-def poloniex_fetch_balance_with_margin(self, params={}):
- exchange_balance = self.fetch_balance(params=params)
- margin_balances = self.fetch_margin_balances()
-
- for currency, balance in margin_balances.items():
- assert exchange_balance[currency]["total"] == 0
- assert balance["type"] == "short"
- exchange_balance[currency]["total"] = balance["amount"]
- exchange_balance[currency]["marginPosition"] = balance
- return exchange_balance
-ccxt.poloniex.fetch_balance_with_margin = poloniex_fetch_balance_with_margin
-
+ccxt.poloniex.fetch_margin_balance = poloniex_fetch_margin_balance
def poloniex_fetch_balance_per_type(self):
balances = self.privatePostReturnAvailableAccountBalances()
return result
ccxt.poloniex.fetch_balance_per_type = poloniex_fetch_balance_per_type
+def poloniex_fetch_all_balances(self):
+ exchange_balances = self.fetch_balance()
+ margin_balances = self.fetch_margin_balance()
+ balances_per_type = self.fetch_balance_per_type()
+
+ all_balances = {}
+ in_positions = {}
+
+ for currency, exchange_balance in exchange_balances.items():
+ if currency in ["info", "free", "used", "total"]:
+ continue
+
+ margin_balance = margin_balances.get(currency, {})
+ balance_per_type = balances_per_type.get(currency, {})
+
+ all_balances[currency] = {
+ "total": exchange_balance["total"] + margin_balance.get("amount", 0),
+ "exchange_used": exchange_balance["used"],
+ "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0),
+ "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0),
+ "margin_free": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
+ "margin_borrowed": 0,
+ "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
+ "margin_lending_fees": margin_balance.get("lendingFees", 0),
+ "margin_pending_gain": margin_balance.get("pl", 0),
+ "margin_position_type": margin_balance.get("type", None),
+ "margin_liquidation_price": margin_balance.get("liquidationPrice", 0),
+ "margin_borrowed_base_price": margin_balance.get("total", 0),
+ "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None),
+ }
+ if len(margin_balance) > 0:
+ if margin_balance["baseCurrency"] not in in_positions:
+ in_positions[margin_balance["baseCurrency"]] = 0
+ in_positions[margin_balance["baseCurrency"]] += margin_balance["total"]
+
+ for currency, in_position in in_positions.items():
+ all_balances[currency]["total"] += in_position
+ all_balances[currency]["margin_total"] += in_position
+ all_balances[currency]["margin_borrowed"] += in_position
+
+ return all_balances
+ccxt.poloniex.fetch_all_balances = poloniex_fetch_all_balances
+
def poloniex_parse_ticker(self, ticker, market=None):
timestamp = self.milliseconds()
symbol = None
return result["success"] == 1
ccxt.poloniex.transfer_balance = poloniex_transfer_balance
-# portfolio.market.create_order("DASH/BTC", "limit", "sell", 0.1, price=0.06828800, account="margin")
-
-# portfolio.market.privatePostReturnTradableBalances()
-# Returns tradable balances in margin
-# 'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'},
-# Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est
-# déjà ouverte)
-# 'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'},
-# Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter
-# 0.00585143 BTC pour acheter des CLAM
-
-# portfolio.market.privatePostReturnMarginAccountSummary()
-# Returns current informations for margin
-# {'currentMargin': '1.49680968', -> marge (ne doit pas descendre sous 20% / 0.2)
-# = netValue / totalBorrowedValue
-# 'lendingFees': '0.00000000', -> fees totaux
-# 'netValue': '0.01008254', -> balance + plus-value
-# 'pl': '0.00008254', -> plus value latente (somme des positions)
-# 'totalBorrowedValue': '0.00673602', -> valeur en BTC empruntée
-# 'totalValue': '0.01000000'} -> valeur totale en compte
-
-
-# portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
-# See DASH/BTC positions
-# {'amount': '-0.10000000', -> DASH empruntés
-# 'basePrice': '0.06818560', -> à ce prix là (0.06828800 demandé * (1-0.15%))
-# 'lendingFees': '0.00000000', -> ce que je dois à mon créditeur
-# 'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin)
-# 'pl': '-0.00000371', -> plus-value latente si je rachète tout de suite (négatif = perdu)
-# 'total': '0.00681856', -> valeur totale empruntée en BTC
-# 'type': 'short'}
-
-
-# closeMarginPosition({"currencyPair": "BTC_DASH"}) : fermer la position au prix
-# du marché
-# Nécessaire à la fin
-# portfolio.market.create_order("DASH/BTC", "limit", "buy", 0.1, price=0.06726487, account="margin")
-
-# portfolio.market.fetch_balance_per_type()
