Add some tests and cleanup exchange process

- Acceptance test for the whole exchange process
- Cut exchange two steps:
  - Compute the outcome of the exchange
  - Do all the sells
  - Recompute the buys according to the sells result
  - Do all the buys

2 files changed, 322 insertions, 32 deletions

diff --git a/portfolio.py b/portfolio.py
index 6d51989..acb61b2 100644
--- a/portfolio.py
+++ b/portfolio.py
@@ -4,9 +4,7 @@ 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
+debug = False
 
 class Portfolio:
     URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
@@ -78,8 +76,6 @@ class Portfolio:
                 }
 
 class Amount:
-    MAX_DIGITS = 18
-
     def __init__(self, currency, value, linked_to=None, ticker=None, rate=None):
         self.currency = currency
         self.value = D(value)
@@ -202,7 +198,7 @@ class Balance:
         for key in hash_:
             if key in ["info", "free", "used", "total"]:
                 continue
-            if hash_[key]["total"] > 0:
+            if hash_[key]["total"] > 0 or key in cls.known_balances:
                 cls.known_balances[key] = cls.from_hash(key, hash_[key])
 
     @classmethod
@@ -222,14 +218,22 @@ class Balance:
         return amounts
 
     @classmethod
-    def prepare_trades(cls, market, base_currency="BTC", compute_value=None):
+    def prepare_trades(cls, market, base_currency="BTC", compute_value="average"):
         cls.fetch_balances(market)
-        values_in_base = cls.in_currency(base_currency, 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)
-        Trade.compute_trades(values_in_base, new_repartition, market=market, compute_value=compute_value)
+        values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
+        Trade.compute_trades(values_in_base, new_repartition, market=market)
+
+    @classmethod
+    def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None):
+        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)
 
     def __repr__(self):
         return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total))
@@ -302,21 +306,27 @@ class Trade:
         return cls.get_ticker(c1, c2, market)
 
     @classmethod
-    def compute_trades(cls, values_in_base, new_repartition, market=None, compute_value=None):
+    def compute_trades(cls, values_in_base, new_repartition, only=None, market=None):
         base_currency = sum(values_in_base.values()).currency
         for currency in Balance.currencies():
             if currency == base_currency:
                 continue
-            cls.trades[currency] = cls(
+            trade = 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)
+            if only is None or trade.action == only:
+                cls.trades[currency] = trade
         return cls.trades
 
+    @classmethod
+    def prepare_orders(cls, only=None, compute_value="default"):
+        for currency, trade in cls.trades.items():
+            if only is None or trade.action == only:
+                trade.prepare_order(compute_value=compute_value)
+
     @property
     def action(self):
         if self.value_from == self.value_to:
@@ -353,7 +363,7 @@ class Trade:
 
         rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
 
-        self.orders.append(Order(self.order_action(inverted), delta, rate, currency))
+        self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market))
 
     @classmethod
     def compute_value(cls, ticker, action, compute_value="default"):
@@ -362,22 +372,33 @@ class Trade:
         return compute_value(ticker, action)
 
     @classmethod
-    def all_orders(cls):
-        return sum(map(lambda v: v.orders, cls.trades.values()), [])
+    def all_orders(cls, state=None):
+        all_orders = sum(map(lambda v: v.orders, cls.trades.values()), [])
+        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, market):
+    def follow_orders(cls, verbose=True, sleep=30):
         orders = cls.all_orders()
         finished_orders = []
         while len(orders) != len(finished_orders):
-            time.sleep(30)
+            time.sleep(sleep)
             for order in orders:
                 if order in finished_orders:
                     continue
-                if order.get_status(market) != "open":
+                if order.get_status() != "open":
                     finished_orders.append(order)
-                    print("finished {}".format(order))
-        print("All orders finished")
+                    if verbose:
+                        print("finished {}".format(order))
+        if verbose:
+            print("All orders finished")
 
     def __repr__(self):
         return "Trade({} -> {} in {}, {})".format(
@@ -387,15 +408,16 @@ class Trade:
                 self.action)
 
 class Order:
-    DEBUG = True
+    DEBUG = debug
 
-    def __init__(self, action, amount, rate, base_currency):
+    def __init__(self, action, amount, rate, base_currency, market):
         self.action = action
         self.amount = amount
         self.rate = rate
         self.base_currency = base_currency
+        self.market = market
         self.result = None
-        self.status = "not run"
+        self.status = "pending"
 
     def __repr__(self):
         return "Order({} {} at {} {} [{}])".format(
@@ -406,7 +428,15 @@ class Order:
                 self.status
                 )
 
