def __init__(self, config, exchange, order_refresh_time=None):
super().__init__()
self.exchange = exchange
self.config = config
self.risk = None
self.set_risk(self.config[CONFIG_TRADING][CONFIG_TRADER_RISK])
# logging
self.trader_type_str = REAL_TRADER_STR
self.logger = get_logger(self.__class__.__name__)
if not hasattr(self, 'simulate'):
self.simulate = False
self.enable = self.enabled(self.config)
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(config, self)
self.order_manager = OrdersManager(config, self)
self.exchange.get_exchange_manager().register_trader(self)
self.notifier = EvaluatorNotification(self.config)
self.trading_modes = []
if order_refresh_time is not None:
self.order_manager.set_order_refresh_time(order_refresh_time)
def initialize_trader(self):
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(self.config, self)
self.order_manager = OrdersManager(self.config, self)
self.exchange.get_exchange_manager().register_trader(self)
self.notifier = EvaluatorNotification(self.config)
if self.order_refresh_time is not None:
self.order_manager.set_order_refresh_time(self.order_refresh_time)
async def get_holdings_ratio(trader, portfolio, currency):
pf_copy = deepcopy(portfolio.get_portfolio())
pf_value = await trader.get_trades_manager().update_portfolio_current_value(pf_copy)
currency_holdings = Portfolio.get_currency_from_given_portfolio(pf_copy, currency,
portfolio_type=Portfolio.TOTAL)
currency_value = await trader.get_trades_manager().evaluate_value(currency, currency_holdings)
return currency_value / pf_value if pf_value else 0
async def _init_origin_portfolio_and_currencies_value_from_previous_executions(
self, previous_state_manager):
try:
self.origin_crypto_currencies_values = \
previous_state_manager.get_previous_state(self.exchange, WATCHED_MARKETS_INITIAL_STARTUP_VALUES)
portfolio_key = SIMULATOR_INITIAL_STARTUP_PORTFOLIO if self.trader.simulate \
else REAL_INITIAL_STARTUP_PORTFOLIO
self.origin_portfolio = Portfolio.get_portfolio_from_amount_dict(
previous_state_manager.get_previous_state(
self.exchange, portfolio_key))
self.logger.info(
f"Resuming the previous trading session: using this initial portfolio as a "
f"profitability reference: {self.origin_portfolio}")
portfolio_origin_value_key = SIMULATOR_INITIAL_STARTUP_PORTFOLIO_VALUE if self.trader.simulate \
else REAL_INITIAL_STARTUP_PORTFOLIO_VALUE
self.portfolio_origin_value = \
previous_state_manager.get_previous_state(self.exchange, portfolio_origin_value_key)
except Exception as e:
self.logger.warning(
f"Error when loading trading history, will reset history. ({e})"
)
self.logger.exception(e)
previous_state_manager.reset_trading_history()
await self._init_origin_portfolio_and_currencies_value(
force_ignore_history=True)
def __init__(self, config, exchange):
self.exchange = exchange
self.config = config
self.risk = None
self.set_risk(self.config[CONFIG_TRADER][CONFIG_TRADER_RISK])
self.logger = logging.getLogger(self.__class__.__name__)
if not hasattr(self, 'simulate'):
self.simulate = False
self.enable = self.enabled(self.config)
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(config, self)
self.order_manager = OrdersManager(config, self)
if self.enable:
if not self.simulate:
self.update_open_orders()
# self.update_close_orders()
self.order_manager.start()
self.logger.debug("Enabled on " + self.exchange.get_name())
else:
self.logger.debug("Disabled on " + self.exchange.get_name())
async def test_get_portfolio_from_amount_dict(self):
assert Portfolio.get_portfolio_from_amount_dict({
"zyx": 10,
"BTC": 1
}) == {
'zyx': {
'available': 10,
'total': 10
},
'BTC': {
'available': 1,
'total': 1
}
}
assert Portfolio.get_portfolio_from_amount_dict({}) == {}
with pytest.raises(RuntimeError):
Portfolio.get_portfolio_from_amount_dict({"zyx": "10", "BTC": 1})
def init_default():
config = load_test_config()
exchange_manager = ExchangeManager(config, ccxt.binance, is_simulated=True)
exchange_inst = exchange_manager.get_exchange()
trader_inst = TraderSimulator(config, exchange_inst, 1)
portfolio_inst = Portfolio(config, trader_inst)
trader_inst.stop_order_manager()
sub_portfolio_inst = SubPortfolio(config, trader_inst, portfolio_inst, TestSubPortfolio.DEFAULT_PERCENT)
return config, portfolio_inst, exchange_inst, trader_inst, sub_portfolio_inst
def __init__(self, config, exchange):
self.exchange = exchange
self.config = config
self.risk = self.config[CONFIG_TRADER][CONFIG_TRADER_RISK]
self.logger = logging.getLogger(self.__class__.__name__)
self.simulate = False
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(config, self)
self.order_manager = OrdersManager(config, self)
self.order_manager.start()
# Debug
if self.enabled():
self.logger.debug("Enabled on " + self.exchange.get_name())
else:
self.logger.debug("Disabled on " + self.exchange.get_name())
async def init_default():
config = load_test_config()
