From: Ismaël Bouya <ismael.bouya@normalesup.org>
Date: Sun, 14 Jan 2018 02:34:42 +0000 (+0100)
Subject: Include fees in computation
X-Git-Tag: v0.1~44
X-Git-Url: https://git.immae.eu/?p=perso%2FImmae%2FProjets%2FCryptomonnaies%2FCryptoportfolio%2FTrader.git;a=commitdiff_plain;h=b2dab3acfb8cb23bdb54298c88aecfb7042fb8d5

Include fees in computation
---

diff --git a/script.py b/script.py
index c5ac4aa..187ff73 100644
--- a/script.py
+++ b/script.py
@@ -31,13 +31,25 @@ def get_ticker(c1, c2, market):
                 "ask": float(1/ticker["bid"]),
                 "bidA": float(1/ticker["askA"]),
                 "askA": float(1/ticker["bidA"]),
+                "bidE": float(1/ticker["askE"]),
+                "askE": float(1/ticker["bidE"]),
                 }
     def augment_ticker(ticker):
+        bid_factor = 1.01
+        ask_factor = 0.99
+        fees = fetch_fees(market)
         # FIXME: need to do better than just a multiplier
         ticker.update({
             "inverted": False,
-            "bidA": ticker["bid"] * 0.99,
-            "askA": ticker["ask"] * 1.01,
+            # Adjusted
+            "bidA": ticker["bid"] * bid_factor,
+            "askA": ticker["ask"] * ask_factor,
+            # Expected in the end
+            "bidE": ticker["bid"] * bid_factor * (1 - fees["maker"]),
+            "askE": ticker["ask"] * ask_factor * (1 - fees["maker"]),
+            # fees
+            "bidF": ticker["bid"] * bid_factor * fees["maker"],
+            "askF": ticker["ask"] * ask_factor * fees["maker"],
             })
 
     if (c1, c2, market.__class__) in get_ticker.cache:
@@ -64,16 +76,26 @@ def fetch_balances(market):
             balances[key] = int(value * 10**max_digits)
     return balances
 
+@static_var("cache", {})
+def fetch_fees(market):
+    if market.__class__ not in fetch_fees.cache:
+        fetch_fees.cache[market.__class__] = market.fetch_fees()
+    return fetch_fees.cache[market.__class__]
+
 def assets_value(assets, market, base_currency="BTC"):
     repartition_in_base_currency = {}
     for currency, asset_value in assets.items():
         if currency == base_currency:
-            repartition_in_base_currency[currency] = asset_value
+            repartition_in_base_currency[currency] = [asset_value, 0]
         else:
             asset_ticker = get_ticker(currency, base_currency, market)
             if asset_ticker is None:
                 raise Exception("This asset is not available in the chosen market")
-            repartition_in_base_currency[currency] = int(asset_ticker["bidA"] * asset_value)
+            repartition_in_base_currency[currency] = [
+                    int(asset_ticker["bidE"] * asset_value),
+                    int(asset_ticker["bidF"] * asset_value)
+                    ]
+
     return repartition_in_base_currency
 
 def dispatch_assets(base_currency_value, repartition_pertenthousand, market, base_currency="BTC"):
@@ -83,15 +105,20 @@ def dispatch_assets(base_currency_value, repartition_pertenthousand, market, bas
         repartition_in_base_currency[currency] = int(ptt * base_currency_value / sum_pertenthousand)
     return repartition_in_base_currency
 
-def compute_moves(current_assets, repartition_pertenthousand, market, base_currency="BTC"):
+def compute_moves(current_assets, repartition_pertenthousand, market, no_fees=True, base_currency="BTC"):
     value_in_base = assets_value(current_assets, market, base_currency=base_currency)
-    total_base_value = sum([ v for k, v in value_in_base.items()])
+    total_base_value = sum([ v[0] for k, v in value_in_base.items()])
 
     new_repartition = dispatch_assets(total_base_value, repartition_pertenthousand, market, base_currency=base_currency)
     mouvements = {}
 
-    for key in set(value_in_base.keys()).union(set(new_repartition.keys())):
-        mouvements[key] = value_in_base.get(key, 0) - new_repartition.get(key, 0)
+    if no_fees:
+        for key in set(value_in_base.keys()).union(set(new_repartition.keys())):
+            mouvements[key] = value_in_base.get(key, [0, 0])[0] - new_repartition.get(key, 0)
+    else:
+        for key in set(value_in_base.keys()).union(set(new_repartition.keys())):
+            value, fee = value_in_base.get(key, [0, 0])
+            mouvements[key] = [value - new_repartition.get(key, 0), fee]
 
     return mouvements
 
@@ -148,7 +175,7 @@ def print_assets(assets, indent="", market=None, base_currency="BTC"):
     for currency, value in assets.items():
         if market is not None:
             asset_ticker = get_ticker(currency, base_currency, market)
-            base_currency_price = asset_ticker["bidA"] * value
+            base_currency_price = asset_ticker["bidE"] * value
         print(format_string.format(
             indent,
             formatted_price(value),
@@ -161,9 +188,10 @@ def print_orders(current_assets, repartition_pertenthousand, market, base_curren
             current_assets,
             repartition_pertenthousand,
             market,
+            no_fees=False,
             base_currency=base_currency)
 
-    for currency, value in mouvements.items():
+    for currency, [value, fee] in mouvements.items():
         action, rate, inverted = compute_order(
                 currency,
                 value,
@@ -179,11 +207,12 @@ def print_orders(current_assets, repartition_pertenthousand, market, base_curren
                 c1, c2 = [currency, base_currency]
                 v1, v2 = [currency_price, value]
 
-            print("need to {} {} {}'s worth of {}, i.e. {} {}".format(
+            print("need to {} {} {}'s worth of {}, i.e. {} {} ( + {} {} fee)".format(
                 action,
                 formatted_price(abs(v1)), c1,
                 c2,
-                formatted_price(abs(v2)), c2))
+                formatted_price(abs(v2)), c2,
+                formatted_price(fee), c2))
 
 current_assets = fetch_balances(market)
 print_orders(current_assets, repartition_pertenthousand, market)