from ccxt import * import decimal import time def _cw_exchange_sum(self, *args): return sum([arg for arg in args if isinstance(arg, (float, int, decimal.Decimal))]) Exchange.sum = _cw_exchange_sum class poloniexE(poloniex): @staticmethod def nanoseconds(): return int(time.time() * 1000000000) def nonce(self): return self.nanoseconds() def fetch_balance(self, params={}): self.load_markets() balances = self.privatePostReturnCompleteBalances(self.extend({ 'account': 'all', }, params)) result = {'info': balances} currencies = list(balances.keys()) for c in range(0, len(currencies)): id = currencies[c] balance = balances[id] currency = self.common_currency_code(id) account = { 'free': decimal.Decimal(balance['available']), 'used': decimal.Decimal(balance['onOrders']), 'total': decimal.Decimal(0.0), } account['total'] = self.sum(account['free'], account['used']) result[currency] = account return self.parse_balance(result) def fetch_margin_balance(self): """ portfolio.market.privatePostGetMarginPosition({"currencyPair": "BTC_DASH"}) See DASH/BTC positions {'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 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 (au moment de l'échange) = amount * basePrice à erreur d'arrondi près 'type': 'short'} """ positions = self.privatePostGetMarginPosition({"currencyPair": "all"}) parsed = {} for symbol, position in positions.items(): if position["type"] == "none": continue base_currency, currency = symbol.split("_") parsed[currency] = { "amount": decimal.Decimal(position["amount"]), "borrowedPrice": decimal.Decimal(position["basePrice"]), "lendingFees": decimal.Decimal(position["lendingFees"]), "pl": decimal.Decimal(position["pl"]), "liquidationPrice": decimal.Decimal(position["liquidationPrice"]), "type": position["type"], "total": decimal.Decimal(position["total"]), "baseCurrency": base_currency, } return parsed def fetch_balance_per_type(self): balances = self.privatePostReturnAvailableAccountBalances() result = {'info': balances} for key, balance in balances.items(): result[key] = {} for currency, amount in balance.items(): result.setdefault(currency, {}) result[currency][key] = decimal.Decimal(amount) result[key][currency] = decimal.Decimal(amount) return result def fetch_all_balances(self): exchange_balances = self.fetch_balance() margin_balances = self.fetch_margin_balance() balances_per_type = self.fetch_balance_per_type() all_balances = {} in_positions = {} pending_pl = {} for currency, exchange_balance in exchange_balances.items(): if currency in ["info", "free", "used", "total"]: continue margin_balance = margin_balances.get(currency, {}) balance_per_type = balances_per_type.get(currency, {}) all_balances[currency] = { "total": exchange_balance["total"] + margin_balance.get("amount", 0), "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), # 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_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: 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 for currency, pl in pending_pl.items(): all_balances[currency]["margin_pending_gain"] += pl return all_balances def parse_ticker(self, ticker, market=None): timestamp = self.milliseconds() symbol = None if market: symbol = market['symbol'] return { 'symbol': symbol, 'timestamp': timestamp, 'datetime': self.iso8601(timestamp), 'high': decimal.Decimal(ticker['high24hr']), 'low': decimal.Decimal(ticker['low24hr']), 'bid': decimal.Decimal(ticker['highestBid']), 'ask': decimal.Decimal(ticker['lowestAsk']), 'vwap': None, 'open': None, 'close': None, 'first': None, 'last': decimal.Decimal(ticker['last']), 'change': decimal.Decimal(ticker['percentChange']), 'percentage': None, 'average': None, 'baseVolume': decimal.Decimal(ticker['quoteVolume']), 'quoteVolume': decimal.Decimal(ticker['baseVolume']), 'info': ticker, } def create_margin_order(self, symbol, type, side, amount, price=None, lending_rate=None, params={}): if type == 'market': raise ExchangeError(self.id + ' allows limit orders only') self.load_markets() method = 'privatePostMargin' + self.capitalize(side) market = self.market(symbol) price = float(price) amount = float(amount) if lending_rate is not None: params = self.extend({"lendingRate": lending_rate}, params) response = getattr(self, method)(self.extend({ 'currencyPair': market['id'], 'rate': self.price_to_precision(symbol, price), 'amount': self.amount_to_precision(symbol, amount), }, params)) timestamp = self.milliseconds() order = self.parse_order(self.extend({ 'timestamp': timestamp, 'status': 'open', 'type': type, 'side': side, 'price': price, 'amount': amount, }, response), market) id = order['id'] self.orders[id] = order return self.extend({'info': response}, order) def create_exchange_order(self, symbol, type, side, amount, price=None, params={}): return super(poloniexE, self).create_order(symbol, type, side, amount, price=price, params=params) def create_order(self, symbol, type, side, amount, price=None, account="exchange", lending_rate=None, params={}): if account == "exchange": return self.create_exchange_order(symbol, type, side, amount, price=price, params=params) elif account == "margin": return self.create_margin_order(symbol, type, side, amount, price=price, lending_rate=lending_rate, params=params) else: raise NotImplementedError def order_precision(self, symbol): return 8 def transfer_balance(self, currency, amount, from_account, to_account): result = self.privatePostTransferBalance({ "currency": currency, "amount": amount, "fromAccount": from_account, "toAccount": to_account, "confirmed": 1}) return result["success"] == 1 def close_margin_position(self, currency, base_currency): """ closeMarginPosition({"currencyPair": "BTC_DASH"}) fermer la position au prix du marché """ symbol = "{}_{}".format(base_currency, currency) self.privatePostCloseMarginPosition({"currencyPair": symbol}) def tradable_balances(self): """ portfolio.market.privatePostReturnTradableBalances() Returns tradable balances in margin 'BTC_DASH': {'BTC': '0.01266999', 'DASH': '0.08574839'}, Je peux emprunter jusqu’à 0.08574839 DASH ou 0.01266999 BTC (une position est déjà ouverte) 'BTC_CLAM': {'BTC': '0.00585143', 'CLAM': '7.79300395'}, Je peux emprunter 7.7 CLAM pour les vendre contre des BTC, ou emprunter 0.00585143 BTC pour acheter des CLAM """ tradable_balances = self.privatePostReturnTradableBalances() for symbol, balances in tradable_balances.items(): for currency, balance in balances.items(): balances[currency] = decimal.Decimal(balance) return tradable_balances def margin_summary(self): """ portfolio.market.privatePostReturnMarginAccountSummary() Returns current informations for margin {'currentMargin': '1.49680968', -> marge (ne doit pas descendre sous 20% / 0.2) = netValue / totalBorrowedValue 'lendingFees': '0.00000000', -> fees totaux 'netValue': '0.01008254', -> balance + plus-value 'pl': '0.00008254', -> plus value latente (somme des positions) '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() return { "current_margin": decimal.Decimal(summary["currentMargin"]), "lending_fees": decimal.Decimal(summary["lendingFees"]), "gains": decimal.Decimal(summary["pl"]), "total_borrowed": decimal.Decimal(summary["totalBorrowedValue"]), "total": decimal.Decimal(summary["totalValue"]), }