exchange_manager = ExchangeManager(config,
ccxt.binance,
is_simulated=True)
await exchange_manager.initialize()
exchange_inst = exchange_manager.get_exchange()
trader_inst = TraderSimulator(config, exchange_inst, 1)
portfolio_inst = Portfolio(config, trader_inst)
await portfolio_inst.initialize()
trader_inst.stop_order_manager()
return config, portfolio_inst, exchange_inst, trader_inst
def __init__(self, config, exchange, order_refresh_time=None):
self.exchange = exchange
self.config = config
self.risk = None
self.set_risk(self.config[CONFIG_TRADING][CONFIG_TRADER_RISK])
# logging
self.trader_type_str = REAL_TRADER_STR
self.logger = get_logger(self.__class__.__name__)
if not hasattr(self, 'simulate'):
self.simulate = False
self.enable = self.enabled(self.config)
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(config, self)
self.order_manager = OrdersManager(config, self)
self.exchange.get_exchange_manager().register_trader(self)
if order_refresh_time is not None:
self.order_manager.set_order_refresh_time(order_refresh_time)
if self.enable:
if not self.simulate:
self.update_open_orders()
# self.update_close_orders()
# can current orders received: start using websocket for orders if available
self.exchange.get_exchange_personal_data().init_orders()
self.order_manager.start()
self.logger.debug(f"Enabled on {self.exchange.get_name()}")
else:
self.logger.debug(f"Disabled on {self.exchange.get_name()}")
class Trader(Initializable):
NO_HISTORY_MESSAGE = "Starting a fresh new trading session using the current portfolio as a profitability " \
"reference."
def __init__(self,
config,
exchange,
order_refresh_time=None,
previous_state_manager=None):
super().__init__()
self.exchange = exchange
self.config = config
self.risk = None
self.order_refresh_time = order_refresh_time
self.set_risk(self.config[CONFIG_TRADING][CONFIG_TRADER_RISK])
# logging
self.trader_type_str = REAL_TRADER_STR
self.logger = get_logger(
f"{self.__class__.__name__}[{self.exchange.get_name()}]")
self.previous_state_manager = previous_state_manager
self.loaded_previous_state = False
if not hasattr(self, 'simulate'):
self.simulate = False
self.enable = self.enabled(self.config)
self.order_manager = None
self.portfolio = None
self.trades_manager = None
self.notifier = None
self.trading_modes = []
if self.enable:
self.initialize_trader()
def initialize_trader(self):
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(self.config, self)
self.order_manager = OrdersManager(self.config, self)
self.exchange.get_exchange_manager().register_trader(self)
self.notifier = EvaluatorNotification(self.config)
if self.order_refresh_time is not None:
self.order_manager.set_order_refresh_time(self.order_refresh_time)
async def initialize_impl(self):
if self.enable:
if self.previous_state_manager is not None:
self.load_previous_state_if_any()
try:
await self.portfolio.initialize()
await self.trades_manager.initialize()
except Exception as e:
self.enable = False
self.logger.error(
f"Error when initializing portfolio: {e}. "
f"{self.exchange.get_name()} trader disabled.")
self.logger.exception(e)
if backtesting_enabled(self.config):
raise e
def load_previous_state_if_any(self):
# unused for real trader yet
pass
async def launch(self):
if self.enable:
if not self.simulate:
await self.update_open_orders()
# self.update_close_orders()
# can receive current orders updates: start using websocket for orders if available
self.exchange.get_exchange_personal_data().init_orders()
self.logger.debug(f"Enabled on {self.exchange.get_name()}")
else:
self.logger.debug(f"Disabled on {self.exchange.get_name()}")
@staticmethod
def enabled(config):
return ConfigManager.get_trader_enabled(config)
def is_enabled(self):
return self.enable
def set_enabled(self, enable):
self.enable = enable
def get_risk(self):
return self.risk
def set_risk(self, risk):
if risk < CONFIG_TRADER_RISK_MIN:
self.risk = CONFIG_TRADER_RISK_MIN
elif risk > CONFIG_TRADER_RISK_MAX:
self.risk = CONFIG_TRADER_RISK_MAX
else:
self.risk = risk
return self.risk
def get_exchange(self):
return self.exchange
def get_portfolio(self):
return self.portfolio
def get_order_portfolio(self, order):
return order.linked_portfolio if order.linked_portfolio is not None else self.portfolio
def create_order_instance(self,
order_type,
symbol,
current_price,
quantity,
price=None,
stop_price=None,
linked_to=None,
status=None,
order_id=None,
quantity_filled=None,
timestamp=None,
linked_portfolio=None):
# create new order instance
order_class = OrderConstants.TraderOrderTypeClasses[order_type]
order = order_class(self)
# manage order notifier
if linked_to is None:
order_notifier = OrderNotifier(self.config, order)
else:
order_notifier = linked_to.get_order_notifier()
order.new(order_type=order_type,
symbol=symbol,
current_price=current_price,
quantity=quantity,
price=price,
stop_price=stop_price,
order_notifier=order_notifier,
