def test_base_differences_start_xrp_xlm_usdt_rates(self):
targets = {
'XRP': 50,
'XLM': 40,
'USDT': 10,
}
current = {
'XRP': 100,
'XLM': 100,
'USDT': 50,
}
rates = {
'XRP/USDT': 0.1,
'XLM/USDT': 0.4,
}
exchange = DummyExchange(targets.keys(), current, rates)
portfolio = Portfolio.make_portfolio(targets, exchange)
expected = {
'XRP': 40,
'XLM': 0,
'USDT': -40,
}
self.assertEqual(portfolio.differences_quote, expected)
def test_create_portfolio_needs_balancing3(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2,
exchange,
threshold=20)
self.assertFalse(portfolio.needs_balancing)
def test_run_trade(self):
targets = {
'XRP': 45,
'XLM': 45,
'USDT': 10,
}
current = {'XRP': 400, 'XLM': 400, 'USDT': 200}
rates = {
'XRP/USDT': 1.0,
'XLM/USDT': 1.0,
'XLM/XRP': 1.0,
}
exchange = DummyExchange(targets.keys(), current, rates, 0.001)
portfolio = Portfolio.make_portfolio(targets, exchange)
balancer = SimpleBalancer()
executor = Executor(portfolio, exchange, balancer)
res = executor.run(force=True, trade=True)
# Test the orders we get are correct
expected = [
Order('XLM/USDT', 'BUY', 50, 1.0),
Order('XRP/USDT', 'BUY', 50, 1.0),
]
self.assertEqual(res['orders'], expected)
self.assertEqual(exchange.balances['XRP'], 449.95)
self.assertEqual(exchange.balances['XLM'], 449.95)
self.assertEqual(exchange.balances['USDT'], 100)
def test_create_portfolio_defaults(self):
exchange = DummyExchange(self.targets.keys(), self.targets)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.threshold, 1.0)
self.assertEqual(portfolio.quote_currency, 'USDT')
self.assertEqual(portfolio.exchange, exchange)
self.assertEqual(portfolio.targets, self.targets)
def test_create_portfolio_custom(self):
exchange = DummyExchange(self.targets.keys(), self.targets)
portfolio = Portfolio.make_portfolio(self.targets, exchange, 2.0,
'BTC')
self.assertEqual(portfolio.threshold, 2.0)
self.assertEqual(portfolio.quote_currency, 'BTC')
self.assertEqual(portfolio.exchange, exchange)
self.assertEqual(portfolio.targets, self.targets)
def test_create_portfolio_differences_quote2(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2, exchange)
expected = {
'XRP': -50,
'XLM': -50,
'USDT': 100,
}
self.assertEqual(portfolio.differences_quote, expected)
def execute(self,
targets,
current,
rates,
fee=0.001,
max_orders=5,
mode='mid'):
exchange = DummyExchange(targets.keys(), current, rates, fee)
portfolio = Portfolio.make_portfolio(targets, exchange)
balancer = SimpleBalancer()
return balancer.balance(portfolio,
exchange,
max_orders=max_orders,
mode=mode)
def test_base_differences_start_xrp_xlm_usdt_rates3(self):
targets = {
'XRP': 45,
'XLM': 45,
'USDT': 10,
}
current = {
'XRP': 40,
'XLM': 40,
'USDT': 20,
}
rates = {
'XRP/USDT': 0.5,
'XLM/USDT': 0.5,
'USDT/USDT': 1.0,
}
exchange = DummyExchange(targets.keys(), current, rates)
portfolio = Portfolio.make_portfolio(targets, exchange)
expected = {
'XRP': 7,
'XLM': 7,
'USDT': -14,
}
self.assertEqual(portfolio.differences_quote, expected)
final_base = {}
final_targets = {}
total_base = 0
for cur in current:
symbol = "{}/{}".format(cur, portfolio.quote_currency)
final_base[cur] = current[cur] * exchange.rates[symbol]['mid']
final_base[cur] += portfolio.differences_quote[cur]
total_base += final_base[cur]
for cur in final_base:
final_targets[cur] = (final_base[cur] / total_base) * 100
self.assertEqual(targets, final_targets)
def create_executor(self, targets, current, rates, fee=0.001):
exchange = DummyExchange(targets.keys(), current, rates, fee)
portfolio = Portfolio.make_portfolio(targets, exchange)
balancer = SimpleBalancer()
executor = Executor(portfolio, exchange, balancer)
return executor
def test_create_portfolio_needs_balancing2(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2, exchange)
self.assertTrue(portfolio.needs_balancing)
def test_create_portfolio_metric_zero(self):
exchange = DummyExchange(self.targets.keys(), self.zero_balances)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.balance_rms_error, 0)
def test_create_portfolio_metric2(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2, exchange)
self.assertAlmostEqual(portfolio.balance_rms_error, 7.071067, 5)
def test_create_portfolio_balances_pct_zero(self):
exchange = DummyExchange(self.targets.keys(), self.zero_balances)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.balances_pct, self.zero_balances)
self.assertNotEqual(portfolio.balances_pct, self.targets)
def test_create_portfolio_valuation_quote(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.valuation_quote, 1000)
def main(args=None):
config = configparser.ConfigParser()
config.read('config.ini')
def exchange_choices():
return set(config.sections()) & set(exchanges)
parser = argparse.ArgumentParser(
description='Balance holdings on an exchange.')
