from ccxt import *
import decimal
import time
def _cw_exchange_sum(self, *args):
return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))])
Exchange.sum = _cw_exchange_sum
class poloniexE(poloniex):
@staticmethod
def nanoseconds():
return int(time.time() * 1000000000)
def fetch_margin_balance(self):
"""
portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
See DASH/BTC positions
{'amount': '-0.10000000', -> DASH empruntés (à rendre)
'basePrice': '0.06818560', -> à ce prix là (0.06828800 demandé * (1-0.15%))
'lendingFees': '0.00000000', -> ce que je dois à mon créditeur en intérêts
'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 (au moment de l'échange)
= amount * basePrice à erreur d'arrondi près
'type': 'short'}
"""
positions = self.privatePostGetMarginPosition({"currencyPair": "all"})
parsed = {}
for symbol, position in positions.items():
if position["type"] == "none":
continue
base_currency, currency = symbol.split("_")
parsed[currency] = {
"amount": decimal.Decimal(position["amount"]),
"borrowedPrice": decimal.Decimal(position["basePrice"]),
"lendingFees": decimal.Decimal(position["lendingFees"]),
"pl": decimal.Decimal(position["pl"]),
"liquidationPrice": decimal.Decimal(position["liquidationPrice"]),
"type": position["type"],
"total": decimal.Decimal(position["total"]),
"baseCurrency": base_currency,
}
return parsed
def fetch_balance_per_type(self):
balances = self.privatePostReturnAvailableAccountBalances()
result = {'info': balances}
for key, balance in balances.items():
result[key] = {}
for currency, amount in balance.items():
result.setdefault(currency, {})
result[currency][key] = decimal.Decimal(amount)
result[key][currency] = decimal.Decimal(amount)
return result
def 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 = {}
pending_pl = {}
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),
# Disponible sur le compte margin
"margin_available": balance_per_type.get("margin", 0),
# Bloqué en position
"margin_in_position": 0,
# Emprunté
"margin_borrowed": -margin_balance.get("amount", 0),
# Total
"margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
"margin_pending_gain": 0,
"margin_lending_fees": margin_balance.get("lendingFees", 0),
"margin_pending_base_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:
in_positions.setdefault(margin_balance["baseCurrency"], 0)
in_positions[margin_balance["baseCurrency"]] += margin_balance["total"]
pending_pl.setdefault(margin_balance["baseCurrency"], 0)
pending_pl[margin_balance["baseCurrency"]] += margin_balance["pl"]
# J’emprunte 0.12062983 que je revends à 0.06003598 BTC/DASH, soit 0.00724213 BTC.
# Sur ces 0.00724213 BTC je récupère 0.00724213*(1-0.0015) = 0.00723127 BTC
#
# -> ordertrades ne tient pas compte des fees
# amount = montant vendu (un seul mouvement)
# rate = à ce taux
# total = total en BTC (pour ce mouvement)
# -> marginposition:
# amount = ce que je dois rendre
# basePrice = prix de vente en tenant compte des fees
# (amount * basePrice = la quantité de BTC que j’ai effectivement
# reçue à erreur d’arrondi près, utiliser plutôt "total")
# total = la quantité de BTC que j’ai reçue
# pl = plus value actuelle si je rachetais tout de suite
# -> marginaccountsummary:
# currentMargin = La marge actuelle (= netValue/totalBorrowedValue)
# totalValue = BTC actuellement en margin (déposé)
# totalBorrowedValue = sum (amount * ticker[lowestAsk])
# pl = sum(pl)
# netValue = BTC actuellement en margin (déposé) + pl
# Exemple:
# In [38]: m.ccxt.private_post_returnordertrades({"orderNumber": "XXXXXXXXXXXX"})
# Out[38]:
# [{'amount': '0.11882982',
# 'currencyPair': 'BTC_DASH',
# 'date': '2018-02-26 22:48:35',
# 'fee': '0.00150000',
# 'globalTradeID': 348891380,
# 'rate': '0.06003598',
# 'total': '0.00713406',
# 'tradeID': 9634443,
# 'type': 'sell'},
# {'amount': '0.00180000',
# 'currencyPair': 'BTC_DASH',
# 'date': '2018-02-26 22:48:30',
# 'fee': '0.00150000',
# 'globalTradeID': 348891375,
# 'rate': '0.06003598',
# 'total': '0.00010806',
# 'tradeID': 9634442,
# 'type': 'sell'}]
#
# In [51]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
# Out[51]:
# {'amount': '-0.12062982',
# 'basePrice': '0.05994587',
# 'lendingFees': '0.00000000',
# 'liquidationPrice': '0.15531479',
# 'pl': '0.00000122',
# 'total': '0.00723126',
# 'type': 'short'}
# In [52]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_BTS"})
# Out[52]:
# {'amount': '-332.97159188',
# 'basePrice': '0.00002171',
# 'lendingFees': '0.00000000',
# 'liquidationPrice': '0.00005543',
# 'pl': '0.00029548',
# 'total': '0.00723127',
# 'type': 'short'}
#
# In [53]: m.ccxt.privatePostReturnMarginAccountSummary()
# Out[53]:
# {'currentMargin': '1.04341991',
# 'lendingFees': '0.00000000',
# 'netValue': '0.01478093',
# 'pl': '0.00029666',
# 'totalBorrowedValue': '0.01416585',
# 'totalValue': '0.01448427'}
for currency, in_position in in_positions.items():
