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-rw-r--r--script.py53
1 files changed, 41 insertions, 12 deletions
diff --git a/script.py b/script.py
index c5ac4aa..187ff73 100644
--- a/script.py
+++ b/script.py
@@ -31,13 +31,25 @@ def get_ticker(c1, c2, market):
31 "ask": float(1/ticker["bid"]), 31 "ask": float(1/ticker["bid"]),
32 "bidA": float(1/ticker["askA"]), 32 "bidA": float(1/ticker["askA"]),
33 "askA": float(1/ticker["bidA"]), 33 "askA": float(1/ticker["bidA"]),
34 "bidE": float(1/ticker["askE"]),
35 "askE": float(1/ticker["bidE"]),
34 } 36 }
35 def augment_ticker(ticker): 37 def augment_ticker(ticker):
38 bid_factor = 1.01
39 ask_factor = 0.99
40 fees = fetch_fees(market)
36 # FIXME: need to do better than just a multiplier 41 # FIXME: need to do better than just a multiplier
37 ticker.update({ 42 ticker.update({
38 "inverted": False, 43 "inverted": False,
39 "bidA": ticker["bid"] * 0.99, 44 # Adjusted
40 "askA": ticker["ask"] * 1.01, 45 "bidA": ticker["bid"] * bid_factor,
46 "askA": ticker["ask"] * ask_factor,
47 # Expected in the end
48 "bidE": ticker["bid"] * bid_factor * (1 - fees["maker"]),
49 "askE": ticker["ask"] * ask_factor * (1 - fees["maker"]),
50 # fees
51 "bidF": ticker["bid"] * bid_factor * fees["maker"],
52 "askF": ticker["ask"] * ask_factor * fees["maker"],
41 }) 53 })
42 54
43 if (c1, c2, market.__class__) in get_ticker.cache: 55 if (c1, c2, market.__class__) in get_ticker.cache:
@@ -64,16 +76,26 @@ def fetch_balances(market):
64 balances[key] = int(value * 10**max_digits) 76 balances[key] = int(value * 10**max_digits)
65 return balances 77 return balances
66 78
79@static_var("cache", {})
80def fetch_fees(market):
81 if market.__class__ not in fetch_fees.cache:
82 fetch_fees.cache[market.__class__] = market.fetch_fees()
83 return fetch_fees.cache[market.__class__]
84
67def assets_value(assets, market, base_currency="BTC"): 85def assets_value(assets, market, base_currency="BTC"):
68 repartition_in_base_currency = {} 86 repartition_in_base_currency = {}
69 for currency, asset_value in assets.items(): 87 for currency, asset_value in assets.items():
70 if currency == base_currency: 88 if currency == base_currency:
71 repartition_in_base_currency[currency] = asset_value 89 repartition_in_base_currency[currency] = [asset_value, 0]
72 else: 90 else:
73 asset_ticker = get_ticker(currency, base_currency, market) 91 asset_ticker = get_ticker(currency, base_currency, market)
74 if asset_ticker is None: 92 if asset_ticker is None:
75 raise Exception("This asset is not available in the chosen market") 93 raise Exception("This asset is not available in the chosen market")
76 repartition_in_base_currency[currency] = int(asset_ticker["bidA"] * asset_value) 94 repartition_in_base_currency[currency] = [
95 int(asset_ticker["bidE"] * asset_value),
96 int(asset_ticker["bidF"] * asset_value)
97 ]
98
77 return repartition_in_base_currency 99 return repartition_in_base_currency
78 100
79def dispatch_assets(base_currency_value, repartition_pertenthousand, market, base_currency="BTC"): 101def dispatch_assets(base_currency_value, repartition_pertenthousand, market, base_currency="BTC"):
@@ -83,15 +105,20 @@ def dispatch_assets(base_currency_value, repartition_pertenthousand, market, bas
83 repartition_in_base_currency[currency] = int(ptt * base_currency_value / sum_pertenthousand) 105 repartition_in_base_currency[currency] = int(ptt * base_currency_value / sum_pertenthousand)
