import portfolio
import simplejson as json
from decimal import Decimal as D, ROUND_DOWN
from datetime import date, datetime
__all__ = ["BalanceStore", "ReportStore", "TradeStore"]
class ReportStore:
logs = []
verbose_print = True
@classmethod
def print_log(cls, message):
message = str(message)
if cls.verbose_print:
print(message)
@classmethod
def add_log(cls, hash_):
hash_["date"] = datetime.now()
cls.logs.append(hash_)
@classmethod
def to_json(cls):
def default_json_serial(obj):
if isinstance(obj, (datetime, date)):
return obj.isoformat()
raise TypeError ("Type %s not serializable" % type(obj))
return json.dumps(cls.logs, default=default_json_serial)
@classmethod
def set_verbose(cls, verbose_print):
cls.verbose_print = verbose_print
@classmethod
def log_stage(cls, stage):
cls.print_log("-" * (len(stage) + 8))
cls.print_log("[Stage] {}".format(stage))
cls.add_log({
"type": "stage",
"stage": stage,
})
@classmethod
def log_balances(cls, market, tag=None):
cls.print_log("[Balance]")
for currency, balance in BalanceStore.all.items():
cls.print_log("\t{}".format(balance))
cls.add_log({
"type": "balance",
"tag": tag,
"balances": BalanceStore.as_json()
})
@classmethod
def log_tickers(cls, market, amounts, other_currency,
compute_value, type):
values = {}
rates = {}
for currency, amount in amounts.items():
values[currency] = amount.as_json()["value"]
rates[currency] = amount.rate
cls.add_log({
"type": "tickers",
"compute_value": compute_value,
"balance_type": type,
"currency": other_currency,
"balances": values,
"rates": rates,
"total": sum(amounts.values()).as_json()["value"]
})
@classmethod
def log_dispatch(cls, amount, amounts, liquidity, repartition):
cls.add_log({
"type": "dispatch",
"liquidity": liquidity,
"repartition_ratio": repartition,
"total_amount": amount.as_json(),
"repartition": { k: v.as_json()["value"] for k, v in amounts.items() }
})
@classmethod
def log_trades(cls, matching_and_trades, only, debug):
trades = []
for matching, trade in matching_and_trades:
trade_json = trade.as_json()
trade_json["skipped"] = not matching
trades.append(trade_json)
cls.add_log({
"type": "trades",
"only": only,
"debug": debug,
"trades": trades
})
@classmethod
def log_orders(cls, orders, tick=None, only=None, compute_value=None):
cls.print_log("[Orders]")
TradeStore.print_all_with_order(ind="\t")
cls.add_log({
"type": "orders",
"only": only,
"compute_value": compute_value,
"tick": tick,
"orders": [order.as_json() for order in orders if order is not None]
})
@classmethod
def log_order(cls, order, tick, finished=False, update=None,
new_order=None, compute_value=None):
if finished:
cls.print_log("[Order] Finished {}".format(order))
elif update == "waiting":
cls.print_log("[Order] {}, tick {}, waiting".format(order, tick))
elif update == "adjusting":
cls.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
elif update == "market_fallback":
cls.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
elif update == "market_adjust":
cls.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))
cls.add_log({
"type": "order",
"tick": tick,
"update": update,
"order": order.as_json(),
"compute_value": compute_value,
"new_order": new_order.as_json() if new_order is not None else None
})
@classmethod
def log_move_balances(cls, needed, moving, debug):
cls.add_log({
"type": "move_balances",
"debug": debug,
"needed": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in needed.items() },
"moving": { k: v.as_json()["value"] if isinstance(v, portfolio.Amount) else v for k, v in moving.items() },
})
@classmethod
def log_http_request(cls, method, url, body, headers, response):
cls.add_log({
"type": "http_request",
"method": method,
"url": url,
"body": body,
"headers": headers,
"status": response.status_code,
"response": response.text
})
@classmethod
def log_error(cls, action, message=None, exception=None):
