from ccxt import ExchangeError
import time
from decimal import Decimal as D, ROUND_DOWN
# Put your poloniex api key in market.py
from market import market
from json import JSONDecodeError
import requests
# FIXME: correctly handle web call timeouts
class Portfolio:
URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
liquidities = {}
data = None
@classmethod
def repartition(cls, liquidity="medium"):
cls.parse_cryptoportfolio()
liquidities = cls.liquidities[liquidity]
cls.last_date = sorted(liquidities.keys())[-1]
return liquidities[cls.last_date]
@classmethod
def get_cryptoportfolio(cls):
try:
r = requests.get(cls.URL)
except Exception:
return
try:
cls.data = r.json(parse_int=D, parse_float=D)
except 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] == 0:
return False
if weight_hash[0] == "_row":
return False
return True
def clean_weights(i):
def clean_weights_(h):
if h[0].endswith("s"):
return [h[0][0:-1], (h[1][i], "short")]
else:
return [h[0], (h[1][i], "long")]
return clean_weights_
def parse_weights(portfolio_hash):
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:
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
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 __round__(self, n=8):
return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN))
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 == 0:
return self
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 not isinstance(value, (int, float, 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 not isinstance(value, (int, float, 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 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 __le__(self, other):
return self == other or self < other
def __gt__(self, other):
return not self <= other
def __ge__(self, other):
return not self < other
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 __ne__(self, other):
return not self == other
def __neg__(self):
return Amount(self.currency, - self.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, hash_):
self.currency = currency
for key in ["total",
"exchange_total", "exchange_used", "exchange_free",
"margin_total", "margin_borrowed", "margin_free"]:
setattr(self, key, Amount(currency, hash_.get(key, 0)))
self.margin_position_type = hash_.get("margin_position_type")
if hash_.get("margin_borrowed_base_currency") is not None:
base_currency = hash_["margin_borrowed_base_currency"]
for key in [
"margin_liquidation_price",
"margin_pending_gain",
"margin_lending_fees",
"margin_borrowed_base_price"
]:
setattr(self, key, Amount(base_currency, hash_.get(key, 0)))
@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 fetch_balances(cls, market):
all_balances = market.fetch_all_balances()
for currency, balance in all_balances.items():
if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
currency in cls.known_balances:
cls.known_balances[currency] = cls(currency, balance)
return cls.known_balances
@classmethod
def dispatch_assets(cls, amount, repartition=None):
if repartition is None:
repartition = Portfolio.repartition()
sum_ratio = sum([v[0] for k, v in repartition.items()])
amounts = {}
for currency, (ptt, trade_type) in repartition.items():
amounts[currency] = ptt * amount / sum_ratio
if trade_type == "short":
amounts[currency] = - amounts[currency]
if currency not in cls.known_balances:
cls.known_balances[currency] = cls(currency, {})
return amounts
@classmethod
def prepare_trades(cls, market, base_currency="BTC", compute_value="average", debug=False):
cls.fetch_balances(market)
values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
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, compute_value=compute_value)
Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug)
@classmethod
def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None, debug=False):
cls.fetch_balances(market)
values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
total_base_value = sum(values_in_base.values())
new_repartition = cls.dispatch_assets(total_base_value)
Trade.compute_trades(values_in_base, new_repartition, only=only, market=market, debug=debug)
@classmethod
def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average", debug=False):
cls.fetch_balances(market)
values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
total_base_value = sum(values_in_base.values())