84 return repartition_in_base_currency 106 return repartition_in_base_currency
85 107
86def compute_moves(current_assets, repartition_pertenthousand, market, base_currency="BTC"): 108def compute_moves(current_assets, repartition_pertenthousand, market, no_fees=True, base_currency="BTC"):
87 value_in_base = assets_value(current_assets, market, base_currency=base_currency) 109 value_in_base = assets_value(current_assets, market, base_currency=base_currency)
88 total_base_value = sum([ v for k, v in value_in_base.items()]) 110 total_base_value = sum([ v[0] for k, v in value_in_base.items()])
89 111
90 new_repartition = dispatch_assets(total_base_value, repartition_pertenthousand, market, base_currency=base_currency) 112 new_repartition = dispatch_assets(total_base_value, repartition_pertenthousand, market, base_currency=base_currency)
91 mouvements = {} 113 mouvements = {}
92 114
93 for key in set(value_in_base.keys()).union(set(new_repartition.keys())): 115 if no_fees:
94 mouvements[key] = value_in_base.get(key, 0) - new_repartition.get(key, 0) 116 for key in set(value_in_base.keys()).union(set(new_repartition.keys())):
117 mouvements[key] = value_in_base.get(key, [0, 0])[0] - new_repartition.get(key, 0)
118 else:
119 for key in set(value_in_base.keys()).union(set(new_repartition.keys())):
120 value, fee = value_in_base.get(key, [0, 0])
121 mouvements[key] = [value - new_repartition.get(key, 0), fee]
95 122
96 return mouvements 123 return mouvements
97 124
@@ -148,7 +175,7 @@ def print_assets(assets, indent="", market=None, base_currency="BTC"):
148 for currency, value in assets.items(): 175 for currency, value in assets.items():
149 if market is not None: 176 if market is not None:
150 asset_ticker = get_ticker(currency, base_currency, market) 177 asset_ticker = get_ticker(currency, base_currency, market)
151 base_currency_price = asset_ticker["bidA"] * value 178 base_currency_price = asset_ticker["bidE"] * value
152 print(format_string.format( 179 print(format_string.format(
153 indent, 180 indent,
154 formatted_price(value), 181 formatted_price(value),
@@ -161,9 +188,10 @@ def print_orders(current_assets, repartition_pertenthousand, market, base_curren
161 current_assets, 188 current_assets,
162 repartition_pertenthousand, 189 repartition_pertenthousand,
163 market, 190 market,
191 no_fees=False,
164 base_currency=base_currency) 192 base_currency=base_currency)
165 193
166 for currency, value in mouvements.items(): 194 for currency, [value, fee] in mouvements.items():
167 action, rate, inverted = compute_order( 195 action, rate, inverted = compute_order(
168 currency, 196 currency,
169 value, 197 value,
@@ -179,11 +207,12 @@ def print_orders(current_assets, repartition_pertenthousand, market, base_curren
179 c1, c2 = [currency, base_currency] 207 c1, c2 = [currency, base_currency]
180 v1, v2 = [currency_price, value] 208 v1, v2 = [currency_price, value]
181 209
182 print("need to {} {} {}'s worth of {}, i.e. {} {}".format( 210 print("need to {} {} {}'s worth of {}, i.e. {} {} ( + {} {} fee)".format(
183 action, 211 action,
184 formatted_price(abs(v1)), c1, 212 formatted_price(abs(v1)), c1,
185 c2, 213 c2,
186 formatted_price(abs(v2)), c2)) 214 formatted_price(abs(v2)), c2,
215 formatted_price(fee), c2))
187 216
188current_assets = fetch_balances(market) 217current_assets = fetch_balances(market)
189print_orders(current_assets, repartition_pertenthousand, market) 218print_orders(current_assets, repartition_pertenthousand, market)