import time
from datetime import datetime
from decimal import Decimal as D, ROUND_DOWN
# Put your poloniex api key in market.py
from json import JSONDecodeError
from ccxt import ExchangeError, ExchangeNotAvailable
import requests
import helper as h
from store import *
# 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 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"],
}
@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 = cls.computations[compute_value]
return compute_value(ticker, action)
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 = h.get_ticker(self.currency, other_currency, market)
if asset_ticker is not None:
rate = Computation.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 == 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 __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 __rsub__(self, other):
if other == 0:
return -self
else:
return -self.__sub__(other)
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 divided by numbers")
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:
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)))
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 Trade:
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
@property
def action(self):
if self.value_from == self.value_to:
return None
if self.base_currency == self.currency:
return None
if abs(self.value_from) < abs(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"
def filled_amount(self, in_base_currency=False):
filled_amount = 0
for order in self.orders:
filled_amount += order.filled_amount(in_base_currency=in_base_currency)
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:
new_order = self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2)
print("{}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
elif tick ==5:
new_order = self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3)
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:
new_order = self.prepare_order(compute_value="default")
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 None
ticker = h.get_ticker(self.currency, self.base_currency, self.market)
inverted = ticker["inverted"]
if inverted:
ticker = ticker["original"]
rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
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:
base_currency = self.base_currency
# BTC
if self.action == "dispose":
filled = self.filled_amount(in_base_currency=False)
delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
# I have 10 BTC worth of FOO, and I want to sell 9 BTC
# worth of it, computed first with rate 10 FOO = 1 BTC.
# -> I "sell" "90" FOO at proposed rate "rate".
delta = delta - filled
# I already sold 60 FOO, 30 left
else:
filled = self.filled_amount(in_base_currency=True)
delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate)
# I want to buy 9 BTC worth of FOO, computed with rate
# 10 FOO = 1 BTC
# -> I "buy" "9 / rate" FOO at proposed rate "rate"
# I already bought 3 / rate FOO, 6 / rate left
else:
base_currency = self.currency
# FOO
if self.action == "dispose":
filled = self.filled_amount(in_base_currency=True)
# Base is FOO
delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate)
- filled).in_currency(self.base_currency, self.market, rate=1/rate)
# I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
# computed at rate 1 Foo = 0.01 BTC
# Computation says I should sell it at 125 FOO / BTC
# -> delta_in_base = 9 BTC
# -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC
# Action: "buy" "7.2 BTC" at rate "125" "FOO" on market
# I already bought 300/125 BTC, only 600/125 left
else:
filled = self.filled_amount(in_base_currency=False)
# Base is FOO
delta = delta_in_base
# I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it
# At rate 100 Foo / BTC
# Computation says I should buy it at 125 FOO / BTC
# -> delta_in_base = 9 BTC
# Action: "sell" "9 BTC" at rate "125" "FOO" on market
delta = delta - filled
# I already sold 4 BTC, only 5 left
close_if_possible = (self.value_to == 0)
if delta <= 0:
print("Less to do than already filled: {}".format(delta))
return None
order = Order(self.order_action(inverted),
delta, rate, base_currency, self.trade_type,
self.market, self, close_if_possible=close_if_possible)
self.orders.append(order)
return order
def __repr__(self):
return "Trade({} -> {} in {}, {})".format(
self.value_from,
self.value_to,
self.currency,
self.action)
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.id = None
self.fetch_cache_timestamp = None
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 open(self):
return self.status == "open"
@property
def pending(self):
return self.status == "pending"
@property
def finished(self):
return self.status == "closed" or self.status == "canceled" or self.status == "error"
def run(self):
symbol = "{}/{}".format(self.amount.currency, self.base_currency)
amount = round(self.amount, self.market.order_precision(symbol)).value
if TradeStore.debug:
print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
symbol, self.action, amount, self.rate, self.account))
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))
except ExchangeNotAvailable:
# Impossible to honor the order (dust amount)
self.status = "closed"
self.mark_finished_order()
return
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)
return
self.id = self.results[0]["id"]
self.status = "open"
def get_status(self):
if TradeStore.debug:
return self.status
# other states are "closed" and "canceled"
if not self.finished:
self.fetch()
if self.finished:
self.mark_finished_order()
return self.status
def mark_finished_order(self):
if TradeStore.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)
def fetch(self, force=False):
if TradeStore.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()
result = self.market.fetch_order(self.id)
self.results.append(result)
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
def dust_amount_remaining(self):
return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))
def remaining_amount(self):
if self.status == "open":
self.fetch()
return self.amount - self.filled_amount()
def filled_amount(self, in_base_currency=False):
if self.status == "open":
self.fetch()
filled_amount = 0
for mouvement in self.mouvements:
if in_base_currency:
filled_amount += mouvement.total_in_base
else:
filled_amount += mouvement.total
return filled_amount
def fetch_mouvements(self):
try:
mouvements = self.market.privatePostReturnOrderTrades({"orderNumber": self.id})
except ExchangeError:
mouvements = []
self.mouvements = []
for mouvement_hash in mouvements:
self.mouvements.append(Mouvement(self.amount.currency,
self.base_currency, mouvement_hash))
def cancel(self):
if TradeStore.debug:
self.status = "canceled"
return
self.market.cancel_order(self.id)
self.fetch()
class Mouvement:
def __init__(self, currency, base_currency, hash_):
self.currency = currency
self.base_currency = base_currency
self.id = hash_.get("tradeID")
self.action = hash_.get("type")
self.fee_rate = D(hash_.get("fee", -1))
try:
self.date = datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S')
except ValueError:
self.date = None
self.rate = D(hash_.get("rate", 0))
self.total = Amount(currency, hash_.get("amount", 0))
# rate * total = total_in_base
self.total_in_base = Amount(base_currency, hash_.get("total", 0))
if __name__ == '__main__': # pragma: no cover
from market import market
h.print_orders(market)