from ccxt import ExchangeError
import ccxt_wrapper as ccxt
import time
from store import *
class Market:
debug = False
ccxt = None
report = None
trades = None
balances = None
def __init__(self, ccxt_instance, debug=False):
self.debug = debug
self.ccxt = ccxt_instance
self.ccxt._market = self
self.report = ReportStore(self)
self.trades = TradeStore(self)
self.balances = BalanceStore(self)
@classmethod
def from_config(cls, config, debug=False):
config["apiKey"] = config.pop("key")
ccxt_instance = ccxt.poloniexE(config)
# For requests logging
ccxt_instance.session.origin_request = ccxt_instance.session.request
ccxt_instance.session._parent = ccxt_instance
def request_wrap(self, *args, **kwargs):
r = self.origin_request(*args, **kwargs)
self._parent._market.report.log_http_request(args[0],
args[1], kwargs["data"], kwargs["headers"], r)
return r
ccxt_instance.session.request = request_wrap.__get__(ccxt_instance.session,
ccxt_instance.session.__class__)
return cls(ccxt_instance, debug=debug)
def move_balances(self):
needed_in_margin = {}
moving_to_margin = {}
for currency in self.balances.all:
if self.balances.all[currency].margin_free != 0:
needed_in_margin[currency] = 0
for trade in self.trades.all:
if trade.value_to.currency not in needed_in_margin:
needed_in_margin[trade.value_to.currency] = 0
if trade.trade_type == "short":
needed_in_margin[trade.value_to.currency] += abs(trade.value_to)
for currency, needed in needed_in_margin.items():
current_balance = self.balances.all[currency].margin_free
moving_to_margin[currency] = (needed - current_balance)
delta = moving_to_margin[currency].value
if self.debug:
self.report.log_debug_action("Moving {} from exchange to margin".format(moving_to_margin[currency]))
continue
if delta > 0:
self.ccxt.transfer_balance(currency, delta, "exchange", "margin")
elif delta < 0:
self.ccxt.transfer_balance(currency, -delta, "margin", "exchange")
self.report.log_move_balances(needed_in_margin, moving_to_margin)
self.balances.fetch_balances()
fees_cache = {}
def fetch_fees(self):
if self.ccxt.__class__ not in self.fees_cache:
self.fees_cache[self.ccxt.__class__] = self.ccxt.fetch_fees()
return self.fees_cache[self.ccxt.__class__]
ticker_cache = {}
ticker_cache_timestamp = time.time()
def get_ticker(self, c1, c2, refresh=False):
def invert(ticker):
return {
"inverted": True,
"average": (1/ticker["bid"] + 1/ticker["ask"]) / 2,
"original": ticker,
}
def augment_ticker(ticker):
ticker.update({
"inverted": False,
"average": (ticker["bid"] + ticker["ask"] ) / 2,
})
if time.time() - self.ticker_cache_timestamp > 5:
self.ticker_cache = {}
self.ticker_cache_timestamp = time.time()
elif not refresh:
if (c1, c2, self.ccxt.__class__) in self.ticker_cache:
return self.ticker_cache[(c1, c2, self.ccxt.__class__)]
if (c2, c1, self.ccxt.__class__) in self.ticker_cache:
return invert(self.ticker_cache[(c2, c1, self.ccxt.__class__)])
try:
self.ticker_cache[(c1, c2, self.ccxt.__class__)] = self.ccxt.fetch_ticker("{}/{}".format(c1, c2))
augment_ticker(self.ticker_cache[(c1, c2, self.ccxt.__class__)])
except ExchangeError:
try:
self.ticker_cache[(c2, c1, self.ccxt.__class__)] = self.ccxt.fetch_ticker("{}/{}".format(c2, c1))
augment_ticker(self.ticker_cache[(c2, c1, self.ccxt.__class__)])
except ExchangeError:
self.ticker_cache[(c1, c2, self.ccxt.__class__)] = None
return self.get_ticker(c1, c2)
def follow_orders(self, sleep=None):
if sleep is None:
sleep = 7 if self.debug else 30
if self.debug:
self.report.log_debug_action("Set follow_orders tick to {}s".format(sleep))
tick = 0
self.report.log_stage("follow_orders_begin")
while len(self.trades.all_orders(state="open")) > 0:
time.sleep(sleep)
tick += 1
open_orders = self.trades.all_orders(state="open")
self.report.log_stage("follow_orders_tick_{}".format(tick))
self.report.log_orders(open_orders, tick=tick)
for order in open_orders:
if order.get_status() != "open":
self.report.log_order(order, tick, finished=True)
else:
order.trade.update_order(order, tick)
self.report.log_stage("follow_orders_end")
def prepare_trades(self, base_currency="BTC", liquidity="medium", compute_value="average"):
self.report.log_stage("prepare_trades")
values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
total_base_value = sum(values_in_base.values())
new_repartition = self.balances.dispatch_assets(total_base_value, liquidity=liquidity)
# Recompute it in case we have new currencies
values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
self.trades.compute_trades(values_in_base, new_repartition)
def update_trades(self, base_currency="BTC", liquidity="medium", compute_value="average", only=None):
self.report.log_stage("update_trades")
values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
total_base_value = sum(values_in_base.values())
new_repartition = self.balances.dispatch_assets(total_base_value, liquidity=liquidity)
self.trades.compute_trades(values_in_base, new_repartition, only=only)
def prepare_trades_to_sell_all(self, base_currency="BTC", compute_value="average"):
self.report.log_stage("prepare_trades_to_sell_all")
values_in_base = self.balances.in_currency(base_currency, compute_value=compute_value)
total_base_value = sum(values_in_base.values())
new_repartition = self.balances.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") })
self.trades.compute_trades(values_in_base, new_repartition)
