path: root/portfolio.py

import time
from datetime import datetime, timedelta
from decimal import Decimal as D, ROUND_DOWN
# Put your poloniex api key in market.py
from json import JSONDecodeError
from simplejson.errors import JSONDecodeError as SimpleJSONDecodeError
from ccxt import ExchangeError, ExchangeNotAvailable
import requests
import helper as h
from store import *

# FIXME: correctly handle web call timeouts

class Portfolio:
    URL = "https://cryptoportfolio.io/wp-content/uploads/portfolio/json/cryptoportfolio.json"
    liquidities = {}
    data = None
    last_date = None

    @classmethod
    def wait_for_recent(cls, delta=4):
        cls.repartition(refetch=True)
        while cls.last_date is None or datetime.now() - cls.last_date > timedelta(delta):
            time.sleep(30)
            cls.repartition(refetch=True)

    @classmethod
    def repartition(cls, liquidity="medium", refetch=False):
        cls.parse_cryptoportfolio(refetch=refetch)
        liquidities = cls.liquidities[liquidity]
        return liquidities[cls.last_date]

    @classmethod
    def get_cryptoportfolio(cls):
        try:
            r = requests.get(cls.URL)
            ReportStore.log_http_request(r.request.method,
                    r.request.url, r.request.body, r.request.headers, r)
        except Exception as e:
            ReportStore.log_error("get_cryptoportfolio", exception=e)
            return
        try:
            cls.data = r.json(parse_int=D, parse_float=D)
        except (JSONDecodeError, SimpleJSONDecodeError):
            cls.data = None

    @classmethod
    def parse_cryptoportfolio(cls, refetch=False):
        if refetch or cls.data is None:
            cls.get_cryptoportfolio()

        def filter_weights(weight_hash):
            if weight_hash[1][0] == 0:
                return False
            if weight_hash[0] == "_row":
                return False
            return True

        def clean_weights(i):
            def clean_weights_(h):
                if h[0].endswith("s"):
                    return [h[0][0:-1], (h[1][i], "short")]
                else:
                    return [h[0], (h[1][i], "long")]
            return clean_weights_

        def parse_weights(portfolio_hash):
            weights_hash = portfolio_hash["weights"]
            weights = {}
            for i in range(len(weights_hash["_row"])):
                date = datetime.strptime(weights_hash["_row"][i], "%Y-%m-%d")
                weights[date] = dict(filter(
                        filter_weights,
                        map(clean_weights(i), weights_hash.items())))
            return weights

        high_liquidity = parse_weights(cls.data["portfolio_1"])
        medium_liquidity = parse_weights(cls.data["portfolio_2"])

        cls.liquidities = {
                "medium": medium_liquidity,
                "high":   high_liquidity,
                }
        cls.last_date = max(max(medium_liquidity.keys()), max(high_liquidity.keys()))

class Computation:
    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 = h.get_ticker(self.currency, other_currency, market)
        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:
            raise Exception("This asset is not available in the chosen market")

    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_borrowed",
            "margin_free"]

    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_pending_gain",
                    "margin_lending_fees",
                    "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_free != 0 and self.margin_borrowed != 0:
                margin = " Margin: [✔{} + borrowed {} = {}]".format(str(self.margin_free), str(self.margin_borrowed), str(self.margin_total))
            elif self.margin_free != 0:
                margin = " Margin: [✔{}]".format(str(self.margin_free))
            else:
                margin = " Margin: [borrowed {}]".format(str(self.margin_borrowed))
        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=None):
        # 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
        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 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, inverted):
        if (self.value_from < self.value_to) != inverted:
            return "buy"
        else:
            return "sell"

    @property
    def trade_type(self):
        if self.value_from + self.value_to < 0:
            return "short"
        else:
            return "long"

    def filled_amount(self, in_base_currency=False):
        filled_amount = 0
        for order in self.orders:
            filled_amount += order.filled_amount(in_base_currency=in_base_currency)
        return filled_amount

    def update_order(self, order, tick):
        new_order = None
        if tick in [0, 1, 3, 4, 6]:
            update = "waiting"
            compute_value = None
        elif tick == 2:
            update = "adjusting"
            compute_value = 'lambda x, y: (x[y] + x["average"]) / 2'
            new_order = self.prepare_order(compute_value=lambda x, y: (x[y] + x["average"]) / 2)
        elif tick ==5:
            update = "adjusting"
            compute_value = 'lambda x, y: (x[y]*2 + x["average"]) / 3'
            new_order = self.prepare_order(compute_value=lambda x, y: (x[y]*2 + x["average"]) / 3)
        elif tick >= 7:
            if (tick - 7) % 3 == 0:
                new_order = self.prepare_order(compute_value="default")
                update = "market_adjust"
                compute_value = "default"
            else:
                update = "waiting"
                compute_value = None
            if tick == 7:
                update = "market_fallback"