cls.print_log("[Error] {}".format(action))
if exception is not None:
cls.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
if message is not None:
cls.print_log("\t{}".format(message))
cls.add_log({
"type": "error",
"action": action,
"exception_class": exception.__class__.__name__ if exception is not None else None,
"exception_message": str(exception) if exception is not None else None,
"message": message,
})
@classmethod
def log_debug_action(cls, action):
cls.print_log("[Debug] {}".format(action))
cls.add_log({
"type": "debug_action",
"action": action,
})
class BalanceStore:
all = {}
@classmethod
def currencies(cls):
return cls.all.keys()
@classmethod
def in_currency(cls, other_currency, market, compute_value="average", type="total"):
amounts = {}
for currency, balance in cls.all.items():
other_currency_amount = getattr(balance, type)\
.in_currency(other_currency, market, compute_value=compute_value)
amounts[currency] = other_currency_amount
ReportStore.log_tickers(market, amounts, other_currency,
compute_value, type)
return amounts
@classmethod
def fetch_balances(cls, market, tag=None):
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.all:
cls.all[currency] = portfolio.Balance(currency, balance)
ReportStore.log_balances(market, tag=tag)
@classmethod
def dispatch_assets(cls, amount, liquidity="medium", repartition=None):
if repartition is None:
repartition = portfolio.Portfolio.repartition(liquidity=liquidity)
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 BalanceStore.all:
cls.all[currency] = portfolio.Balance(currency, {})
ReportStore.log_dispatch(amount, amounts, liquidity, repartition)
return amounts
@classmethod
def as_json(cls):
return { k: v.as_json() for k, v in cls.all.items() }
class TradeStore:
all = []
debug = False
@classmethod
def compute_trades(cls, values_in_base, new_repartition, only=None, market=None, debug=False):
computed_trades = []
cls.debug = cls.debug or debug
base_currency = sum(values_in_base.values()).currency
for currency in BalanceStore.currencies():
if currency == base_currency:
continue
value_from = values_in_base.get(currency, portfolio.Amount(base_currency, 0))
value_to = new_repartition.get(currency, portfolio.Amount(base_currency, 0))
if value_from.value * value_to.value < 0:
computed_trades.append(cls.trade_if_matching(
value_from, portfolio.Amount(base_currency, 0),
currency, only=only, market=market))
computed_trades.append(cls.trade_if_matching(
portfolio.Amount(base_currency, 0), value_to,
currency, only=only, market=market))
else:
computed_trades.append(cls.trade_if_matching(
value_from, value_to,
currency, only=only, market=market))
for matching, trade in computed_trades:
if matching:
cls.all.append(trade)
ReportStore.log_trades(computed_trades, only, cls.debug)
@classmethod
def trade_if_matching(cls, value_from, value_to, currency,
only=None, market=None):
trade = portfolio.Trade(value_from, value_to, currency,
market=market)
matching = only is None or trade.action == only
return [matching, trade]
@classmethod
def prepare_orders(cls, only=None, compute_value="default"):
orders = []
for trade in cls.all:
if only is None or trade.action == only:
orders.append(trade.prepare_order(compute_value=compute_value))
ReportStore.log_orders(orders, only, compute_value)
@classmethod
def print_all_with_order(cls, ind=""):
for trade in cls.all:
trade.print_with_order(ind=ind)
@classmethod
def run_orders(cls):
orders = cls.all_orders(state="pending")
for order in orders:
order.run()
ReportStore.log_stage("run_orders")
ReportStore.log_orders(orders)
@classmethod
def all_orders(cls, state=None):
all_orders = sum(map(lambda v: v.orders, cls.all), [])
if state is None:
return all_orders
else:
return list(filter(lambda o: o.status == state, all_orders))
@classmethod
def update_all_orders_status(cls):
for order in cls.all_orders(state="open"):
order.get_status()