-    def run(self, market):
+    @property
+    def pending(self):
+        return self.status == "pending"
+
+    @property
+    def finished(self):
+        return self.status == "closed" or self.status == "canceled"
+
+    def run(self):
         symbol = "{}/{}".format(self.amount.currency, self.base_currency)
         amount = self.amount.value
 
@@ -415,20 +445,21 @@ class Order:
                 symbol, self.action, amount, self.rate))
         else:
             try:
-                self.result = market.create_order(symbol, 'limit', self.action, amount, price=self.rate)
+                self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate)
                 self.status = "open"
             except Exception:
                 pass
 
-    def get_status(self, market):
+    def get_status(self):
         # other states are "closed" and "canceled"
         if self.status == "open":
-            result = market.fetch_order(self.result['id'])
+            result = self.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")
+    Trade.prepare_orders(compute_value="average")
     for currency, balance in Balance.known_balances.items():
         print(balance)
     for currency, trade in Trade.trades.items():
@@ -442,7 +473,7 @@ def make_orders(market, base_currency="BTC"):
         print(trade)
         for order in trade.orders:
             print("\t", order, sep="")
-            order.run(market)
+            order.run()
 
 if __name__ == '__main__':
     print_orders(market)
diff --git a/test.py b/test.py
index edf6d01..2589896 100644
--- a/test.py
+++ b/test.py
@@ -256,6 +256,11 @@ class BalanceTest(unittest.TestCase):
                 "info": "bar",
                 "used": "baz",
                 "total": "bazz",
+                "ETC": {
+                    "free": 0.0,
+                    "used": 0.0,
+                    "total": 0.0
+                    },
                 "USDT": {
                     "free": 6.0,
                     "used": 1.2,
@@ -327,7 +332,12 @@ class BalanceTest(unittest.TestCase):
 
         portfolio.Balance.fetch_balances(portfolio.market)
         self.assertNotIn("XMR", portfolio.Balance.currencies())
-        self.assertEqual(["USDT", "XVG"], list(portfolio.Balance.currencies()))
+        self.assertListEqual(["USDT", "XVG"], list(portfolio.Balance.currencies()))
+
+        portfolio.Balance.known_balances["ETC"] = portfolio.Balance("ETC", "1", "0", "1")
+        portfolio.Balance.fetch_balances(portfolio.market)
+        self.assertEqual(0, portfolio.Balance.known_balances["ETC"].total)
+        self.assertListEqual(["USDT", "XVG", "ETC"], list(portfolio.Balance.currencies()))
 
     @mock.patch.object(portfolio.Portfolio, "repartition_pertenthousand")
     @mock.patch.object(portfolio.market, "fetch_balance")
@@ -362,7 +372,7 @@ class BalanceTest(unittest.TestCase):
                 return { "average": D("0.000001") }
             if c1 == "XEM" and c2 == "BTC":
                 return { "average": D("0.001") }
-            raise Exception("Should be called with {}, {}".format(c1, c2))
+            self.fail("Should be called with {}, {}".format(c1, c2))
         get_ticker.side_effect = _get_ticker
 
         market = mock.Mock()
@@ -388,6 +398,10 @@ class BalanceTest(unittest.TestCase):
         self.assertEqual(D("0.2525"), call[0][1]["BTC"].value)
         self.assertEqual(D("0.7575"), call[0][1]["XEM"].value)
 
+    @unittest.skip("TODO")
+    def test_update_trades(self):
+        pass
+
     def test__repr(self):
         balance = portfolio.Balance("BTX", 3, 1, 2)
         self.assertEqual("Balance(BTX [1.00000000 BTX/2.00000000 BTX/3.00000000 BTX])", repr(balance))
@@ -520,5 +534,250 @@ class TradeTest(unittest.TestCase):
     def tearDown(self):
         self.patcher.stop()
 