parser.add_argument('--trade',
action="store_true",
help='Actually place orders')
parser.add_argument('--force', action="store_true", help='Force rebalance')
parser.add_argument('--max_orders',
default=5,
help='Maximum number of orders to perform in '
'rebalance')
parser.add_argument('--valuebase',
default='USDT',
help='Currency to value portfolio in')
parser.add_argument('--cancel',
action="store_true",
help='Cancel open orders first')
parser.add_argument('--mode',
choices=['mid', 'passive', 'cheap'],
default='mid',
help='Mode to place orders')
parser.add_argument('exchange', choices=exchange_choices())
args = parser.parse_args()
config = config[args.exchange]
try:
targets = [x.split() for x in config['targets'].split('\n')]
targets = dict([[a, float(b)] for (a, b) in targets])
except ValueError:
logger.error("Targets format invalid")
sys.exit(1)
total_target = sum(targets.values())
if total_target != 100:
logger.error(
"Total target needs to equal 100, it is {}".format(total_target))
sys.exit(1)
valuebase = config.get('valuebase') or args.valuebase
exchange = CCXTExchange(args.exchange, targets.keys(), config['api_key'],
config['api_secret'])
print("Connected to exchange: {}".format(exchange.name))
print()
if args.cancel:
print("Cancelling open orders...")
for order in exchange.cancel_orders():
print("Cancelled order:", order['symbol'], order['id'])
print()
threshold = float(config['threshold'])
max_orders = int(args.max_orders)
portfolio = Portfolio.make_portfolio(targets, exchange, threshold,
valuebase)
print("Current Portfolio:")
for cur in portfolio.balances:
bal = portfolio.balances[cur]
pct = portfolio.balances_pct[cur]
tgt = targets[cur]
print(" {:<6s} {:<8.2f} ({:>5.2f} / {:>5.2f}%)".format(
cur, bal, pct, tgt))
print()
print(" Total value: {:.2f} {}".format(portfolio.valuation_quote,
portfolio.quote_currency))
balancer = SimpleBalancer()
executor = Executor(portfolio, exchange, balancer)
res = executor.run(force=args.force,
trade=args.trade,
max_orders=max_orders,
mode=args.mode)
print(" Balance RMS error: {:.2g} / {:.2g}".format(
res['initial_portfolio'].balance_rms_error, threshold))
print(" Balance Max error: {:.2g} / {:.2g}".format(
res['initial_portfolio'].balance_max_error, threshold))
print()
if not portfolio.needs_balancing and not args.force:
print("No balancing needed")
sys.exit(0)
print("Balancing needed{}:".format(" [FORCED]" if args.force else ""))
print()
print("Proposed Portfolio:")
portfolio = res['proposed_portfolio']
if not portfolio:
print("Could not calculate a better portfolio")
sys.exit(0)
for cur in portfolio.balances:
bal = portfolio.balances[cur]
pct = portfolio.balances_pct[cur]
tgt = targets[cur]
print(" {:<6s} {:<8.2f} ({:>5.2f} / {:>5.2f}%)".format(
cur, bal, pct, tgt))
print()
print(" Total value: {:.2f} {}".format(portfolio.valuation_quote,
portfolio.quote_currency))
print(" Balance RMS error: {:.2g} / {:.2g}".format(
res['proposed_portfolio'].balance_rms_error, threshold))
print(" Balance Max error: {:.2g} / {:.2g}".format(
res['proposed_portfolio'].balance_max_error, threshold))
total_fee = '%s' % float('%.4g' % res['total_fee'])
print(" Total fees to re-balance: {} {}".format(total_fee,
portfolio.quote_currency))
print()
print("Orders:")
if args.trade:
for order in res['success']:
print(" Submitted: {}".format(order))
for order in res['errors']:
print(" Failed: {}".format(order))
else:
for order in res['orders']:
print(" " + str(order))
'BTC': 20,
'ETH': 20,
'USD': 20,
}
targets = {
'XRP': 80,
'USD': 20,