all_balances[currency]["total"] += in_position
all_balances[currency]["margin_in_position"] += in_position
all_balances[currency]["margin_total"] += in_position
for currency, pl in pending_pl.items():
all_balances[currency]["margin_pending_gain"] += pl
return all_balances
def create_exchange_order(self, symbol, type, side, amount, price=None, params={}):
return super(poloniexE, self).create_order(symbol, type, side, amount, price=price, params=params)
def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}):
if type == 'market':
raise ExchangeError(self.id + ' allows limit orders only')
self.load_markets()
method = 'privatePostMargin' + self.capitalize(side)
market = self.market(symbol)
price = float(price)
amount = float(amount)
if lending_rate is not None:
params = self.extend({"lendingRate": lending_rate}, params)
response = getattr(self, method)(self.extend({
'currencyPair': market['id'],
'rate': self.price_to_precision(symbol, price),
'amount': self.amount_to_precision(symbol, amount),
}, params))
timestamp = self.milliseconds()
order = self.parse_order(self.extend({
'timestamp': timestamp,
'status': 'open',
'type': type,
'side': side,
'price': price,
'amount': amount,
}, response), market)
id = order['id']
self.orders[id] = order
return self.extend({'info': response}, order)
def order_precision(self, symbol):
return 8
def transfer_balance(self, currency, amount, from_account, to_account):
result = self.privatePostTransferBalance({
"currency": currency,
"amount": amount,
"fromAccount": from_account,
"toAccount": to_account,
"confirmed": 1})
return result["success"] == 1
def 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})
def 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
def 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 empruntée convertie en BTC.
(= sum(amount * ticker[lowerAsk]) pour amount dans marginposition)
'totalValue': '0.01000000'} -> balance (collateral déposé en margin)
"""
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"]),
}
def nonce(self):
"""
Wrapped to allow nonce with other libraries
"""
return self.nanoseconds()
def fetch_balance(self, params={}):
"""
Wrapped to get decimals
"""
self.load_markets()
balances = self.privatePostReturnCompleteBalances(self.extend({
'account': 'all',
}, params))
result = {'info': balances}
currencies = list(balances.keys())
for c in range(0, len(currencies)):
id = currencies[c]
balance = balances[id]
currency = self.common_currency_code(id)
account = {
'free': decimal.Decimal(balance['available']),
'used': decimal.Decimal(balance['onOrders']),
'total': decimal.Decimal(0.0),
}
account['total'] = self.sum(account['free'], account['used'])
result[currency] = account
return self.parse_balance(result)
def parse_ticker(self, ticker, market=None):
"""
Wrapped to get decimals
"""
timestamp = self.milliseconds()
symbol = None
if market:
symbol = market['symbol']
return {
'symbol': symbol,
'timestamp': timestamp,
'datetime': self.iso8601(timestamp),
'high': decimal.Decimal(ticker['high24hr']),
'low': decimal.Decimal(ticker['low24hr']),
'bid': decimal.Decimal(ticker['highestBid']),
'ask': decimal.Decimal(ticker['lowestAsk']),
'vwap': None,
'open': None,
'close': None,
'first': None,
'last': decimal.Decimal(ticker['last']),
'change': decimal.Decimal(ticker['percentChange']),
'percentage': None,
'average': None,
'baseVolume': decimal.Decimal(ticker['quoteVolume']),
'quoteVolume': decimal.Decimal(ticker['baseVolume']),
'info': ticker,
}
def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}):
"""
Wrapped to handle margin and exchange accounts
"""
if account == "exchange":
return self.create_exchange_order(symbol, type, side, amount, price=price, params=params)
elif account == "margin":
return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params)
else:
raise NotImplementedError
