path: root/market.py

from ccxt import ExchangeError, NotSupported
import ccxt_wrapper as ccxt
import time
from store import *
from cachetools.func import ttl_cache
from datetime import datetime
import portfolio

class Market:
    debug = False
    ccxt = None
    report = None
    trades = None
    balances = None

    def __init__(self, ccxt_instance, debug=False, user_id=None, report_path=None):
        self.debug = debug
        self.ccxt = ccxt_instance
        self.ccxt._market = self
        self.report = ReportStore(self)
        self.trades = TradeStore(self)
        self.balances = BalanceStore(self)
        self.processor = Processor(self)

        self.user_id = user_id
        self.report_path = report_path

    @classmethod
    def from_config(cls, config, debug=False, user_id=None, report_path=None):
        config["apiKey"] = config.pop("key", None)

        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, user_id=user_id, report_path=report_path)

    def store_report(self):
        self.report.merge(Portfolio.report)
        try:
            if self.report_path is not None:
                report_file = "{}/{}_{}.json".format(self.report_path, datetime.now().isoformat(), self.user_id)
                with open(report_file, "w") as f:
                    f.write(self.report.to_json())
        except Exception as e:
            print("impossible to store report file: {}; {}".format(e.__class__.__name__, e))

    def process(self, actions, before=False, after=False):
        try:
            if len(actions or []) == 0:
                if before:
                    self.processor.process("sell_all", steps="before")
                if after:
                    self.processor.process("sell_all", steps="after")
            else:
                for action in actions:
                    if hasattr(self, action):
                        getattr(self, action)()
                    else:
                        self.report.log_error("market_process", message="Unknown action {}".format(action))
        except Exception as e:
            self.report.log_error("market_process", exception=e)
        finally:
            self.store_report()

    def move_balances(self):
        needed_in_margin = {} 
        moving_to_margin = {}

        for currency, balance in self.balances.all.items():
            needed_in_margin[currency] = balance.margin_in_position - balance.margin_pending_gain
        for trade in self.trades.pending:
            needed_in_margin.setdefault(trade.base_currency, 0)
            if trade.trade_type == "short":
                needed_in_margin[trade.base_currency] -= trade.delta
        for currency, needed in needed_in_margin.items():
            current_balance = self.balances.all[currency].margin_available
            moving_to_margin[currency] = (needed - current_balance)
            delta = moving_to_margin[currency].value
            if self.debug and delta != 0:
                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()

    @ttl_cache(ttl=3600)
    def fetch_fees(self):
        return self.ccxt.fetch_fees()

    @ttl_cache(maxsize=20, ttl=5)
    def get_tickers(self, refresh=False):
        try:
            return self.ccxt.fetch_tickers()
        except NotSupported:
            return None

    @ttl_cache(maxsize=20, ttl=5)
    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,
                })
            return ticker

        tickers = self.get_tickers()
        if tickers is None:
            try:
                ticker = augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c1, c2)))
            except ExchangeError:
                try:
                    ticker = invert(augment_ticker(self.ccxt.fetch_ticker("{}/{}".format(c2, c1))))
                except ExchangeError:
                    ticker = None
        else:
            if "{}/{}".format(c1, c2) in tickers:
                ticker = augment_ticker(tickers["{}/{}".format(c1, c2)])
            elif "{}/{}".format(c2, c1) in tickers:
                ticker = invert(augment_ticker(tickers["{}/{}".format(c2, c1)]))
            else:
                ticker = None
        return ticker

    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", repartition=None, only=None):

        self.report.log_stage("prepare_trades",
                base_currency=base_currency, liquidity=liquidity,
                compute_value=compute_value, only=only,
                repartition=repartition)

        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, repartition=repartition)
        self.trades.compute_trades(values_in_base, new_repartition, only=only)

    # Helpers
    def print_orders(self, base_currency="BTC"):
        self.report.log_stage("print_orders")
        self.balances.fetch_balances(tag="print_orders")
        self.prepare_trades(base_currency=base_currency, compute_value="average")
        self.trades.prepare_orders(compute_value="average")

    def print_balances(self, base_currency="BTC"):
        self.report.log_stage("print_balances")
        self.balances.fetch_balances()
        if base_currency is not None:
            self.report.print_log("total:")
            self.report.print_log(sum(self.balances.in_currency(base_currency).values()))