order_id=order_id,
status=status,
quantity_filled=quantity_filled,
timestamp=timestamp,
linked_to=linked_to,
linked_portfolio=linked_portfolio)
return order
async def create_order(self, order, portfolio, loaded=False):
linked_order = None
new_order = order
is_to_keep = True
is_already_in_history = False
# if this order is linked to another (ex : a sell limit order with a stop loss order)
if new_order.linked_to is not None:
new_order.linked_to.add_linked_order(new_order)
linked_order = new_order.linked_to
if not loaded:
new_order = await self._create_not_loaded_order(
order, new_order, portfolio)
title = "Order creation"
else:
new_order.set_is_from_this_octobot(False)
title = "Order loaded"
is_already_in_history = self.trades_manager.is_in_history(
new_order)
if is_already_in_history or \
(new_order.get_status() != OrderStatus.OPEN and
new_order.get_status() != OrderStatus.PARTIALLY_FILLED):
is_to_keep = False
self.logger.info(
f"{title} : {new_order.get_string_info()} "
f"{'' if is_to_keep else ': will be archived in trades history if not already'}"
)
if is_to_keep:
# notify order manager of a new open order
self.order_manager.add_order_to_list(new_order)
elif not is_already_in_history:
self.trades_manager.add_new_trade_in_history(
Trade(self.exchange, new_order))
# if this order is linked to another
if linked_order is not None:
new_order.add_linked_order(linked_order)
return new_order
async def create_artificial_order(self, order_type, symbol, current_price,
quantity, price, linked_portfolio):
order = self.create_order_instance(order_type=order_type,
symbol=symbol,
current_price=current_price,
quantity=quantity,
price=price,
linked_portfolio=linked_portfolio)
async with self.get_portfolio().get_lock():
await self.create_order(order, self.get_portfolio())
async def _create_not_loaded_order(self, order, new_order,
portfolio) -> Order:
if not self.simulate and not self.check_if_self_managed(
new_order.get_order_type()):
created_order = await self.exchange.create_order(
new_order.get_order_type(), new_order.get_order_symbol(),
new_order.get_origin_quantity(), new_order.get_origin_price(),
new_order.origin_stop_price)
self.logger.info(
f"Created order on {self.exchange.get_name()}: {created_order}"
)
# get real order from exchange
new_order = self.parse_exchange_order_to_order_instance(
created_order)
# rebind order notifier and linked portfolio to new order instance
new_order.order_notifier = order.get_order_notifier()
new_order.get_order_notifier().set_order(new_order)
new_order.linked_portfolio = portfolio
# update the availability of the currency in the portfolio
portfolio.update_portfolio_available(new_order, is_new_order=True)
return new_order
async def cancel_order(self, order):
if not order.is_cancelled() and not order.is_filled():
async with order.get_lock():
odr = order
await odr.cancel_order()
self.logger.info(
f"{odr.get_order_symbol()} {odr.get_name()} at {odr.get_origin_price()}"
f" (ID : {odr.get_id()}) cancelled on {self.get_exchange().get_name()}"
)
self.order_manager.remove_order_from_list(order)
async def cancel_orders_using_description(self, order_descriptions):
# use a copy of the list (not the reference)
orders_list_copy = copy.copy(self.get_open_orders())
removed_count = 0
for order_desc in order_descriptions:
for order in orders_list_copy:
if order.matches_description(order_desc):
await self.cancel_order(order)
removed_count += 1
return removed_count
# Should be called only if we want to cancel all symbol open orders (no filled)
async def cancel_open_orders(self, symbol, cancel_loaded_orders=True):
# use a copy of the list (not the reference)
for order in copy.copy(self.get_open_orders()):
if order.get_order_symbol() == symbol and order.get_status(
) is not OrderStatus.CANCELED:
if cancel_loaded_orders or order.get_is_from_this_octobot():
await self.notify_order_close(order, True)
async def cancel_all_open_orders_with_currency(self, currency):
symbols = ConfigManager.get_pairs(self.config, currency)
if symbols:
for symbol in symbols:
await self.cancel_open_orders(symbol)
async def cancel_all_open_orders(self):
# use a copy of the list (not the reference)
for order in copy.copy(self.get_open_orders()):
if order.get_status() is not OrderStatus.CANCELED:
await self.notify_order_close(order, True)
async def sell_everything(self, symbol, inverted):
created_orders = []
order_type = TraderOrderType.BUY_MARKET if inverted else TraderOrderType.SELL_MARKET
async with self.portfolio.get_lock():
current_symbol_holding, current_market_quantity, _, price, symbol_market = \
await AbstractTradingModeCreator.get_pre_order_data(self.exchange, symbol, self.portfolio)
if inverted:
if price > 0:
quantity = current_market_quantity / price
else:
quantity = 0
else:
quantity = current_symbol_holding
for order_quantity, order_price in AbstractTradingModeCreator.\