new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") })
Trade.compute_trades(values_in_base, new_repartition, market=market, debug=debug)
def __repr__(self):
if self.exchange_total > 0:
if self.exchange_free > 0 and self.exchange_used > 0:
exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total))
elif self.exchange_free > 0:
exchange = " Exch: [✔{}]".format(str(self.exchange_free))
else:
exchange = " Exch: [❌{}]".format(str(self.exchange_used))
else:
exchange = ""
if self.margin_total > 0:
if self.margin_free != 0 and self.margin_borrowed != 0:
margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total))
elif self.margin_free != 0:
margin = " Margin: [✔{}]".format(str(self.margin_free))
else:
margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed))
elif self.margin_total < 0:
margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total),
str(self.margin_borrowed_base_price),
str(self.margin_lending_fees))
else:
margin = ""
if self.margin_total != 0 and self.exchange_total != 0:
total = " Total: [{}]".format(str(self.total))
else:
total = ""
return "Balance({}".format(self.currency) + "".join([exchange, margin, 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:
debug = False
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
if self.value_from != 0:
assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency
elif self.value_from.linked_to is None:
self.value_from.linked_to = Amount(self.currency, 0)
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 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 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, only=None, market=None, debug=False):
cls.debug = cls.debug or debug
base_currency = sum(values_in_base.values()).currency
for currency in Balance.currencies():
if currency == base_currency:
continue
value_from = values_in_base.get(currency, Amount(base_currency, 0))
value_to = new_repartition.get(currency, Amount(base_currency, 0))
if value_from.value * value_to.value < 0:
trade_1 = cls(value_from, Amount(base_currency, 0), currency, market=market)
if only is None or trade_1.action == only:
cls.trades.append(trade_1)
trade_2 = cls(Amount(base_currency, 0), value_to, currency, market=market)
if only is None or trade_2.action == only:
cls.trades.append(trade_2)
else:
trade = cls(
value_from,
value_to,
currency,
market=market
)
if only is None or trade.action == only:
cls.trades.append(trade)
return cls.trades
@classmethod
def prepare_orders(cls, only=None, compute_value="default"):
for trade in cls.trades:
if only is None or trade.action == only:
trade.prepare_order(compute_value=compute_value)
@classmethod
def move_balances(cls, market):
needed_in_margin = {}
for trade in cls.trades:
if trade.trade_type == "short":
if trade.value_to.currency not in needed_in_margin:
needed_in_margin[trade.value_to.currency] = 0
needed_in_margin[trade.value_to.currency] += abs(trade.value_to)
for currency, needed in needed_in_margin.items():
current_balance = Balance.known_balances[currency].margin_free
delta = (needed - current_balance).value
# FIXME: don't remove too much if there are open margin position
if delta > 0:
if cls.debug:
print("market.transfer_balance({}, {}, 'exchange', 'margin')".format(currency, delta))
else:
market.transfer_balance(currency, delta, "exchange", "margin")
elif delta < 0:
if cls.debug:
print("market.transfer_balance({}, {}, 'margin', 'exchange')".format(currency, -delta))
else:
market.transfer_balance(currency, -delta, "margin", "exchange")
@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 "acquire"
else:
return "dispose"
def order_action(self, inverted):
if (self.value_from < self.value_to) != inverted:
return "buy"
else:
return "sell"
@property
def trade_type(self):
if self.value_from + self.value_to < 0:
return "short"
else:
return "long"
@property
def filled_amount(self):
filled_amount = 0
for order in self.orders:
filled_amount += order.filled_amount
return filled_amount
def update_order(self, order, tick):
new_order = None
if tick in [0, 1, 3, 4, 6]:
print("{}, tick {}, waiting".format(order, tick))
elif tick == 2:
self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2)
new_order = self.orders[-1]
print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
elif tick ==5:
self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3)
new_order = self.orders[-1]