-# Ne suffit pas pour calculer les positions: ne contient que les 0.01 envoyés
-# TODO: vérifier si fetch_balance marque ces 0.01 comme disponibles -> oui
+def poloniex_close_margin_position(self, currency, base_currency):
+ """
+ closeMarginPosition({"currencyPair": "BTC_DASH"})
+ fermer la position au prix du marché
+ """
+ symbol = "{}_{}".format(base_currency, currency)
+ self.privatePostCloseMarginPosition({"currencyPair": symbol})
+ccxt.poloniex.close_margin_position = poloniex_close_margin_position
+
+def poloniex_tradable_balances(self):
+ """
+ portfolio.market.privatePostReturnTradableBalances()
+ Returns tradable balances in margin
+ 'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'},
+ Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte)
+ 'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'},
+ Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM
+ """
+
+ tradable_balances = self.privatePostReturnTradableBalances()
+ for symbol, balances in tradable_balances.items():
+ for currency, balance in balances.items():
+ balances[currency] = decimal.Decimal(balance)
+ return tradable_balances
+ccxt.poloniex.fetch_tradable_balances = poloniex_tradable_balances
+
+def poloniex_margin_summary(self):
+ """
+ portfolio.market.privatePostReturnMarginAccountSummary()
+ Returns current informations for margin
+ {'currentMargin': '1.49680968', -> marge (ne doit pas descendre sous 20% / 0.2)
+ = netValue / totalBorrowedValue
+ 'lendingFees': '0.00000000', -> fees totaux
+ 'netValue': '0.01008254', -> balance + plus-value
+ 'pl': '0.00008254', -> plus value latente (somme des positions)
+ 'totalBorrowedValue': '0.00673602', -> valeur en BTC empruntée
+ 'totalValue': '0.01000000'} -> valeur totale en compte
+ """
+ summary = self.privatePostReturnMarginAccountSummary()
+ return {
+ "current_margin": decimal.Decimal(summary["currentMargin"]),
+ "lending_fees": decimal.Decimal(summary["lendingFees"]),
+ "gains": decimal.Decimal(summary["pl"]),
+ "total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]),
+ "total": decimal.Decimal(summary["totalValue"]),
+ }
+ccxt.poloniex.margin_summary = poloniex_margin_summary
market = ccxt.poloniex({
"apiKey": "XXXXXXXX-XXXXXXXX-XXXXXXXX-XXXXXXXX",
"secret": "1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef1234567890abcdef",
def __truediv__(self, value):
return self.__floordiv__(value)
+ def __le__(self, other):
+ return self == other or self < other
+
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 __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
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)
class Balance:
known_balances = {}
- 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"])
+ for key in ["total",
+ "exchange_total", "exchange_used", "exchange_free",
+ "margin_total", "margin_borrowed", "margin_free"]:
+ setattr(self, key, Amount(currency, hash_.get(key, 0)))
+
+ self.margin_position_type = hash_["margin_position_type"]
+
+ if hash_["margin_borrowed_base_currency"] is not None:
+ base_currency = hash_["margin_borrowed_base_currency"]
+ for key in [
+ "margin_liquidation_price",
+ "margin_pending_gain",
+ "margin_lending_fees",
+ "margin_borrowed_base_price"
+ ]:
+ setattr(self, key, Amount(base_currency, hash_[key]))
@classmethod
def in_currency(cls, other_currency, market, compute_value="average", type="total"):
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])
-
@classmethod
def fetch_balances(cls, market):
- cls._fill_balances(market.fetch_balance())
+ all_balances = market.fetch_all_balances()
+ for currency, balance in all_balances.items():
+ if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
+ currency in cls.known_balances:
+ cls.known_balances[currency] = cls(currency, balance)
return cls.known_balances
- # FIXME:Separate balances per trade type and in position
- # Need to check how balances in position are represented
@classmethod
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 cls.known_balances:
cls.known_balances[currency] = cls(currency, 0, 0, 0)
return amounts
- @classmethod
- def dispatch_trade_types(cls, repartition=None):
- if repartition is None:
- repartition = Portfolio.repartition()
- trade_types = {}
- for currency, (ptt, trade_type) in repartition.items():
- trade_types[currency] = trade_type
- return trade_types
- # FIXME: once we know the repartition and sold everything, we can move
- # the necessary part to the margin account
-
@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)
- trade_types = cls.dispatch_trade_types()
