import datetime from retry import retry from decimal import Decimal as D, ROUND_DOWN from ccxt import ExchangeError, InsufficientFunds, ExchangeNotAvailable, InvalidOrder, OrderNotCached, OrderNotFound, RequestTimeout, InvalidNonce class Computation: @staticmethod def eat_several(market): return lambda x, y: market.ccxt.fetch_nth_order_book(x["symbol"], y, 15) computations = { "default": lambda x, y: x[y], "average": lambda x, y: x["average"], "bid": lambda x, y: x["bid"], "ask": lambda x, y: x["ask"], } @classmethod def compute_value(cls, ticker, action, compute_value="default"): if action == "buy": action = "ask" if action == "sell": action = "bid" if isinstance(compute_value, str): compute_value = cls.computations[compute_value] return compute_value(ticker, action) class Amount: def __init__(self, currency, value, linked_to=None, ticker=None, rate=None): self.currency = currency self.value = D(value) self.linked_to = linked_to self.ticker = ticker self.rate = rate def in_currency(self, other_currency, market, rate=None, action=None, compute_value="average"): if other_currency == self.currency: return self if rate is not None: return Amount( other_currency, self.value * rate, linked_to=self, rate=rate) asset_ticker = market.get_ticker(self.currency, other_currency) if asset_ticker is not None: rate = Computation.compute_value(asset_ticker, action, compute_value=compute_value) return Amount( other_currency, self.value * rate, linked_to=self, ticker=asset_ticker, rate=rate) else: return Amount(other_currency, 0, linked_to=self, ticker=None, rate=0) def as_json(self): return { "currency": self.currency, "value": round(self).value.normalize(), } def __round__(self, n=8): return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN)) def __abs__(self): return Amount(self.currency, abs(self.value)) def __add__(self, other): if other == 0: return self if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") return Amount(self.currency, self.value + other.value) def __radd__(self, other): if other == 0: return self else: return self.__add__(other) def __sub__(self, other): if other == 0: return self if other.currency != self.currency and other.value * self.value != 0: raise Exception("Summing amounts must be done with same currencies") return Amount(self.currency, self.value - other.value) def __rsub__(self, other): if other == 0: return -self else: return -self.__sub__(other) def __mul__(self, value): if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be multiplied by numbers") return Amount(self.currency, self.value * value) def __rmul__(self, value): return self.__mul__(value) def __floordiv__(self, value): if not isinstance(value, (int, float, D)): raise TypeError("Amount may only be divided by numbers") return Amount(self.currency, self.value / value) def __truediv__(self, value): return self.__floordiv__(value) def __lt__(self, other): if other == 0: return self.value < 0 if self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") return self.value < other.value def __le__(self, other): return self == other or self < other def __gt__(self, other): return not self <= other def __ge__(self, other): return not self < other def __eq__(self, other): if other == 0: return self.value == 0 if self.currency != other.currency: raise Exception("Comparing amounts must be done with same currencies") return self.value == other.value def __ne__(self, other): return not self == other def __neg__(self): return Amount(self.currency, - self.value) def __str__(self): if self.linked_to is None: return "{:.8f} {}".format(self.value, self.currency) else: return "{:.8f} {} [{}]".format(self.value, self.currency, self.linked_to) def __repr__(self): if self.linked_to is None: return "Amount({:.8f} {})".format(self.value, self.currency) else: return "Amount({:.8f} {} -> {})".format(self.value, self.currency, repr(self.linked_to)) class Balance: base_keys = ["total", "exchange_total", "exchange_used", "exchange_free", "margin_total", "margin_in_position", "margin_available", "margin_borrowed", "margin_pending_gain"] def __init__(self, currency, hash_): self.currency = currency for key in self.base_keys: setattr(self, key, Amount(currency, hash_.get(key, 0))) self.margin_position_type = hash_.get("margin_position_type") if hash_.get("margin_borrowed_base_currency") is not None: base_currency = hash_["margin_borrowed_base_currency"] for key in [ "margin_liquidation_price", "margin_lending_fees", "margin_pending_base_gain", "margin_borrowed_base_price" ]: setattr(self, key, Amount(base_currency, hash_.get(key, 0))) def as_json(self): return dict(map(lambda x: (x, getattr(self, x).as_json()["value"]), self.base_keys)) def __repr__(self): if self.exchange_total > 0: if self.exchange_free > 0 and self.exchange_used > 0: exchange = " Exch: [✔{} + ❌{} = {}]".format(str(self.exchange_free), str(self.exchange_used), str(self.exchange_total)) elif self.exchange_free > 0: exchange = " Exch: [✔{}]".format(str(self.exchange_free)) else: exchange = " Exch: [❌{}]".format(str(self.exchange_used)) else: exchange = "" if self.margin_total > 0: if self.margin_available != 0 and self.margin_in_position != 0: margin = " Margin: [✔{} + ❌{} = {}]".format(str(self.margin_available), str(self.margin_in_position), str(self.margin_total)) elif self.margin_available != 0: margin = " Margin: [✔{}]".format(str(self.margin_available)) else: margin = " Margin: [❌{}]".format(str(self.margin_in_position)) elif self.margin_total < 0: margin = " Margin: [{} @@ {}/{}]".format(str(self.margin_total), str(self.margin_borrowed_base_price), str(self.margin_lending_fees)) else: margin = "" if self.margin_total != 0 and self.exchange_total != 0: total = " Total: [{}]".format(str(self.total)) else: total = "" return "Balance({}".format(self.currency) + "".join([exchange, margin, total]) + ")" class Trade: def __init__(self, value_from, value_to, currency, market): # We have value_from of currency, and want to finish with value_to of # that currency. value_* may not be in currency's terms self.currency = currency self.value_from = value_from self.value_to = value_to self.orders = [] self.market = market self.closed = False self.inverted = None assert self.value_from.value * self.value_to.value >= 0 assert self.value_from.currency == self.value_to.currency if self.value_from != 0: assert self.value_from.linked_to is not None and self.value_from.linked_to.currency == self.currency elif self.value_from.linked_to is None: self.value_from.linked_to = Amount(self.currency, 0) self.base_currency = self.value_from.currency @property def delta(self): return self.value_to - self.value_from @property def action(self): if self.value_from == self.value_to: return None if self.base_currency == self.currency: return None if abs(self.value_from) < abs(self.value_to): return "acquire" else: return "dispose" def order_action(self): if (self.value_from < self.value_to) != self.inverted: return "buy" else: return "sell" @property def trade_type(self): if self.value_from + self.value_to < 0: return "short" else: return "long" @property def pending(self): return not (self.is_fullfiled or self.closed) def close(self): for order in self.orders: order.cancel() self.closed = True @property def is_fullfiled(self): return abs(self.filled_amount(in_base_currency=(not self.inverted), refetch=True)) >= abs(self.delta) def filled_amount(self, in_base_currency=False, refetch=False): filled_amount = 0 for order in self.orders: filled_amount += order.filled_amount(in_base_currency=in_base_currency, refetch=refetch) return filled_amount tick_actions = { 0: ["waiting", None], 1: ["waiting", None], 2: ["adjusting", lambda x, y: (x[y] + x["average"]) / 2], 3: ["waiting", None], 4: ["waiting", None], 5: ["adjusting", lambda x, y: (x[y]*2 + x["average"]) / 3], 6: ["waiting", None], 7: ["market_fallback", "default"], } def tick_actions_recreate(self, tick, default="average"): return ([default] + \ [ y[1] for x, y in self.tick_actions.items() if x <= tick and y[1] is not None ])[-1] def update_order(self, order, tick): if tick in self.tick_actions: update, compute_value = self.tick_actions[tick] elif tick % 3 == 1: if tick < 20: update = "market_adjust" compute_value = "default" else: update = "market_adjust_eat" compute_value = Computation.eat_several(self.market) else: update = "waiting" compute_value = None if compute_value is not None: order.cancel() new_order = self.prepare_order(compute_value=compute_value) else: new_order = None self.market.report.log_order(order, tick, update=update, compute_value=compute_value, new_order=new_order) if new_order is not None: new_order.run() self.market.report.log_order(order, tick, new_order=new_order) def prepare_order(self, close_if_possible=None, compute_value="default"): if self.action is None: return None ticker = self.market.get_ticker(self.currency, self.base_currency) if ticker is None: self.market.report.log_error("prepare_order", message="Unknown ticker {}/{}".format(self.currency, self.base_currency)) return None self.inverted = ticker["inverted"] if self.inverted: ticker = ticker["original"] rate = Computation.compute_value(ticker, self.order_action(), compute_value=compute_value) delta_in_base = abs(self.delta) # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case) if not self.inverted: base_currency = self.base_currency # BTC if self.action == "dispose": filled = self.filled_amount(in_base_currency=False) delta = delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) # I have 10 BTC worth of FOO, and I want to sell 9 BTC # worth of it, computed first with rate 10 FOO = 1 BTC. # -> I "sell" "90" FOO at proposed rate "rate". delta = delta - filled # I already sold 60 FOO, 30 left else: filled = self.filled_amount(in_base_currency=True) delta = (delta_in_base - filled).in_currency(self.currency, self.market, rate=1/rate) # I want to buy 9 BTC worth of FOO, computed with rate # 10 FOO = 1 BTC # -> I "buy" "9 / rate" FOO at proposed rate "rate" # I already bought 3 / rate FOO, 6 / rate left else: base_currency = self.currency # FOO if self.action == "dispose": filled = self.filled_amount(in_base_currency=True) # Base is FOO delta = (delta_in_base.in_currency(self.currency, self.market, rate=1/self.value_from.rate) - filled).in_currency(self.base_currency, self.market, rate=1/rate) # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it # computed at rate 1 Foo = 0.01 BTC # Computation says I should sell it at 125 FOO / BTC # -> delta_in_base = 9 BTC # -> delta = (9 * 1/0.01 FOO) * 1/125 = 7.2 BTC # Action: "buy" "7.2 BTC" at rate "125" "FOO" on market # I already bought 300/125 BTC, only 600/125 left else: filled = self.filled_amount(in_base_currency=False) # Base is FOO delta = delta_in_base # I have 1 BTC worth of FOO, and I want to buy 9 BTC worth of it # At rate 100 Foo / BTC # Computation says I should buy it at 125 FOO / BTC # -> delta_in_base = 9 BTC # Action: "sell" "9 BTC" at rate "125" "FOO" on market delta = delta - filled # I already sold 4 BTC, only 5 left if close_if_possible is None: close_if_possible = (self.value_to == 0) if delta <= 0: self.market.report.log_error("prepare_order", message="Less to do than already filled: {}".format(delta)) return None order = Order(self.order_action(), delta, rate, base_currency, self.trade_type, self.market, self, close_if_possible=close_if_possible) self.orders.append(order) return order def as_json(self): return { "action": self.action, "from": self.value_from.as_json()["value"], "to": self.value_to.as_json()["value"], "currency": self.currency, "base_currency": self.base_currency, } def __repr__(self): if self.closed and not self.is_fullfiled: closed = " ❌" elif self.is_fullfiled: closed = " ✔" else: closed = "" return "Trade({} -> {} in {}, {}{})".format( self.value_from, self.value_to, self.currency, self.action, closed) def print_with_order(self, ind=""): self.market.report.print_log("{}{}".format(ind, self)) for order in self.orders: self.market.report.print_log("{}\t{}".format(ind, order)) for mouvement in order.mouvements: self.market.report.print_log("{}\t\t{}".format(ind, mouvement)) class RetryException(Exception): pass class Order: def __init__(self, action, amount, rate, base_currency, trade_type, market, trade, close_if_possible=False): self.action = action self.amount = amount self.rate = rate self.base_currency = base_currency self.market = market self.trade_type = trade_type self.results = [] self.mouvements = [] self.status = "pending" self.trade = trade