}
for t in range(10, 100, 10):
threshold = t / 10.0
exchange = BacktestExchange('/Development/crypto_balancer/data/*.json',
balances.copy())
portfolio = Portfolio.make_portfolio(targets,
exchange,
threshold,
quote_currency="USD")
balancer = SimpleBalancer()
num_trades = 0
while portfolio.needs_balancing:
res = balancer.balance(portfolio,
exchange,
accuracy=True,
max_orders=4)
for order in res['orders']:
try:
r = exchange.execute_order(order)
num_trades += 1
except ValueError:
pass
def balancing(portfolio_config, portfolio_name, trade, force, max_orders, cancel, log_dir, mode):
set_up_logger(log_dir, portfolio_name)
try:
targets = [x.split() for x in portfolio_config['targets'].split('\n')]
targets = dict([[a, float(b)] for (a, b) in targets])
except ValueError:
logger.error("Targets format invalid")
sys.exit(1)
total_target = sum(targets.values())
if total_target != 100:
logger.error("Total target needs to equal 100, it is {}"
.format(total_target))
return
valuebase = portfolio_config.get('valuebase') or 'USDT'
exchange = CCXTExchange(portfolio_config['exchange'],
targets.keys(),
portfolio_config['api_key'],
portfolio_config['api_secret'])
logger.info("Connected to exchange: {}".format(exchange.name))
if cancel:
logger.info("Cancelling open orders...")
for order in exchange.cancel_orders():
logger.info("Cancelled order:", order['symbol'], order['id'])
threshold = float(portfolio_config['threshold'])
max_orders = int(max_orders)
portfolio = Portfolio.make_portfolio(targets, exchange, threshold, valuebase)
logger.info("Current Portfolio:")
for cur in portfolio.balances:
bal = portfolio.balances[cur]
pct = portfolio.balances_pct[cur]
tgt = targets[cur]
logger.info(" {:<6s} {:<8.6f} ({:>5.2f} / {:>5.2f}%)".format(cur, bal, pct, tgt))
logger.info("\n")
logger.info(" Total value: {:.2f} {}".format(portfolio.valuation_quote,
portfolio.quote_currency))
balancer = SimpleBalancer()
executor = Executor(portfolio, exchange, balancer)
res = executor.run(force=force,
trade=trade,
max_orders=max_orders,
mode=mode)
logger.info(" Balance RMS error: {:.2g} / {:.2g}".format(
res['initial_portfolio'].balance_rms_error,
threshold))
logger.info(" Balance Max error: {:.2g} / {:.2g}".format(
res['initial_portfolio'].balance_max_error,
threshold))
if not portfolio.needs_balancing and not force:
logger.info("\nNo balancing needed")
return
logger.info("\nBalancing needed{}:".format(" [FORCED]" if force else ""))
logger.info("Proposed Portfolio:")
portfolio = res['proposed_portfolio']
if not portfolio:
logger.info("Could not calculate a better portfolio")
return
for cur in portfolio.balances:
bal = portfolio.balances[cur]
pct = portfolio.balances_pct[cur]
tgt = targets[cur]
logger.info(" {:<6s} {:<8.6f} ({:>5.2f} / {:>5.2f}%)"
.format(cur, bal, pct, tgt))
logger.info(" Total value: {:.2f} {}".format(portfolio.valuation_quote,
portfolio.quote_currency))
logger.info(" Balance RMS error: {:.2g} / {:.2g}".format(
res['proposed_portfolio'].balance_rms_error,
threshold))
logger.info(" Balance Max error: {:.2g} / {:.2g}".format(
res['proposed_portfolio'].balance_max_error,
threshold))
total_fee = '%s' % float('%.4g' % res['total_fee'])
logger.info(" Total fees to re-balance: {} {}"
.format(total_fee, portfolio.quote_currency))
logger.info("\n")
logger.info("Orders:")
if trade:
for order in res['success']:
logger.info(" Submitted: {}".format(order))
for order in res['errors']:
logger.info(" Failed: {}".format(order))
else:
for order in res['orders']:
logger.info(" " + str(order))