# 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, trade_types, market=market)
+ Trade.compute_trades(values_in_base, new_repartition, market=market)
@classmethod
def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None):
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_types = cls.dispatch_trade_types()
- Trade.compute_trades(values_in_base, new_repartition, trade_types, only=only, market=market)
+ 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"):
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, "long") })
- trade_types = cls.dispatch_trade_types()
- Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
+ Trade.compute_trades(values_in_base, new_repartition, market=market)
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 = ""
+
+ if self.margin_total > 0:
+ if self.margin_free != 0 and self.margin_borrowed != 0:
+ margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total))
+ elif self.margin_free != 0:
+ margin = " Margin: [✔{}]".format(str(self.margin_free))
+ else:
+ margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed))
+ 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 = ""
+
+ return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")"
class Computation:
computations = {
}
class Trade:
- trades = {}
+ trades = []
- def __init__(self, value_from, value_to, currency, trade_type, market=None):
+ def __init__(self, value_from, value_to, currency, market=None):
# 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
self.value_from = value_from
self.value_to = value_to
- self.trade_type = trade_type
self.orders = []
self.market = market
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 = {}
return cls.get_ticker(c1, c2, market)
@classmethod
- def compute_trades(cls, values_in_base, new_repartition, trade_types, only=None, market=None):
+ 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,
- trade_types.get(currency, "long"),
- market=market
- )
- if only is None or trade.action == only:
- cls.trades[currency] = trade
+ value_from = values_in_base.get(currency, Amount(base_currency, 0))
+ value_to = new_repartition.get(currency, Amount(base_currency, 0))
+ if value_from.value * value_to.value < 0:
+ trade_1 = cls(value_from, Amount(base_currency, 0), currency, market=market)
+ if only is None or trade_1.action == only:
+ cls.trades.append(trade_1)
+ trade_2 = cls(Amount(base_currency, 0), value_to, currency, market=market)
+ if only is None or trade_2.action == only:
+ cls.trades.append(trade_2)
+ else:
+ trade = cls(
+ value_from,
+ value_to,
+ currency,
+ market=market
+ )
+ if only is None or trade.action == only:
+ cls.trades.append(trade)
return cls.trades
@classmethod
def prepare_orders(cls, only=None, compute_value="default"):
- for currency, trade in cls.trades.items():
+ for trade in cls.trades:
if only is None or trade.action == only:
trade.prepare_order(compute_value=compute_value)
+ @classmethod
+ def move_balances(cls, market, debug=False):
+ needed_in_margin = {}
+ for trade in cls.trades:
+ if trade.trade_type == "short":
+ if trade.value_to.currency not in needed_in_margin:
+ needed_in_margin[trade.value_to.currency] = 0
+ needed_in_margin[trade.value_to.currency] += abs(trade.value_to)
+ for currency, needed in needed_in_margin.items():
+ current_balance = Balance.known_balances[currency].margin_free
+ delta = (needed - current_balance).value
+ # FIXME: don't remove too much if there are open margin position
+ if delta > 0:
+ if debug:
+ print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta))
+ else:
+ market.transfer_balance(currency, delta, "exchange", "margin")
+ elif delta < 0:
+ if debug:
+ print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta))
+ else:
+ market.transfer_balance(currency, -delta, "margin", "exchange")
+
@property
def action(self):
if self.value_from == self.value_to:
return None
if self.value_from < self.value_to:
- return "buy"
+ return "acquire"
else:
- return "sell"
+ return "dispose"
def order_action(self, inverted):
- # a xor b xor c
- if (self.trade_type == "short") != ((self.value_from < self.value_to) != inverted):
+ if (self.value_from < self.value_to) != inverted:
return "buy"
else:
return "sell"
+ @property
+ def trade_type(self):
+ if self.value_from + self.value_to < 0:
+ return "short"
+ else:
+ return "long"
+
def prepare_order(self, compute_value="default"):
if self.action is None:
return
rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
# 0.1
- # FIXME: optimize if value_to == 0 or value_from == 0?)