check_and_adapt_order_details_if_necessary(quantity, price, symbol_market):
current_order = self.create_order_instance(
order_type=order_type,
symbol=symbol,
current_price=order_price,
quantity=order_quantity,
price=order_price)
created_orders.append(await self.create_order(
current_order, self.portfolio))
return created_orders
async def sell_all(self, currency):
orders = []
if currency in self.portfolio.get_portfolio():
symbol, inverted = ConfigManager.get_market_pair(
self.config, currency)
if symbol:
orders += await self.sell_everything(symbol, inverted)
await AbstractTradingModeDecider.push_order_notification_if_possible(
orders, self.notifier)
return orders
async def sell_all_currencies(self):
orders = []
for currency in self.portfolio.get_portfolio():
symbol, inverted = ConfigManager.get_market_pair(
self.config, currency)
if symbol:
orders += await self.sell_everything(symbol, inverted)
await AbstractTradingModeDecider.push_order_notification_if_possible(
orders, self.notifier)
return orders
async def notify_order_cancel(self, order):
# update portfolio with ended order
async with self.get_order_portfolio(order).get_lock():
self.get_order_portfolio(order).update_portfolio_available(
order, is_new_order=False)
async def notify_order_close(self,
order,
cancel=False,
cancel_linked_only=False):
# Cancel linked orders
for linked_order in order.get_linked_orders():
await self.cancel_order(linked_order)
# If need to cancel the order call the method and no need to update the portfolio (only availability)
if cancel:
order_closed = None
orders_canceled = order.get_linked_orders() + [order]
await self.cancel_order(order)
_, profitability_percent, profitability_diff = self.get_trades_manager(
).get_profitability_without_update()
elif cancel_linked_only:
order_closed = None
orders_canceled = order.get_linked_orders()
_, profitability_percent, profitability_diff = self.get_trades_manager(
).get_profitability_without_update()
else:
order_closed = order
orders_canceled = order.get_linked_orders()
# update portfolio with ended order
async with self.get_order_portfolio(order).get_lock():
await self.get_order_portfolio(order).update_portfolio(order)
profitability, profitability_percent, profitability_diff, _, _ = \
await self.get_trades_manager().get_profitability()
# debug purpose
profitability_str = PrettyPrinter.portfolio_profitability_pretty_print(
profitability, profitability_percent,
self.get_reference_market())
self.logger.debug(
f"Current portfolio profitability : {profitability_str}")
# add to trade history
self.trades_manager.add_new_trade_in_history(
Trade(self.exchange, order))
# remove order to open_orders
self.order_manager.remove_order_from_list(order)
profitability_activated = order_closed is not None
# update current order list with exchange
if not self.simulate:
await self.update_open_orders(order.get_order_symbol())
# notification
await order.get_order_notifier().end(order_closed, orders_canceled,
order.get_profitability(),
profitability_percent,
profitability_diff,
profitability_activated)
def get_reference_market(self):
return self.get_trades_manager().get_reference()
def get_open_orders(self, symbol=None):
if symbol is None:
return self.order_manager.get_open_orders()
else:
return [
o for o in self.order_manager.get_open_orders()
if o.get_order_symbol() == symbol
]
def get_recently_closed_orders(self, symbol):
return [
o for o in self.order_manager.get_recently_closed_orders()
if o.get_order_symbol() == symbol
]
def update_close_orders(self):
for symbol in self.exchange.get_exchange_manager().get_traded_pairs():
for close_order in self.exchange.get_closed_orders(symbol):
self.parse_exchange_order_to_trade_instance(
close_order, Order(self))
async def update_open_orders(self, symbol=None):
if symbol:
symbols = [symbol]
else:
symbols = self.exchange.get_exchange_manager().get_traded_pairs()
# get orders from exchange for the specified symbols
for symbol_traded in symbols:
orders = await self.exchange.get_open_orders(symbol=symbol_traded,
force_rest=True)
for open_order in orders:
order = self.parse_exchange_order_to_order_instance(open_order)
if self.order_manager.should_add_order(order):
async with self.portfolio.get_lock():
await self.create_order(order, self.portfolio, True)
async def force_refresh_orders_and_portfolio(self,
portfolio=None,
delete_desync_orders=True):
await self.exchange.reset_web_sockets_if_any()
await self.force_refresh_orders(
portfolio, delete_desync_orders=delete_desync_orders)
await self.force_refresh_portfolio(portfolio)
async def force_refresh_portfolio(self, portfolio=None):
if not self.simulate:
self.logger.info(
f"Triggered forced {self.exchange.get_name()} trader portfolio refresh"
)
if portfolio:
await portfolio.update_portfolio_balance()
else:
async with self.portfolio.get_lock():
await self.portfolio.update_portfolio_balance()
async def force_refresh_orders(self,
