def determine_maximum_volume_by_balance(pair_id, deal_type, volume, price,
balance):
"""
:param pair_id:
:param deal_type:
:param volume:
:param price:
:param balance:
:return: Decimal object representing exact volume
"""
base_currency_id, dst_currency_id = split_currency_pairs(pair_id)
if deal_type == DEAL_TYPE.SELL:
# What is maximum volume we can SELL at exchange
if not balance.do_we_have_enough(dst_currency_id, volume):
volume = balance.available_balance[dst_currency_id]
elif deal_type == DEAL_TYPE.BUY:
# what is maximum volume we can buy at exchange
if not balance.do_we_have_enough(base_currency_id, volume * price):
volume = (MAX_VOLUME_COEFFICIENT *
balance.available_balance[base_currency_id]) / price
else:
assert deal_type not in [DEAL_TYPE.BUY, DEAL_TYPE.SELL]
return volume
def compute_loss(trades_to_order_by_pair):
orders_by_arbitrage_id = defaultdict(list)
# 1 stage group by arbitrage id
for order, trades in trades_to_order_by_pair:
orders_by_arbitrage_id[order.arbitrage_id].append((order, trades))
orders_by_pair = defaultdict(list)
cnt = 0
for arbitrage_id in orders_by_arbitrage_id:
if len(orders_by_arbitrage_id[arbitrage_id]) != 1:
continue
order, trades_list = orders_by_arbitrage_id[arbitrage_id][0]
msg = "can't find pair order - {o}".format(o=order)
log_to_file(msg,
"missing_" + get_pair_name_by_id(order.pair_id) + ".txt")
cnt += 1
orders_by_pair[order.pair_id].append((order, trades_list))
loss_details = defaultdict(list)
loss_details_total = Counter()
for pair_id in orders_by_pair:
loss_by_coin, loss_by_base_coin = compute_loss_by_pair(
orders_by_pair[pair_id])
base_currency_id, dst_currency_id = split_currency_pairs(pair_id)
loss_details[base_currency_id].append(
LossDetails(base_currency_id, dst_currency_id, pair_id,
loss_by_coin, loss_by_base_coin))
loss_details_total[base_currency_id] += loss_by_base_coin
return loss_details, loss_details_total
def do_we_have_enough_by_pair(self, pair_id, exchange_id, volume, price):
# i.e. we are going to BUY volume of dst_currency by price
# using base_currency so we have to adjust volume
base_currency_id, dst_currency_id = split_currency_pairs(pair_id)
return self.do_we_have_enough(base_currency_id, exchange_id, volume * price)
def subtract_balance_by_pair(self, order_book, volume, price):
# i.e. we SELL dst_currency_id for src_currency_id
src_currency_id, dst_currency_id = split_currency_pairs(order_book.pair_id)
self.subtract_balance(dst_currency_id, order_book.exchange_id, volume)
self.add_balance(src_currency_id, order_book.exchange_id, volume * price) # <<<==== bitcoin!
self.update_time(order_book.exchange_id, order_book.timest)
def round_volume_by_huobi_rules(volume, pair_id):
pair_name = get_currency_pair_to_huobi(pair_id)
base_currency_id, dst_currency_id = split_currency_pairs(pair_id)
if pair_name in PRECISION_NUMBER[base_currency_id]:
return truncate_float(volume, PRECISION_NUMBER[base_currency_id][pair_name])
return volume
def compute_min_cap_from_ticker(pair_id, ticker):
min_price = DECIMAL_ZERO
if ticker is not None:
min_price = max(min_price, ticker.ask)
base_currency_id, dst_currency_id = split_currency_pairs(pair_id)
if min_price != DECIMAL_ZERO:
return MIN_VOLUME_COEFFICIENT[base_currency_id] / min_price
return DECIMAL_ZERO
def determine_minimum_volume(first_order_book, second_order_book,
balance_state):
"""
we are going to SELL something at first exchange
we are going to BUY something at second exchange using BASE_CURRENCY
This method determine maximum available volume of DST_CURRENCY on 1ST exchanges
This method determine maximum available volume according to amount of available BASE_CURRENCY on 2ND exchanges
:param first_order_book:
:param second_order_book:
:param balance_state:
:return: Decimal object representing exact number
"""
# 1st stage: What is minimum amount of volume according to order book
min_volume = min(first_order_book.bid[FIRST].volume,
second_order_book.ask[LAST].volume)
if min_volume <= 0:
msg = "determine_minimum_volume - something severely wrong - NEGATIVE min price: {pr}".format(
pr=min_volume)
print_to_console(msg, LOG_ALL_ERRORS)
log_to_file(msg, ERROR_LOG_FILE_NAME)
assert min_volume <= 0
base_currency_id, dst_currency_id = split_currency_pairs(
first_order_book.pair_id)
# 2nd stage: What is maximum volume we can SELL at first exchange
if not balance_state.do_we_have_enough(
dst_currency_id, first_order_book.exchange_id, min_volume):
min_volume = balance_state.get_available_volume_by_currency(
dst_currency_id, first_order_book.exchange_id)
# 3rd stage: what is maximum volume we can buy
if not balance_state.do_we_have_enough_by_pair(
first_order_book.pair_id, second_order_book.exchange_id,
min_volume, second_order_book.ask[LAST].price):
min_volume = (MAX_VOLUME_COEFFICIENT *
balance_state.get_available_volume_by_currency(
base_currency_id, second_order_book.exchange_id)
) / second_order_book.ask[LAST].price
return min_volume
def compute_new_min_cap_from_tickers(pair_id, tickers):
min_price = DECIMAL_ZERO
for ticker in tickers:
if ticker is not None:
try:
# FIXME NOTE: in case of errors we may get string with error instead of Ticker object
# need to fix process_async_to_list at ConnectionPool
min_price = max(min_price, ticker.ask)
except:
msg = "Msg bad ticker value = {}!".format(ticker)
log_to_file(msg, ERROR_LOG_FILE_NAME)
base_currency_id, dst_currency_id = split_currency_pairs(pair_id)
if min_price != DECIMAL_ZERO:
return MIN_VOLUME_COEFFICIENT[base_currency_id] / min_price
return DECIMAL_ZERO
def adjust_currency_balance(first_order_book, second_order_book, threshold,
balance_threshold, action_to_perform,
balance_state, deal_cap, type_of_deal, worker_pool,
msg_queue):
deal_status = STATUS.FAILURE, None
pair_id = first_order_book.pair_id
src_currency_id, dst_currency_id = split_currency_pairs(pair_id)
src_exchange_id = first_order_book.exchange_id
dst_exchange_id = second_order_book.exchange_id
if balance_state.is_there_disbalance(dst_currency_id, src_exchange_id, dst_exchange_id, balance_threshold) and \
is_no_pending_order(pair_id, src_exchange_id, dst_exchange_id):
max_volume = Decimal(0.5) * abs(
balance_state.get_available_volume_by_currency(
dst_currency_id, dst_exchange_id) - balance_state.