self.close_if_possible = close_if_possible self.id = None self.tries = 0 self.start_date = None def as_json(self): return { "action": self.action, "trade_type": self.trade_type, "amount": self.amount.as_json()["value"], "currency": self.amount.as_json()["currency"], "base_currency": self.base_currency, "rate": self.rate, "status": self.status, "close_if_possible": self.close_if_possible, "id": self.id, "mouvements": list(map(lambda x: x.as_json(), self.mouvements)) } def __repr__(self): return "Order({} {} {} at {} {} [{}]{})".format( self.action, self.trade_type, self.amount, self.rate, self.base_currency, self.status, " ✂" if self.close_if_possible else "", ) @property def account(self): if self.trade_type == "long": return "exchange" else: return "margin" @property def open(self): return self.status == "open" @property def pending(self): return self.status == "pending" @property def finished(self): return self.status.startswith("closed") or self.status == "canceled" or self.status == "error" @retry((InsufficientFunds, RetryException, InvalidNonce)) def run(self): self.tries += 1 symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value action = "market.ccxt.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account) if self.market.debug: self.market.report.log_debug_action(action) self.results.append({"debug": True, "id": -1}) else: self.start_date = datetime.datetime.now() try: self.results.append(self.market.ccxt.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)) except InvalidOrder: # Impossible to honor the order (dust amount) self.status = "closed" self.mark_finished_order() return except InvalidNonce as e: if self.tries < 5: self.market.report.log_error(action, message="Retrying after invalid nonce", exception=e) raise e else: self.market.report.log_error(action, message="Giving up {} after invalid nonce".format(self), exception=e) self.status = "error" return except RequestTimeout as e: if not self.retrieve_order(): if self.tries < 5: self.market.report.log_error(action, message="Retrying after timeout", exception=e) # We make a specific call in case retrieve_order # would raise itself raise RetryException else: self.market.report.log_error(action, message="Giving up {} after timeouts".format(self), exception=e) self.status = "error" return else: self.market.report.log_error(action, message="Timeout, found the order") except InsufficientFunds as e: if self.tries < 5: self.market.report.log_error(action, message="Retrying with reduced amount", exception=e) self.amount = self.amount * D("0.99") raise e else: self.market.report.log_error(action, message="Giving up {}".format(self), exception=e) self.status = "error" return except Exception as e: self.status = "error" self.market.report.log_error(action, exception=e) return self.id = self.results[0]["id"] self.status = "open" def get_status(self): if self.market.debug: self.market.report.log_debug_action("Getting {} status".format(self)) return self.status # other states are "closed" and "canceled" if not self.finished: self.fetch() return self.status def mark_disappeared_order(self): if self.status.startswith("closed") and \ len(self.mouvements) > 0 and \ self.mouvements[-1].total_in_base == 0: self.status = "error_disappeared" def mark_finished_order(self): if self.status.startswith("closed") and self.market.debug: self.market.report.log_debug_action("Mark {} as finished".format(self)) return if self.status.startswith("closed"): if self.trade_type == "short" and self.action == "buy" and self.close_if_possible: self.market.ccxt.close_margin_position(self.amount.currency, self.base_currency) def fetch(self): if self.market.debug: self.market.report.log_debug_action("Fetching {}".format(self)) return try: result = self.market.ccxt.fetch_order(self.id) self.results.append(result) self.status = result["status"] # Time at which the order started self.timestamp = result["datetime"] except OrderNotCached: self.status = "closed_unknown" self.fetch_mouvements() self.mark_disappeared_order() self.mark_dust_amount_remaining_order() self.mark_finished_order() def mark_dust_amount_remaining_order(self): if self.status == "open" and