import ccxt
import time
from decimal import Decimal as D
# Put your poloniex api key in market.py
from market import market
# FIXME: Améliorer le bid/ask
# FIXME: J'essayais d'utiliser plus de bitcoins que j'en avais à disposition
# FIXME: better compute moves to avoid rounding errors
class Portfolio:
URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
liquidities = {}
data = None
@classmethod
def repartition_pertenthousand(cls, liquidity="medium"):
cls.parse_cryptoportfolio()
liquidities = cls.liquidities[liquidity]
last_date = sorted(liquidities.keys())[-1]
return liquidities[last_date]
@classmethod
def get_cryptoportfolio(cls):
import json
import urllib3
urllib3.disable_warnings()
http = urllib3.PoolManager()
try:
r = http.request("GET", cls.URL)
except Exception:
return
try:
cls.data = json.loads(r.data,
parse_int=D,
parse_float=D)
except json.JSONDecodeError:
cls.data = None
@classmethod
def parse_cryptoportfolio(cls):
if cls.data is None:
cls.get_cryptoportfolio()
def filter_weights(weight_hash):
if weight_hash[1] == 0:
return False
if weight_hash[0] == "_row":
return False
return True
def clean_weights(i):
def clean_weights_(h):
if type(h[1][i]) == str:
return [h[0], h[1][i]]
else:
return [h[0], int(h[1][i] * 10000)]
return clean_weights_
def parse_weights(portfolio_hash):
# FIXME: we'll need shorts at some point
assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"]))
weights_hash = portfolio_hash["weights"]
weights = {}
for i in range(len(weights_hash["_row"])):
weights[weights_hash["_row"][i]] = dict(filter(
filter_weights,
map(clean_weights(i), weights_hash.items())))
return weights
high_liquidity = parse_weights(cls.data["portfolio_1"])
medium_liquidity = parse_weights(cls.data["portfolio_2"])
cls.liquidities = {
"medium": medium_liquidity,
"high": high_liquidity,
}
class Amount:
MAX_DIGITS = 18
def __init__(self, currency, value, linked_to=None, ticker=None, rate=None):
self.currency = currency
self.value = D(value)
self.linked_to = linked_to
self.ticker = ticker
self.rate = rate
self.ticker_cache = {}
self.ticker_cache_timestamp = time.time()
def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"):
if other_currency == self.currency:
return self
if rate is not None:
return Amount(
other_currency,
self.value * rate,
linked_to=self,
rate=rate)
asset_ticker = Trade.get_ticker(self.currency, other_currency, market)
if asset_ticker is not None:
rate = Trade.compute_value(asset_ticker, action, compute_value=compute_value)
return Amount(
other_currency,
self.value * rate,
linked_to=self,
ticker=asset_ticker,
rate=rate)
else:
raise Exception("This asset is not available in the chosen market")
def __abs__(self):
return Amount(self.currency, abs(self.value))
def __add__(self, other):
if other.currency != self.currency and other.value * self.value != 0:
raise Exception("Summing amounts must be done with same currencies")
return Amount(self.currency, self.value + other.value)
def __radd__(self, other):
if other == 0:
return self
else:
return self.__add__(other)
def __sub__(self, other):
if other.currency != self.currency and other.value * self.value != 0:
raise Exception("Summing amounts must be done with same currencies")
return Amount(self.currency, self.value - other.value)
def __mul__(self, value):
if type(value) != int and type(value) != float and type(value) != D:
raise TypeError("Amount may only be multiplied by numbers")
return Amount(self.currency, self.value * value)
def __rmul__(self, value):
return self.__mul__(value)
def __floordiv__(self, value):
if type(value) != int and type(value) != float and type(value) != D:
raise TypeError("Amount may only be multiplied by integers")
return Amount(self.currency, self.value / value)
def __truediv__(self, value):
return self.__floordiv__(value)
def __lt__(self, other):
if self.currency != other.currency:
raise Exception("Comparing amounts must be done with same currencies")
return self.value < other.value
def __eq__(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 __str__(self):
if self.linked_to is None:
return "{:.8f} {}".format(self.value, self.currency)
else:
return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to)
def __repr__(self):
if self.linked_to is None:
return "Amount({:.8f} {})".format(self.value, self.currency)
else:
return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to))
class Balance:
known_balances = {}
def __init__(self, currency, total_value, free_value, used_value):
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"])
@classmethod
def in_currency(cls, other_currency, market, compute_value="average", type="total"):
amounts = {}
for currency in cls.known_balances:
balance = cls.known_balances[currency]
other_currency_amount = getattr(balance, type)\
.in_currency(other_currency, market, compute_value=compute_value)
amounts[currency] = other_currency_amount
return amounts
@classmethod
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:
cls.known_balances[key] = cls.from_hash(key, hash_[key])
@classmethod
def fetch_balances(cls, market):
cls._fill_balances(market.fetch_balance())
return cls.known_balances
@classmethod
def dispatch_assets(cls, amount):
repartition_pertenthousand = Portfolio.repartition_pertenthousand()
sum_pertenthousand = sum([v for k, v in repartition_pertenthousand.items()])
amounts = {}
for currency, ptt in repartition_pertenthousand.items():
amounts[currency] = ptt * amount / sum_pertenthousand
if currency not in cls.known_balances:
cls.known_balances[currency] = cls(currency, 0, 0, 0)
return amounts
@classmethod
def prepare_trades(cls, market, base_currency="BTC", compute_value=None):