class Processor:
    scenarios = {
            "sell_needed": [
                {
                    "name": "wait",
                    "number": 0,
                    "before": False,
                    "after": True,
                    "wait_for_recent": {},
                    },
                {
                    "name": "sell",
                    "number": 1,
                    "before": False,
                    "after": True,
                    "fetch_balances": ["begin", "end"],
                    "prepare_trades": {},
                    "prepare_orders": { "only": "dispose", "compute_value": "average" },
                    "run_orders": {},
                    "follow_orders": {},
                    "close_trades": {},
                    },
                {
                    "name": "buy",
                    "number": 2,
                    "before": False,
                    "after": True,
                    "fetch_balances": ["begin", "end"],
                    "prepare_trades": { "only": "acquire" },
                    "prepare_orders": { "only": "acquire", "compute_value": "average" },
                    "move_balances": {},
                    "run_orders": {},
                    "follow_orders": {},
                    "close_trades": {},
                    },
                ],
            "sell_all": [
                {
                    "name": "all_sell",
                    "number": 1,
                    "before": True,
                    "after": False,
                    "fetch_balances": ["begin", "end"],
                    "prepare_trades": { "repartition": { "base_currency": (1, "long") } },
                    "prepare_orders": { "compute_value": "average" },
                    "run_orders": {},
                    "follow_orders": {},
                    "close_trades": {},
                    },
                {
                    "name": "wait",
                    "number": 2,
                    "before": False,
                    "after": True,
                    "wait_for_recent": {},
                    },
                {
                    "name": "all_buy",
                    "number": 3,
                    "before": False,
                    "after": True,
                    "fetch_balances": ["begin", "end"],
                    "prepare_trades": {},
                    "prepare_orders": { "compute_value": "average" },
                    "move_balances": {},
                    "run_orders": {},
                    "follow_orders": {},
                    "close_trades": {},
                    },
                ]
            }

    ordered_actions = [
            "wait_for_recent", "prepare_trades", "prepare_orders",
            "move_balances", "run_orders", "follow_orders",
            "close_trades"]

    def __init__(self, market):
        self.market = market

    def select_steps(self, scenario, step):
        if step == "all":
            return scenario
        elif step == "before" or step == "after":
            return list(filter(lambda x: step in x and x[step], scenario))
        elif type(step) == int:
            return [scenario[step-1]]
        elif type(step) == str:
            return list(filter(lambda x: x["name"] == step, scenario))
        else:
            raise TypeError("Unknown step {}".format(step))

    def process(self, scenario_name, steps="all", **kwargs):
        scenario = self.scenarios[scenario_name]
        selected_steps = []

        if type(steps) == str or type(steps) == int:
            selected_steps += self.select_steps(scenario, steps)
        else:
            for step in steps:
                selected_steps += self.select_steps(scenario, step)
        for step in selected_steps:
            self.process_step(scenario_name, step, kwargs)

    def process_step(self, scenario_name, step, kwargs):
        process_name = "process_{}__{}_{}".format(scenario_name, step["number"], step["name"])
        self.market.report.log_stage("{}_begin".format(process_name))
        if "begin" in step.get("fetch_balances", []):
            self.market.balances.fetch_balances(tag="{}_begin".format(process_name))

        for action in self.ordered_actions:
            if action in step:
                self.run_action(action, step[action], kwargs)

        if "end" in step.get("fetch_balances", []):
            self.market.balances.fetch_balances(tag="{}_end".format(process_name))
        self.market.report.log_stage("{}_end".format(process_name))

    def method_arguments(self, action):
        import inspect

        if action == "wait_for_recent":
            method = Portfolio.wait_for_recent
        elif action == "prepare_trades":
            method = self.market.prepare_trades
        elif action == "prepare_orders":
            method = self.market.trades.prepare_orders
        elif action == "move_balances":
            method = self.market.move_balances
        elif action == "run_orders":
            method = self.market.trades.run_orders
        elif action == "follow_orders":
            method = self.market.follow_orders
        elif action == "close_trades":
            method = self.market.trades.close_trades

        signature = inspect.getfullargspec(method)
        defaults = signature.defaults or []
        kwargs = signature.args[-len(defaults):]

        return [method, kwargs]

    def parse_args(self, action, default_args, kwargs):
        method, allowed_arguments = self.method_arguments(action)
        args = {k: v for k, v in {**default_args, **kwargs}.items() if k in allowed_arguments }

        if "repartition" in args and "base_currency" in args["repartition"]:
            r = args["repartition"]
            r[args.get("base_currency", "BTC")] = r.pop("base_currency")

        return method, args

    def run_action(self, action, default_args, kwargs):
        method, args = self.parse_args(action, default_args, kwargs)

        method(**args)