portfolio=None,
delete_desync_orders=True):
# useless in simulation mode
if not self.simulate:
self.logger.info(
f"Triggered forced {self.exchange.get_name()} trader orders refresh"
)
symbols = self.exchange.get_exchange_manager().get_traded_pairs()
added_orders = 0
removed_orders = 0
# get orders from exchange for the specified symbols
for symbol_traded in symbols:
orders = await self.exchange.get_open_orders(
symbol=symbol_traded, force_rest=True)
# create missing orders
for open_order in orders:
# do something only if order not already in list
if not self.order_manager.has_order_id_in_list(
open_order["id"]):
order = self.parse_exchange_order_to_order_instance(
open_order)
if portfolio:
await self.create_order(order, portfolio, True)
else:
async with self.portfolio.get_lock():
await self.create_order(
order, self.portfolio, True)
added_orders += 1
if delete_desync_orders:
# remove orders that are not online anymore
order_ids = [o["id"] for o in orders]
for symbol_order in self.order_manager.get_orders_with_symbol(
symbol_traded):
if symbol_order.get_id() not in order_ids:
# remove order from order manager
self.order_manager.remove_order_from_list(
symbol_order)
removed_orders += 1
self.logger.info(
f"Orders refreshed: added {added_orders} order(s) and removed {removed_orders} order(s)"
)
def parse_exchange_order_to_order_instance(self, order):
return self.create_order_instance(
order_type=self.parse_order_type(order),
symbol=order["symbol"],
current_price=0,
quantity=order["amount"],
stop_price=None,
linked_to=None,
quantity_filled=order["filled"],
order_id=order["id"],
status=self.parse_status(order),
price=order["price"],
timestamp=order["timestamp"])
@staticmethod
def update_order_with_exchange_order(exchange_order, order):
order.status = Trader.parse_status(exchange_order)
order.total_cost = exchange_order[
ExchangeConstantsOrderColumns.COST.value]
order.filled_quantity = exchange_order[
ExchangeConstantsOrderColumns.FILLED.value]
order.filled_price = exchange_order[
ExchangeConstantsOrderColumns.PRICE.value]
if not order.filled_price and order.filled_quantity:
order.filled_price = order.total_cost / order.filled_quantity
order.taker_or_maker = Trader._parse_type(exchange_order)
order.fee = exchange_order[ExchangeConstantsOrderColumns.FEE.value]
if order.fee is None:
order.fee = order.get_computed_fee()
order.executed_time = order.trader.exchange.get_uniform_timestamp(
exchange_order[ExchangeConstantsOrderColumns.TIMESTAMP.value])
@staticmethod
def _parse_type(exchange_order):
if ExchangeConstantsOrderColumns.TYPE.value in exchange_order:
order_type = exchange_order[
ExchangeConstantsOrderColumns.TYPE.value]
if order_type == ExchangeConstantsOrderColumns.MAKER:
return ExchangeConstantsMarketPropertyColumns.MAKER.value
else:
return ExchangeConstantsMarketPropertyColumns.TAKER.value
def parse_exchange_order_to_trade_instance(self, exchange_order, order):
self.update_order_with_exchange_order(exchange_order, order)
@staticmethod
def parse_status(order):
return OrderStatus(order["status"])
@staticmethod
def parse_order_type(order):
side = TradeOrderSide(order["side"])
order_type = TradeOrderType(order["type"])
if side == TradeOrderSide.BUY:
if order_type == TradeOrderType.LIMIT:
return TraderOrderType.BUY_LIMIT
elif order_type == TradeOrderType.MARKET:
return TraderOrderType.BUY_MARKET
elif side == TradeOrderSide.SELL:
if order_type == TradeOrderType.LIMIT:
return TraderOrderType.SELL_LIMIT
elif order_type == TradeOrderType.MARKET:
return TraderOrderType.SELL_MARKET
def register_trading_mode(self, trading_mode):
self.trading_modes.append(trading_mode)
async def call_order_update_callback(self, order):
for trading_mode in self.trading_modes:
await trading_mode.order_update_callback(order)
def get_order_manager(self):
return self.order_manager
def get_trades_manager(self):
return self.trades_manager
def stop_order_manager(self):
self.order_manager.stop()
async def start_order_manager(self):
if not backtesting_enabled(self.config):
await self.order_manager.poll_update()
def get_simulate(self):
return self.simulate
def get_previous_state_manager(self):
return self.previous_state_manager
def get_loaded_previous_state(self):
return self.loaded_previous_state
@staticmethod
def check_if_self_managed(order_type):
# stop losses and take profits are self managed by the bot
if order_type in [
TraderOrderType.TAKE_PROFIT, TraderOrderType.TAKE_PROFIT_LIMIT,
TraderOrderType.STOP_LOSS, TraderOrderType.STOP_LOSS_LIMIT
]:
return True
return False
class Trader:
def __init__(self, config, exchange):
self.exchange = exchange
self.config = config
self.risk = self.config[CONFIG_TRADER][CONFIG_TRADER_RISK]
self.logger = logging.getLogger(self.__class__.__name__)
self.simulate = False
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(config, self)
self.order_manager = OrdersManager(config, self)
self.order_manager.start()
