path: root/store.py

import portfolio
import simplejson as json
from decimal import Decimal as D, ROUND_DOWN
from datetime import date, datetime
import inspect

__all__ = ["BalanceStore", "ReportStore", "TradeStore"]

class ReportStore:
    def __init__(self, market, verbose_print=True):
        self.market = market
        self.verbose_print = verbose_print

        self.logs = []

    def print_log(self, message):
        message = str(message)
        if self.verbose_print:
            print(message)

    def add_log(self, hash_):
        hash_["date"] = datetime.now()
        self.logs.append(hash_)

    def to_json(self):
        def default_json_serial(obj):
            if isinstance(obj, (datetime, date)):
                return obj.isoformat()
            return str(obj)
        return json.dumps(self.logs, default=default_json_serial)

    def set_verbose(self, verbose_print):
        self.verbose_print = verbose_print

    def log_stage(self, stage):
        self.print_log("-" * (len(stage) + 8))
        self.print_log("[Stage] {}".format(stage))

        self.add_log({
            "type": "stage",
            "stage": stage,
            })

    def log_balances(self, tag=None):
        self.print_log("[Balance]")
        for currency, balance in self.market.balances.all.items():
            self.print_log("\t{}".format(balance))

        self.add_log({
            "type": "balance",
            "tag": tag,
            "balances": self.market.balances.as_json()
            })

    def log_tickers(self, amounts, other_currency,
            compute_value, type):
        values = {}
        rates = {}
        if callable(compute_value):
            compute_value = inspect.getsource(compute_value).strip()

        for currency, amount in amounts.items():
            values[currency] = amount.as_json()["value"]
            rates[currency] = amount.rate
        self.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"]
            })

    def log_dispatch(self, amount, amounts, liquidity, repartition):
        self.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() }
            })

    def log_trades(self, matching_and_trades, only):
        trades = []
        for matching, trade in matching_and_trades:
            trade_json = trade.as_json()
            trade_json["skipped"] = not matching
            trades.append(trade_json)

        self.add_log({
            "type": "trades",
            "only": only,
            "debug": self.market.debug,
            "trades": trades
            })

    def log_orders(self, orders, tick=None, only=None, compute_value=None):
        if callable(compute_value):
            compute_value = inspect.getsource(compute_value).strip()
        self.print_log("[Orders]")
        self.market.trades.print_all_with_order(ind="\t")
        self.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]
            })

    def log_order(self, order, tick, finished=False, update=None,
            new_order=None, compute_value=None):
        if callable(compute_value):
            compute_value = inspect.getsource(compute_value).strip()
        if finished:
            self.print_log("[Order] Finished {}".format(order))
        elif update == "waiting":
            self.print_log("[Order] {}, tick {}, waiting".format(order, tick))
        elif update == "adjusting":
            self.print_log("[Order] {}, tick {}, cancelling and adjusting to {}".format(order, tick, new_order))
        elif update == "market_fallback":
            self.print_log("[Order] {}, tick {}, fallbacking to market value".format(order, tick))
        elif update == "market_adjust":
            self.print_log("[Order] {}, tick {}, market value, cancelling and adjusting to {}".format(order, tick, new_order))

        self.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
            })

    def log_move_balances(self, needed, moving):
        self.add_log({
            "type": "move_balances",
            "debug": self.market.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() },
            })

    def log_http_request(self, method, url, body, headers, response):
        self.add_log({
            "type": "http_request",
            "method": method,
            "url": url,
            "body": body,
            "headers": headers,
            "status": response.status_code,
            "response": response.text
            })

    def log_error(self, action, message=None, exception=None):
        self.print_log("[Error] {}".format(action))
        if exception is not None:
            self.print_log(str("\t{}: {}".format(exception.__class__.__name__, exception)))
        if message is not None:
            self.print_log("\t{}".format(message))

        self.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,
            })

    def log_debug_action(self, action):
        self.print_log("[Debug] {}".format(action))

        self.add_log({
            "type": "debug_action",
            "action": action,
            })

class BalanceStore:
    def __init__(self, market):
        self.market = market
        self.all = {}

    def currencies(self):
        return self.all.keys()

    def in_currency(self, other_currency, compute_value="average", type="total"):
        amounts = {}
        for currency, balance in self.all.items():
            other_currency_amount = getattr(balance, type)\
                    .in_currency(other_currency, self.market, compute_value=compute_value)
            amounts[currency] = other_currency_amount
        self.market.report.log_tickers(amounts, other_currency,
                compute_value, type)
        return amounts

    def fetch_balances(self, tag=None):
        all_balances = self.market.ccxt.fetch_all_balances()
        for currency, balance in all_balances.items():
            if balance["exchange_total"] != 0 or balance["margin_total"] != 0 or \
                    currency in self.all:
                self.all[currency] = portfolio.Balance(currency, balance)
        self.market.report.log_balances(tag=tag)

    def dispatch_assets(self, amount, liquidity="medium", repartition=None):
        if repartition is None:
            repartition = portfolio.Portfolio.repartition(self.market, 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]
            self.all.setdefault(currency, portfolio.Balance(currency, {}))
        self.market.report.log_dispatch(amount, amounts, liquidity, repartition)
        return amounts

    def as_json(self):
        return { k: v.as_json() for k, v in self.all.items() }

class TradeStore:
    def __init__(self, market):
        self.market = market
        self.all = []

    @property
    def pending(self):
        return list(filter(lambda t: not t.is_fullfiled, self.all))

    def compute_trades(self, values_in_base, new_repartition, only=None):
        computed_trades = []
        base_currency = sum(values_in_base.values()).currency
        for currency in self.market.balances.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(self.trade_if_matching(
                        value_from, portfolio.Amount(base_currency, 0),
                        currency, only=only))
                computed_trades.append(self.trade_if_matching(
                        portfolio.Amount(base_currency, 0), value_to,
                        currency, only=only))
            else:
                computed_trades.append(self.trade_if_matching(
                        value_from, value_to,
                        currency, only=only))
        for matching, trade in computed_trades:
            if matching:
                self.all.append(trade)
        self.market.report.log_trades(computed_trades, only)

    def trade_if_matching(self, value_from, value_to, currency,
            only=None):
        trade = portfolio.Trade(value_from, value_to, currency,
                self.market)
        matching = only is None or trade.action == only
        return [matching, trade]

    def prepare_orders(self, only=None, compute_value="default"):
        orders = []
        for trade in self.pending:
            if only is None or trade.action == only:
                orders.append(trade.prepare_order(compute_value=compute_value))
        self.market.report.log_orders(orders, only, compute_value)

    def print_all_with_order(self, ind=""):
        for trade in self.all:
            trade.print_with_order(ind=ind)

    def run_orders(self):
        orders = self.all_orders(state="pending")
        for order in orders:
            order.run()
        self.market.report.log_stage("run_orders")
        self.market.report.log_orders(orders)

    def all_orders(self, state=None):
        all_orders = sum(map(lambda v: v.orders, self.all), [])
        if state is None:
            return all_orders
        else:
            return list(filter(lambda o: o.status == state, all_orders))

    def update_all_orders_status(self):
        for order in self.all_orders(state="open"):
            order.get_status()