-
delta_in_base = abs(self.value_from - self.value_to)
# 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
if not inverted:
currency = self.base_currency
# BTC
- if self.action == "sell":
+ if self.action == "dispose":
# 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
# I want to buy 9 / 0.1 FOO
# Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
- self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.trade_type, self.market))
+ close_if_possible = (self.value_to == 0)
+
+ self.orders.append(Order(self.order_action(inverted),
+ delta, rate, currency, self.trade_type, self.market,
+ close_if_possible=close_if_possible))
@classmethod
def compute_value(cls, ticker, action, compute_value="default"):
@classmethod
def all_orders(cls, state=None):
- all_orders = sum(map(lambda v: v.orders, cls.trades.values()), [])
+ all_orders = sum(map(lambda v: v.orders, cls.trades), [])
if state is None:
return all_orders
else:
order.get_status()
def __repr__(self):
- return "Trade({} -> {} in {}, {} {})".format(
+ return "Trade({} -> {} in {}, {})".format(
self.value_from,
self.value_to,
self.currency,
- self.action,
- self.trade_type)
+ self.action)
@classmethod
def print_all_with_order(cls):
- for trade in cls.trades.values():
+ for trade in cls.trades:
trade.print_with_order()
def print_with_order(self):
print("\t", order, sep="")
class Order:
- def __init__(self, action, amount, rate, base_currency, trade_type, market):
+ def __init__(self, action, amount, rate, base_currency, trade_type, market,
+ close_if_possible=False):
self.action = action
self.amount = amount
self.rate = rate
self.trade_type = trade_type
self.result = None
self.status = "pending"
+ self.close_if_possible = close_if_possible
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
symbol, self.action, amount, self.rate, self.account))
else:
try:
- if self.action == "sell" and self.trade_type == "short":
- assert self.market.transfer_balance(self.base_currency, amount * self.rate, "exchange", "margin")
self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)
self.status = "open"
except Exception as e:
# other states are "closed" and "canceled"
if self.status == "open":
result = self.market.fetch_order(self.result['id'])
- self.status = result["status"]
+ if result["status"] != "open":
+ self.mark_finished_order(result["status"])
return self.status
+ def mark_finished_order(self, status):
+ if status == "closed":
+ if self.trade_type == "short" and self.action == "buy" and self.close_if_possible:
+ self.market.close_margin_position(self.amount.currency, self.base_currency)
+
+ self.status = result["status"]
+
def cancel(self):
self.market.cancel_order(self.result['id'])
def make_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency)
- for currency, trade in Trade.trades.items():
+ for trade in Trade.trades:
print(trade)
for order in trade.orders:
print("\t", order, sep="")
order.run()
+def sell_all(market, base_currency="BTC"):
+ Balance.prepare_trades_to_sell_all(market)
+ Trade.prepare_orders(compute_value="average")
+ Trade.run_orders()
+ Trade.follow_orders()
+
+ Balance.update_trades(market, only="acquire")
+ Trade.prepare_orders(only="acquire")
+ Trade.move_balances(market)
+ Trade.run_orders()
+ Trade.follow_orders()
+
if __name__ == '__main__':
print_orders(market)
projects / perso / Immae / Projets / Cryptomonnaies / Cryptoportfolio / Trader.git / commitdiff