# Debug
if self.enabled():
self.logger.debug("Enabled on " + self.exchange.get_name())
else:
self.logger.debug("Disabled on " + self.exchange.get_name())
def enabled(self):
if self.config[CONFIG_TRADER][CONFIG_ENABLED_OPTION]:
return True
else:
return False
def get_risk(self):
if self.risk < CONFIG_TRADER_RISK_MIN:
self.risk = CONFIG_TRADER_RISK_MIN
return self.risk
def get_exchange(self):
return self.exchange
def get_portfolio(self):
return self.portfolio
def create_order(self,
order_type,
symbol,
quantity,
price=None,
stop_price=None):
# update_portfolio_available
#
# if linked_to is not None:
# linked_to.add_linked_order(order)
# order.add_linked_order(linked_to)
pass
def notify_order_cancel(self, order):
# update portfolio with ended order
self.portfolio.update_portfolio_available(order, False)
def notify_order_close(self, order):
# Cancel linked orders
for linked_order in order.get_linked_orders():
linked_order.cancel_order()
self.order_manager.remove_order_from_list(linked_order)
# update portfolio with ended order
self.portfolio.update_portfolio_available(order, False)
_, profitability_percent, profitability_diff = self.portfolio.update_portfolio(
order)
# add to trade history
self.trades_manager.add_new_trade(Trade(self.exchange, order))
# remove order to open_orders
self.order_manager.remove_order_from_list(order)
# notification
order.get_order_notifier().end(order, order.get_linked_orders(),
profitability_diff,
profitability_percent)
def get_open_orders(self):
return self.order_manager.get_open_orders()
def close_open_orders(self):
pass
def update_open_orders(self):
# see exchange
# -> update order manager
pass
def get_order_manager(self):
return self.order_manager
def get_trades_manager(self):
return self.trades_manager
def stop_order_manager(self):
self.order_manager.stop()
def join_order_listeners(self):
self.order_manager.join()
def init_default():
config = load_test_config()
exchange_inst = ExchangeSimulator(config, ccxt.binance)
trader_inst = TraderSimulator(config, exchange_inst)
portfolio_inst = Portfolio(config, trader_inst)
return config, portfolio_inst, exchange_inst, trader_inst
class Trader(Initializable):
def __init__(self, config, exchange, order_refresh_time=None):
super().__init__()
self.exchange = exchange
self.config = config
self.risk = None
self.set_risk(self.config[CONFIG_TRADING][CONFIG_TRADER_RISK])
# logging
self.trader_type_str = REAL_TRADER_STR
self.logger = get_logger(self.__class__.__name__)
if not hasattr(self, 'simulate'):
self.simulate = False
self.enable = self.enabled(self.config)
self.portfolio = Portfolio(self.config, self)
self.trades_manager = TradesManager(config, self)
self.order_manager = OrdersManager(config, self)
self.exchange.get_exchange_manager().register_trader(self)
if order_refresh_time is not None:
self.order_manager.set_order_refresh_time(order_refresh_time)
async def initialize_impl(self):
await self.portfolio.initialize()
await self.trades_manager.initialize()
async def launch(self):
if self.enable:
if not self.simulate:
await self.update_open_orders()
# self.update_close_orders()
# can current orders received: start using websocket for orders if available
self.exchange.get_exchange_personal_data().init_orders()
await self.start_order_manager()
self.logger.debug(f"Enabled on {self.exchange.get_name()}")
else:
self.logger.debug(f"Disabled on {self.exchange.get_name()}")
@staticmethod
def enabled(config):
return config[CONFIG_TRADER][CONFIG_ENABLED_OPTION]
def is_enabled(self):
return self.enable
def set_enabled(self, enable):
self.enable = enable
def get_risk(self):
return self.risk
def set_risk(self, risk):
if risk < CONFIG_TRADER_RISK_MIN:
self.risk = CONFIG_TRADER_RISK_MIN
elif risk > CONFIG_TRADER_RISK_MAX:
self.risk = CONFIG_TRADER_RISK_MAX
else:
self.risk = risk
def get_exchange(self):
return self.exchange
def get_portfolio(self):
return self.portfolio
def get_order_portfolio(self, order):
return order.get_linked_portfolio() if order.get_linked_portfolio() is not None else self.portfolio
def create_order_instance(self, order_type, symbol, current_price, quantity,
price=None,
stop_price=None,
linked_to=None,
status=None,
order_id=None,
quantity_filled=None,
timestamp=None,
linked_portfolio=None):
# create new order instance
order_class = OrderConstants.TraderOrderTypeClasses[order_type]
order = order_class(self)
# manage order notifier
if linked_to is None:
order_notifier = OrderNotifier(self.config, order)
else:
order_notifier = linked_to.get_order_notifier()
order.new(order_type=order_type,
symbol=symbol,
current_price=current_price,
quantity=quantity,
price=price,
stop_price=stop_price,
order_notifier=order_notifier,
order_id=order_id,
status=status,
quantity_filled=quantity_filled,
timestamp=timestamp,
linked_to=linked_to,
linked_portfolio=linked_portfolio)
return order
async def create_order(self, order, portfolio, loaded=False):