print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
elif tick >= 7:
if tick == 7:
print("{}, tick {}, fallbacking to market value".format(order, tick))
if (tick - 7) % 3 == 0:
self.prepare_order(compute_value="default")
new_order = self.orders[-1]
print("{}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
if new_order is not None:
order.cancel()
new_order.run()
def prepare_order(self, compute_value="default"):
if self.action is None:
return
ticker = Trade.get_ticker(self.currency, self.base_currency, self.market)
inverted = ticker["inverted"]
if inverted:
ticker = ticker["original"]
rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
# 0.1
delta_in_base = abs(self.value_from - self.value_to)
# 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
if not inverted:
currency = self.base_currency
# BTC
if self.action == "dispose":
# I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
# At rate 1 Foo = 0.1 BTC
value_from = self.value_from.linked_to
# value_from = 100 FOO
value_to = self.value_to.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
# value_to = 10 FOO (1 BTC * 1/0.1)
delta = abs(value_to - value_from)
# delta = 90 FOO
# Action: "sell" "90 FOO" at rate "0.1" "BTC" on "market"
# Note: no rounding error possible: if we have value_to == 0, then delta == value_from
else:
delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate)
# I want to buy 9 / 0.1 FOO
# Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market"
else:
currency = self.currency
# FOO
delta = delta_in_base
# sell:
# I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
# At rate 1 Foo = 0.1 BTC
# Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market
# buy:
# I want to buy 9 / 0.1 FOO
# Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
if self.value_to == 0:
rate = self.value_from.linked_to.value / self.value_from.value
# Recompute the rate to avoid any rounding error
close_if_possible = (self.value_to == 0)
if delta <= self.filled_amount:
print("Less to do than already filled: {} <= {}".format(delta,
self.filled_amount))
return
self.orders.append(Order(self.order_action(inverted),
delta - self.filled_amount, rate, currency, self.trade_type,
self.market, self, close_if_possible=close_if_possible))
@classmethod
def compute_value(cls, ticker, action, compute_value="default"):
if action == "buy":
action = "ask"
if action == "sell":
action = "bid"
if isinstance(compute_value, str):
compute_value = Computation.computations[compute_value]
return compute_value(ticker, action)
@classmethod
def all_orders(cls, state=None):
all_orders = sum(map(lambda v: v.orders, cls.trades), [])
if state is None:
return all_orders
else:
return list(filter(lambda o: o.status == state, all_orders))
@classmethod
def run_orders(cls):
for order in cls.all_orders(state="pending"):
order.run()
@classmethod
def follow_orders(cls, verbose=True, sleep=None):
if sleep is None:
sleep = 7 if cls.debug else 30
tick = 0
while len(cls.all_orders(state="open")) > 0:
time.sleep(sleep)
tick += 1
for order in cls.all_orders(state="open"):
if order.get_status() != "open":
if verbose:
print("finished {}".format(order))
else:
order.trade.update_order(order, tick)
if verbose:
print("All orders finished")
@classmethod
def update_all_orders_status(cls):
for order in cls.all_orders(state="open"):
order.get_status()
def __repr__(self):
return "Trade({} -> {} in {}, {})".format(
self.value_from,
self.value_to,
self.currency,
self.action)
@classmethod
def print_all_with_order(cls):
for trade in cls.trades:
trade.print_with_order()
def print_with_order(self):
print(self)
for order in self.orders:
print("\t", order, sep="")
class Order:
def __init__(self, action, amount, rate, base_currency, trade_type, market,
trade, close_if_possible=False):
self.action = action
self.amount = amount
self.rate = rate
self.base_currency = base_currency
self.market = market
self.trade_type = trade_type
self.results = []
self.mouvements = []
self.status = "pending"
self.trade = trade
self.close_if_possible = close_if_possible
self.debug = trade.debug
def __repr__(self):
return "Order({} {} {} at {} {} [{}]{})".format(
self.action,
self.trade_type,
self.amount,
self.rate,
self.base_currency,
self.status,
" ✂" if self.close_if_possible else "",
)
@property
def account(self):
if self.trade_type == "long":
return "exchange"
else:
return "margin"
@property
def pending(self):