+class AcceptanceTest(unittest.TestCase):
+    import time
+
+    def setUp(self):
+        super(AcceptanceTest, self).setUp()
+
+        self.patchers = [
+                mock.patch.multiple(portfolio.Balance, known_balances={}),
+                mock.patch.multiple(portfolio.Portfolio, data=None, liquidities={}),
+                mock.patch.multiple(portfolio.Trade,
+                    ticker_cache={},
+                    ticker_cache_timestamp=self.time.time(),
+                    fees_cache={},
+                    trades={}),
+                mock.patch.multiple(portfolio.Computation,
+                    computations=portfolio.Computation.computations)
+                ]
+        for patcher in self.patchers:
+            patcher.start()
+
+    def test_success_sell_only_necessary(self):
+        fetch_balance = {
+                "ETH": {
+                    "free": D("1.0"),
+                    "used": D("0.0"),
+                    "total": D("1.0"),
+                    },
+                "ETC": {
+                    "free": D("4.0"),
+                    "used": D("0.0"),
+                    "total": D("4.0"),
+                    },
+                "XVG": {
+                    "free": D("1000.0"),
+                    "used": D("0.0"),
+                    "total": D("1000.0"),
+                    },
+                }
+        repartition = {
+                "ETH": 2500,
+                "ETC": 2500,
+                "BTC": 4000,
+                "BTD": 500,
+                "USDT": 500,
+                }
+
+        def fetch_ticker(symbol):
+            if symbol == "ETH/BTC":
+                return {
+                        "symbol": "ETH/BTC",
+                        "bid": D("0.14"),
+                        "ask": D("0.16")
+                        }
+            if symbol == "ETC/BTC":
+                return {
+                        "symbol": "ETC/BTC",
+                        "bid": D("0.002"),
+                        "ask": D("0.003")
+                        }
+            if symbol == "XVG/BTC":
+                return {
+                        "symbol": "XVG/BTC",
+                        "bid": D("0.00003"),
+                        "ask": D("0.00005")
+                        }
+            if symbol == "BTD/BTC":
+                return {
+                        "symbol": "BTD/BTC",
+                        "bid": D("0.0008"),
+                        "ask": D("0.0012")
+                        }
+            if symbol == "USDT/BTC":
+                raise portfolio.ccxt.ExchangeError
+            if symbol == "BTC/USDT":
+                return {
+                        "symbol": "BTC/USDT",
+                        "bid": D("14000"),
+                        "ask": D("16000")
+                        }
+            self.fail("Shouldn't have been called with {}".format(symbol))
+
+        market = mock.Mock()
+        market.fetch_balance.return_value = fetch_balance
+        market.fetch_ticker.side_effect = fetch_ticker
+        with mock.patch.object(portfolio.Portfolio, "repartition_pertenthousand", return_value=repartition):
+            # Action 1
+            portfolio.Balance.prepare_trades(market)
+
+        balances = portfolio.Balance.known_balances
+        self.assertEqual(portfolio.Amount("ETH", 1), balances["ETH"].total)
+        self.assertEqual(portfolio.Amount("ETC", 4), balances["ETC"].total)
+        self.assertEqual(portfolio.Amount("XVG", 1000), balances["XVG"].total)
+
+
+        trades = portfolio.Trade.trades
+        self.assertEqual(portfolio.Amount("BTC", D("0.15")), trades["ETH"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.05")), trades["ETH"].value_to)
+        self.assertEqual("sell", trades["ETH"].action)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.01")), trades["ETC"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.05")), trades["ETC"].value_to)
+        self.assertEqual("buy", trades["ETC"].action)
+
+        self.assertNotIn("BTC", trades)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.00")), trades["BTD"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.01")), trades["BTD"].value_to)
+        self.assertEqual("buy", trades["BTD"].action)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.00")), trades["USDT"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.01")), trades["USDT"].value_to)
+        self.assertEqual("buy", trades["USDT"].action)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.04")), trades["XVG"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.00")), trades["XVG"].value_to)
+        self.assertEqual("sell", trades["XVG"].action)
+
+        # Action 2
+        portfolio.Trade.prepare_orders(only="sell", compute_value=lambda x, y: x["bid"] * D("1.001"))
+
+        all_orders = portfolio.Trade.all_orders()
+        self.assertEqual(2, len(all_orders))
+        self.assertEqual(2, 3*all_orders[0].amount.value)
+        self.assertEqual(D("0.14014"), all_orders[0].rate)
+        self.assertEqual(1000, all_orders[1].amount.value)