linked_to = None
new_order = order
is_to_keep = True
is_already_in_history = False
# if this order is linked to another (ex : a sell limit order with a stop loss order)
if new_order.linked_to is not None:
new_order.linked_to.add_linked_order(new_order)
linked_to = new_order.linked_to
if not loaded:
new_order = await self._create_not_loaded_order(order, new_order, portfolio)
title = "Order creation"
else:
new_order.set_is_from_this_octobot(False)
title = "Order loaded"
is_already_in_history = self.trades_manager.is_in_history(new_order)
if is_already_in_history or \
(new_order.get_status() != OrderStatus.OPEN and
new_order.get_status() != OrderStatus.PARTIALLY_FILLED):
is_to_keep = False
self.logger.info(f"{title} : {new_order.get_string_info()} "
f"{'' if is_to_keep else ': will be archived in trades history if not already'}")
if is_to_keep:
# notify order manager of a new open order
self.order_manager.add_order_to_list(new_order)
elif not is_already_in_history:
self.trades_manager.add_new_trade_in_history(Trade(self.exchange, new_order))
# if this order is linked to another
if linked_to is not None:
new_order.add_linked_order(linked_to)
return new_order
async def create_artificial_order(self, order_type, symbol, current_price, quantity, price, linked_portfolio):
market_sell = self.create_order_instance(order_type=order_type,
symbol=symbol,
current_price=current_price,
quantity=quantity,
price=price,
linked_portfolio=linked_portfolio)
async with self.get_portfolio().get_lock():
await self.create_order(market_sell, self.get_portfolio())
async def _create_not_loaded_order(self, order, new_order, portfolio) -> Order:
if not self.simulate and not self.check_if_self_managed(new_order.get_order_type()):
created_order = await self.exchange.create_order(new_order.get_order_type(),
new_order.get_order_symbol(),
new_order.get_origin_quantity(),
new_order.get_origin_price(),
new_order.origin_stop_price)
# get real order from exchange
new_order = self.parse_exchange_order_to_order_instance(created_order)
# rebind order notifier and linked portfolio to new order instance
new_order.order_notifier = order.get_order_notifier()
new_order.get_order_notifier().set_order(new_order)
new_order.linked_portfolio = portfolio
# update the availability of the currency in the portfolio
portfolio.update_portfolio_available(new_order, is_new_order=True)
return new_order
async def cancel_order(self, order):
if not order.is_cancelled() and not order.is_filled():
async with order.get_lock():
odr = order
await odr.cancel_order()
self.logger.info(f"{odr.get_order_symbol()} {odr.get_name()} at {odr.get_origin_price()}"
f" (ID : {odr.get_id()}) cancelled on {self.get_exchange().get_name()}")
self.order_manager.remove_order_from_list(order)
# Should be called only if we want to cancel all symbol open orders (no filled)
async def cancel_open_orders(self, symbol, cancel_loaded_orders=True):
# use a copy of the list (not the reference)
for order in copy.copy(self.get_open_orders()):
if order.get_order_symbol() == symbol and order.get_status() is not OrderStatus.CANCELED:
if cancel_loaded_orders or order.get_is_from_this_octobot():
await self.notify_order_close(order, True)
async def cancel_all_open_orders(self):
# use a copy of the list (not the reference)
for order in copy.copy(self.get_open_orders()):
if order.get_status() is not OrderStatus.CANCELED:
await self.notify_order_close(order, True)
async def notify_order_cancel(self, order):
# update portfolio with ended order
async with self.get_order_portfolio(order).get_lock():
self.get_order_portfolio(order).update_portfolio_available(order, is_new_order=False)
async def notify_order_close(self, order, cancel=False, cancel_linked_only=False):
# Cancel linked orders
for linked_order in order.get_linked_orders():
await self.cancel_order(linked_order)
# If need to cancel the order call the method and no need to update the portfolio (only availability)
if cancel:
order_closed = None
orders_canceled = order.get_linked_orders() + [order]
await self.cancel_order(order)
_, profitability_percent, profitability_diff = self.get_trades_manager().get_profitability_without_update()
elif cancel_linked_only:
order_closed = None
orders_canceled = order.get_linked_orders()
_, profitability_percent, profitability_diff = self.get_trades_manager().get_profitability_without_update()
else:
order_closed = order
orders_canceled = order.get_linked_orders()
# update portfolio with ended order
async with self.get_order_portfolio(order).get_lock():
await self.get_order_portfolio(order).update_portfolio(order)
profitability, profitability_percent, profitability_diff, _, _ = \
await self.get_trades_manager().get_profitability()
# debug purpose
profitability_str = PrettyPrinter.portfolio_profitability_pretty_print(profitability,
profitability_percent,
self.get_trades_manager().