return self.status == "pending"
@property
def finished(self):
return self.status == "closed" or self.status == "canceled" or self.status == "error"
@property
def id(self):
return self.results[0]["id"]
def run(self):
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
amount = round(self.amount, self.market.order_precision(symbol)).value
if self.debug:
print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
symbol, self.action, amount, self.rate, self.account))
self.status = "open"
self.results.append({"debug": True, "id": -1})
else:
try:
self.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
self.status = "open"
except Exception as e:
self.status = "error"
print("error when running market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
symbol, self.action, amount, self.rate, self.account))
self.error_message = str("{}: {}".format(e.__class__.__name__, e))
print(self.error_message)
def get_status(self):
if self.debug:
return self.status
# other states are "closed" and "canceled"
if self.status == "open":
self.fetch()
if self.status != "open":
self.mark_finished_order()
return self.status
def mark_finished_order(self):
if self.debug:
return
if self.status == "closed":
if self.trade_type == "short" and self.action == "buy" and self.close_if_possible:
self.market.close_margin_position(self.amount.currency, self.base_currency)
fetch_cache_timestamp = None
def fetch(self, force=False):
if self.debug or (not force and self.fetch_cache_timestamp is not None
and time.time() - self.fetch_cache_timestamp < 10):
return
self.fetch_cache_timestamp = time.time()
self.results.append(self.market.fetch_order(self.id))
result = self.results[-1]
self.status = result["status"]
# Time at which the order started
self.timestamp = result["datetime"]
self.fetch_mouvements()
# FIXME: consider open order with dust remaining as closed
@property
def dust_amount_remaining(self):
return self.remaining_amount < 0.001
@property
def remaining_amount(self):
if self.status == "open":
self.fetch()
return self.amount - self.filled_amount
@property
def filled_amount(self):
if self.status == "open":
self.fetch()
filled_amount = Amount(self.amount.currency, 0)
for mouvement in self.mouvements:
filled_amount += mouvement.total
return filled_amount
def fetch_mouvements(self):
mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id})
self.mouvements = []
for mouvement_hash in mouvements:
self.mouvements.append(Mouvement(self.amount.currency,
self.base_currency, mouvement_hash))
def cancel(self):
if self.debug:
self.status = "canceled"
return
self.market.cancel_order(self.result['id'])
self.fetch()
class Mouvement:
def __init__(self, currency, base_currency, hash_):
self.currency = currency
self.base_currency = base_currency
self.id = hash_["id"]
self.action = hash_["type"]
self.fee_rate = D(hash_["fee"])
self.date = datetime.strptime(hash_["date"], '%Y-%m-%d %H:%M:%S')
self.rate = D(hash_["rate"])
self.total = Amount(currency, hash_["amount"])
# rate * total = total_in_base
self.total_in_base = Amount(base_currency, hash_["total"])
def print_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency, compute_value="average")
Trade.prepare_orders(compute_value="average")
for currency, balance in Balance.known_balances.items():
print(balance)
Trade.print_all_with_order()
def make_orders(market, base_currency="BTC"):
Balance.prepare_trades(market, base_currency=base_currency)
for trade in Trade.trades:
print(trade)
for order in trade.orders:
print("\t", order, sep="")
order.run()
def process_sell_all_sell(market, base_currency="BTC", debug=False):
Balance.prepare_trades_to_sell_all(market, debug=debug)
Trade.prepare_orders(compute_value="average")
print("------------------")
for currency, balance in Balance.known_balances.items():
print(balance)
print("------------------")
Trade.print_all_with_order()
print("------------------")
Trade.run_orders()
Trade.follow_orders()
def process_sell_all_buy(market, base_currency="BTC", debug=False):
Balance.prepare_trades(market, debug=debug)
Trade.prepare_orders()
print("------------------")
for currency, balance in Balance.known_balances.items():
print(balance)
print("------------------")
Trade.print_all_with_order()
print("------------------")
Trade.move_balances(market)
Trade.run_orders()
Trade.follow_orders()
if __name__ == '__main__':
print_orders(market)