cls.fetch_balances(market)
values_in_base = cls.in_currency(base_currency, market)
total_base_value = sum(values_in_base.values())
new_repartition = cls.dispatch_assets(total_base_value)
# Recompute it in case we have new currencies
values_in_base = cls.in_currency(base_currency, market)
Trade.compute_trades(values_in_base, new_repartition, market=market, compute_value=compute_value)
def __repr__(self):
return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total))
class Computation:
computations = {
"default": lambda x, y: x[y],
"average": lambda x, y: x["average"],
"bid": lambda x, y: x["bid"],
"ask": lambda x, y: x["ask"],
}
class Trade:
trades = {}
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.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
self.base_currency = self.value_from.currency
fees_cache = {}
@classmethod
def fetch_fees(cls, market):
if market.__class__ not in cls.fees_cache:
cls.fees_cache[market.__class__] = market.fetch_fees()
return cls.fees_cache[market.__class__]
ticker_cache = {}
ticker_cache_timestamp = time.time()
@classmethod
def get_ticker(cls, c1, c2, market, 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() - cls.ticker_cache_timestamp > 5:
cls.ticker_cache = {}
cls.ticker_cache_timestamp = time.time()
elif not refresh:
if (c1, c2, market.__class__) in cls.ticker_cache:
return cls.ticker_cache[(c1, c2, market.__class__)]
if (c2, c1, market.__class__) in cls.ticker_cache:
return invert(cls.ticker_cache[(c2, c1, market.__class__)])
try:
cls.ticker_cache[(c1, c2, market.__class__)] = market.fetch_ticker("{}/{}".format(c1, c2))
augment_ticker(cls.ticker_cache[(c1, c2, market.__class__)])
except ccxt.ExchangeError:
try:
cls.ticker_cache[(c2, c1, market.__class__)] = market.fetch_ticker("{}/{}".format(c2, c1))
augment_ticker(cls.ticker_cache[(c2, c1, market.__class__)])
except ccxt.ExchangeError:
cls.ticker_cache[(c1, c2, market.__class__)] = None
return cls.get_ticker(c1, c2, market)
@classmethod
def compute_trades(cls, values_in_base, new_repartition, market=None, compute_value=None):
base_currency = sum(values_in_base.values()).currency
for currency in Balance.currencies():
if currency == base_currency:
continue
cls.trades[currency] = cls(
values_in_base.get(currency, Amount(base_currency, 0)),
new_repartition.get(currency, Amount(base_currency, 0)),
currency,
market=market
)
if compute_value is not None:
cls.trades[currency].prepare_order(compute_value=compute_value)
return cls.trades
@property
def action(self):
if self.value_from == self.value_to:
return None
if self.base_currency == self.currency:
return None
if self.value_from < self.value_to:
return "buy"
else:
return "sell"
def order_action(self, inverted):
if self.value_from < self.value_to:
return "ask" if not inverted else "bid"
else:
return "bid" if not inverted else "ask"
def prepare_order(self, compute_value="default"):
if self.action is None:
return
ticker = self.value_from.ticker
inverted = ticker["inverted"]
if not inverted:
value_from = self.value_from.linked_to
value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
delta = abs(value_to - value_from)
currency = self.base_currency
else:
ticker = ticker["original"]
delta = abs(self.value_to - self.value_from)
currency = self.currency
rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
self.orders.append(Order(self.order_action(inverted), delta, rate, currency))
@classmethod
def compute_value(cls, ticker, action, compute_value="default"):
if type(compute_value) == str:
compute_value = Computation.computations[compute_value]
return compute_value(ticker, action)
@classmethod
def all_orders(cls):
return sum(map(lambda v: v.orders, cls.trades.values()), [])
@classmethod
def follow_orders(cls, market):
orders = cls.all_orders()
finished_orders = []
while len(orders) != len(finished_orders):
time.sleep(30)
for order in orders:
if order in finished_orders:
continue
if order.get_status(market) != "open":
finished_orders.append(order)
print("finished {}".format(order))
print("All orders finished")
def __repr__(self):
return "Trade({} -> {} in {}, {})".format(
self.value_from,
self.value_to,
self.currency,
self.action)
class Order:
DEBUG = True
def __init__(self, action, amount, rate, base_currency):
self.action = action
self.amount = amount
self.rate = rate
self.base_currency = base_currency
self.result = None
self.status = "not run"
def __repr__(self):
return "Order({} {} at {} {} [{}])".format(
self.action,
self.amount,
self.rate,
self.base_currency,
self.status
)
def run(self, market):
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
amount = self.amount.value
if self.DEBUG:
print("market.create_order('{}', 'limit', '{}', {}, price={})".format(
symbol, self.action, amount, self.rate))
else:
try:
self.result = market.create_order(symbol, 'limit', self.action, amount, price=self.rate)
self.status = "open"
except Exception:
pass
def get_status(self, market):
# other states are "closed" and "canceled"
if self.status == "open":
result = market.fetch_order(self.result['id'])
self.status = result["status"]
return self.status
def print_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency, compute_value="average")
for currency, balance in Balance.known_balances.items():
print(balance)
for currency, trade in Trade.trades.items():
print(trade)
for order in trade.orders:
print("\t", order, sep="")
def make_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency)
for currency, trade in Trade.trades.items():
print(trade)
for order in trade.orders:
print("\t", order, sep="")
order.run(market)
if __name__ == '__main__':
print_orders(market)