+        self.assertEqual(D("0.00003003"), all_orders[1].rate)
+
+
+        def create_order(symbol, type, action, amount, price=None):
+            self.assertEqual("limit", type)
+            if symbol == "ETH/BTC":
+                self.assertEqual("bid", action)
+                self.assertEqual(2, 3*amount)
+                self.assertEqual(D("0.14014"), price)
+            elif symbol == "XVG/BTC":
+                self.assertEqual("bid", action)
+                self.assertEqual(1000, amount)
+                self.assertEqual(D("0.00003003"), price)
+            else:
+                self.fail("I shouldn't have been called")
+
+            return {
+                    "id": symbol,
+                    }
+        market.create_order.side_effect = create_order
+
+        # Action 3
+        portfolio.Trade.run_orders()
+
+        self.assertEqual("open", all_orders[0].status)
+        self.assertEqual("open", all_orders[1].status)
+
+        market.fetch_order.return_value = { "status": "closed" }
+        with mock.patch.object(portfolio.time, "sleep") as sleep:
+            # Action 4
+            portfolio.Trade.follow_orders(verbose=False)
+
+            sleep.assert_called_with(30)
+
+        for order in all_orders:
+            self.assertEqual("closed", order.status)
+
+        fetch_balance = {
+                "ETH": {
+                    "free": D("1.0") / 3,
+                    "used": D("0.0"),
+                    "total": D("1.0") / 3,
+                    },
+                "BTC": {
+                    "free": D("0.134"),
+                    "used": D("0.0"),
+                    "total": D("0.134"),
+                    },
+                "ETC": {
+                    "free": D("4.0"),
+                    "used": D("0.0"),
+                    "total": D("4.0"),
+                    },
+                "XVG": {
+                    "free": D("0.0"),
+                    "used": D("0.0"),
+                    "total": D("0.0"),
+                    },
+                }
+        market.fetch_balance.return_value = fetch_balance
+
+        with mock.patch.object(portfolio.Portfolio, "repartition_pertenthousand", return_value=repartition):
+            # Action 5
+            portfolio.Balance.update_trades(market, only="buy", compute_value="average")
+
+        balances = portfolio.Balance.known_balances
+        self.assertEqual(portfolio.Amount("ETH", 1 / D("3")), balances["ETH"].total)
+        self.assertEqual(portfolio.Amount("ETC", 4), balances["ETC"].total)
+        self.assertEqual(portfolio.Amount("BTC", D("0.134")), balances["BTC"].total)
+        self.assertEqual(portfolio.Amount("XVG", 0), balances["XVG"].total)
+
+
+        trades = portfolio.Trade.trades
+        self.assertEqual(portfolio.Amount("BTC", D("0.15")), trades["ETH"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.05")), trades["ETH"].value_to)
+        self.assertEqual("sell", trades["ETH"].action)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.01")), trades["ETC"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.0485")), trades["ETC"].value_to)
+        self.assertEqual("buy", trades["ETC"].action)
+
+        self.assertNotIn("BTC", trades)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.00")), trades["BTD"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.0097")), trades["BTD"].value_to)
+        self.assertEqual("buy", trades["BTD"].action)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.00")), trades["USDT"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.0097")), trades["USDT"].value_to)
+        self.assertEqual("buy", trades["USDT"].action)
+
+        self.assertEqual(portfolio.Amount("BTC", D("0.04")), trades["XVG"].value_from)
+        self.assertEqual(portfolio.Amount("BTC", D("0.00")), trades["XVG"].value_to)
+        self.assertEqual("sell", trades["XVG"].action)
+
+        # Action 6
+        portfolio.Trade.prepare_orders(only="buy", compute_value=lambda x, y: x["ask"] * D("0.999"))
+
+        all_orders = portfolio.Trade.all_orders(state="pending")
+        self.assertEqual(3, len(all_orders))
+        self.assertEqual(portfolio.Amount("ETC", D("15.4")), all_orders[0].amount)
+        self.assertEqual(D("0.002997"), all_orders[0].rate)
+        self.assertEqual("ask", all_orders[0].action)
+        self.assertEqual(portfolio.Amount("BTD", D("9.7")), all_orders[1].amount)
+        self.assertEqual(D("0.0011988"), all_orders[1].rate)
+        self.assertEqual("ask", all_orders[1].action)
+        self.assertEqual(portfolio.Amount("BTC", D("0.0097")), all_orders[2].amount)
+        self.assertEqual(D("15984"), all_orders[2].rate)
+        self.assertEqual("bid", all_orders[2].action)
+
+        with mock.patch.object(portfolio.time, "sleep") as sleep:
+            # Action 7
+            portfolio.Trade.follow_orders(verbose=False)
+
+            sleep.assert_called_with(30)
+
+    def tearDown(self):
+        for patcher in self.patchers:
+            patcher.stop()
+
 if __name__ == '__main__':
     unittest.main()