        ReportStore.log_order(order, tick, update=update,
                compute_value=compute_value, new_order=new_order)

        if new_order is not None:
            order.cancel()
            new_order.run()
            ReportStore.log_order(order, tick, new_order=new_order)

    def prepare_order(self, compute_value="default"):
        if self.action is None:
            return None
        ticker = h.get_ticker(self.currency, self.base_currency, self.market)
        inverted = ticker["inverted"]
        if inverted:
            ticker = ticker["original"]
        rate = Computation.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)

        #TODO: store when the order is considered filled
        # FIXME: Dust amount should be removed from there if they werent
        # honored in other sales
        delta_in_base = abs(self.value_from - self.value_to)
        # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)

        if not 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

        close_if_possible = (self.value_to == 0)

        if delta <= 0:
            ReportStore.log_error("prepare_order", message="Less to do than already filled: {}".format(delta))
            return None

        order = Order(self.order_action(inverted),
            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):
        return "Trade({} -> {} in {}, {})".format(
                self.value_from,
                self.value_to,
                self.currency,
                self.action)

    def print_with_order(self, ind=""):
        ReportStore.print_log("{}{}".format(ind, self))
        for order in self.orders:
            ReportStore.print_log("{}\t{}".format(ind, order))
            for mouvement in order.mouvements:
                ReportStore.print_log("{}\t\t{}".format(ind, mouvement))

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.fetch_cache_timestamp = 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 == "closed" or self.status == "canceled" or self.status == "error"

    def run(self):
        symbol = "{}/{}".format(self.amount.currency, self.base_currency)
        amount = round(self.amount, self.market.order_precision(symbol)).value

        if TradeStore.debug:
            ReportStore.log_debug_action("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
                symbol, self.action, amount, self.rate, self.account))
            self.results.append({"debug": True, "id": -1})
        else:
            try:
                self.results.append(self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account))
            except ExchangeNotAvailable:
                # Impossible to honor the order (dust amount)
                self.status = "closed"
                self.mark_finished_order()
                return
            except Exception as e:
                self.status = "error"
                action = "market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(symbol, self.action, amount, self.rate, self.account)
                ReportStore.log_error(action, exception=e)
                return
        self.id = self.results[0]["id"]
        self.status = "open"

    def get_status(self):
        if TradeStore.debug:
            ReportStore.log_debug_action("Getting {} status".format(self))
            return self.status
        # other states are "closed" and "canceled"
        if not self.finished:
            self.fetch()
            if self.finished:
                self.mark_finished_order()
        return self.status

    def mark_finished_order(self):
        if TradeStore.debug:
            ReportStore.log_debug_action("Mark {} as finished".format(self))
            return
        if self.status == "closed":
            if self.trade_type == "short" and self.action == "buy" and self.close_if_possible:
                self.market.close_margin_position(self.amount.currency, self.base_currency)

    def fetch(self, force=False):
        if TradeStore.debug:
            ReportStore.log_debug_action("Fetching {}".format(self))
            return
        if (not force and self.fetch_cache_timestamp is not None
                and time.time() - self.fetch_cache_timestamp < 10):
            return
        self.fetch_cache_timestamp = time.time()

        result = self.market.fetch_order(self.id)
        self.results.append(result)

        self.status = result["status"]
        # Time at which the order started
        self.timestamp = result["datetime"]
        self.fetch_mouvements()

        # FIXME: consider open order with dust remaining as closed

    def dust_amount_remaining(self):
        return self.remaining_amount() < Amount(self.amount.currency, D("0.001"))

    def remaining_amount(self):
        if self.status == "open":
            self.fetch()
        return self.amount - self.filled_amount()

    def filled_amount(self, in_base_currency=False):
        if 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.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))

    def cancel(self):
        if TradeStore.debug:
            ReportStore.log_debug_action("Mark {} as cancelled".format(self))
            self.status = "canceled"
            return
        self.market.cancel_order(self.id)
        self.fetch()

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.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)

if __name__ == '__main__': # pragma: no cover
    from market import market
    h.print_orders(market)