Various fixes/improvementsv0.3

- Use pending gains to compute the move_balance
- Use ttl_cache for tickers

1 files changed, 96 insertions, 13 deletions

diff --git a/ccxt_wrapper.py b/ccxt_wrapper.py
index b79cd37..903bfc4 100644
--- a/ccxt_wrapper.py
+++ b/ccxt_wrapper.py
@@ -38,12 +38,13 @@ class poloniexE(poloniex):
         """
         portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
         See DASH/BTC positions
-        {'amount': '-0.10000000',          -> DASH empruntés
+        {'amount': '-0.10000000',         -> DASH empruntés (à rendre)
         'basePrice': '0.06818560',        -> à ce prix là (0.06828800 demandé * (1-0.15%))
-        'lendingFees': '0.00000000',      -> ce que je dois à mon créditeur
+        'lendingFees': '0.00000000',      -> ce que je dois à mon créditeur en intérêts
         'liquidationPrice': '0.15107132', -> prix auquel ça sera liquidé (dépend de ce que j’ai déjà sur mon compte margin)
         'pl': '-0.00000371',              -> plus-value latente si je rachète tout de suite (négatif = perdu)
-        'total': '0.00681856',            -> valeur totale empruntée en BTC
+        'total': '0.00681856',            -> valeur totale empruntée en BTC (au moment de l'échange)
+                                             = amount * basePrice à erreur d'arrondi près
         'type': 'short'}
         """
         positions = self.privatePostGetMarginPosition({"currencyPair": "all"})
@@ -70,8 +71,7 @@ class poloniexE(poloniex):
         for key, balance in balances.items():
             result[key] = {}
             for currency, amount in balance.items():
-                if currency not in result:
-                    result[currency] = {}
+                result.setdefault(currency, {})
                 result[currency][key] = decimal.Decimal(amount)
                 result[key][currency] = decimal.Decimal(amount)
         return result
@@ -83,6 +83,7 @@ class poloniexE(poloniex):
 
         all_balances = {}
         in_positions = {}
+        pending_pl = {}
 
         for currency, exchange_balance in exchange_balances.items():
             if currency in ["info", "free", "used", "total"]:
@@ -96,25 +97,106 @@ class poloniexE(poloniex):
                 "exchange_used": exchange_balance["used"],
                 "exchange_total": exchange_balance["total"] - balance_per_type.get("margin", 0),
                 "exchange_free": exchange_balance["free"] - balance_per_type.get("margin", 0),
-                "margin_free": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
-                "margin_borrowed": 0,
+                # Disponible sur le compte margin
+                "margin_available": balance_per_type.get("margin", 0),
+                # Bloqué en position
+                "margin_in_position": 0,
+                # Emprunté
+                "margin_borrowed": -margin_balance.get("amount", 0),
+                # Total
                 "margin_total": balance_per_type.get("margin", 0) + margin_balance.get("amount", 0),
+                "margin_pending_gain": 0,
                 "margin_lending_fees": margin_balance.get("lendingFees", 0),
-                "margin_pending_gain": margin_balance.get("pl", 0),
+                "margin_pending_base_gain": margin_balance.get("pl", 0),
                 "margin_position_type": margin_balance.get("type", None),
                 "margin_liquidation_price": margin_balance.get("liquidationPrice", 0),
                 "margin_borrowed_base_price": margin_balance.get("total", 0),
                 "margin_borrowed_base_currency": margin_balance.get("baseCurrency", None),
                 }
             if len(margin_balance) > 0:
-                if margin_balance["baseCurrency"] not in in_positions:
-                    in_positions[margin_balance["baseCurrency"]] = 0
+                in_positions.setdefault(margin_balance["baseCurrency"], 0)
                 in_positions[margin_balance["baseCurrency"]] += margin_balance["total"]
 