get_available_volume_by_currency(dst_currency_id, src_exchange_id))
# FIXME NOTE: side effect here
deal_cap.update_max_volume_cap(max_volume)
log_currency_disbalance_present(src_exchange_id, dst_exchange_id,
pair_id, dst_currency_id,
balance_threshold, max_volume,
threshold)
deal_status = search_for_arbitrage(first_order_book, second_order_book,
threshold, balance_threshold,
action_to_perform, balance_state,
deal_cap, type_of_deal, worker_pool,
msg_queue)
else:
log_currency_disbalance_heart_beat(src_exchange_id, dst_exchange_id,
dst_currency_id, balance_threshold)
return deal_status
def init_deals_with_logging_speedy(trade_pairs, difference, file_name,
processor, msg_queue):
# FIXME move after deal placement ?
global overall_profit_so_far
overall_profit_so_far += trade_pairs.current_profit
base_currency_id, dst_currency_id = split_currency_pairs(
trade_pairs.deal_1.pair_id)
msg = """We try to send following deals to exchange.
<b>Expected profit in {base_coin}:</b> <i>{cur}</i>.
<b>Overall:</b> <i>{tot}</i>
<b>Difference in percents:</b> <i>{diff}</i>
Deal details:
{deal}
""".format(base_coin=get_currency_name_by_id(base_currency_id),
cur=float_to_str(trade_pairs.current_profit),
tot=float_to_str(overall_profit_so_far),
diff=difference,
deal=str(trade_pairs))
msg_queue.add_message(DEAL_INFO_MSG, msg)
log_to_file(msg, file_name)
if not YES_I_KNOW_WHAT_AM_I_DOING:
die_hard("init_deals_with_logging_speedy called for {f}".format(
f=trade_pairs))
parallel_deals = []
for order in [trade_pairs.deal_1, trade_pairs.deal_2]:
method_for_url = dao.get_method_for_create_url_trade_by_exchange_id(
order)
# key, pair_name, price, amount
key = get_key_by_exchange(order.exchange_id)
pair_name = get_currency_pair_name_by_exchange_id(
order.pair_id, order.exchange_id)
post_details = method_for_url(key, pair_name, order.price,
order.volume)
constructor = return_with_no_change
wu = WorkUnit(post_details.final_url, constructor, order)
wu.add_post_details(post_details)
parallel_deals.append(wu)
res = processor.process_async_post(parallel_deals, DEAL_MAX_TIMEOUT)
if res is None:
log_to_file(
"For TradePair - {tp} result is {res}".format(tp=trade_pairs,
res=res), file_name)
log_to_file(
"For TradePair - {tp} result is {res}".format(tp=trade_pairs,
res=res),
ERROR_LOG_FILE_NAME)
return
# check for errors only
for entry in res:
json_response, order = entry
if "ERROR" in json_response:
msg = """ <b>ERROR: </b>NONE
During deal placement: {u1}
Details: {err_msg}
""".format(u1=order, err_msg=json_response)
msg_queue.add_order(FAILED_ORDERS_MSG, order)
else:
msg = """ For trade {trade}
Response is {resp} """.format(trade=order, resp=json_response)
print_to_console(msg, LOG_ALL_ERRORS)
msg_queue.add_message(DEBUG_INFO_MSG, msg)
log_to_file(msg, file_name)
for order in [trade_pairs.deal_1, trade_pairs.deal_2]:
msg_queue.add_order(ORDERS_MSG, order)
orders, history_trades = prepare_data(pg_conn, start_time, end_time)
missing_orders, failed_orders, orders_with_trades = group_trades_by_orders(
orders, history_trades)
# 2 stage - bucketing all that crap by pair_id
trades_to_order = defaultdict(list)
for order, trade_list in orders_with_trades:
trades_to_order[order.pair_id].append((order, trade_list))
total_profit_by_base = Counter()
profit_details = defaultdict(list)
for pair_id in trades_to_order:
profit_pair, profit_base = compute_profit_by_pair(
pair_id, trades_to_order[pair_id])
base_currency_id, dst_currency_id = split_currency_pairs(pair_id)
total_profit_by_base[base_currency_id] += profit_base
profit_details[base_currency_id].append(
ProfitDetails(base_currency_id, dst_currency_id, pair_id,
profit_pair, profit_base))
loss_details, total_loss_by_base = compute_loss(orders_with_trades)
save_report(start_time, end_time, total_profit_by_base, profit_details,
missing_orders, failed_orders, loss_details,
total_loss_by_base, orders, history_trades)