get_reference())
self.logger.debug(f"Current portfolio profitability : {profitability_str}")
# add to trade history
self.trades_manager.add_new_trade_in_history(Trade(self.exchange, order))
# remove order to open_orders
self.order_manager.remove_order_from_list(order)
profitability_activated = order_closed is not None
# update current order list with exchange
if not self.simulate:
await self.update_open_orders(order.get_order_symbol())
# notification
await order.get_order_notifier().end(order_closed,
orders_canceled,
order.get_profitability(),
profitability_percent,
profitability_diff,
profitability_activated)
def get_open_orders(self):
return self.order_manager.get_open_orders()
def update_close_orders(self):
for symbol in self.exchange.get_exchange_manager().get_traded_pairs():
for close_order in self.exchange.get_closed_orders(symbol):
self.parse_exchange_order_to_trade_instance(close_order, Order(self))
async def update_open_orders(self, symbol=None):
if symbol:
symbols = [symbol]
else:
symbols = self.exchange.get_exchange_manager().get_traded_pairs()
# get orders from exchange for the specified symbols
for symbol_traded in symbols:
orders = await self.exchange.get_open_orders(symbol=symbol_traded, force_rest=True)
for open_order in orders:
order = self.parse_exchange_order_to_order_instance(open_order)
async with self.portfolio.get_lock():
await self.create_order(order, self.portfolio, True)
async def force_refresh_portfolio(self, portfolio=None):
if not self.simulate:
self.logger.info(f"Triggered forced {self.exchange.get_name()} trader portfolio refresh")
if portfolio:
await portfolio.update_portfolio_balance()
else:
async with self.portfolio.get_lock():
await self.portfolio.update_portfolio_balance()
async def force_refresh_orders(self, portfolio=None):
# useless in simulation mode
if not self.simulate:
self.logger.info(f"Triggered forced {self.exchange.get_name()} trader orders refresh")
symbols = self.exchange.get_exchange_manager().get_traded_pairs()
# get orders from exchange for the specified symbols
for symbol_traded in symbols:
orders = await self.exchange.get_open_orders(symbol=symbol_traded, force_rest=True)
for open_order in orders:
# do something only if order not already in list
if not self.order_manager.has_order_id_in_list(open_order["id"]):
order = self.parse_exchange_order_to_order_instance(open_order)
if portfolio:
await self.create_order(order, portfolio, True)
else:
async with self.portfolio.get_lock():
await self.create_order(order, self.portfolio, True)
def parse_exchange_order_to_order_instance(self, order):
return self.create_order_instance(order_type=self.parse_order_type(order),
symbol=order["symbol"],
current_price=0,
quantity=order["amount"],
stop_price=None,
linked_to=None,
quantity_filled=order["filled"],
order_id=order["id"],
status=self.parse_status(order),
price=order["price"],
timestamp=order["timestamp"])
@staticmethod
def update_order_with_exchange_order(exchange_order, order):
order.status = Trader.parse_status(exchange_order)
order.filled_quantity = exchange_order["filled"]
order.filled_price = exchange_order["price"]
order.fee = exchange_order["fee"]
order.executed_time = order.trader.exchange.get_uniform_timestamp(exchange_order["timestamp"]) # to confirm
def parse_exchange_order_to_trade_instance(self, exchange_order, order):
self.update_order_with_exchange_order(exchange_order, order)
@staticmethod
def parse_status(order):
return OrderStatus(order["status"])
@staticmethod
def parse_order_type(order):
side = TradeOrderSide(order["side"])
order_type = TradeOrderType(order["type"])
if side == TradeOrderSide.BUY:
if order_type == TradeOrderType.LIMIT:
return TraderOrderType.BUY_LIMIT
elif order_type == TradeOrderType.MARKET:
return TraderOrderType.BUY_MARKET
elif side == TradeOrderSide.SELL:
if order_type == TradeOrderType.LIMIT:
return TraderOrderType.SELL_LIMIT
elif order_type == TradeOrderType.MARKET:
return TraderOrderType.SELL_MARKET
def get_order_manager(self):
return self.order_manager
def get_trades_manager(self):
return self.trades_manager
def stop_order_manager(self):
self.order_manager.stop()
async def start_order_manager(self):
if not Backtesting.enabled(self.config):
await self.order_manager.poll_update()
def get_simulate(self):
return self.simulate
@staticmethod
def check_if_self_managed(order_type):
# stop losses and take profits are self managed by the bot
if order_type in [TraderOrderType.TAKE_PROFIT,
TraderOrderType.TAKE_PROFIT_LIMIT,
TraderOrderType.STOP_LOSS,
TraderOrderType.STOP_LOSS_LIMIT]:
return True
return False