self.market.ccxt.is_dust_trade(self.remaining_amount().value, self.rate): self.status = "closed_dust_remaining" def remaining_amount(self, refetch=False): return self.amount - self.filled_amount(refetch=refetch) def filled_amount(self, in_base_currency=False, refetch=False): if refetch and self.status == "open": self.fetch() filled_amount = 0 for mouvement in self.mouvements: if in_base_currency: filled_amount += mouvement.total_in_base else: filled_amount += mouvement.total return filled_amount def fetch_mouvements(self): try: mouvements = self.market.ccxt.privatePostReturnOrderTrades({"orderNumber": self.id}) except ExchangeError: mouvements = [] self.mouvements = [] for mouvement_hash in mouvements: self.mouvements.append(Mouvement(self.amount.currency, self.base_currency, mouvement_hash)) self.mouvements.sort(key= lambda x: x.date) def cancel(self): if self.market.debug: self.market.report.log_debug_action("Mark {} as cancelled".format(self)) self.status = "canceled" return if (self.status == "closed_dust_remaining" or self.open) and self.id is not None: try: self.market.ccxt.cancel_order(self.id) except OrderNotFound as e: # Closed inbetween self.market.report.log_error("cancel_order", message="Already cancelled order", exception=e) self.fetch() def retrieve_order(self): symbol = "{}/{}".format(self.amount.currency, self.base_currency) amount = round(self.amount, self.market.ccxt.order_precision(symbol)).value start_timestamp = self.start_date.timestamp() - 5 similar_open_orders = self.market.ccxt.fetch_orders(symbol=symbol, since=start_timestamp) for order in similar_open_orders: if (order["info"]["margin"] == 1 and self.account == "exchange") or\ (order["info"]["margin"] != 1 and self.account == "margin"): i_m_tested = True # coverage bug ?! continue if order["info"]["side"] != self.action: continue amount_diff = round( abs(D(order["info"]["startingAmount"]) - amount), self.market.ccxt.order_precision(symbol)) rate_diff = round( abs(D(order["info"]["rate"]) - self.rate), self.market.ccxt.order_precision(symbol)) if amount_diff != 0 or rate_diff != 0: continue self.results.append({"id": order["id"]}) return True similar_trades = self.market.ccxt.fetch_my_trades(symbol=symbol, since=start_timestamp) for order_id in sorted(list(map(lambda x: x["order"], similar_trades))): trades = list(filter(lambda x: x["order"] == order_id, similar_trades)) if any(x["timestamp"] < start_timestamp for x in trades): continue if any(x["side"] != self.action for x in trades): continue if any(x["info"]["category"] == "exchange" and self.account == "margin" for x in trades) or\ any(x["info"]["category"] == "marginTrade" and self.account == "exchange" for x in trades): continue trade_sum = sum(D(x["info"]["amount"]) for x in trades) amount_diff = round(abs(trade_sum - amount), self.market.ccxt.order_precision(symbol)) if amount_diff != 0: continue if (self.action == "sell" and any(D(x["info"]["rate"]) < self.rate for x in trades)) or\ (self.action == "buy" and any(D(x["info"]["rate"]) > self.rate for x in trades)): continue self.results.append({"id": order_id}) return True return False class Mouvement: def __init__(self, currency, base_currency, hash_): self.currency = currency self.base_currency = base_currency self.id = hash_.get("tradeID") self.action = hash_.get("type") self.fee_rate = D(hash_.get("fee", -1)) try: self.date = datetime.datetime.strptime(hash_.get("date", ""), '%Y-%m-%d %H:%M:%S') except ValueError: self.date = None self.rate = D(hash_.get("rate", 0)) self.total = Amount(currency, hash_.get("amount", 0)) # rate * total = total_in_base self.total_in_base = Amount(base_currency, hash_.get("total", 0)) def as_json(self): return { "fee_rate": self.fee_rate, "date": self.date, "action": self.action, "total": self.total.value, "currency": self.currency, "total_in_base": self.total_in_base.value, "base_currency": self.base_currency } def __repr__(self): if self.fee_rate > 0: fee_rate = " fee: {}%".format(self.fee_rate * 100) else: fee_rate = "" if self.date is None: date = "No date" else: date = self.date return "Mouvement({} ; {} {} ({}){})".format( date, self.action, self.total, self.total_in_base, fee_rate)