+                pending_pl.setdefault(margin_balance["baseCurrency"], 0)
+                pending_pl[margin_balance["baseCurrency"]] += margin_balance["pl"]
+
+            # J’emprunte 0.12062983 que je revends à 0.06003598 BTC/DASH, soit 0.00724213 BTC.
+            # Sur ces 0.00724213 BTC je récupère 0.00724213*(1-0.0015) = 0.00723127 BTC
+            # 
+            # -> ordertrades ne tient pas compte des fees
+            #     amount = montant vendu (un seul mouvement)
+            #     rate = à ce taux
+            #     total = total en BTC (pour ce mouvement)
+            # -> marginposition:
+            #     amount = ce que je dois rendre
+            #     basePrice = prix de vente en tenant compte des fees
+            #     (amount * basePrice = la quantité de BTC que j’ai effectivement
+            #     reçue à erreur d’arrondi près, utiliser plutôt "total")
+            #     total = la quantité de BTC que j’ai reçue
+            #     pl = plus value actuelle si je rachetais tout de suite
+            # -> marginaccountsummary:
+            #     currentMargin = La marge actuelle (= netValue/totalBorrowedValue)
+            #     totalValue = BTC actuellement en margin (déposé)
+            #     totalBorrowedValue = sum (amount * ticker[lowestAsk])
+            #     pl = sum(pl)
+            #     netValue = BTC actuellement en margin (déposé) + pl
+            # Exemple:
+            # In [38]: m.ccxt.private_post_returnordertrades({"orderNumber": "XXXXXXXXXXXX"})
+            # Out[38]:
+            # [{'amount': '0.11882982',
+            #   'currencyPair': 'BTC_DASH',
+            #   'date': '2018-02-26 22:48:35',
+            #   'fee': '0.00150000',
+            #   'globalTradeID': 348891380,
+            #   'rate': '0.06003598',
+            #   'total': '0.00713406',
+            #   'tradeID': 9634443,
+            #   'type': 'sell'},
+            #  {'amount': '0.00180000',
+            #   'currencyPair': 'BTC_DASH',
+            #   'date': '2018-02-26 22:48:30',
+            #   'fee': '0.00150000',
+            #   'globalTradeID': 348891375,
+            #   'rate': '0.06003598',
+            #   'total': '0.00010806',
+            #   'tradeID': 9634442,
+            #   'type': 'sell'}]
+            # 
+            # In [51]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"})
+            # Out[51]:
+            # {'amount': '-0.12062982',
+            #  'basePrice': '0.05994587',
+            #  'lendingFees': '0.00000000',
+            #  'liquidationPrice': '0.15531479',
+            #  'pl': '0.00000122',
+            #  'total': '0.00723126',
+            #  'type': 'short'}
+            # In [52]: m.ccxt.privatePostGetMarginPosition({"currencyPair": "BTC_BTS"})
+            # Out[52]:
+            # {'amount': '-332.97159188',
+            #  'basePrice': '0.00002171',
+            #  'lendingFees': '0.00000000',
+            #  'liquidationPrice': '0.00005543',
+            #  'pl': '0.00029548',
+            #  'total': '0.00723127',
+            #  'type': 'short'}
+            # 
+            # In [53]: m.ccxt.privatePostReturnMarginAccountSummary()
+            # Out[53]:
+            # {'currentMargin': '1.04341991',
+            #  'lendingFees': '0.00000000',
+            #  'netValue': '0.01478093',
+            #  'pl': '0.00029666',
+            #  'totalBorrowedValue': '0.01416585',
+            #  'totalValue': '0.01448427'}
+
         for currency, in_position in in_positions.items():
             all_balances[currency]["total"] += in_position
+            all_balances[currency]["margin_in_position"] += in_position
             all_balances[currency]["margin_total"] += in_position
-            all_balances[currency]["margin_borrowed"] += in_position
+
+        for currency, pl in pending_pl.items():
+            all_balances[currency]["margin_pending_gain"] += pl
 
         return all_balances
 
@@ -228,8 +310,9 @@ class poloniexE(poloniex):
         'lendingFees': '0.00000000',        -> fees totaux
         'netValue': '0.01008254',           -> balance + plus-value
         'pl': '0.00008254',                 -> plus value latente (somme des positions)
-        'totalBorrowedValue': '0.00673602', -> valeur en BTC empruntée
-        'totalValue': '0.01000000'}         -> valeur totale en compte
+        'totalBorrowedValue': '0.00673602', -> valeur empruntée convertie en BTC.
+                (= sum(amount * ticker[lowerAsk]) pour amount dans marginposition)
+        'totalValue': '0.01000000'}         -> balance (collateral déposé en margin)
         """
         summary = self.privatePostReturnMarginAccountSummary()